New Avantis ETFs

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FiveFactor
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Re: New Avantis ETFs

Post by FiveFactor »

typical.investor wrote: Sat Oct 09, 2021 4:16 am
Apathizer wrote: Fri Oct 08, 2021 8:08 pm
YRT70 wrote: Thu Oct 07, 2021 9:42 am 15% SCV means you're almost tracking the market.
No it doesn't. Comparing VTI and AVUS, VTI is about 8% SC, AVUS is about 15% so it's about twice as much. VTI average market cap is about $120 mil, AVUS is about $60 mil so it's about half the size.

Again, compared to cap-weighted indexes, AVUS, AVDE, and AVEM seem well-designed to both increase expected returns and reduce volatility. For those less concerned about volatility, using AVUV, AVDV, and AVES for a stronger SCV tilt makes sense.
comeinvest wrote: Fri Oct 08, 2021 1:11 am I think you cited the wrong statement. Your comment doesn't match the citation.
No, that's the quote I wanted. We're discussing the relevance of dividends. They commented something to the effect that in emerging markets might indicative of quality. My point is that dividends in and of themselves are irrelevant to overall returns and are tax-inefficient.
Actually though, the link you provided as evidence that dividends are irrelevant only looked at US stocks.

I don't actually expect emerging markets to act like the US market. As such, I wouldn't really expect dividends to be much of an indication of quality in the the US in the same way it might in emerging markets especially in small companies which generally don't have the same analyst coverage that detects fraud.

In any case, DGS which many are using determines quality by more than just dividends.

Last Return on Equity (ROE)
Last Return on Assets (ROA)
Last Gross Profits over Assets (GPOA)
Last Cash Flows over Assets (CFOA)
Dividend strategies are value strategies.

If you broaden the definition of dividend as any cash returned to shareholders, then dividends are the only reason to invest in the first place. At some point along the duration of a business cash is returned or there is no reason to choose an equity over a bond
Small/Value/Profitability: | 30% AVUV | 30% AVDV | 30% AVES | Momentum: | 5% QMOM | 5% IMOM | Volatility: | 0.1% PUTW | Term: | 0.1% BND
YRT70
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Re: New Avantis ETFs

Post by YRT70 »

Apathizer wrote: Fri Oct 08, 2021 8:08 pm
YRT70 wrote: Thu Oct 07, 2021 9:42 am 15% SCV means you're almost tracking the market.
No it doesn't. Comparing VTI and AVUS, VTI is about 8% SC, AVUS is about 15% so it's about twice as much. VTI average market cap is about $120 mil, AVUS is about $60 mil so it's about half the size.
What ultimately matters is the factor loading. AVUS has a very modest factor tilt. It's factor profile is dominated by market beta (0.98), while value, profitability and size only have a loading of about 0.1. That means that the results will be relatively close to the market.

https://www.portfoliovisualizer.com/fac ... sion=false

That's easy to verify in back tests too by comparing 100% VTSMX vs. 85% VTSMX 15% DFSVX (which will be very similar as AVUS).

https://www.portfoliovisualizer.com/bac ... tion2_2=15

I'm not saying it's a bad fund of course, I'm just saying that the results will be relatively close to the market most of the time.
Apathizer wrote: Fri Oct 08, 2021 8:08 pm For those less concerned about volatility, using AVUV, AVDV, and AVES for a stronger SCV tilt makes sense.
That's true for short term volatility. Long term volatility can actually be lower with higher factor tilts.

For example:

VTSMX
2000 until 2009 0%
2010 until 2019 13%

DFSVX
2000 until 2010 9%
2010 until 2020 11%
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grabiner
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Re: New Avantis ETFs

Post by grabiner »

YRT70 wrote: Sat Oct 09, 2021 7:50 am
Apathizer wrote: Fri Oct 08, 2021 8:08 pm For those less concerned about volatility, using AVUV, AVDV, and AVES for a stronger SCV tilt makes sense.
That's true for short term volatility. Long term volatility can actually be lower with higher factor tilts.

For example:

VTSMX
2000 until 2009 0%
2010 until 2019 13%

DFSVX
2000 until 2010 9%
2010 until 2020 11%
Assuming that factors are independent, factor tilts can only reduce volatility of a portfolio if the market beta of the factor portfolio is lower than the total-market portfolio. If may happen in one particular bear market that the value factor had positive returns, and thus a value-tilted portfolio was less volatile over a period including that bear market (as in 2000-2002); in another, the value factor could have negative returns, giving a value-tilted portfolio more volatility (as in March 2020).

The variance (square of the standard deviation) of a multi-factor portfolio with independent factors is the sum over all factors of the product of the variance of that factor and the square of the factor exposures. Thus any portfolio with a market beta of 1 has variance at least the market variance. A portfolio with beta of .8 to the market and .6 to Factor X would have variance of .64*(market variance) + .36*(Factor X variance), which would be less than the market variance if Factor X has lower variance than the market.

But even if the two factors have equal variance, the factor portfolio might be better; its return would be .8*(market return) + .6*(Factor X return), which would be better than the market expected return if Factor X has more than 1/3 of the market return. This is my logic for a factor overweight; I would rather increase risk (with the hope of increasing returns) by taking different risks, rather than more market risk.
Wiki David Grabiner
FiveFactor
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Re: New Avantis ETFs

Post by FiveFactor »

grabiner wrote: Sat Oct 09, 2021 10:38 am; I would rather increase risk (with the hope of increasing returns) by taking different risks, rather than more market risk.

Simply put, this is factor investing.
Small/Value/Profitability: | 30% AVUV | 30% AVDV | 30% AVES | Momentum: | 5% QMOM | 5% IMOM | Volatility: | 0.1% PUTW | Term: | 0.1% BND
Apathizer
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Re: New Avantis ETFs

Post by Apathizer »

typical.investor wrote: Sat Oct 09, 2021 4:16 am Actually though, the link you provided as evidence that dividends are irrelevant only looked at US stocks.
No, it didn't. Maybe your referring to another link, but I think I provided one discussing dividends in general. The math is the same regardless of market. Just to make sure, here it is.
https://www.pwlcapital.com/the-irreleva ... n-starter/
typical.investor wrote: Sat Oct 09, 2021 4:16 amI don't actually expect emerging markets to act like the US market. As such, I wouldn't really expect dividends to be much of an indication of quality in the the US in the same way it might in emerging markets especially in small companies which generally don't have the same analyst coverage that detects fraud.

