New Avantis ETFs
New Avantis ETFs
Anyone have opinions on the new Avantis ETFs that will be launched in September?
Emerging Markets Value (.36% ER)
International Large Cap Value (.25% ER)
US Large Cap Value (.15% ER)
Real Estate (.17% ER)
I am interested in the emerging markets value one.
Going to be quite the battle between them and DFA for this active management value segment of the market…
Emerging Markets Value (.36% ER)
International Large Cap Value (.25% ER)
US Large Cap Value (.15% ER)
Real Estate (.17% ER)
I am interested in the emerging markets value one.
Going to be quite the battle between them and DFA for this active management value segment of the market…
- whodidntante
- Posts: 13090
- Joined: Thu Jan 21, 2016 10:11 pm
- Location: outside the echo chamber
Re: New Avantis ETFs
Happy to see the EM value offering. And they'll probably do it right.
Re: New Avantis ETFs
I only care for AVES, EM value. Will probably buy it when it's available in September.
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
Is the value story strong for EM over a generic EM index fund?
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
-
- Posts: 15289
- Joined: Fri Apr 10, 2015 12:29 am
Re: New Avantis ETFs
Just as with other markets, relative performance depends on start date.
https://www.portfoliovisualizer.com/bac ... ion2_2=100
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Volatility is higher, and that seems to be less dependent on start date.
https://www.portfoliovisualizer.com/bac ... ion2_2=100
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Volatility is higher, and that seems to be less dependent on start date.
- sunnywindy
- Posts: 655
- Joined: Sat Jan 18, 2014 3:42 pm
- Location: Central California
Re: New Avantis ETFs
I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Powered by chocolate!
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
AVES isn’t quite SCV but the average market cap is 16B, so fairly smallsunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Hard to get true SC exposure in EM without running into liquidity issues
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
I'll want to see the top holdings. If it is more BABA, Samsung, and TW Semi I'll probably just stay with VXUS and VWO.sunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
It’s not, see abovestan1 wrote: ↑Mon Aug 23, 2021 8:54 pmI'll want to see the top holdings. If it is more BABA, Samsung, and TW Semi I'll probably just stay with VXUS and VWO.sunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
Cool. When do they come out with an Emerging Market SCV?
"Re-verify our range to target ... one ping only."
Re: New Avantis ETFs
Is the expected value of the value premium large enough in EM that, when seeing an HmL loading of say 0.4, you’d believe it would offset the 0.36% expense ratio?
I suppose that means you’d need a premium of ~1% excess return over VWO to make it worth it. If not, you need to expect a rebalancing bonus due to lower correlation with the rest of your portfolio?
0.36 just feels steep to me
I suppose that means you’d need a premium of ~1% excess return over VWO to make it worth it. If not, you need to expect a rebalancing bonus due to lower correlation with the rest of your portfolio?
0.36 just feels steep to me
Crom laughs at your Four Winds
-
- Posts: 2669
- Joined: Mon Mar 12, 2012 6:57 pm
Re: New Avantis ETFs
So what is the benefit of AVES vs. (for example) AVEM, EFGM, FNDE? AVES is value only, the others are multifactor, correct? Why not multifactor for a similar expense ratio?
-
- Posts: 1244
- Joined: Thu Dec 29, 2016 3:59 pm
Re: New Avantis ETFs
AVEM has some fairly weak factor tilts. FNDE has negative size exposure and negative profitability exposure too. Can’t speak to the other fund.comeinvest wrote: ↑Mon Aug 23, 2021 11:36 pm So what is the benefit of AVES vs. (for example) AVEM, EFGM, FNDE? AVES is value only, the others are multifactor, correct? Why not multifactor for a similar expense ratio?
