Investing legend David F. Swensen once described portfolio construction as both science and art. The science, he said, “encompasses the application of basic investment principles,” whereas the art “concerns itself with the use of common-sense judgement.”

But a recent development might have you asking: Has art overtaken science in certain parts of the ETF marketplace?

For an example, look no further than the Vanguard Small-Cap ETF. Despite its name, the fund has among its 1,439 holdings 68 large-cap stocks from the S&P 500, including Fair Isaac Corp., Wynn Resorts and Zions Bancorporation. The Vanguard fund has a massive asset base of $43 billion, and one must wonder how many of its shareholders know and understand this part of their stock exposure.

One of the chief selling points of index funds and ETFs is their disciplined adherence to a securities universe. Any deviation from that is what’s usually referred to as “style drift,” a phenomenon more commonly seen in actively managed funds but one that’s apparently seeped into the indexing approach of some ETFs.

The Vanguard fund owns bigger companies than its peers—its median cap size is $6 billion, while the cap size for the median firm in the Schwab U.S. Small-Cap ETF is $4.2 billion, and BlackRock’s iShares Core S&P Small-Cap ETF has an even smaller median of $2.5 billion. (Schwab’s fund is linked to the Dow Jones U.S. Small-Cap Total Stock Market Index and the iShares fund is tied to the S&P SmallCap 600.)

Some of the style drift in Vanguard’s fund can be explained by the liberal small-cap criteria set by the Center for Research in Security Prices, or CRSP, an index data organization affiliated with the University of Chicago’s Booth School of Business, which describes small caps as “companies that fall between the bottom 2% to 15% of the investable market capitalization.” If a large-cap stock happens to fall into the bottom 2% to 15% of the market universe, that means it can technically be included inside CRSP’s small-cap description. That’s exactly what’s occurring right now.

The S&P SmallCap 600 takes a stricter approach by excluding stocks with a market size exceeding $5.2 billion, but a company must also have a minimum $850 million to be considered.

But when it comes to deciding what’s large, mid-cap or small, the nuances vary among indexes, and there’s no consensus on the cutoff points.

For example, Standard & Poor’s U.S. equity universe starts with 1,500 companies. Taken from this group are the largest 500 stocks, which form the S&P 500. The smallest go into the S&P SmallCap 600. The companies stuck in the middle get slotted into the S&P MidCap 400. But the other indexers, including CRSP, FTSE Russell and MSCI, start with universes of different sizes and arrive at different definitions of large, mid and small caps.

For both investors and advisors alike, there’s two key takeaways.

First, it’s best to stick with one index family when building ETF portfolios. If you combine a fund like the Vanguard Small-Cap ETF with an index outside CRSP’s universe, things might get complicated. And keep in mind that if you add Vanguard’s fund, you might be inadvertently adding to your portfolio’s large-cap exposure. To be fair, this isn’t necessarily an issue limited to CRSP’s indexes.

Ultimately, you should seek uniformity and consistency in the way you define the size of securities. You don’t get that when you’re mixing and matching ETFs from different index providers.

A little due diligence can go a long way when you’re steering clients away from the artful techniques sometimes employed by the indexers. Your motto should be: “Don’t trust the labels and look underneath the hood.”