Small Cap Value heads Rejoice !!!

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SafeBonds
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

drumboy256 wrote: Fri Mar 18, 2022 8:58 pm
SafeBonds wrote: Fri Mar 18, 2022 12:20 pm
drumboy256 wrote: Fri Mar 18, 2022 11:59 am I've gone full-tilt small cap now and am using AVUV and AVDV as my two funds for a majority of my holdings going forward especially in the years ahead. I still hold index funds in HSA and taxable (AVUS/ITOT/FSKAX) which are now getting funds (finally) in addition to 401k and Roth's. Either way, now seems a good time as ever to jump in! :sharebeer
I made this same change in taxable when I tax loss harvested near the bottom of the pandemic lows. Some have accused me of being "all-in" small cap value, but the way the research frames this, a full loading of 1 would be a long/short portfolio, and I am long only, so even a full allocation to these ETFs would not be "all-in". I have a larger loading on market beta than I do small or value factors.

I also have funds like Fidelity Large Cap Value Mutual Fund in my 401k, because that is my best option there, but my AVUV position is larger. I'm happy with the simplicity and large/small cap balance this gives me.

Similarly my AVDV position is slightly larger than a position in a 401k in DFA International Value Mutual Fund. I'm happy here too.

I've been really pleased with my portfolio since making these changes. I've also decided to use Swedroe's 5/25 rebalancing band, so only rebalance when an asset class is off by 5% absolute or 25% relative allocation. That has given me a lot of peace of mind because during the pandemic lows I got lucky and just 'winged it' and chose to rebalance honestly arbitrarily. Best of luck to us :beer
Curious, do you have FLCOX? I looked at that one but am thinking of getting it but I think I'm moving to VVIAX - Vanguard Value Index Fund Admiral Shares because I like the CRSP US Value index rather than the Russel, but curious others opinions before I pull the trigger on selling VASGX (Lifestyle 80/20)
Yes I use FLCOX just because I have limited options in my current 401k. The options are basically low cost S&P 500 index fund, FLCOX, or various high expense ratio funds. I haven't done much research on US Large Cap Value funds but Avantis offers AVLV
freyj6
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Re: Small Cap Value heads Rejoice !!!

Post by freyj6 »

Value still seems really cheap right now.

For the last two years people were talking about the spreads between value and growth, but it seems to be that a lot of that was just the high prices of growth stocks.

P?Es right now according to Morningstar:

AVUV: 8.68
QVAL: 7.51
AVDV: 8.46
AVES: 6.94
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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

https://twitter.com/ryanpkirlin/status/ ... 35776?s=21

To sum up; historically long only SCV has performed the same as long only MCV/LCV.
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TheDoctor91
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Re: Small Cap Value heads Rejoice !!!

Post by TheDoctor91 »

Forester wrote: Tue Mar 29, 2022 11:40 am https://twitter.com/ryanpkirlin/status/ ... 35776?s=21

To sum up; historically long only SCV has performed the same as long only MCV/LCV.

Interesting, PV also shows performance is about the same. However, QVAL also costs 25 bps over AVUV so AVUV still seems like the best bet.
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Re: Small Cap Value heads Rejoice !!!

Post by Wade Garrett »

TheDoctor91 wrote: Wed Mar 30, 2022 12:47 am Interesting, PV also shows performance is about the same.
The further back you go the better it looks for SCV. MCV (which I like along with SCV) outperformed SCV over the lifetime of many of the MCV ETS with mid 2000s inception dates. I haven't seen any data saying LCV performs about the same as MCV or SCV.

The problem with backtests is slight adjustments to start/end dates can give drastically different results. There's also issues with different measure of "value," different levels of value exposure, different definitions of small vs mid vs large, etc.

For instance, here are the average weighted market caps of four Vanguard ETFs.........
MCV ETF (VOE) - $25.23 bil
S&P MCV 400 ETF (IVOV) - $6.48 bil
SCV ETF (VBR) - $7.02 bil
S&P SCV 600 ETF (VIOV) - $2.08 bil

No your eyes are not playing tricks on you..... Vanguard has a MCV ETF that is technically smaller than one of its SCV ETFs.

If I have a 50 year investing horizon and must make a bet on outperformance between SCV, MCV and LCV, I'm betting SCV.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Wade Garrett wrote: Thu Mar 31, 2022 11:22 am The further back you go the better it looks for SCV.
Is that old data valid anymore in the current age of Fama-French, affordable high performance computing, and deep learning algorithms?
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Re: Small Cap Value heads Rejoice !!!

