The Vanguard Small-Cap ETF (VB) tracks the performance of the CRSP US Small Cap Index, which measures the return of small-capitalizations stocks. This ETF is a convenient way to match the performance of a diversified group of small companies. This is an easy way to capture small companies performance when people tend to only invest in large companies.
VB's monthly return over the history of the ETF is 1.27%. This stock has .1% higher return than the market, although that .1% increase comes with a higher standard deviation meaning that this stock will have more volatility. However, when you compare them with the Sharpe ratio (bang for buck) is .27 which is .05 higher than VB's.
When running the 1 factor and 3 factor regression for VB there weren't any significant economic factors. Most of the coefficients correlated to the market, usually in between 1 and .5. However, when you look at the alpha its about -.01 meaning it underperforms the market.
Using VB and SPY I was able to make a portfolio that had a 0 beta, meaning that there is no risk at all with this allocation. The portfolio would produce a .5% monthly return meaning a 6% yearly return. However, this allocation wouldn't quite be realistic. You would need 485% of your funds in SPY and be shorting VB with 385% of your funds. This would never be possible with an individual investor but it is interesting to see that you could produce 6% year return with absolutely no risk.