AVES is rumored to have decent exposure to size factor (per intel from MotoTrojan). Wouldn’t be surprised if Avantis got the profitability exposure to 0 or slightly positive (ie avoided the negative profitability present in other EM value funds) but I’m just guessing here. Not sure if we’ll be able to tell much about prof exposure until we have enough data for regressions. But should of course be able to see size exposure on day 1.
Re: New Avantis ETFs
Where is the 16B figure from?Nathan Drake wrote: ↑Mon Aug 23, 2021 8:39 pmAVES isn’t quite SCV but the average market cap is 16B, so fairly smallsunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Hard to get true SC exposure in EM without running into liquidity issues
- sunnywindy
- Posts: 655
- Joined: Sat Jan 18, 2014 3:42 pm
- Location: Central California
Re: New Avantis ETFs
I currently own AVEM and am very happy with its level of value tilting.
Current AVEM style box figures (Morningstar):
40% - Value
39% - Core
15% - Growth
Edit Addition: Lots of talk about potential small caps in the new ETF, so here is the AVEM size figures (Morningstar):
63% - Large
23% - Mid
8% - Small
My worry about owning the new EM Value ETF is that it wouldn't have any growth stocks. It still seems like the growth companies are the ones that are powering the economies of Asia and I wouldn't want to completely shut myself off from that. But, at the end of the day, I will have to see the new funds composition before I can make any decisions.
Current AVEM style box figures (Morningstar):
40% - Value
39% - Core
15% - Growth
Edit Addition: Lots of talk about potential small caps in the new ETF, so here is the AVEM size figures (Morningstar):
63% - Large
23% - Mid
8% - Small
My worry about owning the new EM Value ETF is that it wouldn't have any growth stocks. It still seems like the growth companies are the ones that are powering the economies of Asia and I wouldn't want to completely shut myself off from that. But, at the end of the day, I will have to see the new funds composition before I can make any decisions.
Last edited by sunnywindy on Tue Aug 24, 2021 10:23 am, edited 1 time in total.
Powered by chocolate!
Re: New Avantis ETFs
From Mototrojan who has been speaking with an advisor.Hallman wrote: ↑Tue Aug 24, 2021 3:16 amWhere is the 16B figure from?Nathan Drake wrote: ↑Mon Aug 23, 2021 8:39 pmAVES isn’t quite SCV but the average market cap is 16B, so fairly smallsunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Hard to get true SC exposure in EM without running into liquidity issues
Iirc he said it has about 1/3 small cap.
Re: New Avantis ETFs
Personally I expect more value and size exposure from AVES than AVEM. Perhaps profitability too. They'll also try to prevent negative momentum, unlike FNDE. If you want significant positive momentum exposure EMGF is probably the better choice. Positive momentum exposure usually leads to higher turnover though, which could be problematic since trading costs tend to be higher in EM, especially in smaller caps.comeinvest wrote: ↑Mon Aug 23, 2021 11:36 pm So what is the benefit of AVES vs. (for example) AVEM, EFGM, FNDE? AVES is value only, the others are multifactor, correct? Why not multifactor for a similar expense ratio?
-
- Posts: 233
- Joined: Tue Jan 02, 2018 11:05 am
Re: New Avantis ETFs
I'm not so sure that AVES will target small cap. Looking at the filings for AVEM and AVES, I find the following:
AVEM:
This seems to indicate that AVEM targets small market cap and its fund's benchmark index from my brief glance has companies of all sizes. https://www.msci.com/documents/10199/97 ... 7095acf1d3
Now let's take a look at AVES:
Maybe I'm missing something, but when I put this altogether, it looks like AVES is going to have heavier weights to the value factor than AVEM since it picks companies from a benchmark that is already value focused while AVEM does not, but I'm not so sure about the size factor. The language in the documents gives them flexibility, so we shall see.
AVEM:
Source: https://www.sec.gov/Archives/edgar/data ... is485b.htmPrincipal Investment Strategies
The fund invests primarily in a diverse group of companies related to emerging markets across market sectors, industry groups and countries. The fund may invest in companies of all market capitalizations.