Post by Wade Garrett »

rkhusky wrote: Thu Mar 31, 2022 3:29 pm
Wade Garrett wrote: Thu Mar 31, 2022 11:22 am The further back you go the better it looks for SCV.
Is that old data valid anymore in the current age of Fama-French, affordable high performance computing, and deep learning algorithms?
When comparing the history of SCV vs MCV vs LCV..... yes I think so
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

Small & mid caps look cheap again, ton of charts from Yardeni yesterday https://www.yardeni.com/pub/stockmktperatio.pdf

Image
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TheDoctor91
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Re: Small Cap Value heads Rejoice !!!

Post by TheDoctor91 »

Forester wrote: Wed Apr 06, 2022 8:58 am Small & mid caps look cheap again, ton of charts from Yardeni yesterday https://www.yardeni.com/pub/stockmktperatio.pdf

Image
Market doesn’t and hasn’t looked horrifically overvalued for a while IMO.
vp89
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Re: Small Cap Value heads Rejoice !!!

Post by vp89 »

I am considering adding a 25% SCV tilt to my 3-fund portfolio but I have a bunch of questions about it:

1) Does it make sense to have your US and exUS SCV holding be proportional to your TSM one for that same region? For example if your AA is based on global market cap with US roughly at 60% and a 25% SCV tilt you would hold 45% of equity as US TSM and 15% as US SCV.

2) Does AVUV provide a different exposure than products like SLYV or VIOV? I am wondering if it always makes sense to pair AVDV with AVUV or if one can opt for the cheaper index-based SLYV/VIOV for the US part of the tilt.

3) How do people deal with rebalancing into asset classes that aren't available in 401k? I would prefer to put SCV holdings in Roth especially the Avantis products which don't have a proven track record of tax efficiency. Our Roths are about 25-30% of our total portfolio and will likely trend down over time as we increase our taxable account size. If all stocks go down and bonds go up, how do I sell bonds in my 401k to buy more SCV if my 401k doesnt have any suitable SCV options and my Roth is already 100% full with SCV?
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Re: Small Cap Value heads Rejoice !!!

Post by freyj6 »

vp89 wrote: Wed Apr 06, 2022 10:09 pm I am considering adding a 25% SCV tilt to my 3-fund portfolio but I have a bunch of questions about it:

1) Does it make sense to have your US and exUS SCV holding be proportional to your TSM one for that same region? For example if your AA is based on global market cap with US roughly at 60% and a 25% SCV tilt you would hold 45% of equity as US TSM and 15% as US SCV.

2) Does AVUV provide a different exposure than products like SLYV or VIOV? I am wondering if it always makes sense to pair AVDV with AVUV or if one can opt for the cheaper index-based SLYV/VIOV for the US part of the tilt.

3) How do people deal with rebalancing into asset classes that aren't available in 401k? I would prefer to put SCV holdings in Roth especially the Avantis products which don't have a proven track record of tax efficiency. Our Roths are about 25-30% of our total portfolio and will likely trend down over time as we increase our taxable account size. If all stocks go down and bonds go up, how do I sell bonds in my 401k to buy more SCV if my 401k doesnt have any suitable SCV options and my Roth is already 100% full with SCV?
1. Generally yes. With no constraints, I see little reason why a global market cap portfolio with a 25% tilt shouldn’t have the same ratio within the SCV portion. That said, often there are differences that matter. For example, Vanguard doesn’t have a developed or emerging markets value fund. So for me personally, within my 401(k) I can hold the US small-cap value but not international. That changes my holdings a bit. If you want to dive into the weeds, there might be other considerations like the price spread between growth and value in US vs ex-US.

2. AVUV is smaller more “valuey” than the larger indexes. Avantis also does some semi-active things like waiting to buy stocks when they have strong negative momentum. So when the small premium and the value premium do well these funds are likely to do better. When they do poorly these funds are likely to do worse. You might look at the six months after the vaccines were released to see how that looks when value does well, and compare the funds.

