Small Cap Value heads Rejoice !!!
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Re: Small Cap Value heads Rejoice !!!
There's often emphasis on sharpe ratios so you get the most return per unit of risk, but the risk values are typically computed on short term volatility numbers always less than one year. These sharpe ratios really aren't relevant to long term investors. Further, the expected returns are obviously lower than the high risk allocation, and this is typically justified by saying you can lever the portfolio. In practice very few actually do that, and leverage introduces new risks, and further still mayn people cant get the low rates that are typically used in that analysis. So for me, I don't use leverage and simply hold the highest expected return asset, which is small cap value. Since the perpetual withdrawal rate is actually the highest with small cap value it is actually the risk return/risk asset that exists despite what 1-year sharpe ratio allocation studies would suggest, because in reality we care about safe withdrawal rates or perpetual withdrawal rates and not the year by year return per unit of risk.
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Re: Small Cap Value heads Rejoice !!!
yep and sameMorse Code wrote: ↑Wed Jun 16, 2021 7:43 am I have tried a few times to reduce the risk of the equities in my portfolio, only to find myself not sleeping well at night.
Successful investing is more about temperament than knowledge and I was born with the temperament to hold risky equity assets at the lowest possible cost and it has served me well.
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Re: Small Cap Value heads Rejoice !!!
I agree with you on a lot of this. Often people suggest levering up the best sharp ratio portfolio. No one talks about the unquantifiable risk of margin (which doesnt fit into Sharpe). Just because the risk is not included in the sharpe ratio, doesnt mean the risk doesn't exist. You are essentially just removing a variable of risk from the equation, which makes it look much less risky than it actually is.SadCryingValiant wrote: ↑Wed Jun 16, 2021 12:14 pm There's often emphasis on sharpe ratios so you get the most return per unit of risk, but the risk values are typically computed on short term volatility numbers always less than one year. These sharpe ratios really aren't relevant to long term investors. Further, the expected returns are obviously lower than the high risk allocation, and this is typically justified by saying you can lever the portfolio. In practice very few actually do that, and leverage introduces new risks, and further still many people cant get the low rates that are typically used in that analysis. So for me, I don't use leverage and simply hold the highest expected return asset, which is small cap value. Since the perpetual withdrawal rate is actually the highest with small cap value it is actually the best return/risk asset that exists despite what 1-year sharpe ratio allocation studies would suggest, because in reality we care about safe withdrawal rates or perpetual withdrawal rates and not the year by year return per unit of risk.
The one area above which you should check your certainty is the PWR and SWR numbers. Typically these only look good when using the academic premium and the historical performance. Those WR are not as good when using actual funds (this doesnt even touch the topic of which metric(s) is used to determine small and value, which seems to be changing and improving).
Although my SCV allocation is higher than most, one area I have persistent uncertainty is whether the academic premium will translate into a practical premium. I have seen a lot of arguments both for and against, which usually means that the answer is not obvious. Ultimately we are living in just one timeline and applying statistics to something which could just be noise. The telltale charts suggest that SCV premiums are the result of short periods of significant out-performance. Depending on when that happens in your retirement, you might have to wait a while before that excellent SWR/PWR becomes a reality.
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Re: Small Cap Value heads Rejoice !!!
Ooof....what's going on out there today?
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Re: Small Cap Value heads Rejoice !!!
The rocket is refueling.
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Re: Small Cap Value heads Rejoice !!!