In any case, DGS which many are using determines quality by more than just dividends.
Why would you expect the math to be different for emerging markets when evidence across all markets shows risk factor exposure is the best predictor of returns? Mathematically that doesn't make sense.

DGS looks fine, but has a high ER of 0.63 while its about half for AVEM and AVES (0.33 and 0.36). DGS also has much higher turnover of about 60% compared to 8% for AVEM, so DGS is also much less tax efficient. I expect AVES will have somewhat higher turnover than AVEM, but not nearly as high as DGS.

In short, DGS seems to have all the disadvantages of actively managed funds: higher ER, less tax efficiency, higher risk of active management. Avantis funds are essentially factor-enhanced index funds with all benefits of index investing: low ER, low-turnover tax-efficiency, and a large well-diversified portfolio.

There's certainly no guarantee DGS will better detect fraud than any other fund and its 10-yr performance is essentially the same as its benchmark index, so it's essentially another over-priced actively managed fund that probably won't beat less expensive index funds covering the same market. Avantis on the other hand probably will due to lower expense and factor slants.
Last edited by Apathizer on Sat Oct 09, 2021 3:02 pm, edited 2 times in total.
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Re: New Avantis ETFs

Post by Apathizer »

FiveFactor wrote: Sat Oct 09, 2021 5:11 am Dividend strategies are value strategies.

If you broaden the definition of dividend as any cash returned to shareholders, then dividends are the only reason to invest in the first place. At some point along the duration of a business cash is returned or there is no reason to choose an equity over a bond
No, they aren't. Please read this article and/or watch the vid. Paying a dividend reduces share price proportionately, so it's at best a wash. There's a better, more efficient way for investors get cash from equity investments: sell shares. If you sell shares for more than you bought them, you're getting net cash back, and you control when and how much you sell whereas you have no control over dividends paid.
Last edited by Apathizer on Sat Oct 09, 2021 3:03 pm, edited 1 time in total.
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FiveFactor
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Re: New Avantis ETFs

Post by FiveFactor »

Apathizer wrote: Sat Oct 09, 2021 2:47 pm
FiveFactor wrote: Sat Oct 09, 2021 5:11 am Dividend strategies are value strategies.

If you broaden the definition of dividend as any cash returned to shareholders, then dividends are the only reason to invest in the first place. At some point along the duration of a business cash is returned or there is no reason to choose an equity over a bond
No, they aren't. Please read this article and/or watch the vid. Paying a dividend reduces share price proportionately, so it's at best a wash. There's a better, more efficient way for investors get we cash from equity investments: sell shares. If you sell shares for more than you bought them, you're getting net cash back, and you control when and how much you sell whereas you have no control over dividends paid.
https://www.pwlcapital.com/the-irreleva ... -still-a-p lol non-starter/
You don’t understand what I said. If you accept that all payments (dividends, cash payouts, etc) are by the economic definition “dividends” - and the only point to investing is to expect a return on your invested capital. Then the only point of investing in equities is the dividend. Any other rational is nonsense.

Just because a fund hides the complexities of the various cash flows and durations of the underlying equities, doesn’t void this basic economic principle

And before you missundertand again…. If a business is purchased for cash, and that cash is returned to shareholders, that is an economic dividend. Hope this helps
Small/Value/Profitability: | 30% AVUV | 30% AVDV | 30% AVES | Momentum: | 5% QMOM | 5% IMOM | Volatility: | 0.1% PUTW | Term: | 0.1% BND
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Re: New Avantis ETFs

Post by Apathizer »

FiveFactor wrote: Sat Oct 09, 2021 2:58 pmYou don’t understand what I said. If you accept that all payments (dividends, cash payouts, etc) are by the economic definition “dividends” - and the only point to investing is to expect a return on your invested capital. Then the only point of investing in equities is the dividend. Any other rational is nonsense.
That isn't the financial definition of dividend. A dividend is regularly distributed cash by a company. Distributing this cash reduces the company's share-value proportionately, so there's no reason to focus on dividends specifically. So, do you consider an investor selling shares for a higher price than they bought them (profit) a type of dividend? If so we might just be quibbling over semantics.
Last edited by Apathizer on Sat Oct 09, 2021 3:13 pm, edited 1 time in total.
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FiveFactor
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Re: New Avantis ETFs

Post by FiveFactor »

Apathizer wrote: Sat Oct 09, 2021 3:10 pm
FiveFactor wrote: Sat Oct 09, 2021 2:58 pmYou don’t understand what I said. If you accept that all payments (dividends, cash payouts, etc) are by the economic definition “dividends” - and the only point to investing is to expect a return on your invested capital. Then the only point of investing in equities is the dividend. Any other rational is nonsense.
That isn't the financial definition of dividend. A dividend is regularly distributed cash by a company. Distributing this cash reduces the company's share-value proportionately, so there's no reason to focus on dividends specifically. So, do you consider an investor sell shares for a profit a type of dividend? If so, we might just be quibbling over semantics.
Sigh…. That’s not how economists think of dividend. From the start I defined the term. If you still believe I am taking about just the regular distributions, vs the total distribution over the life of the business, I cannot have a conversation with you. We don’t share the same reality.

