Vanguard S&P Small-Cap 600 Value ETF (VIOV US) – Portfolio Construction Methodology

The underlying S&P SmallCap 600 Value Index provides style-tilted exposure within the committee-selected S&P SmallCap 600 universe of U.S. small caps that satisfy investability and financial-viability screens (positive as-reported earnings over the most recent quarter and the sum of the last four quarters; adequate liquidity including minimum trading volume and a liquidity ratio relative to float market cap; public float typically ≥ 10%). Value classification uses a composite of book-to-price, earnings-to-price, and sales-to-price; each S&P 600 constituent receives value and growth “attractiveness” scores, allowing partial allocations across styles. Constituents are weighted by float-adjusted market cap scaled by their value allocation, with buffers to limit migration between styles. Rebalancing follows S&P’s annual style reconstitution (with quarterly share updates and ongoing corporate-action maintenance). Initial size inclusion targets the S&P small-cap band as defined by S&P DJI’s periodically updated market-cap guidelines, with ongoing buffers to manage turnover.

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