3. I don’t know if there’s a perfect answer here without knowing the future. If you don’t have any good small-cap value funds in your 401(k), then you’ll want to hold them in your Roth and eventually in taxable. A lot depends on your tax situation though. Personally I do Roth conversions with part of my 401(k), in part just to have better investment options available.
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

vp89 wrote: Wed Apr 06, 2022 10:09 pm I am considering adding a 25% SCV tilt to my 3-fund portfolio but I have a bunch of questions about it:

1) Does it make sense to have your US and exUS SCV holding be proportional to your TSM one for that same region? For example if your AA is based on global market cap with US roughly at 60% and a 25% SCV tilt you would hold 45% of equity as US TSM and 15% as US SCV.

2) Does AVUV provide a different exposure than products like SLYV or VIOV? I am wondering if it always makes sense to pair AVDV with AVUV or if one can opt for the cheaper index-based SLYV/VIOV for the US part of the tilt.

3) How do people deal with rebalancing into asset classes that aren't available in 401k? I would prefer to put SCV holdings in Roth especially the Avantis products which don't have a proven track record of tax efficiency. Our Roths are about 25-30% of our total portfolio and will likely trend down over time as we increase our taxable account size. If all stocks go down and bonds go up, how do I sell bonds in my 401k to buy more SCV if my 401k doesnt have any suitable SCV options and my Roth is already 100% full with SCV?
1.) Your choice. Personally, I weight 70 US / 30 International (which is 60-70% Domestic, 20-30% International) based on the variance of sliding scales. I won't get into specifics on why as I've tried to do so on this forum but its like talking to a mime. Anyways, for me, 100% of my International is SCV with AVDV. As to the proportion of SCV relative to TSM, flip a coin-- I say that because statistically, you're either going to love or hate yourself depending on not going more fully SCV relative to TSM (because of potentially out performance) or you'll hate yourself because you weighted more heavily to SCV and it under performs. Find your goldielocks and stick with it. (BTW, experiment before making wide sweeping changes... you'll save yourself a lot of heart burn)

2.) Short answer: Yes, Long Answer: Yes*
Short answer is Avantis is active managed. SLYV or VIOV are passively indexed which don't get you most of the momentum trades that Avantis uses to their advantage. As to your insights--- yes, AVUV + AVDV is the logical pairing I've gone with and its served me quite well. If you go and read Merriman's UBH setup, SLYV or VIOV could be substituted funds for AVUV although, you'd lose out on risk premium based on acceleration and momentum based trades of an actively managed fund.
-- Long answer: You get into semi-uncharted waters on which "active fund" is better. Dimensional just came out with a lot of their ETFs which look good. Avantis has a decent track record and not terrible expense ratios so again, it's a coin toss in terms of which ETF you were to go with.

3.) Me personally, I use any and all "roll-over" 401k/IRA's as much as I can as "static". Meaning, I don't traditionally "re-balance" unless I absolutely have to. For example: AVDV makes up around 26% of my total portfolio right now-- if that were to creep up to 30-35% in my next re-balance check in January of 2023, I would sell out of enough the fund to bring it back to 30% and most likely purchase AVUV or DFSV within that account. Most of the time as well, 401k's (still managed by an old employer like mine) don't have access to all mutual funds and/or ETFs which is problematic. In that, my portfolio setup right now across all accounts (for reference) is as follows:

Old 401k:
VVIAX - Vanguard Value Index Fund Admiral Shares
VSIAX - Vanguard Small Cap Value Index Fund Admiral Shares

New 401k:
Dryden SP500 - SP500 Fund
VSMAX - Vanguard Small-Cap Index Fund Admiral Shares

DW's Rollover:
AVDV - AVANTIS INTERNATIONAL SMALL CAP VALUE ETF

DW's Roth:
AVUV - AVANTIS US SMALL CAP VALUE ETF

I won't mention my personal rollover IRA / Roth accounts since I'm doing a modified version of HFEA which is not for the feint of heart. Taxable wise, I have FSKAX + SSO and will be adding DFSV to that mix in the next quarter or so to start building that up. As to selling out of Bonds in a 401k to buy SCV, it really depends on your fund availability. Avantis Mutual's are locked at $5M minimum and the DFA funds--- well, you need to know Bob's uncle's second brother's cousin to get those. Best of luck! :sharebeer
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vp89
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Re: Small Cap Value heads Rejoice !!!