Suggest you catch up on John Cochrane
Small/Value/Profitability: | 30% AVUV | 30% AVDV | 30% AVES | Momentum: | 5% QMOM | 5% IMOM | Volatility: | 0.1% PUTW | Term: | 0.1% BND
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Re: New Avantis ETFs

Post by Apathizer »

FiveFactor wrote: Sat Oct 09, 2021 3:13 pmSigh…. That’s not how economists think of dividend. From the start I defined the term. If you still believe I am taking about just the regular distributions, vs the total distribution over the life of the business, I cannot have a conversation with you. We don’t share the same reality.
OK, I think we were just arguing about a distinction without a real difference. I was thinking of dividend in very specific terms when you meant broad, general terms. I think we weren't arguing about much of anything :-?
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FiveFactor
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Re: New Avantis ETFs

Post by FiveFactor »

Probably
Small/Value/Profitability: | 30% AVUV | 30% AVDV | 30% AVES | Momentum: | 5% QMOM | 5% IMOM | Volatility: | 0.1% PUTW | Term: | 0.1% BND
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typical.investor
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Re: New Avantis ETFs

Post by typical.investor »

Apathizer wrote: Sat Oct 09, 2021 2:41 pm
typical.investor wrote: Sat Oct 09, 2021 4:16 am Actually though, the link you provided as evidence that dividends are irrelevant only looked at US stocks.
No, it didn't. Maybe your referring to another link, but I think I provided one discussing dividends in general. The math is the same regardless of market. Just to make sure, here it is.
https://www.pwlcapital.com/the-irreleva ... n-starter/
typical.investor wrote: Sat Oct 09, 2021 4:16 amI don't actually expect emerging markets to act like the US market. As such, I wouldn't really expect dividends to be much of an indication of quality in the the US in the same way it might in emerging markets especially in small companies which generally don't have the same analyst coverage that detects fraud.

In any case, DGS which many are using determines quality by more than just dividends.
Why would you expect the math to be different for emerging markets when evidence across all markets shows risk factor exposure is the best predictor of returns? Mathematically that doesn't make sense.
Huh? You can select stocks you think will give you factor exposure, but there is no guarantee that the reported metrics you used to try and obtain that exposure were accurate. Sure DGS could suffer the same fate. Dividends are concrete measures, but yeah sure it's possible the other quality screens they use to avoid companies with unstable dividends don't catch it either.

Still, I think we have to be concerned about the accounting unless AVEM is just running regressions and picking by loads.
Apathizer wrote: Sat Oct 09, 2021 2:41 pm DGS looks fine, but has a high ER of 0.63 while its about half for AVEM and AVES (0.33 and 0.36). DGS also has much higher turnover of about 60% compared to 8% for AVEM, so DGS is also much less tax efficient. I expect AVES will have somewhat higher turnover than AVEM, but not nearly as high as DGS.

In short, DGS seems to have all the disadvantages of actively managed funds: higher ER, less tax efficiency, higher risk of active management. Avantis funds are essentially factor-enhanced index funds with all benefits of index investing: low ER, low-turnover tax-efficiency, and a large well-diversified portfolio.
True about taxes, but Avantis has the actively managed characteristic of manager risk.
The fund is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index. The portfolio managers continually analyze market and financial data to make buy, sell, and hold decisions.
Their decision can be wrong, their thinking can change, and the managers can be replaced. Or the manager can have a good run and they get hired away.

As for the ER, I'd expect exposure in smaller companies to cost more especially in something like emerging markets.
Apathizer wrote: Sat Oct 09, 2021 2:41 pm There's certainly no guarantee DGS will better detect fraud than any other fund and its 10-yr performance is essentially the same as its benchmark index, so it's essentially another over-priced actively managed fund that probably won't beat less expensive index funds covering the same market. Avantis on the other hand probably will due to lower expense and factor slants.
Absolutely no guarantee, but comparing to DFA Emerging Markets Value [which has the same amount in small/mid cap value as AVES] and Vanguard Emerging Mkts shows:

Available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Sep 2021]

DGS 4.58%
VEMAX 2.28%
DFEVX 1.79%

I think maybe you chose the 10 year period to make the comparison to EEMS which is EM small caps. Sure they only performed about the same (DGS a little worse) but DFEVX which is value did much worse. Wasn't a great time for value.
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Re: New Avantis ETFs

Post by Apathizer »

typical.investor wrote: Sat Oct 09, 2021 4:37 pmDividends are concrete measures
No, they aren't. If anything dividends are a psychological marketing strategy designed to deceive and manipulate investors to think they're getting higher returns when they aren't. Companies know when some investors see a quarterly dividend they will think they're getting additional return on top of share price increase when in fact they aren't.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmTrue about taxes, but Avantis has the actively managed characteristic of manager risk.
It's a question of degree. While technically actively-managed, Avantis funds have a low degree of active management as evidenced by their low turnover, low ER, and broad portfolio. Essentially they start with an index then remove or underweight holdings based on factors.

This is fundamentally different than an active stock-picking approach like DGS, which is a significant uncompensated risk.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmAbsolutely no guarantee, but comparing to DFA Emerging Markets Value [which has the same amount in small/mid cap value as AVES] and Vanguard Emerging Mkts shows:

Available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Sep 2021]

DGS 4.58%
VEMAX 2.28%
DFEVX 1.79%

I think maybe you chose the 10 year period to make the comparison to EEMS which is EM small caps. Sure they only performed about the same (DGS a little worse) but DFEVX which is value did much worse. Wasn't a great time for value.
I directly compared all 3 funds below. 10-yr annual returns: DGS 6.48%, VEMAX 6.02%, DFEVX 5.06%.

That's not a major difference, esp considering DGS is a focused SCV fund while VEMAX and DFEVX are all-cap. VEMAX delivers better risk-adjusted returns, and AVEM should have similar volatility and higher returns.
https://www.marketwatch.com/tools/mutua ... re=Returns
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typical.investor
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Re: New Avantis ETFs

Post by typical.investor »

Apathizer wrote: Sat Oct 09, 2021 5:15 pm
typical.investor wrote: Sat Oct 09, 2021 4:37 pmDividends are concrete measures
No, they aren't. If anything dividends are a psychological marketing strategy designed to deceive and manipulate investors to think they're getting higher returns when they aren't. Companies know when some investors see a quarterly dividend they will think they're getting additional return on top of share price increase when in fact they aren't.
[/quote]

