Small Cap Value heads Rejoice !!!

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willthrill81
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

wolf359 wrote: Wed Mar 31, 2021 8:56 pm SCV requires a long-term commitment. It may take 30 years to pay off, if it does at all.
I agree on the commitment, but that's true of any investment strategy or asset class.

Historically, SCV has outperformed large-caps in every 20 year period on record save one, so to the extent that that holds true going forward, those holding SCV over multi-decade periods are likely to be rewarded for their patience and commitment.
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

james22 wrote: Tue Apr 06, 2021 10:16 am
vineviz wrote: Mon Apr 05, 2021 6:55 pm 1) That’s not a logical extension of the point I made.
Why not?
The point I made was that a rational investor who tilts toward SCV during accumulation (whatever strength that tilt may be) will not abandon that tilt in decumulation. In other words, whatever the starting tilt is (from 0% to 100%) it would be irrational to REDUCE that tilt during retirement.
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RovenSkyfall
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Re: Small Cap Value heads Rejoice !!!

Post by RovenSkyfall »

thenextguy wrote: Mon Apr 05, 2021 7:33 pm There are many people that don't tilt toward factors because they're concerned about factor premiums not presenting itself over their investment horizon. Reducing their equities in favor of bonds does nothing to eliminate the risk of SCV underperforming. Their equity portion of their portfolio would still underperform the market if it's a bad timeline for the factor. It's completely rational for someone that is tilted toward a factor when they are younger to lower that exposure over time as their investment horizon shortens. The amount of bonds to hold is a completely different issue and unrelated to the risk of possible underperformance of a factor tilt.
We are discussing the rational behavior of an investor who believes in the premium of SCV. If you believe in the diversification benefit and premium of SCV then that belief should remain constant throughout your investing and you ought to plan to de-risk with your exposure to equities. One's change in risk tolerance does not change the validity of the facts about the benefits of diversifying or the mathematical evidence for a factor premium. This means those benefits persist and to keep those benefits (which the investor believes in), you ought to de-risk with adding treasuries.

One argument you might use would be Uncorrelated's MVO. This shows as ones CRRA utility function increases (risk tolerance decreases), one would hold less SCV. But keep in mind, this MVO doesnt suggest any TMS exposure. This means, if you were to make your argument based on Uncorrelated's MVO, the investor should hold US Value, SCV and if their CRRA utility function increases (risk tolerance decreases), they would drop the SCV in favor of ITT. The problem with this argument is that time horizon should not impact ones CRRA.....
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Re: Small Cap Value heads Rejoice !!!

Post by james22 »

vineviz wrote: Tue Apr 06, 2021 11:47 am
james22 wrote: Tue Apr 06, 2021 10:16 am
vineviz wrote: Mon Apr 05, 2021 6:55 pm 1) That’s not a logical extension of the point I made.
Why not?
The point I made was that a rational investor who tilts toward SCV during accumulation (whatever strength that tilt may be) will not abandon that tilt in decumulation. In other words, whatever the starting tilt is (from 0% to 100%) it would be irrational to REDUCE that tilt during retirement.
Gotcha.
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

james22 wrote: Tue Apr 06, 2021 10:19 am The Growth-Value Cycle

https://awealthofcommonsense.com/2021/0 ... lue-cycle/
Or maybe the Russell 1000 Value Index (or any of these closet-indexing ways to expose to value) is just a bad choice.

A totally naive P/E sort has smoked it, R1K, and R1K Growth.

https://alphaarchitect.com/2020/08/18/v ... est-firms/
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Re: Small Cap Value heads Rejoice !!!

Post by RovenSkyfall »

MotoTrojan wrote: Tue Apr 06, 2021 5:20 pm Or maybe the Russell 1000 Value Index (or any of these closet-indexing ways to expose to value) is just a bad choice.