Post by vp89 »

drumboy256 wrote: Thu Apr 07, 2022 7:15 am 1.) Your choice. Personally, I weight 70 US / 30 International (which is 60-70% Domestic, 20-30% International) based on the variance of sliding scales. I won't get into specifics on why as I've tried to do so on this forum but its like talking to a mime. Anyways, for me, 100% of my International is SCV with AVDV. As to the proportion of SCV relative to TSM, flip a coin-- I say that because statistically, you're either going to love or hate yourself depending on not going more fully SCV relative to TSM (because of potentially out performance) or you'll hate yourself because you weighted more heavily to SCV and it under performs. Find your goldielocks and stick with it. (BTW, experiment before making wide sweeping changes... you'll save yourself a lot of heart burn)
I like the idea of a heavier SCV tilt for exUS (between 50% and 100%, compared to 25% for US) and I did consider that quite seriously. Ultimately I am leaning against doing that because it feels like a "bet" based on my read of the world economy. Also, I don't think I could make the mechanics of it work out based on my preference to hold SCV in Roth and inability to hold SCV in 401k.

I do agree with the thinking behind that decision though, based on what we know today. I believe a proportional tilt would still provide an adequate diversification benefit to the portfolio with the added benefit of there being 1 less decision to second guess in the future.
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

vp89 wrote: Thu Apr 07, 2022 10:06 am
drumboy256 wrote: Thu Apr 07, 2022 7:15 am 1.) Your choice. Personally, I weight 70 US / 30 International (which is 60-70% Domestic, 20-30% International) based on the variance of sliding scales. I won't get into specifics on why as I've tried to do so on this forum but its like talking to a mime. Anyways, for me, 100% of my International is SCV with AVDV. As to the proportion of SCV relative to TSM, flip a coin-- I say that because statistically, you're either going to love or hate yourself depending on not going more fully SCV relative to TSM (because of potentially out performance) or you'll hate yourself because you weighted more heavily to SCV and it under performs. Find your goldielocks and stick with it. (BTW, experiment before making wide sweeping changes... you'll save yourself a lot of heart burn)
I like the idea of a heavier SCV tilt for exUS (between 50% and 100%, compared to 25% for US) and I did consider that quite seriously. Ultimately I am leaning against doing that because it feels like a "bet" based on my read of the world economy. Also, I don't think I could make the mechanics of it work out based on my preference to hold SCV in Roth and inability to hold SCV in 401k.

I do agree with the thinking behind that decision though, based on what we know today. I believe a proportional tilt would still provide an adequate diversification benefit to the portfolio with the added benefit of there being 1 less decision to second guess in the future.
Yeah that sounds reasonable. I think without getting into geo-political territory, International exposure going forward is a good thing since a lot of companies are going to have land-locked funds and accounting reporting based on the politics of the EU and taxation. That said, beyond just taxing income of US companies, globalization has completely faltered and fallen flat which will lead a LOT of companies to bring labor and manufacturing back to native countries to hyper-source products closer to their consumers. I'll eat my words in 30 years on this forum if International doesn't move the needle but I think people will be surprised.
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

vp89 wrote: Thu Apr 07, 2022 10:06 am
drumboy256 wrote: Thu Apr 07, 2022 7:15 am 1.) Your choice. Personally, I weight 70 US / 30 International (which is 60-70% Domestic, 20-30% International) based on the variance of sliding scales. I won't get into specifics on why as I've tried to do so on this forum but its like talking to a mime. Anyways, for me, 100% of my International is SCV with AVDV. As to the proportion of SCV relative to TSM, flip a coin-- I say that because statistically, you're either going to love or hate yourself depending on not going more fully SCV relative to TSM (because of potentially out performance) or you'll hate yourself because you weighted more heavily to SCV and it under performs. Find your goldielocks and stick with it. (BTW, experiment before making wide sweeping changes... you'll save yourself a lot of heart burn)
I like the idea of a heavier SCV tilt for exUS (between 50% and 100%, compared to 25% for US) and I did consider that quite seriously. Ultimately I am leaning against doing that because it feels like a "bet" based on my read of the world economy. Also, I don't think I could make the mechanics of it work out based on my preference to hold SCV in Roth and inability to hold SCV in 401k.

I do agree with the thinking behind that decision though, based on what we know today. I believe a proportional tilt would still provide an adequate diversification benefit to the portfolio with the added benefit of there being 1 less decision to second guess in the future.
Yeah that sounds reasonable. I think without getting into geo-political territory, International exposure going forward is a good thing since a lot of companies are going to have land-locked funds and accounting reporting based on the politics of the EU and taxation. That said, beyond just taxing income of US companies, globalization has completely faltered and fallen flat which will lead a LOT of companies to bring labor and manufacturing back to native countries to hyper-source products closer to their consumers. I'll eat my words in 30 years on this forum if International doesn't move the needle but I think people will be surprised.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | 20% IVV / 40% IBIT / 20% IXUS / 20% VGLT + chill
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Re: Small Cap Value heads Rejoice !!!