The fund seeks securities of companies that it expects to have higher returns by placing an enhanced emphasis on securities of companies with smaller market capitalizations and securities of companies it defines as high profitability or value companies.
To determine whether a company is related to an emerging market country, the portfolio managers will consider various factors, including where the company is headquartered, where the company’s principal operations are located, where the company’s revenues are derived, where the principal trading market is located, the country in which the company was legally organized, and whether the company is in the fund’s benchmark—the MSCI Emerging Markets IMI
This seems to indicate that AVEM targets small market cap and its fund's benchmark index from my brief glance has companies of all sizes. https://www.msci.com/documents/10199/97 ... 7095acf1d3
Now let's take a look at AVES:
If you notice, AVES leaves out emphasizing small market capitalization companies. Also, when I looked at the MSCI Emerging Markets value IMI Index, it seems to be only mid and large cap companies. https://www.msci.com/documents/10199/2e ... e1fb2d1f06Principal Investment Strategies
The fund invests primarily in a diverse group of companies related to emerging markets across market sectors, industry groups and countries. The fund may invest in companies of all market capitalizations.
The fund seeks securities of companies that it expects to have higher returns by placing an enhanced emphasis on securities of companies it defines as high profitability or value companies.
To determine whether a company is related to an emerging market country, the portfolio managers will consider various factors, including where the company is headquartered, where the company’s principal operations are located, where a majority of the company’s revenues are derived, where the principal trading market is located, the country in which the company was legally organized, and whether the company is in the fund’s benchmark—the MSCI Emerging Markets Value IMI Index.
Maybe I'm missing something, but when I put this altogether, it looks like AVES is going to have heavier weights to the value factor than AVEM since it picks companies from a benchmark that is already value focused while AVEM does not, but I'm not so sure about the size factor. The language in the documents gives them flexibility, so we shall see.
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
It is more of a value fund, but it does capture smaller size (16B avg mkt cap)Massdriver wrote: ↑Tue Aug 24, 2021 9:16 am I'm not so sure that AVES will target small cap. Looking at the filings for AVEM and AVES, I find the following:
AVEM:Source: https://www.sec.gov/Archives/edgar/data ... is485b.htmPrincipal Investment Strategies
The fund invests primarily in a diverse group of companies related to emerging markets across market sectors, industry groups and countries. The fund may invest in companies of all market capitalizations.
The fund seeks securities of companies that it expects to have higher returns by placing an enhanced emphasis on securities of companies with smaller market capitalizations and securities of companies it defines as high profitability or value companies.
To determine whether a company is related to an emerging market country, the portfolio managers will consider various factors, including where the company is headquartered, where the company’s principal operations are located, where the company’s revenues are derived, where the principal trading market is located, the country in which the company was legally organized, and whether the company is in the fund’s benchmark—the MSCI Emerging Markets IMI
This seems to indicate that AVEM targets small market cap and its fund's benchmark index from my brief glance has companies of all sizes. https://www.msci.com/documents/10199/97 ... 7095acf1d3
Now let's take a look at AVES:If you notice, AVES leaves out emphasizing small market capitalization companies. Also, when I looked at the MSCI Emerging Markets value IMI Index, it seems to be only mid and large cap companies. https://www.msci.com/documents/10199/2e ... e1fb2d1f06Principal Investment Strategies
The fund invests primarily in a diverse group of companies related to emerging markets across market sectors, industry groups and countries. The fund may invest in companies of all market capitalizations.
The fund seeks securities of companies that it expects to have higher returns by placing an enhanced emphasis on securities of companies it defines as high profitability or value companies.
To determine whether a company is related to an emerging market country, the portfolio managers will consider various factors, including where the company is headquartered, where the company’s principal operations are located, where a majority of the company’s revenues are derived, where the principal trading market is located, the country in which the company was legally organized, and whether the company is in the fund’s benchmark—the MSCI Emerging Markets Value IMI Index.