A totally naive P/E sort has smoked it, R1K, and R1K Growth.

https://alphaarchitect.com/2020/08/18/v ... est-firms/
Thanks for the article. Glad to be aware of what Russel does.
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Re: Small Cap Value heads Rejoice !!!

Post by PennyWise7 »

Just stopping by with a quick question. Do you think VBR will continue to outperform VTI this year?
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Re: Small Cap Value heads Rejoice !!!

Post by euphonious »

PennyWise7 wrote: Tue Apr 13, 2021 12:12 pm Just stopping by with a quick question. Do you think VBR will continue to outperform VTI this year?
I just bought a bunch of VBR last month, so probably not...
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

PennyWise7 wrote: Tue Apr 13, 2021 12:12 pm Just stopping by with a quick question. Do you think VBR will continue to outperform VTI this year?
I've found this: http://www.ask8ball.net/ website very useful in answering questions like this.
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Re: Small Cap Value heads Rejoice !!!

Post by thenextguy »

Has anyone ever noticed how similar IJS and IJR are? I guess it's because the S&P 600 index that the IJR tracks removes a lot of non-quality small cap growth stocks?
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Re: Small Cap Value heads Rejoice !!!

Post by euphonious »

thenextguy wrote: Wed Apr 14, 2021 8:52 pm Has anyone ever noticed how similar IJS and IJR are? I guess it's because the S&P 600 index that the IJR tracks removes a lot of non-quality small cap growth stocks?
I'm not sure if I'd describe it that way. If you look at IJT (S&P 600 Growth), it follows IJR just as much and in fact comes out slightly ahead. The trend is most apparent when you compare the three since 2009.

There was a period from 2001 - 2008 where value value edged slightly ahead of the S&P 600 index and growth lagged slightly behind. But value has since given up that lead. [PV link]
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Re: Small Cap Value heads Rejoice !!!

Post by thenextguy »

euphonious wrote: Wed Apr 14, 2021 10:22 pm
thenextguy wrote: Wed Apr 14, 2021 8:52 pm Has anyone ever noticed how similar IJS and IJR are? I guess it's because the S&P 600 index that the IJR tracks removes a lot of non-quality small cap growth stocks?
I'm not sure if I'd describe it that way. If you look at IJT (S&P 600 Growth), it follows IJR just as much and in fact comes out slightly ahead. The trend is most apparent when you compare the three since 2009.

There was a period from 2001 - 2008 where value value edged slightly ahead of the S&P 600 index and growth lagged slightly behind. But value has since given up that lead. [PV link]
I was looking at the factor loadings and not the returns.

But I also added IJT for comparison and I guess the loadings make sense for what you would expect for a value, blend and growth funds.

Although it looks like even IJT does some quality screening.
Last edited by thenextguy on Wed Apr 14, 2021 10:45 pm, edited 1 time in total.
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Re: Small Cap Value heads Rejoice !!!

Post by Nicolas »

euphonious wrote: Wed Apr 14, 2021 10:22 pm But value has since given up that lead.
Until just lately.
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

thenextguy wrote: Wed Apr 14, 2021 8:52 pm Has anyone ever noticed how similar IJS and IJR are? I guess it's because the S&P 600 index that the IJR tracks removes a lot of non-quality small cap growth stocks?
According to PV IJR has significant value loading.
https://www.portfoliovisualizer.com/fac ... sion=false
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Re: Small Cap Value heads Rejoice !!!

Post by KlangFool »

PennyWise7 wrote: Tue Apr 13, 2021 12:12 pm Just stopping by with a quick question. Do you think VBR will continue to outperform VTI this year?
It doesn't matter to me. SCV is part my Larry portfolio. I have 10%SCV and 10% Intermediate term treasury. I either make money from SCV or the treasury.
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

Time to rejoice: AVDV just hit another all time high of 65.
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
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Re: Small Cap Value heads Rejoice !!!