Post by bmstrong »

Any general thoughts or consensus on DFSV? Anyone planning to shift from Avantis to Dimensional going forward?
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

bluerafters wrote: Thu Apr 14, 2022 1:48 pm Any general thoughts or consensus on DFSV? Anyone planning to shift from Avantis to Dimensional going forward?
Why?
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Re: Small Cap Value heads Rejoice !!!

Post by swilgu1 »

Not considering switching to DFSV but I'll piggy back on this to mention a move from Avantis to Vanguard I'm considering in tax advantaged accounts. I posted about it on Rational Reminder but it didn't get any traction:

Specifically moving from 50% AVLV/ 50% AVUV to 100% VFVA. Here's the rationale I posted:

50/50 split between large value/small value vs 100% VFVA, so I ran exactly that in portfolio visualizer [here](https://www.portfoliovisualizer.com/bac ... ion3_2=100)

Jan 2019 - Mar 2022
Portfolio / CAGR / SD / Mkt / SmB / HmL / NER
50/50 LV/SV / 16.47% / 23.96% / 1.04 / .39 / .59 / .26%
VFVA / 19.51% / 27.25% / 1.16 / .43 / .70 / .13%

The 50/50 split has a PE of 11.78, 33% large cap, 23% mid cap, 44% small cap
VFVA has a PE of 11.38, 30% large cap, 25% mid cap, 45% small cap

For those of us that want to split between LV and SV, is VFVA a more efficient option? It has a lower ER, similar cap exposure, and better factor exposure. Also has the advantage of one less fund for US allocation. Granted, I realize this comparison involves a short timeframe.

I wonder if this also provides a bit of fund diversification + value 'definition' diversification when holding Avantis exUS funds?
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Re: Small Cap Value heads Rejoice !!!

Post by jshaffer740 »

swilgu1 wrote: Thu Apr 14, 2022 1:58 pm Not considering switching to DFSV but I'll piggy back on this to mention a move from Avantis to Vanguard I'm considering in tax advantaged accounts. I posted about it on Rational Reminder but it didn't get any traction:

Specifically moving from 50% AVLV/ 50% AVUV to 100% VFVA. Here's the rationale I posted:

50/50 split between large value/small value vs 100% VFVA, so I ran exactly that in portfolio visualizer [here](https://www.portfoliovisualizer.com/bac ... ion3_2=100)

Jan 2019 - Mar 2022
Portfolio / CAGR / SD / Mkt / SmB / HmL / NER
50/50 LV/SV / 16.47% / 23.96% / 1.04 / .39 / .59 / .26%
VFVA / 19.51% / 27.25% / 1.16 / .43 / .70 / .13%

The 50/50 split has a PE of 11.78, 33% large cap, 23% mid cap, 44% small cap
VFVA has a PE of 11.38, 30% large cap, 25% mid cap, 45% small cap

For those of us that want to split between LV and SV, is VFVA a more efficient option? It has a lower ER, similar cap exposure, and better factor exposure. Also has the advantage of one less fund for US allocation. Granted, I realize this comparison involves a short timeframe.

I wonder if this also provides a bit of fund diversification + value 'definition' diversification when holding Avantis exUS funds?
I’d probably be more interested in the methodologies of the two funds rather than a backtest. Go with the methodology (or fund provider) that you feel more comfortable with. As you note, it’s probably too early to draw significant conclusions from the backtest (if you ever should draw significant conclusions from a backtest).

For what it’s worth, I feel very good about Avantis’s methodology. In particular—and your analysis doesn’t compare this—I like that Avantis incorporates the profitability factor and a momentum screen. I’m not sure if Vangaurd does that, but if not, that could more than make up for the ER difference. I also like that they’re a fund provider solely focused on this sort of investing.

Resist the urge to tinker. Both of these routes will get you where you want to go. The most important thing is choosing a strategy and sticking with it—much more important than trying to save a few basis points in ER. Ask yourself which strategy and fund you’re likely to stick with for the long haul. Go with that one.
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Re: Small Cap Value heads Rejoice !!!