Whatever. To assert dividends payment was created as a psychological marketing strategy designed to deceive and manipulate investors is pretty radical. A more typical view is that the purpose of dividends is to return wealth back to the shareholders of a company. But yeah shout out to the radical fringe.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmTrue about taxes, but Avantis has the actively managed characteristic of manager risk.
It's a question of degree. While technically actively-managed, Avantis funds have a low degree of active management as evidenced by their low turnover, low ER, and broad portfolio. Essentially they start with an index then remove or underweight holdings based on factors.[/quote]

Perhaps. If that were the case, they could simply cite their methodology.
Apathizer wrote: Sat Oct 09, 2021 5:15 pm This is fundamentally different than an active stock-picking approach like DGS, which is a significant uncompensated risk.
. Care to cite a source? DGS methodology states they start with a dividend index and then modify based on quality and momentum measures - measure which they state.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmAbsolutely no guarantee, but comparing to DFA Emerging Markets Value [which has the same amount in small/mid cap value as AVES] and Vanguard Emerging Mkts shows:

Apathizer wrote: Sat Oct 09, 2021 5:15 pmI directly compared all 3 funds below. 10-yr annual returns: DGS 6.48%, VEMAX 6.02%, DFEVX 5.06%.

That's not a major difference, esp considering DGS is a focused SCV fund while VEMAX and DFEVX are all-cap. VEMAX delivers better risk-adjusted returns, and AVEM should have similar volatility and higher returns.
Nice cherry picking your time frame. Again...

Available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Sep 2021]

DGS 4.58%
VEMAX 2.28%
DFEVX 1.79%

Don't get me wrong, AVES looks like a decent fund but I don't expect it to provide the same exposure that DGS does, and I don't expect the exposure it does provide to be necessarily better or worse. It will simply depend if small value in emerging markets outperform or not, and if so, DGS will too.

I don't really want my value funds weighting on dividends either, but for small emerging markets will accept it as there doesn't seem to be a better alternative. AVES is fine if you aren't really trying to target small value.
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Re: New Avantis ETFs

Post by Apathizer »

typical.investor wrote: Sat Oct 09, 2021 6:00 pm To assert dividends payment was created as a psychological marketing strategy designed to deceive and manipulate investors is pretty radical.
No, it's marketing 101. Stock shares are a product, and one of their foremost goals is to increase sales. Company management isn't stupid, so are well familiar with human cognitive shortcomings. They know many investors will assume dividends are an additional source of return when they aren't.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmPerhaps. If that were the case, they could simply cite their methodology.
My source is morningstar. I compared fees and turnover of DGS and AVEM. Both are significantly higher for DGS, indicating a much higher degree of active management.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmCare to cite a source? DGS methodology states they start with a dividend index and then modify based on quality and momentum measures - measure which they state.
If that's the case, their ER (0.65) and turnover (60%) seems awfully high, and is inconsistent with a low-turnover index strategy.
typical.investor wrote: Sat Oct 09, 2021 4:37 pmNice cherry picking your time frame. Again...

Available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Sep 2021]

DGS 4.58%
VEMAX 2.28%
DFEVX 1.79%
Cherry picking? I could claim the same with this, and you didn't even site a source; I did.

Right now we don't really know what the established portfolio/strategy of AVES since it's so new. Time will tell how AVES and AVEM compare to DGS.
Last edited by Apathizer on Fri Oct 29, 2021 12:26 am, edited 1 time in total.
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Re: New Avantis ETFs

Post by typical.investor »

Apathizer wrote: Sat Oct 09, 2021 7:01 pm
typical.investor wrote: Sat Oct 09, 2021 4:37 pmPerhaps. If that were the case, they could simply cite their methodology.
My source is morningstar. I compared fees and turnover of DGS and AVEM. Both are significantly higher for DGS, indicating a much higher degree of active management.
Ok, well I dismiss your understanding of factor investing. DGS also screens for momentum which everyone knows has higher turnover.
Apathizer wrote: Sat Oct 09, 2021 7:01 pm
typical.investor wrote: Sat Oct 09, 2021 4:37 pmCare to cite a source? DGS methodology states they start with a dividend index and then modify based on quality and momentum measures - measure which they state.
If that's the case, their ER (0.65) and turnover (60%) seems awfully high, and is inconsistent with a low-turnover index strategy.
Whatever, value + momentum is a pretty common multi factor strategy. Honesty, I would expect a fund that selects based in part on good momentum to have higher turnover, but maybe I am just realistic.
Apathizer wrote: Sat Oct 09, 2021 7:01 pm
typical.investor wrote: Sat Oct 09, 2021 4:37 pmNice cherry picking your time frame. Again...

Available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Sep 2021]

DGS 4.58%
VEMAX 2.28%
DFEVX 1.79%
Cherry picking? I could claim the same with this, and you didn't even site a source; I did.
I used the longest available data for the fund. It's hardly cherry picking. The source is Portfolio Visualizer.
Last edited by typical.investor on Sat Oct 09, 2021 10:18 pm, edited 1 time in total.
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Re: New Avantis ETFs

Post by BetaTracker »

FYI: checked with a knowledgeable representative of Avantis and she said their ETFs accept both cash and in-kind transfers for redemption and creation transactions. Most are in-kind, she said.
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Re: New Avantis ETFs

Post by Whakamole »

Has anyone dipped their does into AVRE yet?
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Re: New Avantis ETFs

Post by SafeBonds »

Any word on why AVES seems to be excluding or severely underweighting India?
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Re: New Avantis ETFs

Post by HippoSir »

SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
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Re: New Avantis ETFs

Post by comeinvest »

I replaced some DVYE (iShares Emerging Markets Dividend ETF) with AVES. How about EMGF vs. AVES? I have some EMGF in my accounts. Do the readers of this thread generally agree that AVES is the better option? EMGF ER is ca. 0.1% higher which is quite negligible. EMGF has "momentum" as a factor, AVES I read somewhere above has only a negative momentum filter. AVES will probably have lower turnover. AVES has slightly "smaller" companies which might be a slightly better diversifier to my EM index portfolio. AVES doesn't seem to have the Chinese internet megacaps, which might be a good or bad thing, but I have those already in unrelated EM index investments. AVES might have more efficient implementation as it is not index based, although I'm not sure about that. Other differences that I missed? Opinions? Alternatively, do you think it would be worth the slightly higher expense to "diversify" between different EM factor implementations like AVES, EMGF, DGS, and maybe others, to avoid being all invested in the bottom feeder 10 years later?
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Re: New Avantis ETFs

Post by comeinvest »

HippoSir wrote: Tue Oct 12, 2021 12:35 pm
SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
... or it might be part of the strategy. I think India's stock market valuation is significantly higher than that of Korea.

