FTSE Developed All Cap Index と the Russell 3000 Index をベースに算出しているとのこと。
The Vanguard Global Value Factor UCITS ETF (VVAL) aims to capture the potential premiums of low-valued stocks, which are stocks that look inexpensive compared with the company’s fundamentals. This is achieved by favouring equity securities that, when compared to other securities in the investment universe, have lower prices relative to their fundamental measures of value (e.g. price-to-book or price-to-earnings ratio, estimated future earnings and operating cash flow).
The Vanguard Global Momentum Factor UCITS ETF (VMOM) aims to capture the momentum premium through focusing on stocks with strong recent share price performance, typically over the previous twelve months. Such stocks have been found to continue to outperform over the subsequent short- to medium- term time periods.
The Vanguard Global Liquidity Factor UCITS ETF (VLIQ) aims to capture the liquidity premium by investing in stocks that are less frequently traded and could be a source of outperformance over the long-term. This is achieved by favouring equity securities that, when compared to other securities in the investment universe, have low trading volumes and other measures of trading liquidity, including lower trading share and dollar volumes, based on percentage turnover, and price impact
The Vanguard Global Minimum Volatility UCITS ETF (VMVL) aims to help investors reduce risk in their portfolios. Investing in a portfolio that targets a combination of stocks with lower volatility compared with the broader market allows investors to maintain exposure to equities with the potential for improving risk-adjusted returns.