Post by Dry-Drink »

swilgu1 wrote: Thu Apr 14, 2022 1:58 pm Specifically moving from 50% AVLV/ 50% AVUV to 100% VFVA.
VFVA is a massive bet on price reversal (negative momentum). I like value, but only if it comes without a negative trend. Avantis is better. Or just use VFMF, the rolls-royce of factor funds.
bluerafters wrote: Thu Apr 14, 2022 1:48 pm Any general thoughts or consensus on DFSV? Anyone planning to shift from Avantis to Dimensional going forward?
Wrote some thoughts here that might relate to that:
viewtopic.php?p=6539746#p6539746
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Re: Small Cap Value heads Rejoice !!!

Post by swilgu1 »

I hold AVUV in my taxable account and AVIV/AVDV/AVES for exUS allocations, so I was specifically thinking about diversifying across methodologies (i.e., pure value composite across all capitalizations with VFVA vs. the joint value-profitability approach of Avantis), with VFVA having the additional benefits I indicated above.

Dry drink, can you elaborate on what you mean by VFVA being a massive bet on price reversal? I understand VFVA has negative momentum exposure like many deep value funds.
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Re: Small Cap Value heads Rejoice !!!

Post by Dry-Drink »

swilgu1 wrote: Thu Apr 14, 2022 3:14 pm Dry drink, can you elaborate on what you mean by VFVA being a massive bet on price reversal? I understand VFVA has negative momentum exposure like many deep value funds.
Avantis funds invest in value companies but only if they have not dropped in price substantially, recently. VFVA will invest in value, regardless of recent price action (and is rebalanced daily to capture those). If there are substantial price reversals in the market, Avantis funds will be minimally affected by that while VFVA would benefit quite a bit. So moving money from Avantis to VFVA is like taking a chance that we'll see substantial price reversals.

Other deep value funds are as exposed to negative momentum as VFVA but not to the price reversal factor, as that one is measured in days while momentum in months. Most deep value funds I know do not rebalance daily (like VFVA) so they shouldn't be too exposed to the price reversals factor.
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

I looked at VFVA long and hard and went with Advantis because of the various reasons people are pointing out. While it's still actively managed, I just don't trust Vanguard to get the "bet' within SCV right which is why I'd park money in AVUV or DFSV in a heart beat. I'm thinking of adding DFSV in my taxable but I'm waiting another 12 months to see what their cycle is before jumping in.

VFVA ticks a lot of boxes for the factor tilt but the value, (to me at least) comes out to be sub-par to DFA or Avantis.
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Re: Small Cap Value heads Rejoice !!!

Post by One More Thing »

Just looked at AVLV for the first time. The first thing that stands out to me is the PEG ratio when compared to other value and broad market ETFs. The second thing is if you divide the P/B by the P/E you get a loose Return on Equity/Invested Capital ratio that rivals Quality factor ETFs.

Currently on the US side I have 70% TSM (FSKAX) and 30% SCV (AVUV). I understand that the Value factor > the Size factor so I plan to shuffle some of my TSM allocation over to AVLV now. Any recommendations?
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

One More Thing wrote: Fri Apr 15, 2022 12:53 pm Just looked at AVLV for the first time. The first thing that stands out to me is the PEG ratio when compared to other value and broad market ETFs. The second thing is if you divide the P/B by the P/E you get a loose Return on Equity/Invested Capital ratio that rivals Quality factor ETFs.

Currently on the US side I have 70% TSM (FSKAX) and 30% SCV (AVUV). I understand that the Value factor > the Size factor so I plan to shuffle some of my TSM allocation over to AVLV now. Any recommendations?
AVLV isn't a bad choice, I had to go with VTV (VVIAX) in my 401k due to limited options of not being able to get ETFs. The trick is if you're already running FSKAX, you don't want to overlap too much with TSM with LCV but-- the trick is to not lower market exposure. If it were me, I'd run 35% FSKAX / 35% AVLV / 30% AVUV to keep that position in place--- Or reverse LCV with SCV and run 30% AVLV and 35% AVUV if you'd like.
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Re: Small Cap Value heads Rejoice !!!

Post by SadCryingValiant »

There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
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Re: Small Cap Value heads Rejoice !!!

Post by 000 »

SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
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Re: Small Cap Value heads Rejoice !!!