Even if such a premium doesn’t exist in the future, or is hard to capture, there are significant diversification benefitsRovenSkyfall wrote: ↑Thu Jun 17, 2021 10:23 amI agree with you on a lot of this. Often people suggest levering up the best sharp ratio portfolio. No one talks about the unquantifiable risk of margin (which doesnt fit into Sharpe). Just because the risk is not included in the sharpe ratio, doesnt mean the risk doesn't exist. You are essentially just removing a variable of risk from the equation, which makes it look much less risky than it actually is.SadCryingValiant wrote: ↑Wed Jun 16, 2021 12:14 pm There's often emphasis on sharpe ratios so you get the most return per unit of risk, but the risk values are typically computed on short term volatility numbers always less than one year. These sharpe ratios really aren't relevant to long term investors. Further, the expected returns are obviously lower than the high risk allocation, and this is typically justified by saying you can lever the portfolio. In practice very few actually do that, and leverage introduces new risks, and further still many people cant get the low rates that are typically used in that analysis. So for me, I don't use leverage and simply hold the highest expected return asset, which is small cap value. Since the perpetual withdrawal rate is actually the highest with small cap value it is actually the best return/risk asset that exists despite what 1-year sharpe ratio allocation studies would suggest, because in reality we care about safe withdrawal rates or perpetual withdrawal rates and not the year by year return per unit of risk.
The one area above which you should check your certainty is the PWR and SWR numbers. Typically these only look good when using the academic premium and the historical performance. Those WR are not as good when using actual funds (this doesnt even touch the topic of which metric(s) is used to determine small and value, which seems to be changing and improving).
Although my SCV allocation is higher than most, one area I have persistent uncertainty is whether the academic premium will translate into a practical premium. I have seen a lot of arguments both for and against, which usually means that the answer is not obvious. Ultimately we are living in just one timeline and applying statistics to something which could just be noise. The telltale charts suggest that SCV premiums are the result of short periods of significant out-performance. Depending on when that happens in your retirement, you might have to wait a while before that excellent SWR/PWR becomes a reality.
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: Small Cap Value heads Rejoice !!!
I'm confused as well. It seems that growth stocks should be suffering more than value due to the recent inflation/rates news. But the Nasdaq is up while SCV is down starkly.
Re: Small Cap Value heads Rejoice !!!
Long term rates are going down. EDV (Vanguard Extended Duration Treasury) is up over 3% today. That is good for growth stocks, the bulk of whose earnings are far far in the future. With long term rates going down, $1 in 30 years is worth more than it was yesterday. Therefore growth companies who are expected to make a ton of money 30 years from now are worth more, and investors rotate from value to growth.
But honestly even when explanations seem very plausible I don't actually think anyone can really explain one day market movements in a few sentences.
But honestly even when explanations seem very plausible I don't actually think anyone can really explain one day market movements in a few sentences.
Last edited by SafeBonds on Thu Jun 17, 2021 10:58 am, edited 1 time in total.
Re: Small Cap Value heads Rejoice !!!
Sold some EDV at +3% to purchase some IJS at -2.7%.
What's up with EDV today?
What's up with EDV today?
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Re: Small Cap Value heads Rejoice !!!
I agree, although SadCryingValiant (just realized thats SCV initials) said they were all in on SCV meaning it is not adding to diversification for them.Nathan Drake wrote: ↑Thu Jun 17, 2021 10:43 amEven if such a premium doesn’t exist in the future, or is hard to capture, there are significant diversification benefitsRovenSkyfall wrote: ↑Thu Jun 17, 2021 10:23 amI agree with you on a lot of this. Often people suggest levering up the best sharp ratio portfolio. No one talks about the unquantifiable risk of margin (which doesnt fit into Sharpe). Just because the risk is not included in the sharpe ratio, doesnt mean the risk doesn't exist. You are essentially just removing a variable of risk from the equation, which makes it look much less risky than it actually is.SadCryingValiant wrote: ↑Wed Jun 16, 2021 12:14 pm There's often emphasis on sharpe ratios so you get the most return per unit of risk, but the risk values are typically computed on short term volatility numbers always less than one year. These sharpe ratios really aren't relevant to long term investors. Further, the expected returns are obviously lower than the high risk allocation, and this is typically justified by saying you can lever the portfolio. In practice very few actually do that, and leverage introduces new risks, and further still many people cant get the low rates that are typically used in that analysis. So for me, I don't use leverage and simply hold the highest expected return asset, which is small cap value. Since the perpetual withdrawal rate is actually the highest with small cap value it is actually the best return/risk asset that exists despite what 1-year sharpe ratio allocation studies would suggest, because in reality we care about safe withdrawal rates or perpetual withdrawal rates and not the year by year return per unit of risk.
