US multifactor funds ran 30 points apart

Two products that both mix US stock factors finished the year in different markets. Vanguard's US multifactor fund BVFMF, a 553-stock book that keeps 8.8% in its top 10 names and leans toward financials, returned 27.6% over the 12 months through Friday, September 18. WisdomTree's US multifactor fund BUSMF, with Apple, Alphabet, and Nvidia at the top of a 201-name list, returned 2.0%. The gap is what the year established: the multifactor label did not describe one portfolio, and it did not describe one result.

The median of the 99 funds in the category returned 15.1% over that year, 1.5 percentage points behind State Street's S&P 500 ETF ASPY. Year to date the median is slightly ahead, at 13.6% against 12.6%. The quarter since Tuesday, June 30, is where the median stalled, at 0.2%, while ASPY rose 2.3%.

The label is a tent

US Multifactor, as graded here, holds $333 billion across 99 funds. A third of that is not a factor blend at all. Vanguard's high-dividend fund AVYM accounts for $101 billion, or 30% of category assets, and tracks companies chosen for yield. The next three by size are an S&P growth fund, a fundamentally weighted large-company fund, and Vanguard's Russell 1000 Value fund AVONV. Those five largest products together hold 61% of the money.

That mix matters because a category return is a statistic of the field, not a product anyone owns. AVYM returned 16.0% over the year, in line with the S&P 500. AVONV returned 26.0%. iShares Core S&P U.S. Growth ETF AIUSG returned 17.3%. Put those beside the named multifactor cores and the field looks less like a strategy than like a filing cabinet: dividend, value, growth, and several ways of mixing the three.

The funds that actually combine factors sit further down the list. Goldman's ActiveBeta large-cap fund AGSLC is the largest of that group, at $15.1 billion. Avantis US Equity AAVUS, which tilts toward cheaper, more profitable companies across all sizes, is $14.5 billion. iShares' US equity factor fund ALRGF is $3.7 billion. BVFMF is $976 million. BUSMF is $268 million.

Same names, different weights

The construction gap is measurable. BVFMF and AGSLC share 142 stocks, with a 25% weight overlap across the pair. Count overlap is 23% of Vanguard's names and 33% of Goldman's. Vanguard's book is 25% financials and 15% technology; Goldman's is 39% technology and 11% financials. Micron is the only name that is a top weight in both. Alphabet is 3.0% of AGSLC and 0.7% of BVFMF. That is not two implementations of one idea. It is two equity portfolios that happen to share a category.

State Street's MSCI USA StrategicFactors fund AQUS is the cleaner version of the defensive mix: low volatility, quality, and value, with 23% in the top 10. It returned 14.2% over the year and 2.2% in the quarter, a smoother ride that missed most of value's extra return.

What the year paid

The market that multifactor funds were mixing against paid value and charged growth. iShares' Russell 1000 Value ETF AIWD returned 25.8% over the year through Friday, September 18; iShares' Russell 1000 Growth ETF BIWF returned 6.6%, a 19-percentage-point gap. Year to date the same split is 20.9% against 4.4%.

Morningstar Indexes had already flagged the rotation. Value led globally in the fourth quarter of 2025 and again in the first quarter of 2026, when quality was the weakest factor. Momentum then took over in the second quarter: Morningstar put global momentum at 35.97%, with low volatility at the bottom. J.P. Morgan Asset Management, in a factor note dated August 7, called momentum's run the strongest since the dot-com years and said US value had held up even as the factor stumbled elsewhere; it also described equity quality as being in one of its weakest stretches on record.

That regime is why construction decided the year. Inside this category, the books that behaved like value got paid. BVFMF, which scores stocks on value, quality, and momentum after dropping the most volatile names, sat with AVONV.

The books that remix mega-cap growth did not. AGSLC holds 36% of assets in its top 10 names, 39% in technology, and 8.0% in Nvidia. It returned 13.1%. ALRGF, which does name value, quality, momentum, low volatility, and size as its factors, has a similar shape: 35% in the top 10, 38% in technology, Nvidia at 7.5%. It returned 14.8%, still short of ASPY. Invesco's Russell 1000 dynamic multifactor fund AOMFL reweights five factors as the cycle changes and still keeps 37% in its top 10, led by Apple at 9.2%. It returned 17.3%, a market-like year from a market-like book.

Quality-and-growth mixes had a lost year. American Century's US quality growth fund BQGRO returned 1.2%. BUSMF returned 2.0%. VanEck's Morningstar wide-moat fund CMOAT, $14.4 billion of quality at a 0.46% fee, returned 10.0% over the year and only 3.9% year to date. Among the funds with a one-year record, DoubleLine's Shiller DCAPE sector fund DCAPE was the weakest result, at -2.0%.

The Optimize Strategy Index ETF COPTZ, which screens for quality and momentum and holds about 52% in technology, posted the strongest one-year total return among those funds, at 28.2%. A quality-and-momentum book that concentrated in technology finished first in a category that is supposed to blend factors.

Since June 30, size split the field

After momentum's second-quarter run, the quarter since June 30 paid large-cap value and charged smaller stocks. AIWD returned 4.2%. BIWF returned -0.7%. iShares' Russell 2000 ETF AIWM fell 5.2%; iShares' core S&P mid-cap fund AIJH fell 5.1%.

That size line runs straight through the multifactor shelf. Fidelity's small-mid multifactor fund AFSMD fell 5.3%. Distillate's US fundamental stability and value fund CDSTL, a 100-stock free-cash-flow book, returned 10.7%.

The named multifactor cores, plus the value fund that shows what paid and the quality-momentum fund at the top of the one-year range:

The takeaway from that board is not that multifactor failed. It is that mixing factors only helps if the mix, the weights, and the size sleeve are the ones the year paid. A 0.08% fee on a mega-cap remix still left ALRGF short of BVFMF. A 0.28% fee on BUSMF bought a year that looked like standing still.

Two new SEI funds, same old fee range

Two SEI products opened during the quarter and now sit in this field, which is the classification story in miniature. The SEI QiM US Equity Factor Allocation Active ETF —SEUS opened in mid-July and now holds $969 million; it is an active, model-driven mix of quality, value, momentum, and low volatility. The SEI Ang Research Enhanced US Large Cap ETF —ANGU, listed August 6, holds $465 million and tracks an iSTOXX index built with Andrew Ang that tilts momentum, quality, and value while staying close to large-cap US stocks. Neither yet has a full year, and both sit in a preliminary grade. A large-cap index with factor tilts could have been filed as a core equity fund; it is here because the book mixes factors. The median expense ratio across the 99 funds remains 0.30%.

etf.net's published grades, which score each fund against others making the same promise, currently read 25 A, 27 B, 33 C, 7 D, and 4 F, with three ungraded. The highest scores sit as often on cheap, large single-style funds such as AVONV and AVYM as on the blended cores. Cost, in that method, is the net expense ratio and nothing else.

If you already hold a fund in this category, the year asked a narrower question than whether multifactor "worked." It asked which factors you actually own, how much of the S&P 500 is still sitting in the top 10, and whether the size sleeve can survive a quarter like the one since June 30.