Currently the major differences in country weightings vs. the category average, plus China for comparison, are:
AVES Category
China 29.22 30.62
Taiwan 20.90 12.98
South Korea 17.49 11.78
India 1.61 11.53
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Re: New Avantis ETFs

Post by Nathan Drake »

comeinvest wrote: Wed Oct 13, 2021 11:14 pm
HippoSir wrote: Tue Oct 12, 2021 12:35 pm
SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
... or it might be part of the strategy. I think India's stock market valuation is significantly higher than that of Korea.

Currently the major differences in country weightings vs. the category average, plus China for comparison, are:
AVES Category
China 29.22 30.62
Taiwan 20.90 12.98
South Korea 17.49 11.78
India 1.61 11.53
Doubtful it's part of the strategy. Expect to see the cash position to increase exposure to India
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: New Avantis ETFs

Post by YRT70 »

HippoSir wrote: Tue Oct 12, 2021 12:35 pm
SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
Morningstar is now reporting 0.4% cash. India is still at 1.6%.

https://www.morningstar.com/etfs/arcx/aves/portfolio
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Re: New Avantis ETFs

Post by YRT70 »

comeinvest wrote: Wed Oct 13, 2021 10:56 pm I replaced some DVYE (iShares Emerging Markets Dividend ETF) with AVES. How about EMGF vs. AVES? I have some EMGF in my accounts. Do the readers of this thread generally agree that AVES is the better option? EMGF ER is ca. 0.1% higher which is quite negligible. EMGF has "momentum" as a factor, AVES I read somewhere above has only a negative momentum filter. AVES will probably have lower turnover. AVES has slightly "smaller" companies which might be a slightly better diversifier to my EM index portfolio. AVES doesn't seem to have the Chinese internet megacaps, which might be a good or bad thing, but I have those already in unrelated EM index investments. AVES might have more efficient implementation as it is not index based, although I'm not sure about that. Other differences that I missed? Opinions? Alternatively, do you think it would be worth the slightly higher expense to "diversify" between different EM factor implementations like AVES, EMGF, DGS, and maybe others, to avoid being all invested in the bottom feeder 10 years later?
The way I see it EMGF is the better option if you're more of a momentum believer (UEVM is an alternative), AVES is the better option if you're more of a value/profitability believer.

I think in EM there are many good funds and there isn't any clear winner. I like AVES myself but I wanted it to have more small caps. I haven't decided yet on what I'll do. Currently holding FNDE, AVEM and DGS, next to VXUS.
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Re: New Avantis ETFs

Post by Winthorpe »

Whakamole wrote: Tue Oct 12, 2021 11:46 am Has anyone dipped their does into AVRE yet?
Yes.

In my Fidelity 401(k) brokerage link, I just finished making a transition from a combo of VNQ/VNQI ----> AVRE (4375 shares/$225k). I did this incrementally since AVRE opened by doing trades on a daily basis ($10k to $30k), to avoid very large trades, especially early on. I'm not sure that was necessary, but that's what I did.

I also did a transition from FNDE ----> AVES (4438 shares, $225k) in exactly the same manner.

All purchases were done with limit orders set at the ask price. Usually the spreads were $0.01 to $0.10. I think they have tightened a bit recently. All trades executed immediately.

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Re: New Avantis ETFs

Post by Winthorpe »

YRT70 wrote: Thu Oct 14, 2021 2:19 am
HippoSir wrote: Tue Oct 12, 2021 12:35 pm
SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
Morningstar is now reporting 0.4% cash. India is still at 1.6%.

https://www.morningstar.com/etfs/arcx/aves/portfolio
I agree with HippoSir.

If I remember right, I think the holdings listed an India-only ETF when the fund first opened, but I don't currently see that. (Sorry, the previous sentence was confused with the NTSE ETF.) I feel certain that the country allocations will eventually look similar to the benchmark. I really don't think low allocation to India is any sort of active management strategy. I don't think this based on any reliable authority or inside information. It's just my feeling about things based on the way the other Avantis ETFs are allocated.

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Re: New Avantis ETFs

Post by YRT70 »

Winthorpe wrote: Fri Oct 15, 2021 2:27 pm
YRT70 wrote: Thu Oct 14, 2021 2:19 am
HippoSir wrote: Tue Oct 12, 2021 12:35 pm
SafeBonds wrote: Tue Oct 12, 2021 11:53 am Any word on why AVES seems to be excluding or severely underweighting India?
As mentioned before, cash amounts to 14.30% of the fund. The holdings are still in the process of being worked out, I would not pay attention to them for at least a month.
Morningstar is now reporting 0.4% cash. India is still at 1.6%.

https://www.morningstar.com/etfs/arcx/aves/portfolio
I agree with HippoSir.

If I remember right, I think the holdings listed an India-only ETF when the fund first opened, but I don't currently see that. (Sorry, the previous sentence was confused with the NTSE ETF.) I feel certain that the country allocations will eventually look similar to the benchmark. I really don't think low allocation to India is any sort of active management strategy. I don't think this based on any reliable authority or inside information. It's just my feeling about things based on the way the other Avantis ETFs are allocated.

Winthorpe
It's certainly possible that India's weight will increase. I don't know if that will happen. But the cash holding went down to 0.05 on Morningstar. India is still at same weight.

AVDV is underweight and overweight to many countries, often ~3x.

I'm not saying this is an active choice, I think it's just because those countries have more or less companies that fit the criteria that Avantis is selecting for (p/b p/cf etc.)