Post by jason2459 »

000 wrote: Tue Apr 19, 2022 8:11 pm
SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
Even SLYV another S&P 600 Value ETF can beat IJS over time
https://www.portfoliovisualizer.com/bac ... ion2_2=100
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Re: Small Cap Value heads Rejoice !!!

Post by vp89 »

vp89 wrote: Thu Apr 07, 2022 10:06 am
drumboy256 wrote: Thu Apr 07, 2022 7:15 am 1.) Your choice. Personally, I weight 70 US / 30 International (which is 60-70% Domestic, 20-30% International) based on the variance of sliding scales. I won't get into specifics on why as I've tried to do so on this forum but its like talking to a mime. Anyways, for me, 100% of my International is SCV with AVDV. As to the proportion of SCV relative to TSM, flip a coin-- I say that because statistically, you're either going to love or hate yourself depending on not going more fully SCV relative to TSM (because of potentially out performance) or you'll hate yourself because you weighted more heavily to SCV and it under performs. Find your goldielocks and stick with it. (BTW, experiment before making wide sweeping changes... you'll save yourself a lot of heart burn)
I like the idea of a heavier SCV tilt for exUS (between 50% and 100%, compared to 25% for US) and I did consider that quite seriously. Ultimately I am leaning against doing that because it feels like a "bet" based on my read of the world economy. Also, I don't think I could make the mechanics of it work out based on my preference to hold SCV in Roth and inability to hold SCV in 401k.

I do agree with the thinking behind that decision though, based on what we know today. I believe a proportional tilt would still provide an adequate diversification benefit to the portfolio with the added benefit of there being 1 less decision to second guess in the future.
After much consideration, I ended up changing my mind on this and have gone with just tilting 50% of my International. New AA is 54% US TSM, 18% International TSM, 18% International SCV and 10% bonds. Went with AVDV and I will be holding it in our IRAs and taxable. Overall this change should be a nice sweet spot of improved diversification but not straying from the 3-fund level of simplicity (I just swapped out FTIHX with AVDV in IRAs so only 1 net new holding). No potential for tracking error regret as Im not tilting my US position. I'll "simplify" our 401ks with just a US Large Cap instead of 2-fund TSM approximation. So in the end I get to have my tilt and 1 less holding to keep track of 8-)
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Re: Small Cap Value heads Rejoice !!!

Post by bigdog34 »

I like that idea of half INT exposure in SCV and might do the same in the near future. Seems like the SCV premium is more robust overseas maybe because INT markets aren't dominated by mega cap tech.
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

bigdog34 wrote: Thu Apr 21, 2022 12:19 am I like that idea of half INT exposure in SCV and might do the same in the near future. Seems like the SCV premium is more robust overseas maybe because INT markets aren't dominated by mega cap tech.
Premiums for individual markets are hard to predict, it’s not too much more of a leap to start integrating value across the entire spectrum :)

Who knows, maybe market beta exUS outperforms value while the opposite occurs in the US, you never know
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Re: Small Cap Value heads Rejoice !!!

Post by freyj6 »

Nathan Drake wrote: Thu Apr 21, 2022 12:57 am
bigdog34 wrote: Thu Apr 21, 2022 12:19 am I like that idea of half INT exposure in SCV and might do the same in the near future. Seems like the SCV premium is more robust overseas maybe because INT markets aren't dominated by mega cap tech.
Premiums for individual markets are hard to predict, it’s not too much more of a leap to start integrating value across the entire spectrum :)

Who knows, maybe market beta exUS outperforms value while the opposite occurs in the US, you never know
Agreed. Just because US growth has outperformed doesn’t mean international value will be more reliable going forward. In fact, because the spreads are so much higher in the US, it’s possible that there will be a bigger value premium in the US than ex-US going forward.
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

freyj6 wrote: Thu Apr 21, 2022 1:02 am
Nathan Drake wrote: Thu Apr 21, 2022 12:57 am
bigdog34 wrote: Thu Apr 21, 2022 12:19 am I like that idea of half INT exposure in SCV and might do the same in the near future. Seems like the SCV premium is more robust overseas maybe because INT markets aren't dominated by mega cap tech.
Premiums for individual markets are hard to predict, it’s not too much more of a leap to start integrating value across the entire spectrum :)

Who knows, maybe market beta exUS outperforms value while the opposite occurs in the US, you never know
Agreed. Just because US growth has outperformed doesn’t mean international value will be more reliable going forward. In fact, because the spreads are so much higher in the US, it’s possible that there will be a bigger value premium in the US than ex-US going forward.
Surprisingly the spreads between value and growth seem to be fairly consistent across all markets in terms of historical percentiles (90%+ in US, DM, and EM)

However, value on an absolute basis is even cheaper than US in EM and DM which accounts for the discrepancy. Growth is valued less richly in exUS but the same is true of value.