Post by manlymatt83 »

HippoSir wrote: Thu Apr 15, 2021 11:53 am
YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
I am so happy to be heavily VTWAX.
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

HippoSir wrote: Thu Apr 15, 2021 11:53 am
YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
It will not, people will just say "Bogle himself said at some point in XYZ date that market-weight in international is OK", and stop using quotes when he said international was not necessary

Then people will just say "Use VT , it is the best fund, simplicity is key"
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Re: Small Cap Value heads Rejoice !!!

Post by bogledogle87 »

HippoSir wrote: Thu Apr 15, 2021 11:53 am
YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
It definitely will at some point, the question is when and for how long. They seem to like to trade decades historically. Vanguard's recent paper is particularly interesting on this topic and I believe rather compelling. See Page 7, Figure 8.

A tale of two decades for U.S. and non-U.S. equity
https://personal.vanguard.com/pdf/ISGUS ... online.pdf

As of 2015, International had a 65% probability of outperforming US from years 2016-2025
As of 2020, International had a 80% probability of outperforming US form years 2021-2030

I do believe this switch will flip in the coming years and will stay that way for quite a while. Looking forward to the discussions on this forum with popcorn ready!
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

AVUV is close to hitting 1B in assets per M*
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Re: Small Cap Value heads Rejoice !!!

Post by absolute zero »

muffins14 wrote: Thu Apr 15, 2021 12:09 pm
HippoSir wrote: Thu Apr 15, 2021 11:53 am
YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
It will not, people will just say "Bogle himself said at some point in XYZ date that market-weight in international is OK", and stop using quotes when he said international was not necessary

Then people will just say "Use VT , it is the best fund, simplicity is key"
Yeah, a lot of them will flip-flop without even batting an eye.
Last edited by absolute zero on Fri Apr 16, 2021 7:18 pm, edited 1 time in total.
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Re: Small Cap Value heads Rejoice !!!

Post by thenextguy »

muffins14 wrote: Thu Apr 15, 2021 12:09 pm
HippoSir wrote: Thu Apr 15, 2021 11:53 am
YRT70 wrote: Thu Apr 15, 2021 11:30 am Time to rejoice: AVDV just hit another all time high of 65.
If International starts outperforming US after all this time, I think this entire forum will likely explode...
It will not, people will just say "Bogle himself said at some point in XYZ date that market-weight in international is OK", and stop using quotes when he said international was not necessary

Then people will just say "Use VT , it is the best fund, simplicity is key"
It's interesting because nearly everyone on r/Bogleheads (on Reddit) is all about VT. Not as much of that here.
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Re: Small Cap Value heads Rejoice !!!

Post by Nicolas »

caklim00 wrote: Thu Apr 15, 2021 10:42 pm AVUV is close to hitting 1B in assets per M*
¡Huzzah! Also a minor melt-up is in progress right now.
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Re: Small Cap Value heads Rejoice !!!

Post by absolute zero »

To any of you VIOV holders, any idea when the fund will dump GME? It’s already been 3+ months since that stock saw its price spike. So...maybe it won’t be until mid-year that VIOV rebalances and drops its GME exposure?
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Re: Small Cap Value heads Rejoice !!!

Post by Nicolas »

absolute zero wrote: Fri Apr 16, 2021 7:18 pm To any of you VIOV holders, any idea when the fund will dump GME? It’s already been 3+ months since that stock saw its price spike. So...maybe it won’t be until mid-year that VIOV rebalances and drops its GME exposure?
Of course if GME goes back to its original price or lower, which is likely to happen, they can keep it.
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

absolute zero wrote: Fri Apr 16, 2021 7:18 pm To any of you VIOV holders, any idea when the fund will dump GME? It’s already been 3+ months since that stock saw its price spike. So...maybe it won’t be until mid-year that VIOV rebalances and drops its GME exposure?
Rebalancing won't get rid of it. We need to wait for the next index reconstitution, which isn't until December.
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

Nicolas wrote: Fri Apr 16, 2021 1:10 pm
caklim00 wrote: Thu Apr 15, 2021 10:42 pm AVUV is close to hitting 1B in assets per M*
¡Huzzah! Also a minor melt-up is in progress right now.
Officially hit 1B!
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Re: Small Cap Value heads Rejoice !!!