Maybe I'm missing something, but when I put this altogether, it looks like AVES is going to have heavier weights to the value factor than AVEM since it picks companies from a benchmark that is already value focused while AVEM does not, but I'm not so sure about the size factor. The language in the documents gives them flexibility, so we shall see.
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
Thanks. 16B and 1/3 in small cap seems contradictory to me though.YRT70 wrote: ↑Tue Aug 24, 2021 8:20 amFrom Mototrojan who has been speaking with an advisor.Hallman wrote: ↑Tue Aug 24, 2021 3:16 amWhere is the 16B figure from?Nathan Drake wrote: ↑Mon Aug 23, 2021 8:39 pmAVES isn’t quite SCV but the average market cap is 16B, so fairly smallsunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Hard to get true SC exposure in EM without running into liquidity issues
Iirc he said it has about 1/3 small cap.
As a reference point Morningstar has DFEVX at average of 11.6B and 9% small caps.
-
- Posts: 233
- Joined: Tue Jan 02, 2018 11:05 am
Re: New Avantis ETFs
It appears the index it picks securities from is mid and large cap only. The mid cap exposure is probably pushing the average market cap down. I'm very interested in the fund regardless. I currently hold EMGF in my tax advantaged accounts for EM factor exposure, but plan on switching to AVES when it comes out.
Re: New Avantis ETFs
the "IMI" at the end of the index name means it is a total market cap index (including small caps).Massdriver wrote: ↑Tue Aug 24, 2021 10:03 am It appears the index it picks securities from is mid and large cap only. The mid cap exposure is probably pushing the average market cap down. I'm very interested in the fund regardless. I currently hold EMGF in my tax advantaged accounts for EM factor exposure, but plan on switching to AVES when it comes out.
https://www.msci.com/msci-investable-market-indexes
-
- Posts: 563
- Joined: Tue Sep 22, 2020 12:08 am
Re: New Avantis ETFs
I hope Avantis's picking helps them stray from the benchmark. I don't see any compelling reason to own the benchmark index for AVES at a 0.36 ER, it's too concentrated in megacaps (top10 companies = 20% of holdings, BABA, Samsung & infosys comprise >10% of holdings). You can already get significant exposure to these companies in broad emerging market or even total international indexes. I was hoping for something closer to the emerging markets + value companies in the index tracked by VSS, it looks like at best, this will be something in between.
- mokaThought
- Posts: 481
- Joined: Tue Jan 01, 2019 6:57 pm
- Location: Texas
Re: New Avantis ETFs
US and Int'l Large Cap Value will significantly lower the ERs I currently pay for RPV and EFV. If the prospecti and liquidity look good, I'll likely go in.
"October: This is one of the peculiarly dangerous months to speculate in stocks. The others are July, January, September, April, November, May, March, June, December, August and February."
-
- Posts: 233
- Joined: Tue Jan 02, 2018 11:05 am
Re: New Avantis ETFs
Thanks for the information. That's good to know.Hallman wrote: ↑Tue Aug 24, 2021 10:11 amthe "IMI" at the end of the index name means it is a total market cap index (including small caps).Massdriver wrote: ↑Tue Aug 24, 2021 10:03 am It appears the index it picks securities from is mid and large cap only. The mid cap exposure is probably pushing the average market cap down. I'm very interested in the fund regardless. I currently hold EMGF in my tax advantaged accounts for EM factor exposure, but plan on switching to AVES when it comes out.
https://www.msci.com/msci-investable-market-indexes
-
- Posts: 2669
- Joined: Mon Mar 12, 2012 6:57 pm
Re: New Avantis ETFs
I read the thread carefully, and I'm still confused how AVES would differentiate itself from AVEM. I get it that AVES omits the "small" from the prospectus which is pretty much the only difference. But supposedly there is an advisor who thinks that AVES is "smaller" than AVEM. (How can there be a known average 16B size before the fund's inception?)