The one area above which you should check your certainty is the PWR and SWR numbers. Typically these only look good when using the academic premium and the historical performance. Those WR are not as good when using actual funds (this doesnt even touch the topic of which metric(s) is used to determine small and value, which seems to be changing and improving).
Although my SCV allocation is higher than most, one area I have persistent uncertainty is whether the academic premium will translate into a practical premium. I have seen a lot of arguments both for and against, which usually means that the answer is not obvious. Ultimately we are living in just one timeline and applying statistics to something which could just be noise. The telltale charts suggest that SCV premiums are the result of short periods of significant out-performance. Depending on when that happens in your retirement, you might have to wait a while before that excellent SWR/PWR becomes a reality.
Regarding the diversification benefit, that all depends on what the investor values most, their CRRA function and what the alternative of their SCV would be.
I saved my money, but it can't save me | The Chariot
Re: Small Cap Value heads Rejoice !!!
What are your rebalancing bands? Do you just 'wing it' on "RBDs"? Or was that move part of a systematic process? Lately I'm liking Swedroe's suggestion of 5/25 bands (rebalance after 5% absolute or 25% relative drift from target)
Re: Small Cap Value heads Rejoice !!!
Anyone want to try to make sense of today's (thursday) wild moves?
small value: down 3.5%
gold: down 4%
10 year yield: down 4%
small value: down 3.5%
gold: down 4%
10 year yield: down 4%
Re: Small Cap Value heads Rejoice !!!
I do 5/25 but on days like today with a +/- 3% movement, I take my chances with opportunistically rebalancing. I’ll buy the EDV back via new contributions
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Re: Small Cap Value heads Rejoice !!!
If I did diversify I would be adding large tech. You typically see names like AMZN dominating on days SCV is doing badly. Today is a good example of that. If you optimize on portfoliovisualizer IJS with some of the big names you get some min drawdown / variance portfolios that are 2/3 IJS and 1/3 large tech. This is basically a barbell strategy, where I'm getting exposure to the largest growth companies. Seems like a step in the direction of just getting a total market index fund.
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Re: Small Cap Value heads Rejoice !!!
That was Tuesday.fennewaldaj wrote: ↑Thu Jun 17, 2021 11:59 amthis perhaps?
https://www.morningstar.com/news/dow-jo ... ead-update
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Re: Small Cap Value heads Rejoice !!!
What they would say over at the RR community is to use momentum as the other barbel to SCV.SadCryingValiant wrote: ↑Thu Jun 17, 2021 12:20 pm If I did diversify I would be adding large tech. You typically see names like AMZN dominating on days SCV is doing badly. Today is a good example of that. If you optimize on portfoliovisualizer IJS with some of the big names you get some min drawdown / variance portfolios that are 2/3 IJS and 1/3 large tech. This is basically a barbell strategy, where I'm getting exposure to the largest growth companies. Seems like a step in the direction of just getting a total market index fund.
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Re: Small Cap Value heads Rejoice !!!
No, it's today, Thursday 6/17/2021. 10-year is now down almost 5%.thenextguy wrote: ↑Thu Jun 17, 2021 12:38 pmThat was Tuesday.fennewaldaj wrote: ↑Thu Jun 17, 2021 11:59 amthis perhaps?
https://www.morningstar.com/news/dow-jo ... ead-update
Re: Small Cap Value heads Rejoice !!!
Momentum used to be overwhlemingly tech, but could now be more value financials. Depending on your exact holding.RovenSkyfall wrote: ↑Thu Jun 17, 2021 12:46 pmWhat they would say over at the RR community is to use momentum as the other barbel to SCV.SadCryingValiant wrote: ↑Thu Jun 17, 2021 12:20 pm If I did diversify I would be adding large tech. You typically see names like AMZN dominating on days SCV is doing badly. Today is a good example of that. If you optimize on portfoliovisualizer IJS with some of the big names you get some min drawdown / variance portfolios that are 2/3 IJS and 1/3 large tech. This is basically a barbell strategy, where I'm getting exposure to the largest growth companies. Seems like a step in the direction of just getting a total market index fund.
