Multi-factor ETFs are exchange-traded funds that incorporate multiple investment factors or strategies to construct portfolios. These factors, which are quantitative characteristics of stocks, can include value, growth, momentum, quality, low volatility, and size, among others. Multi-factor ETFs employ a systematic, rules-based approach to select and weigh their holdings. By balancing exposure to different factors, these ETFs seek to benefit from the unique strengths of each factor and reduce the impact of any single factor's underperformance.

Multi-factor

The Vanguard U.S. Multifactor ETF (VFMF) is an actively managed fund that uses a rules-based quantitative model to select U.S. stocks across market capitalizations with strong value, momentum, and quality characteristics, while screening for liquidity. Managed by Vanguard's Quantitative Equity Group, it offers factor-based exposure at a low cost relative to other multifactor strategies. The fund launched in February 2018.

Cboe US

VFMF

NasdaqGM

VSMV

NYSEArca

MFUS

QVMS

Xtrackers Russell US Multifactor ETF tracks the Russell 1000 Comprehensive Factor Index, selecting and weighting securities from the Russell 1000 using five factors: value, momentum, quality, low volatility, and size.

Symbol	Name	Sharpe Ratio (1Y)	Sharpe Ratio (5Y)	Sharpe Ratio (10Y)	Risk / Return Rank
VFMF	Vanguard U.S. Multifactor ETF	2.70	0.83	—	94
VSMV	VictoryShares US Multi-Factor Minimum Volatility E...	2.52	0.84	—	92
MFUS	PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF	2.01	0.85	—	84
QVMS	Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.81	0.41	—	79
DEUS	Xtrackers Russell US Multifactor ETF	1.65	0.65	0.63	71

Top Multi-factor ETFs by Sharpe Ratio

Top Multi-factor ETFs by Sharpe Ratio