Both AVES and AVEM have a value tilt, but AVES achieves this based on a value index, while AVEM achieves this based on a "regular" index. I personally would not conclude from this that AVES has a stronger value tilt. It may be that the managers of AVEM might classify a company as "value" even though it's not in the value index. But all that is just speculation.
Both AVES and AVEM have a value tilt, but AVES achieves this based on a value index, while AVEM achieves this based on a "regular" index. I personally would not conclude from this that AVES has a stronger value tilt. It may be that the managers of AVEM might classify a company as "value" even though it's not in the value index. But all that is just speculation.
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
Fund info has been sent to RIA’s alreadycomeinvest wrote: ↑Wed Aug 25, 2021 1:10 am I read the thread carefully, and I'm still confused how AVES would differentiate itself from AVEM. I get it that AVES omits the "small" from the prospectus which is pretty much the only difference. But supposedly there is an advisor who thinks that AVES is "smaller" than AVEM. (How can there be a known average 16B size before the fund's inception?)
Both AVES and AVEM have a value tilt, but AVES achieves this based on a value index, while AVEM achieves this based on a "regular" index. I personally would not conclude from this that AVES has a stronger value tilt. It may be that the managers of AVEM might classify a company as "value" even though it's not in the value index. But all that is just speculation.
AVES is value focused, so it will have larger value loadings than AVEM
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
Good point. It's strange because AVEM has avg. market cap of 13B according to Morningstar. I wouldn't expect AVES to be larger than AVEM. I'll ask Moto for clarification.Hallman wrote: ↑Tue Aug 24, 2021 10:01 amThanks. 16B and 1/3 in small cap seems contradictory to me though.YRT70 wrote: ↑Tue Aug 24, 2021 8:20 amFrom Mototrojan who has been speaking with an advisor.Hallman wrote: ↑Tue Aug 24, 2021 3:16 amWhere is the 16B figure from?Nathan Drake wrote: ↑Mon Aug 23, 2021 8:39 pmAVES isn’t quite SCV but the average market cap is 16B, so fairly smallsunnywindy wrote: ↑Mon Aug 23, 2021 8:28 pm I just found the SEC filing for the new Avantis EM Value ETF (AVES). Should be coming out on September 16, 2021. It will be interesting to see how well this ETF does against the new Dodge & Cox EM Mutual Fund (DODEX) in the battle for AUM; I bet the ETF format puts the wind in Avantis' sails, but the Dodge & Cox Fund should slowly but surely collect AUM, too.
https://www.sec.gov/Archives/edgar/data ... 021485.htm
Hard to get true SC exposure in EM without running into liquidity issues
Iirc he said it has about 1/3 small cap.
As a reference point Morningstar has DFEVX at average of 11.6B and 9% small caps.
Re: New Avantis ETFs
I took a look at Avantis's monthly field guide. They report AVEM's weighted average market cap at 76B. AVES could then indeed be pretty small. Somewhere between DFA's Emerging Markets Targeted Value Portfolio (5B) and Emerging Markets Value Portfolio (42B).YRT70 wrote: ↑Wed Aug 25, 2021 3:20 amGood point. It's strange because AVEM has avg. market cap of 13B according to Morningstar. I wouldn't expect AVES to be larger than AVEM. I'll ask Moto for clarification.Hallman wrote: ↑Tue Aug 24, 2021 10:01 amThanks. 16B and 1/3 in small cap seems contradictory to me though.YRT70 wrote: ↑Tue Aug 24, 2021 8:20 amFrom Mototrojan who has been speaking with an advisor.Hallman wrote: ↑Tue Aug 24, 2021 3:16 amWhere is the 16B figure from?Nathan Drake wrote: ↑Mon Aug 23, 2021 8:39 pm
AVES isn’t quite SCV but the average market cap is 16B, so fairly small
Hard to get true SC exposure in EM without running into liquidity issues
Iirc he said it has about 1/3 small cap.
