(VFMF) Vanguard U.S. Multifactor ETF

Vanguard U.S. Multifactor ETF seeks to provide long-term capital appreciation by investing in U.S. stocks which target three factors, value, momentum, and quality, after an initial volatility screen. Such a strategy offers potential diversification benefits that can help reduce the active risk associated with exposure to a single factor.

• Advisor uses a rules-based quantitative model to evaluate U.S. common stocks and construct a U.S. equity portfolio that seeks to achieve exposure to multiple factors.
• After applying an initial screen to remove the most volatile stocks in the universe, stocks are then selected according to their equally weighted ranking across three targeted factors; momentum-stocks that exhibit strong recent performance, quality-stocks that exhibit strong fundamentals, and value-stocks with low prices relative to fundamentals.
• Portfolio includes a diverse mix of stocks representing many different market capitalizations (large, mid, and small), market sectors, and industry groups, and holds hundreds of names to diversify idiosyncratic stock risk.
• Portfolio is rebalanced as needed to maintain consistent exposure to the targeted factors.
• Seeks long-term capital appreciation.
• Typically, at least 80% of the fund’s assets will be invested in securities issued by U.S. companies.

Note: The Value factor is measured by book value/price, forward earnings/price, operating cash flows/price (for non-financials only). The Momentum factor is measured by total returns from month T-12 to month T-1, total returns from month T-7 to month T-1, and the intercept from a 1-year regression of stock returns on their regional benchmark. For financials, the Quality factor is measured by return on equity and share issuance. For non-financials the Quality factor is measured by return on equity, gross profitability, change in net operating assets, and leverage. The volatility screen removes the 20% most volatile names within each market cap grouping and equally across sectors.