Post by thenextguy »

caklim00 wrote: Thu Apr 15, 2021 10:42 pm AVUV is close to hitting 1B in assets per M*
They deserve the success, but I’d be just as happy if people stayed away from SCV. Don’t need it getting too crowded in the space.
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

Lots of rejoicing today for those looking to buy...
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!

Post by thenextguy »

Small caps taken to the woodshed today.
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

We need a 'Small Cap Value in free fall' thread.
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Re: Small Cap Value heads Rejoice !!!

Post by e5116 »

Bought more today! On sale! :D
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Re: Small Cap Value heads Rejoice !!!

Post by drk »

YRT70 wrote: Tue Apr 20, 2021 12:55 pm We need a 'Small Cap Value in free fall' thread.
This is the free-fall thread. The first post has been edited, but still reflects the sentiment.
A useful razor: anyone asking about speculative strategies on Bogleheads.org has no business using them.
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Re: Small Cap Value heads Rejoice !!!

Post by jason2459 »

drk wrote: Tue Apr 20, 2021 1:32 pm
YRT70 wrote: Tue Apr 20, 2021 12:55 pm We need a 'Small Cap Value in free fall' thread.
This is the free-fall thread. The first post has been edited, but still reflects the sentiment.
So then we need a SCV briefly soaring !!! thread.
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

Anyone else have their eye on ISVL? Looks like volume is picking up on it. And, it has momentum and profitability screens. Seems like it will end up being the best bet for tax loss harvest partner for AVDV for me.
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Re: Small Cap Value heads Rejoice !!!

Post by Robot Monster »

From 1:28-2:13, Joe Davis from Vanguard talks about the once in a generation opportunity in value stocks. YouTube video link
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

Altruistfa now has ISVL as second best taxable option for International SCV behind AVDV. Avantis includes South Korea in EM and not developed so ISVL becomes a more natural tax loss harvest partner. Seems like a decent construction for an index fund.
iShares International Small Cap Value Factor ETF (ISVL). E/R: 0.30%. This ETF tracks the FTSE Developed ex US ex Korea Small Cap Focused Value Index of small-cap value stocks in developed market countries outside the US and Korea. This index starts with the stocks in the FTSE Developed ex US ex Korea Small Cap Index, eliminates the highest 20% for 12-month realized volatility, the highest 20% for leverage, and the lowest 20% for liquidity. Then it screens out companies with negative sentiment around earnings and stocks with negative price momentum. The remaining stocks are scored on three measures of value and ranked on their value measure. Stocks are added to the index until it contains 25% of the number of stocks in the original index. Those stocks are weighted by market-cap. For more information on ETFs, see here.
Seems like it eliminates the worst liquidity, volatility, leverage, profitability, and momentum and then adds the most valuey 25% at market cap weight. A little different than Avantis which has the more targeted profitability aspect but seems like it has the same objectives.
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