As a reference point Morningstar has DFEVX at average of 11.6B and 9% small caps.
Re: New Avantis ETFs
I don't understand factor investing, because the 5 factors are often negatively correlated.
Re: New Avantis ETFs
Yep. According to MotoTrojan AVES has 21% mid, 25% small, & 11% micro cap.Hallman wrote: ↑Wed Aug 25, 2021 3:31 amI took a look at Avantis's monthly field guide. They report AVEM's weighted average market cap at 76B. AVES could then indeed be pretty small. Somewhere between DFA's Emerging Markets Targeted Value Portfolio (5B) and Emerging Markets Value Portfolio (42B).YRT70 wrote: ↑Wed Aug 25, 2021 3:20 amGood point. It's strange because AVEM has avg. market cap of 13B according to Morningstar. I wouldn't expect AVES to be larger than AVEM. I'll ask Moto for clarification.
Re: New Avantis ETFs
Stocks and bonds are often negatively correlated too. It creates rebalancing opportunities via diversified portfolio components, assuming positive expected values and lowish correlations
Crom laughs at your Four Winds
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
Negative correlation combined with similar expected long term returns is a great thing.
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
Nathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
Yes, which is why people just buy VTSAX.
VTSAX has everything.
Re: New Avantis ETFs
Booogle wrote: ↑Wed Aug 25, 2021 9:43 amNathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
Yes, which is why people just buy VTSAX.
VTSAX has everything.
Crom laughs at your Four Winds
Re: New Avantis ETFs
VFMF would come close to a combination of AVLV and AVUV. One of the differences is that VFMF has significant momentum exposure while Avantis only tries to avoid negative momentum.Booogle wrote: ↑Wed Aug 25, 2021 9:47 am How does this thing compare to Avantis ETFs?
https://investor.vanguard.com/mutual-fu ... file/VFMFX
A downside of momentum is that it causes turnover, which leads VFMF to have higher turnover than the Avantis products.
-
- Posts: 6008
- Joined: Wed Dec 02, 2020 12:18 pm
Re: New Avantis ETFs
Factors identified in most forms of statistical analysis are to explain sources of variance and not exactly negative correlation. In fact, the analysis often results in factors with no correlation; but the factor might not amount to anything because it has so little impact in reality. The factors identified in such an analysis are not identified by returns; they could be negative/positive/zero alpha.Nathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
I only consider factors for their impact on the complete distribution; not whether the overweight/underweight of the factor is good for alpha or variance.
Passive investing: not about making big bucks but making profits. Active investing: not about beating the market but meeting goals. Speculation: not about timing the market but taking profitable risks.
-
- Posts: 6201
- Joined: Mon Apr 11, 2011 12:28 am
Re: New Avantis ETFs
I wasn’t trying to suggest it was negatively correlated. But the variance in the sequence of returns is useful to smooth out performance, regardless of alpha expectation.secondopinion wrote: ↑Wed Aug 25, 2021 4:12 pmFactors identified in most forms of statistical analysis are to explain sources of variance and not exactly negative correlation. In fact, the analysis often results in factors with no correlation; but the factor might not amount to anything because it has so little impact in reality. The factors identified in such an analysis are not identified by returns; they could be negative/positive/zero alpha.Nathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
I only consider factors for their impact on the complete distribution; not whether the overweight/underweight of the factor is good for alpha or variance.
Certain asset classes can go out of favor for long periods of time while others have high out performance, so it’s nice to capture the diversification benefits.
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Re: New Avantis ETFs
So this fund would cover both large-cap value and small-cap value, with equal amounts in each. (I use VFVA for my US value allocation, as it fills both categories for me; for development markets, I have separate IVLU for large-cap value and AVDV for small-cap value.)