I actually do somewhat of a barbell strategy. I hold SCV, Mega-Cap Growth fund, AND Momentum......However, I admit my Mega-Cap Growth and momentum holdings are quite small....In the past, I'd see SCV on one end of it always (comparing to other holdings like Total Stock, Total International, Total Bond), where MGG and Momentum were on the other side. Basically, my "best" and "worst" holding were almost always one of those three. Recently after Momentum changed its holdings, I see momentum in the middle somewhere now.
Re: Small Cap Value heads Rejoice !!!
Is today a RBD for SCV?
I bought some AVUV.
I bought some AVUV.
Re: Small Cap Value heads Rejoice !!!
I've made $40 so far today. Early retirement! rejoice!muffins14 wrote: ↑Thu Jun 17, 2021 11:58 amI do 5/25 but on days like today with a +/- 3% movement, I take my chances with opportunistically rebalancing. I’ll buy the EDV back via new contributions
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Re: Small Cap Value heads Rejoice !!!
Acronym decoder: Abbreviations and Acronyms
RBD - Really Bad Day. A Bogleheads' idiomatic term coined by forum member livesoft. An early mention is in this thread: Today was a Really Bad Day.
Re: Small Cap Value heads Rejoice !!!
Taking FNDE into account, what's your current ideal allocation? Does FNDE play a significant role, or are you sticking with what you shared earlier?MotoTrojan wrote: ↑Sun May 30, 2021 8:53 am I am still sold that this is the best ETF option out there for EM value exposure at the moment, until Avantis or DFA come out with something .
For reference:
MotoTrojan wrote: ↑Thu May 06, 2021 9:43 pm I am liking the following myself:
20% QVAL
20% AVUV
20% VFMO
20% IVAL
20% IMTM
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Re: Small Cap Value heads Rejoice !!!
Retail Sales were released on Tuesday.countmein wrote: ↑Thu Jun 17, 2021 1:18 pmNo, it's today, Thursday 6/17/2021. 10-year is now down almost 5%.thenextguy wrote: ↑Thu Jun 17, 2021 12:38 pmThat was Tuesday.fennewaldaj wrote: ↑Thu Jun 17, 2021 11:59 amthis perhaps?
https://www.morningstar.com/news/dow-jo ... ead-update
The link provided is even dated as such:
Provided by Dow Jones
Jun 14, 2021 11:15 AM PDT
Re: Small Cap Value heads Rejoice !!!
Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
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Re: Small Cap Value heads Rejoice !!!
So far I only have US SCVHippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
I invest in EM and exUS (but don’t tilt). I’m wondering if it’s worth the effort
My current portfolio looks similar to this:
20% US TSM
20% US SCV
30% EM
30% exUS
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: Small Cap Value heads Rejoice !!!
My plan recently (for my US allocation) has been to move towards 50% VTI, 50% VFMF. Would that be considered a mild tilt, or is it more on the aggressive side as far as SCV tilting goes?
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Re: Small Cap Value heads Rejoice !!!
I tilt about 50% of my US portion which ends up being 20% total. This is fairly modest, but SCV is certainly a lot more volatile
If you can handle the volatility then 50% of total may not be an issue, I think it has more to do with whether you have an ability to stay the course
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Re: Small Cap Value heads Rejoice !!!
This is great news. I’m a lucky one who has access to DFEVX DFA Emerging Markets Value which has been 20% of my stock portfolio but has not been doing well as other stock investments during my holding period. I’m staying the course.HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
I’m happy for all interested that soon you will get Avantis EM Value. I’m curious too if it will be an upgrade for me. I’m looking forward to that discussion. It’s possible a mix of both may be where I land. The biggest difference between Avantis and DFA I’ve seen is Avantis loads heavily on profitability. I’m looking forward to seeing if their new EM Value ETF is the same.
Re: Small Cap Value heads Rejoice !!!