caklim00 wrote: Fri Apr 23, 2021 3:24 pm Altruistfa now has ISVL as second best taxable option for International SCV behind AVDV. Avantis includes South Korea in EM and not developed so ISVL becomes a more natural tax loss harvest partner. Seems like a decent construction for an index fund.
iShares International Small Cap Value Factor ETF (ISVL). E/R: 0.30%. This ETF tracks the FTSE Developed ex US ex Korea Small Cap Focused Value Index of small-cap value stocks in developed market countries outside the US and Korea. This index starts with the stocks in the FTSE Developed ex US ex Korea Small Cap Index, eliminates the highest 20% for 12-month realized volatility, the highest 20% for leverage, and the lowest 20% for liquidity. Then it screens out companies with negative sentiment around earnings and stocks with negative price momentum. The remaining stocks are scored on three measures of value and ranked on their value measure. Stocks are added to the index until it contains 25% of the number of stocks in the original index. Those stocks are weighted by market-cap. For more information on ETFs, see here.
Seems like it eliminates the worst liquidity, volatility, leverage, profitability, and momentum and then adds the most valuey 25% at market cap weight. A little different than Avantis which has the more targeted profitability aspect but seems like it has the same objectives.
I'm considering it, but I'm more interested with the total effective factor exposure of a fund than specifically small and value. ISCF is still leading as my second choice for International Developed Markets, but I'm willing to be persuaded.
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
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Re: Small Cap Value heads Rejoice !!!

Post by RovenSkyfall »

MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you looked at a multifactor fund like VFMF?
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Re: Small Cap Value heads Rejoice !!!

Post by jason2459 »

MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
I like mtum and have been eyeing imtm. I like the 6 and 12 month evaluation and flexibility of changing course in case of high volatility that can impact index tracking momentum funds.
"In the short run, the stock market is a voting machine; in the long run, it is a weighing machine" ~Benjamin Graham
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

RovenSkyfall wrote: Thu Apr 29, 2021 12:08 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you looked at a multifactor fund like VFMF?
While I understand the merit of them, intuitively I feel better about holding value and momentum separately rather than using a composite multi-factor approach. I also really believe in the Alpha Architect approach to value fund construction and wouldn't want to eliminate that allocation.
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

jason2459 wrote: Thu Apr 29, 2021 12:11 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
I like mtum and have been eyeing imtm. I like the 6 and 12 month evaluation and flexibility of changing course in case of high volatility that can impact index tracking momentum funds.
Yes I liked those features too, although frankly I think I'd prefer outright quarterly rebalance like QMOM/IMOM use.

Interestingly MTUM is currently at the 81%-tile on 2-12 momentum (97% raw momentum), but only 21%-tile on 1-6 (25% raw momentum), compared to QMOM which is 99%-tile and 96%-tile respectively (290% and 80% raw momentum returns); I guess the rebalance is next month which could explain the decay it has seen in it's 1-6.

IMTM is actually pretty disappointing for the 30bp ER with 64% and 24%-tiles for developed nations compared to IMOM's whopping 97% and 93%-tiles :twisted:.

So I think a bit more frequent rebalance can help (although AA also is holding the top 10% in momentum so it is not a fair comparison).
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Re: Small Cap Value heads Rejoice !!!

Post by LaughingStoic »

MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

LaughingStoic wrote: Thu Apr 29, 2021 5:47 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
Thanks sounds fun, been meaning to check it out, will poke around.
YRT70
Posts: 1289
Joined: Sat Apr 27, 2019 8:51 am

Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

MotoTrojan wrote: Thu Apr 29, 2021 6:07 pm
LaughingStoic wrote: Thu Apr 29, 2021 5:47 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
Thanks sounds fun, been meaning to check it out, will poke around.
I was about to send you a message about that. That thread is very interesting.

The whole discussion has got me very interested in getting some QMOM/IMOM or VFMO.

They're calling MTUM & IMTM 'closet index funds' there. I'm not sure how accurate that is but I think those funds benefitted a lot from the recent mega cap growth spurt. VFMO could make a better alternative.
caklim00
Posts: 2420
Joined: Mon May 26, 2008 10:09 am

Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

YRT70 wrote: Fri Apr 30, 2021 3:34 am
MotoTrojan wrote: Thu Apr 29, 2021 6:07 pm
LaughingStoic wrote: Thu Apr 29, 2021 5:47 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
Thanks sounds fun, been meaning to check it out, will poke around.
I was about to send you a message about that. That thread is very interesting.

The whole discussion has got me very interested in getting some QMOM/IMOM or VFMO.