Re: New Avantis ETFs
Top 10 holdings (company name, percentage of ETF assets, country) will be what I need to move further towards buying in.
For comparison once similar for AVES comes out:
DFEVX (DFA Emerging Value)
https://us.dimensional.com/funds/emerging-markets-value
Reliance Industries Ltd 2.75% India
China Construction Bank Corp 2.31% China
Petroleo Brasileiro SA 1.84% Brazil
Vale SA 1.63% Brazil
Industrial & Commercial Bank of China Ltd 1.38% China
Hon Hai Precision Industry Co Ltd 1.21% Taiwan (dba Foxconn)
Baidu Inc 1.07% China
Ping An Insurance Group Co of China Ltd 1.02% China
Samsung Electronics Co Ltd 1.01% South Korea
Bank of China Ltd 0.95% China
15.17% of assets in Top 10 (not bad for a fund like this)
3170 holdings which is a lot
For comparison once similar for AVES comes out:
DFEVX (DFA Emerging Value)
https://us.dimensional.com/funds/emerging-markets-value
Reliance Industries Ltd 2.75% India
China Construction Bank Corp 2.31% China
Petroleo Brasileiro SA 1.84% Brazil
Vale SA 1.63% Brazil
Industrial & Commercial Bank of China Ltd 1.38% China
Hon Hai Precision Industry Co Ltd 1.21% Taiwan (dba Foxconn)
Baidu Inc 1.07% China
Ping An Insurance Group Co of China Ltd 1.02% China
Samsung Electronics Co Ltd 1.01% South Korea
Bank of China Ltd 0.95% China
15.17% of assets in Top 10 (not bad for a fund like this)
3170 holdings which is a lot
-
- Posts: 6008
- Joined: Wed Dec 02, 2020 12:18 pm
Re: New Avantis ETFs
Right. I am just saying that factors are not "magical"; one has to know what they actually mean and come from before they tilt to unknown numbers.Nathan Drake wrote: ↑Wed Aug 25, 2021 6:01 pmI wasn’t trying to suggest it was negatively correlated. But the variance in the sequence of returns is useful to smooth out performance, regardless of alpha expectation.secondopinion wrote: ↑Wed Aug 25, 2021 4:12 pmFactors identified in most forms of statistical analysis are to explain sources of variance and not exactly negative correlation. In fact, the analysis often results in factors with no correlation; but the factor might not amount to anything because it has so little impact in reality. The factors identified in such an analysis are not identified by returns; they could be negative/positive/zero alpha.Nathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
I only consider factors for their impact on the complete distribution; not whether the overweight/underweight of the factor is good for alpha or variance.
Certain asset classes can go out of favor for long periods of time while others have high out performance, so it’s nice to capture the diversification benefits.
Passive investing: not about making big bucks but making profits. Active investing: not about beating the market but meeting goals. Speculation: not about timing the market but taking profitable risks.
Re: New Avantis ETFs
Somebody mentioned September above, but does anyone know when these new funds are expected to go live?
Thanks,
Winthorpe
P.S. Anybody know if the real estate fund will be US-only or global?
Thanks,
Winthorpe
P.S. Anybody know if the real estate fund will be US-only or global?
-
- Posts: 1244
- Joined: Thu Dec 29, 2016 3:59 pm
-
- Posts: 100
- Joined: Thu Apr 08, 2021 8:47 pm
Re: New Avantis ETFs
Any word on AVES? Tomorrow is approx launch date.
Small/Value/Profitability: |
30% AVUV |
30% AVDV |
30% AVES |
Momentum: |
5% QMOM |
5% IMOM |
Volatility: |
0.1% PUTW |
Term: |
0.1% BND
Re: New Avantis ETFs
Apparently it's been postponed until the end of the month.
Edit: according to this tweet it should be available today: https://twitter.com/etfhearsay/status/1 ... 13285?s=21
Last edited by YRT70 on Thu Sep 16, 2021 4:42 am, edited 1 time in total.