Edit: looks like India is very expensive indeed. iShares INDA has 3x the P/B and P/CF of iShares IEMG. It's even more expensive than VTI on all metrics. I expect India will remain underweight in AVES. If you want an Avantis ETF that stays closer to regular country weights AVEM is probably the way to go.
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Re: New Avantis ETFs

Post by FiveFactor »

YRT70 wrote: Sat Oct 16, 2021 12:40 am
It's certainly possible that India's weight will increase. I don't know if that will happen. But the cash holding went down to 0.05 on Morningstar. India is still at same weight.

AVDV is underweight and overweight to many countries, often ~3x.

I'm not saying this is an active choice, I think it's just because those countries have more or less companies that fit the criteria that Avantis is selecting for (p/b p/cf etc.)

Edit: looks like India is very expensive indeed. iShares INDA has 3x the P/B and P/CF of iShares IEMG. It's even more expensive than VTI on all metrics. I expect India will remain underweight in AVES. If you want an Avantis ETF that stays closer to regular country weights AVEM is probably the way to go.

It’s a feature, not a bug.
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Re: New Avantis ETFs

Post by YRT70 »

FiveFactor wrote: Sat Oct 16, 2021 4:35 am
YRT70 wrote: Sat Oct 16, 2021 12:40 am
It's certainly possible that India's weight will increase. I don't know if that will happen. But the cash holding went down to 0.05 on Morningstar. India is still at same weight.

AVDV is underweight and overweight to many countries, often ~3x.

I'm not saying this is an active choice, I think it's just because those countries have more or less companies that fit the criteria that Avantis is selecting for (p/b p/cf etc.)

Edit: looks like India is very expensive indeed. iShares INDA has 3x the P/B and P/CF of iShares IEMG. It's even more expensive than VTI on all metrics. I expect India will remain underweight in AVES. If you want an Avantis ETF that stays closer to regular country weights AVEM is probably the way to go.

It’s a feature, not a bug.
Yeah I'm not saying it's a bug. Other people were saying India is underweight because there was still a large cash holding. This isn't the case anymore. I reckon India is underweight because there's too little good value.
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Re: New Avantis ETFs

Post by YRT70 »

Apparently the India position is still building. Source: HML_Compounder got an email from Avantis.
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Re: New Avantis ETFs

Post by Winthorpe »

YRT70 wrote: Sun Oct 17, 2021 1:05 am Apparently the India position is still building. Source: HML_Compounder got an email from Avantis.
Thanks for this update. I suppose it will be a 2 or 3 months before the holdings settle.
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Re: New Avantis ETFs

Post by comeinvest »

Winthorpe wrote: Fri Oct 15, 2021 2:19 pm
Whakamole wrote: Tue Oct 12, 2021 11:46 am Has anyone dipped their does into AVRE yet?
Yes.

In my Fidelity 401(k) brokerage link, I just finished making a transition from a combo of VNQ/VNQI ----> AVRE (4375 shares/$225k). I did this incrementally since AVRE opened by doing trades on a daily basis ($10k to $30k), to avoid very large trades, especially early on. I'm not sure that was necessary, but that's what I did.

I also did a transition from FNDE ----> AVES (4438 shares, $225k) in exactly the same manner.

All purchases were done with limit orders set at the ask price. Usually the spreads were $0.01 to $0.10. I think they have tightened a bit recently. All trades executed immediately.

Winthorpe
I know the spread is not important for buy-and-hold investors in the long run, but I'm thrifty by nature, therefore I usually set buy limit orders at the bid or slightly above the existing bid, not the ask. Not having much luck with AVES. It kind of makes sense assuming that there are probably not many "natural sellers" at this point in time when the fund just started, who would sell consuming liquidity, but mostly market makers providing liquidity. Strategically it might be better to buy into this ETF at a later time, to reduce transaction cost.
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Re: New Avantis ETFs

Post by thenextguy »

Has anyone ever noticed that sometimes Avantis ETFs have delayed ticker pricing during the day? For example, this morning AVES took a while to show up in my portfolio with the active price after the market opened.

Is it because some of these ETFs are so small?

I've never noticed this with something like VTI, BND or VGLT (some of my other ETFs).
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Re: New Avantis ETFs

Post by roth evangelist »

thenextguy wrote: Wed Oct 20, 2021 8:52 am Has anyone ever noticed that sometimes Avantis ETFs have delayed ticker pricing during the day? For example, this morning AVES took a while to show up in my portfolio with the active price after the market opened.

Is it because some of these ETFs are so small?

I've never noticed this with something like VTI, BND or VGLT (some of my other ETFs).
I've noticed that too. Curiously, this problem is even worse for Vanguard's value factor fund VFVA.
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Re: New Avantis ETFs

Post by YRT70 »

comeinvest wrote: Mon Oct 18, 2021 3:08 pm
Winthorpe wrote: Fri Oct 15, 2021 2:19 pm
Whakamole wrote: Tue Oct 12, 2021 11:46 am Has anyone dipped their does into AVRE yet?
Yes.

In my Fidelity 401(k) brokerage link, I just finished making a transition from a combo of VNQ/VNQI ----> AVRE (4375 shares/$225k). I did this incrementally since AVRE opened by doing trades on a daily basis ($10k to $30k), to avoid very large trades, especially early on. I'm not sure that was necessary, but that's what I did.

I also did a transition from FNDE ----> AVES (4438 shares, $225k) in exactly the same manner.

All purchases were done with limit orders set at the ask price. Usually the spreads were $0.01 to $0.10. I think they have tightened a bit recently. All trades executed immediately.

Winthorpe
I know the spread is not important for buy-and-hold investors in the long run, but I'm thrifty by nature, therefore I usually set buy limit orders at the bid or slightly above the existing bid, not the ask. Not having much luck with AVES. It kind of makes sense assuming that there are probably not many "natural sellers" at this point in time when the fund just started, who would sell consuming liquidity, but mostly market makers providing liquidity. Strategically it might be better to buy into this ETF at a later time, to reduce transaction cost.
My experience with AVUV is pretty much the same, even though it has existed for a quite a while.
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Re: New Avantis ETFs

Post by thenextguy »

roth evangelist wrote: Wed Oct 20, 2021 9:13 am
thenextguy wrote: Wed Oct 20, 2021 8:52 am Has anyone ever noticed that sometimes Avantis ETFs have delayed ticker pricing during the day? For example, this morning AVES took a while to show up in my portfolio with the active price after the market opened.