They're calling MTUM & IMTM 'closet index funds' there. I'm not sure how accurate that is but I think those funds benefitted a lot from the recent mega cap growth spurt. VFMO could make a better alternative.
Why QMOM over VFMO. .49 ER vs .13 seems like a high hurdle. And, 50 holdings vs 747.

Note: I do not own any momentum funds, just SCV (US - SLYV and AVUV, Intl - AVDV).
User avatar
jason2459
Posts: 1208
Joined: Wed May 06, 2020 7:59 pm

Re: Small Cap Value heads Rejoice !!!

Post by jason2459 »

YRT70 wrote: Fri Apr 30, 2021 3:34 am
MotoTrojan wrote: Thu Apr 29, 2021 6:07 pm
LaughingStoic wrote: Thu Apr 29, 2021 5:47 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
Thanks sounds fun, been meaning to check it out, will poke around.
I was about to send you a message about that. That thread is very interesting.

The whole discussion has got me very interested in getting some QMOM/IMOM or VFMO.

They're calling MTUM & IMTM 'closet index funds' there. I'm not sure how accurate that is but I think those funds benefitted a lot from the recent mega cap growth spurt. VFMO could make a better alternative.
Well, MTUM is an index fund and it's not hidden. It follows a MSCI index. QMOM also says it's fully automated which is their own custom indexing.

And if you think about it if something recent over the past year or so has been out performing shouldn't it be in a momentum fund. Isn't that the whole point. MTUM excludes small caps so it will look different from QMOM and VFMO.

It will be interesting to see how these funds reconstitute themselves this year as mid cap value has been in the lead so far year to date.

IMO it would be nicer if VFMO had a quality screening. Is there a S&P momentum index?

But MTUM still interests me most because of my small cap,value tilt, and negative or slightly left of neutral momentum and MTUM at the other end of that spectrum.
"In the short run, the stock market is a voting machine; in the long run, it is a weighing machine" ~Benjamin Graham
YRT70
Posts: 1289
Joined: Sat Apr 27, 2019 8:51 am

Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

caklim00 wrote: Fri Apr 30, 2021 7:17 am
YRT70 wrote: Fri Apr 30, 2021 3:34 am
MotoTrojan wrote: Thu Apr 29, 2021 6:07 pm
LaughingStoic wrote: Thu Apr 29, 2021 5:47 pm
MotoTrojan wrote: Thu Apr 29, 2021 11:48 am So with all the talk on momentum screens, curious how many of you outright are trying to achieve positive momentum exposure to compliment your value-heavy portfolios?

The idea is getting more and more appealing to me... as long as the premium offsets the expenses it should improve efficiency and return, and if there is a net-premium, even better!

Don't have the conviction to go all-in with Alpha Architect momentum products like I nearly am on the value side, but the MSCI products seem to have harvested a good premium over the indices life, and since actual ETF inceptions (MTUM & IMTM).
Have you checked out the Rational Reminder forum? There have been fascinating conversations over there recently on using momentum and AA funds as part of a value heavy portfolio. If you haven't, I highly recommend it- pure brain candy.

Here's a link to one of them: https://community.rationalreminder.ca/t ... d-why/6264
Thanks sounds fun, been meaning to check it out, will poke around.
I was about to send you a message about that. That thread is very interesting.

The whole discussion has got me very interested in getting some QMOM/IMOM or VFMO.

They're calling MTUM & IMTM 'closet index funds' there. I'm not sure how accurate that is but I think those funds benefitted a lot from the recent mega cap growth spurt. VFMO could make a better alternative.
Why QMOM over VFMO. .49 ER vs .13 seems like a high hurdle. And, 50 holdings vs 747.
Because it is more concentrated it can get much deeper momentum exposure. If one adds QMOM to their portfolio they'll need less of it to get the same factor loads.

The negative correlation between momentum and SCV I find quite appealing.
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