Vanguard Factor Investing Tool: Reveal what's driving clients' returns

July 15, 2019 (Updated July 25, 2019)


Our Factor Investing Tool allows us to apply a factor lens to a client's portfolio or individual investments, revealing the exposures influencing the portfolio's risk and return levels. The tool also provides optimizations, side-by-side comparisons, historical risk and return data, factor exposures over time against either the U.S. or the global market, and publishing capabilities.

Call us at 800-997-2798 to learn more about the tool's features or to request an analysis of your clients' portfolios.

Let us help you reveal what factors your clients own

Get a snapshot of the factor exposures influencing your clients' portfolios. This feature offers a way to determine whether your clients are over- or underweighting certain style factors associated with long-term return enhancement or risk reduction.

Get an instant snapshot of the factor exposures influencing clients' portfolios.

Replicate a U.S. active fund at a lower cost

Some active managers' returns can be largely explained by factor exposures rather than their stock-selection skills.

When that's the case, our tool can help build portfolios that attempt to mimic your clients' current volatility and return experience at a lower cost.

Contextualize with supportive data

Once the factor exposures of an investment or a portfolio have been analyzed, our tool offers risk and return data as well as information about factor exposures over time so you can perform added due diligence.

Get an instant snapshot of the factor exposures influencing clients' portfolios.


  • The information generated by the Vanguard Factor Investing Tool regarding the likelihood of various investment outcomes is hypothetical in nature, does not reflect actual investment results, and is not a guarantee of future results.
  • This information is intended to show factor exposure relative to the U.S. stock market based on a hypothetical portfolio selected from a limited universe of investments. For the factor alternative, the universe of investments is limited to Vanguard Total Stock Market ETF (VTI), Vanguard U.S. Momentum Factor ETF (VFMO), Vanguard U.S. Quality Factor ETF (VFQY), Vanguard U.S. Value Factor ETF (VFVA), and Vanguard U.S. Liquidity Factor ETF (VFLQ). It could also include Vanguard U.S. Multifactor ETF (VFMF). For the size and style alternative, the universe is limited to Vanguard Mega Cap Value ETF (MGV), Vanguard Mega Cap Growth ETF (MGK), Vanguard Mid-Cap Value ETF (VOE), Vanguard Mid-Cap Growth ETF (VOT), Vanguard Small-Cap Value ETF (VBR), and Vanguard Small-Cap Growth ETF (VBK). For the Vanguard active alternative, the universe of investments is limited to Vanguard U.S. Value Fund (VUVLX), Vanguard Capital Value Fund (VCVLX), Vanguard Explorer Value™ Fund (VEVFX), Vanguard Explorer™ Fund (VEXRX), Vanguard Selected Value Fund (VASVX), Vanguard Equity Income Fund (VEIRX), Vanguard Morgan™ Growth Fund (VMRAX) merged with Vanguard U.S. Growth Fund (VWUAX) on April 5, 2019, Vanguard Growth and Income Fund (VGIAX), Vanguard Strategic Small-Cap Equity Fund (VSTCX), Vanguard Mid-Cap Growth Fund (VMGRX), Vanguard Windsor™ Fund (VWNEX), Vanguard Windsor™ II Fund (VWNAX), Vanguard Diversified Equity Fund (VDEQX), Vanguard U.S. Growth Fund (VWUAX) and Vanguard Strategic Equity Fund (VSEQX). Other investments not included may have characteristics similar or superior to those being analyzed. The analysis is only as of the date on the tool. Ex-ante tracking error is a measure of projected tracking error, but actual tracking error may differ. This is a point-in-time analysis, but results are likely to vary over time. This is not meant to replicate a fund/portfolio's strategy, but only to provide similar factor exposures. Not every investment's exposures can be mimicked using factor funds. Results may vary with each use and over time.
  • Barra Optimizer is a software library designed to solve a wide variety of portfolio-optimization problems. The goal of optimization in this construct is to create an optimal portfolio, as defined by the objective of minimizing tracking error relative to the benchmark, while taking into account specified constraints. It is specially designed to create portfolios and trades that maximize an objective function subject to a set of practical trading or investment constraints. The objective function consists of optional return, risk, transaction cost, and other terms. Utility function is an alternative name for the objective function. Barra Optimizer is an integral part of many MSCI products and services.
  • Barra Optimizer incorporates proprietary solvers developed in-house, resulting from more than two decades of dedicated research at MSCI in the area of financial optimization. It provides fast and reliable results for well-defined, convex portfolio construction and rebalancing cases. It also applies innovative, high-quality heuristic techniques to certain ill-behaved, complex portfolio-optimization problems. It takes advantage of the special structure of multifactor risk models employed by many portfolio managers.
  • Vanguard is not responsible for determining the suitability for any underlying client on whose behalf you use this information. As an investment advisor, it remains your responsibility to make a suitability determination for your clients, so you should review carefully the information presented and the fund's prospectus for more complete information regarding any fees, expenses, investment objectives, and risks, and make your own determination as to its appropriateness before you rely on it.
  • This information should not be relied on as investment advice or a recommendation regarding any fund, ETF, or particular security. It contains general information only and does not take into account any individual's financial circumstances. Vanguard is not responsible and assumes no liability for determining whether an investment is appropriate for any underlying client on whose behalf you use this information. You should review carefully the fund prospectus for information regarding fees, expenses, investment objectives, and risks, and make your own determination as to its appropriateness.
  • Factor funds are subject to investment-style risk, which is the chance that returns from the types of stocks in which the fund invests will trail returns from the stock market. Factor funds are subject to manager risk, which is the chance that poor security selection will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective. Funds that concentrate on a relatively narrow market sector face the risk of higher share-price volatility.
  • Diversification does not ensure a profit or protect against a loss. All investing is subject to risk, including the possible loss of the money you invest. Be aware that fluctuations in the financial markets and other factors may cause declines in the value of your account. There is no guarantee that any particular asset allocation or mix of funds will meet your investment objectives or provide you with a given level of income.
  • Vanguard ETF Shares are not redeemable with the issuing Fund other than in very large aggregations worth millions of dollars. Instead, investors must buy and sell Vanguard ETF Shares in the secondary market and hold those shares in a brokerage account. In doing so, the investor may incur brokerage commissions and may pay more than net asset value when buying and receive less than net asset value when selling.


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