-
- Posts: 15289
- Joined: Fri Apr 10, 2015 12:29 am
Re: New Avantis ETFs
Not arguing against a market cap index fund, but by definition, VTSAX has zero exposure to all factors other than the market factor. Having exposure to the US size and value factor doesn't just mean holding small value stocks-- it means holding more of it than the weighting in the market index, and with no offsetting position (such as a simultaneous tilt to large growth).Booogle wrote: ↑Wed Aug 25, 2021 9:43 amNathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
Yes, which is why people just buy VTSAX.
VTSAX has everything.
-
- Posts: 100
- Joined: Thu Apr 08, 2021 8:47 pm
Re: New Avantis ETFs
Northern Flicker wrote: ↑Thu Sep 16, 2021 2:19 amNot arguing against a market cap index fund, but by definition, VTSAX has zero exposure to all factors other than the market factor. Having exposure to the US size and value factor doesn't just mean holding small value stocks-- it means holding more of it than the weighting in the market index, and with no offsetting position (such as a simultaneous tilt to large growth).Booogle wrote: ↑Wed Aug 25, 2021 9:43 amNathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
Yes, which is why people just buy VTSAX.
VTSAX has everything.
Market cap has only beta, which describes 70-% of portfolio returns.
Factor portfolios have 95% + of portfolio returns explained.
Which one is a gamble?
Small/Value/Profitability: |
30% AVUV |
30% AVDV |
30% AVES |
Momentum: |
5% QMOM |
5% IMOM |
Volatility: |
0.1% PUTW |
Term: |
0.1% BND
-
- Posts: 93
- Joined: Sat May 30, 2020 2:09 pm
Re: New Avantis ETFs
Interesting. I’ll have to pay attention to see what Paul Merriman, Ben Felix and others have to say about these offerings. I wonder if or when DFA will release a Global ETF, or just more ETFs. I doubt they ever offer their Small Value funds as ETF offerings though.
50% Global CAPM Index Fund 12.5% US Concentrated Value 12.5% Foreign Concentrated Value 12.5% US Concentrated Momentum 12.5% Foreign Concentrated Momentum
-
- Posts: 15289
- Joined: Fri Apr 10, 2015 12:29 am
Re: New Avantis ETFs
The market factor explains essentially 100% of the return of a market index fund. Everything else is diversified away.FiveFactor wrote: ↑Thu Sep 16, 2021 5:29 amNorthern Flicker wrote: ↑Thu Sep 16, 2021 2:19 amNot arguing against a market cap index fund, but by definition, VTSAX has zero exposure to all factors other than the market factor. Having exposure to the US size and value factor doesn't just mean holding small value stocks-- it means holding more of it than the weighting in the market index, and with no offsetting position (such as a simultaneous tilt to large growth).Booogle wrote: ↑Wed Aug 25, 2021 9:43 amNathan Drake wrote: ↑Wed Aug 25, 2021 8:25 amNegative correlation combined with similar expected long term returns is a great thing.
Yes, which is why people just buy VTSAX.
VTSAX has everything.
Market cap has only beta, which describes 70-% of portfolio returns.
Factor portfolios have 95% + of portfolio returns explained.
Which one is a gamble?
There is no guarantee that other factors will not all be negative during a market meltdown. Multifactor funds may perform worse than the market or may perform better. An S&P small-cap 600 value fund has exposure to the market, size, value, and quality factors. It nonetheless will be a riskier investment than a market index fund, though you may be able to meet your objective while holding less exposure to stock than with a market index fund.
A market index portfolio and a factor-tilted portfolio are both valid approaches, and I frankly don't take seriously viewpoints that extol one of them while denying the validity of the other. There are tradeoffs with each.
Last edited by Northern Flicker on Thu Sep 16, 2021 2:21 pm, edited 1 time in total.