Thanks for the reply. That makes sense. My understanding is that VFMF (a multifactor fund) is about effectively about 2/3's mid and small (the remaining 1/3 is large, I believe). So 35% small/mid within my US portfolio might be more accurate, I guess, if just splitting that fund with VTI.Nathan Drake wrote: ↑Mon Jun 21, 2021 1:01 pmI tilt about 50% of my US portion which ends up being 20% total. This is fairly modest, but SCV is certainly a lot more volatile
If you can handle the volatility then 50% of total may not be an issue, I think it has more to do with whether you have an ability to stay the course
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Re: Small Cap Value heads Rejoice !!!
The biggest question I have is regarding the worth of SCV in exUS and EMSafeBonds wrote: ↑Mon Jun 21, 2021 1:11 pmThis is great news. I’m a lucky one who has access to DFEVX DFA Emerging Markets Value which has been 20% of my stock portfolio but has not been doing well as other stock investments during my holding period. I’m staying the course.HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
I’m happy for all interested that soon you will get Avantis EM Value. I’m curious too if it will be an upgrade for me. I’m looking forward to that discussion. It’s possible a mix of both may be where I land. The biggest difference between Avantis and DFA I’ve seen is Avantis loads heavily on profitability. I’m looking forward to seeing if their new EM Value ETF is the same.
With US TSM, it’s basically a huge growth fund, so adding US SCV makes sense
But exUS and EM look a bit more balanced in terms of value, and I’m not seeing as much dispersion of returns in those markets
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Re: Small Cap Value heads Rejoice !!!
I don't think so. The Sharpe ratios that I know are based on the standard deviation of the entire data set, however long it is. And when I calculate them myself I get the same numbers that Morningstar and PortfolioVisualizer report.SadCryingValiant wrote: ↑Wed Jun 16, 2021 12:14 pm...There's often emphasis on sharpe ratios so you get the most return per unit of risk, but the risk values are typically computed on short term volatility numbers always less than one year...
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Re: Small Cap Value heads Rejoice !!!
Will this be much different than AVEM?HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
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Re: Small Cap Value heads Rejoice !!!
Would guess it will be similar to DFEVX. So basically no size exposure (AVEM has some) but a lot more value exposure than AVEM.Bulgogi Head wrote: ↑Mon Jun 21, 2021 3:02 pmWill this be much different than AVEM?HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
Re: Small Cap Value heads Rejoice !!!
That's the way I view it as well, plus the value funds seem more expensive on the international side. I just use VSS to tilt for my international allocation, since fees are relatively low and it's well diversified in the sense of having thousands of companies (both developed and EM).Nathan Drake wrote: ↑Mon Jun 21, 2021 2:10 pm
The biggest question I have is regarding the worth of SCV in exUS and EM
With US TSM, it’s basically a huge growth fund, so adding US SCV makes sense
But exUS and EM look a bit more balanced in terms of value, and I’m not seeing as much dispersion of returns in those markets
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Re: Small Cap Value heads Rejoice !!!
I could be mistaken, but hasn’t the value premium been more consistent ex-US? I thought I remembered reading that somewhere.Nathan Drake wrote: ↑Mon Jun 21, 2021 2:10 pmThe biggest question I have is regarding the worth of SCV in exUS and EMSafeBonds wrote: ↑Mon Jun 21, 2021 1:11 pmThis is great news. I’m a lucky one who has access to DFEVX DFA Emerging Markets Value which has been 20% of my stock portfolio but has not been doing well as other stock investments during my holding period. I’m staying the course.HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
I’m happy for all interested that soon you will get Avantis EM Value. I’m curious too if it will be an upgrade for me. I’m looking forward to that discussion. It’s possible a mix of both may be where I land. The biggest difference between Avantis and DFA I’ve seen is Avantis loads heavily on profitability. I’m looking forward to seeing if their new EM Value ETF is the same.
With US TSM, it’s basically a huge growth fund, so adding US SCV makes sense
But exUS and EM look a bit more balanced in terms of value, and I’m not seeing as much dispersion of returns in those markets
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Re: Small Cap Value heads Rejoice !!!