Is it because some of these ETFs are so small?

I've never noticed this with something like VTI, BND or VGLT (some of my other ETFs).
I've noticed that too. Curiously, this problem is even worse for Vanguard's value factor fund VFVA.
That’s another small fund in terms of assets, so I’m guessing it has something to do with that. I just don’t know why it would be the case, since these are exchange traded.
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Re: New Avantis ETFs

Post by YRT70 »

comeinvest wrote: Mon Oct 18, 2021 3:08 pm I know the spread is not important for buy-and-hold investors in the long run, but I'm thrifty by nature, therefore I usually set buy limit orders at the bid or slightly above the existing bid, not the ask. Not having much luck with AVES.
Follow up on this. Just now bid and ask was 50.90 - 50.91. Much smaller spread than usual. I was able to buy at 50.905 (using IBKR mid-price).
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Re: New Avantis ETFs

Post by SafeBonds »

YRT70 wrote: Sun Oct 17, 2021 1:05 am Apparently the India position is still building. Source: HML_Compounder got an email from Avantis.
Thanks for this update. I'm glad I decided to wait. India is a pretty important emerging market! DFEVX's number one top holding is Reliance Industries, from India, at 2.5% of the whole portfolio!
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Re: New Avantis ETFs

Post by HippoSir »

SafeBonds wrote: Thu Oct 21, 2021 11:55 am
YRT70 wrote: Sun Oct 17, 2021 1:05 am Apparently the India position is still building. Source: HML_Compounder got an email from Avantis.
Thanks for this update. I'm glad I decided to wait. India is a pretty important emerging market! DFEVX's number one top holding is Reliance Industries, from India, at 2.5% of the whole portfolio!
Interestingly, on: https://www.avantisinvestors.com/conten ... e-etf.html

The holdings now show 29.38% in a money market fund, so the holdings are very much in the process of being worked out.
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Re: New Avantis ETFs

Post by YRT70 »

HippoSir wrote: Thu Oct 21, 2021 12:53 pm
SafeBonds wrote: Thu Oct 21, 2021 11:55 am
YRT70 wrote: Sun Oct 17, 2021 1:05 am Apparently the India position is still building. Source: HML_Compounder got an email from Avantis.
Thanks for this update. I'm glad I decided to wait. India is a pretty important emerging market! DFEVX's number one top holding is Reliance Industries, from India, at 2.5% of the whole portfolio!
Interestingly, on: https://www.avantisinvestors.com/conten ... e-etf.html

The holdings now show 29.38% in a money market fund, so the holdings are very much in the process of being worked out.
It has been changed today. Only 2.65% in money market fund.
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Re: New Avantis ETFs

Post by nedsaid »

Apathizer wrote: Sat Oct 09, 2021 2:47 pm
FiveFactor wrote: Sat Oct 09, 2021 5:11 am Dividend strategies are value strategies.

If you broaden the definition of dividend as any cash returned to shareholders, then dividends are the only reason to invest in the first place. At some point along the duration of a business cash is returned or there is no reason to choose an equity over a bond
No, they aren't. Please read this article and/or watch the vid. Paying a dividend reduces share price proportionately, so it's at best a wash. There's a better, more efficient way for investors get cash from equity investments: sell shares. If you sell shares for more than you bought them, you're getting net cash back, and you control when and how much you sell whereas you have no control over dividends paid.
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Re: New Avantis ETFs

Post by Apathizer »

nedsaid wrote: Fri Oct 22, 2021 9:43 amHigh Dividend is a Value strategy, Dividend Growth is a Quality strategy.
Before we discuss, I'd like you do elaborate. If you're referring to literal usually quarterly dividends, how exactly is that a value strategy? While it's true many large value equities pay quarterly dividends, a value strategy doesn't necessitate dividends.

I want to be clear since I had a semantic disagreement with someone over the term dividend. I was thinking of them literally as quarterly payout while they were referring more generally to them any profits shareholders receive, which is entire point of investing.

As Felix says, there's no reason to specifically target equities that pay literal dividends since they're entirely unrelated to value and other factors, and overall return.
Last edited by Apathizer on Sat Oct 23, 2021 2:20 am, edited 1 time in total.
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Re: New Avantis ETFs

Post by nedsaid »

Apathizer wrote: Fri Oct 22, 2021 9:20 pm
nedsaid wrote: Fri Oct 22, 2021 9:43 amHigh Dividend is a Value strategy, Dividend Growth is a Quality strategy.
Before we discuss, I'd like you do elaborate. If you're referring to literal usually quarterly dividends, how exactly is that a value strategy. While it's true many large value equities pay quarterly dividends, a value strategy doesn't necessitate dividends.

I want to be clear since I had a semantic disagreement with someone over the term dividend. I was thinking of them literally as quarterly payout while they were referring more generally to them any profits shareholders receive, which is entire point of investing.

As Felix says, there's no reason to specifically target equities that pay literal dividends since they're entirely unrelated to value and other factors, and overall return.
Check out Vanguard High Dividend Yield Index (VHYAX) and under the Portfolio tab check the Factor Profile thermometer graphs. It scores very high on Value, very high on Yield, and low on Quality. If you look at the Equity Stylebox, the fund is very solidly in the Large Value box.
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Re: New Avantis ETFs

Post by Apathizer »

nedsaid wrote: Fri Oct 22, 2021 9:34 pmCheck out Vanguard High Dividend Yield Index (VHYAX) and under the Portfolio tab check the Factor Profile thermometer graphs. It scores very high on Value, very high on Yield, and low on Quality. If you look at the Equity Stylebox, the fund is very solidly in the Large Value box.
It essentially seems to be large cap value, though I'm guessing with more dividend emphasis? So it's essentially very similar to something like VTV, but with more dividend emphasis?