I’ve read that as well but at least for the short time the Avantis funds have existed I’m not seeing a big delta between AVDV and VTIAX, nowhere near as dramatic as AVUV vs VTSAXthenextguy wrote: ↑Mon Jun 21, 2021 3:22 pmI could be mistaken, but hasn’t the value premium been more consistent ex-US? I thought I remembered reading that somewhere.Nathan Drake wrote: ↑Mon Jun 21, 2021 2:10 pmThe biggest question I have is regarding the worth of SCV in exUS and EMSafeBonds wrote: ↑Mon Jun 21, 2021 1:11 pmThis is great news. I’m a lucky one who has access to DFEVX DFA Emerging Markets Value which has been 20% of my stock portfolio but has not been doing well as other stock investments during my holding period. I’m staying the course.HippoSir wrote: ↑Mon Jun 21, 2021 12:18 pm Some good news for those of you wanting a solid EM value fund:
https://twitter.com/EtfHearsay/status/1 ... 2673714176
Avantis filed to launch 4 new funds, a dedicated Emerging Markets Value ETF among them. .36% ER which is competitive vs other options. Now I need to decide if I should drop EMGF for this new fund (probably will use it for TLH pair instead)...
I’m happy for all interested that soon you will get Avantis EM Value. I’m curious too if it will be an upgrade for me. I’m looking forward to that discussion. It’s possible a mix of both may be where I land. The biggest difference between Avantis and DFA I’ve seen is Avantis loads heavily on profitability. I’m looking forward to seeing if their new EM Value ETF is the same.
With US TSM, it’s basically a huge growth fund, so adding US SCV makes sense
But exUS and EM look a bit more balanced in terms of value, and I’m not seeing as much dispersion of returns in those markets
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!
DFEVX's average market cap is $10.9 bil. AVEM's average market cap is $15.17 bil. So DFEVX has more size exposure than AVEM. I agree that AVES when launched will be similar to DFEVX.absolute zero wrote: ↑Mon Jun 21, 2021 3:04 pm Would guess it will be similar to DFEVX. So basically no size exposure (AVEM has some) but a lot more value exposure than AVEM.
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Re: Small Cap Value heads Rejoice !!!
Average market cap is not a very useful metric. Look at weighted average market cap instead. Can find this on ETF.com. You will see that AVEM is smaller than DFEVX by this metric, and this metric is far more reflective of size exposure than an unweighted average.Wade Garrett wrote: ↑Mon Jun 21, 2021 5:53 pmDFEVX's average market cap is $10.9 bil. AVEM's average market cap is $15.17 bil. So DFEVX has more size exposure than AVEM. I agree that AVES when launched will be similar to DFEVX.absolute zero wrote: ↑Mon Jun 21, 2021 3:04 pm Would guess it will be similar to DFEVX. So basically no size exposure (AVEM has some) but a lot more value exposure than AVEM.
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Re: Small Cap Value heads Rejoice !!!
Thanks for the tip. But PV's factor regression is showing more size exposure for DFEVX. Can you explain the difference between weighted and unweighted average market cap? Also, where are you getting the weighted number for DFEVX since ETF.com doesn't cover MFs?absolute zero wrote: ↑Mon Jun 21, 2021 5:59 pm Average market cap is not a very useful metric. Look at weighted average market cap instead. Can find this on ETF.com. You will see that AVEM is smaller than DFEVX by this metric, and this metric is far more reflective of size exposure than an unweighted average.
"I'm not an inventor. I'm an improver. I see things that are wrong, and I improve them." - Larry David, Curb Your Enthusiasm
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Re: Small Cap Value heads Rejoice !!!
One of the more educated factor investors could probably give more details, but a factor regression on AVEM won’t tell you much of anything useful because AVEM has only been around for 1.5 years. Would need more like 5 years, better yet 10 years of returns data to have faith in a regression.absolute zero wrote: ↑Mon Jun 21, 2021 5:59 pmAverage market cap is not a very useful metric. Look at weighted average market cap instead. Can find this on ETF.com. You will see that AVEM is smaller than DFEVX by this metric, and this metric is far more reflective of size exposure than an unweighted average.Wade Garrett wrote: ↑Mon Jun 21, 2021 5:53 pmDFEVX's average market cap is $10.9 bil. AVEM's average market cap is $15.17 bil. So DFEVX has more size exposure than AVEM. I agree that AVES when launched will be similar to DFEVX.absolute zero wrote: ↑Mon Jun 21, 2021 3:04 pm Would guess it will be similar to DFEVX. So basically no size exposure (AVEM has some) but a lot more value exposure than AVEM.
Good point on ETF.com. I’m not sure where weighted average market cap can be found elsewhere. Anyone else know?
As for how it’s calculated - check out example below.
Imagine a fund that has only 5 holdings
90% CocaCola (market cap = $200B)
2.5% Marathon Oil (market cap = $4B)
2.5% Boot Barn (market cap = $4B)
2.5% El Pollo Loco (market cap = $4B)
2.5% Fiesta Restaurant Group (market cap = $4B)
The avg market cap would be $43.2B
The weighted avg market cap would be $180.4B
The first metric might make you think you were buying a fund that was almost small enough to be a mid cap fund. The second metric is far more reflective of what you are actually buying - a large cap fund.
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Re: Small Cap Value heads Rejoice !!!
Thanks for the average vs weighted average explanation.absolute zero wrote: ↑Mon Jun 21, 2021 6:34 pm One of the more educated factor investors could probably give more details, but a factor regression on AVEM won’t tell you much of anything useful because AVEM has only been around for 1.5 years. Would need more like 5 years, better yet 10 years of returns data to have faith in a regression.
Good point on ETF.com. I’m not sure where weighted average market cap can be found elsewhere. Anyone else know?
As for the factor regression, I hear ya and agree that the longer the back test the better. But it's not like AVEM's AMC or WAMC will be wildly different a few years from now than it is today. PV shows a significantly higher current size loading for DFEVX. Not sure how else to interpret that other than it's smaller.
As for ETF.com, how do you know AVEM is smaller than DFEVX by WAMC if ETF.com doesn't have a WAMC for DFEVX?
"I'm not an inventor. I'm an improver. I see things that are wrong, and I improve them." - Larry David, Curb Your Enthusiasm
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Re: Small Cap Value heads Rejoice !!!
Apparently I DIDNT know that after-all. In fact, I was probably wrong - looking at Morningstar’s style box, DFEVX is *slightly* below AVEM (i.e. more size exposure).Wade Garrett wrote: ↑Mon Jun 21, 2021 7:20 pm As for ETF.com, how do you know AVEM is smaller than DFEVX by WAMC if ETF.com doesn't have a WAMC for DFEVX?
If AVES does end up looking the same as DFEVX then it seems like AVES would be a true bargain relative to AVEM. Same size and lots more value, for an extra 3 bps? That is very tempting.
Re: Small Cap Value heads Rejoice !!!
Morningstar.com has detailed info on market cap weights.absolute zero wrote: ↑Mon Jun 21, 2021 6:34 pm I’m not sure where weighted average market cap can be found elsewhere. Anyone else know?
AVEM % - DFVEX %
Giant 31.67 - 25.93
Large 31.23 - 37.27
Mid 22.96 - 24.55
Small 8.08 - 7.58
Micro 1.91 - 3.28
Re: Small Cap Value heads Rejoice !!!
Looks like avantis is trying to finish off dfa.
It took dfa about 8 months to release their ETFs after announcing them. Avantis only 2 months now and better coverage for less.
It took dfa about 8 months to release their ETFs after announcing them. Avantis only 2 months now and better coverage for less.
Re: Small Cap Value heads Rejoice !!!
+1. In addition, I find Avantis' investor communications/articles are quite insightful and helps stay the course.
For example, their Monthly ETF Field Guide:
https://www.avantisinvestors.com/conten ... r-intm.pdf
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