If you compare the style box and measures, VHYAX and VTV look pretty similar. VTV has performed a little better and doesn't target dividends stocks specifically, so it seems like a better option. Again, literal dividends don't matter.
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Re: New Avantis ETFs

Post by nedsaid »

Apathizer wrote: Sat Oct 23, 2021 2:30 am
nedsaid wrote: Fri Oct 22, 2021 9:34 pmCheck out Vanguard High Dividend Yield Index (VHYAX) and under the Portfolio tab check the Factor Profile thermometer graphs. It scores very high on Value, very high on Yield, and low on Quality. If you look at the Equity Stylebox, the fund is very solidly in the Large Value box.
It essentially seems to be large cap value, though I'm guessing with more dividend emphasis? So it's essentially very similar to something like VTV, but with more dividend emphasis?

If you compare the style box and measures, VHYAX and VTV look pretty similar. VTV has performed a little better and doesn't target dividends stocks specifically, so it seems like a better option. Again, literal dividends don't matter.
Larry Swedroe said that High Dividend is a bad Value strategy. It is a variation of the old Dogs of the Dow strategy where you bought the 10 Dow Stocks with the highest dividends. In the case of the Dogs, yields were high because stock price was depressed, so it was a way of buying cheaper stocks. Vanguard has a conservative definition of High Dividend, so it doesn't get carried away with buying such things as Oil Pipeline Master Limited Partnerships or REITs with high yields. You can always find something out there with a 5% or 6% yield but there can be lots of risk associated with those higher yields. So Vanguard High Dividend Index gets you a higher yield than the market but the companies in there are solid companies.

There is a minority opinion in Academia that dividends do matter. Jeremy Seigel, of Stocks for the Long Run fame, does believe in dividends. Notice that Morningstar lists Yield as a factor and so does MSCI in a white paper on factors. So probably 90% to 95% of Academia believe that dividends don't matter but there are notable exceptions. Jeremy Seigel wrote a whole book on this topic. He was a believer that reinvesting dividends during a bear market helped boost returns over the long term. First the dividends helped cushion bear markets and the reinvestment bought shares while they were relatively cheap.

I do believe that dividends matter. Earnings can be manipulated but dividends are harder to fake. They are a vote of confidence by the Board of Directors in the continued viability of the company. There is a dividend discount model out there for pricing stocks. I don't believe that dividends are "free money", both the amount of cash on the balance sheet and dividends paid are factored into the stock price, indeed all other things being equal you will see a stock price fall on the ex-dividend date by the amount of the dividend. A stock could rise on ex-dividend date but the rise in price is affected by the amount of the dividend.

There gets to be a point where a business cannot effectively reinvest all of its profits back into the business, better to return excess cash to shareholders than waste in on foolish acquisitions. If there were two more mature companies exactly the same except for dividend policy, I would choose the company that paid a dividend over the company that did not. Lifecycle of the company matters too, you don't want a company in a fast growth phase to pay dividends as they need all the capital they can get their hands on to finance expansion.

Despite what Warren Buffett says, I think that Berkshire-Hathaway is getting to the point where it is harder and harder to buy companies that will create a true synergy with the acquisition. It is a rather idiosyncratic company tailored to Buffett and Munger, when they pass from the scene I think management will make changes. They are in need of paying a dividend, they really don't need any more acquisitions. Eventually conglomerates running unrelated businesses get broken up, the same will happen there.
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Re: New Avantis ETFs

Post by nedsaid »

What I would say if you are a factor investor, just buy the appropriate factor products. Lots of folks here like Avantis. They are combining factors and tweaking metrics, I assume they are updating the models they used at DFA. There is thought out there that DFA rested on its laurels and that Avantis might be a better choice for factor products for that reason.

To me, dividends are a secondary consideration. Buy whatever funds you would like for the factor exposure, let the dividends take care of themselves. I would say that as I get older, I am more interested in the income generated by my investments but recognize that I will have to harvest capital gains to meet my withdrawal requirements to live on. I may replace the individual stocks that I own with a combination of Vanguard High Dividend Index/Vanguard Value Index at some point. A big reason is that both funds hold the type of stocks that I like to buy.
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Re: New Avantis ETFs

Post by Apathizer »

nedsaid wrote: Sat Oct 23, 2021 11:44 amI do believe that dividends matter. Earnings can be manipulated but dividends are harder to fake.
But companies have used dividends to distract from poor earnings. The math is really simple as Felix explains. When a company issues a dividend the share price is reduced by the same amount, so as a shareholder there's no benefit. If anything dividends are tax-disadvantageous since they're essentially forced selling of shares.
nedsaid wrote: Sat Oct 23, 2021 12:16 pmWhat I would say if you are a factor investor, just buy the appropriate factor products.
Exactly my point. I'm not arguing against dividends but rather they're irrelevant to overall returns, so there's no reason to target dividend stocks.
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Re: New Avantis ETFs

Post by nedsaid »

Apathizer wrote: Sat Oct 23, 2021 1:15 pm
nedsaid wrote: Sat Oct 23, 2021 11:44 amI do believe that dividends matter. Earnings can be manipulated but dividends are harder to fake.
But companies have used dividends to distract from poor earnings. The math is really simple as Felix explains. When a company issues a dividend the share price is reduced by the same amount, so as a shareholder there's no benefit. If anything dividends are tax-disadvantageous since they're essentially forced selling of shares.
nedsaid wrote: Sat Oct 23, 2021 12:16 pmWhat I would say if you are a factor investor, just buy the appropriate factor products.
Exactly my point. I'm not arguing against dividends but rather they're irrelevant to overall returns, so there's no reason to target dividend stocks.
Listen to a variety of experts. I like Ben Felix a lot and have recommended his videos here on this forum but he is not the end all of all things investing. I have read Bogle, Ferri, Swedroe, Merriman, and others but I don't ascribe to any of them infallibility. Not a believer in guruism. I have even disagreed with Larry Swedroe on this forum and don't invest like him. I still don't buy that dividends don't matter, I agree with Jeremy Seigel here. I don't go overboard on dividends either, for me it is a preference.
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Re: New Avantis ETFs

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