But your point could be true. Premiums may be higher in the US if we see a significant revaluation of US TSM
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!

Post by Apathizer »

bigdog34 wrote: Thu Apr 21, 2022 12:19 am I like that idea of half INT exposure in SCV and might do the same in the near future. Seems like the SCV premium is more robust overseas maybe because INT markets aren't dominated by mega cap tech.
Interestingly, in ex-US markets the size premium seems fairly modest. It's interesting to me Avantis has SCV funds for US and developed ex-US markets, but not emerging markets. Though EM companies are relatively small compared to developed markets.
https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdf
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Re: Small Cap Value heads Rejoice !!!

Post by Makaveli »

jason2459 wrote: Tue Apr 19, 2022 8:43 pm
000 wrote: Tue Apr 19, 2022 8:11 pm
SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
Even SLYV another S&P 600 Value ETF can beat IJS over time
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Lots of AVUV chatter. For someone holding VIOV (where Vanguard's website even suggests transferring to VBR), is it worth switching over to another fund despite material capital gains? FWIW, gains can be offset by past TLH.
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Re: Small Cap Value heads Rejoice !!!

Post by One More Thing »

Makaveli wrote: Thu Apr 21, 2022 8:45 pm Lots of AVUV chatter. For someone holding VIOV (where Vanguard's website even suggests transferring to VBR), is it worth switching over to another fund despite material capital gains? FWIW, gains can be offset by past TLH.
I took a cursory glance at the stats. VBR has a PEG+Dividend Yield Ratio of 0.78 and a Book-to-Earnings ratio of roughly 6.76. VIOV has 1.32 and 8.98 respectively. VBR has half the NER at 0.07% to VIOV's 0.15%. VIOV has a slightly better Tax Cost Ratio of 0.6% to VBR's 0.67%. VBR has half the turnover ratio at 16% to VIOV's 32%.

VBR is 60% of VIOV's value, is twice as cheap, and has half as much turnover. VIOV is 33% more profitable and has slightly better tax costs. I will leave the final call to you.
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Re: Small Cap Value heads Rejoice !!!

Post by jason2459 »

Makaveli wrote: Thu Apr 21, 2022 8:45 pm
jason2459 wrote: Tue Apr 19, 2022 8:43 pm
000 wrote: Tue Apr 19, 2022 8:11 pm
SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
Even SLYV another S&P 600 Value ETF can beat IJS over time
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Lots of AVUV chatter. For someone holding VIOV (where Vanguard's website even suggests transferring to VBR), is it worth switching over to another fund despite material capital gains? FWIW, gains can be offset by past TLH.
AVUV I like a lot for their "multi" factor approach with profitability and slight momentum screen for when to buy and sell. Profitability helps screen out the value trap. The momentum light screening can help with that too and reduce turn over which can help reduce trading costs.

SLYV/VIOV I like a lot for the low cost passive index approach and using the S&P index gets a bit of a quality screening to be listed on the index. And costs can matter. Just look SLYV/VIOV with the same expense ratio and IJR with a few basis points more.


I do like VBR because it is low cost and for me I really like that it does hold more mid caps. For others that want that pure SMB play it's not for them. Dimensional does have some ETFs out and one I like as an alternative to VBR is DFAT for it's inclusion of Mid Caps but it does have a higher expense ratio and more active.

For me I would not sell out of VIOV for VBR. Definitely not worth it in a taxable account if cap gains are involved. If I wanted more midcaps then I would in a tax advantaged account. Or if tax loss harvesting I'd rather TLH into AVUV.

AVUV has some advantages in a taxable account. Their stated goal is to reduce costs which can be seen with the low turn over but also the qualified dividends to help reduce taxes. They drastically filter out REITs that are not very tax efficient but I believe they also do so as it's hard to weigh them on the factors involved in the fund make up.

They also almost eliminate Utilities entirely which is another dividend producing sector like REITs. With those two basically reduced to next to nothing helps reduce the dividend yields which again reduces forced taxes on the fund in a taxable account.

If I had to pick a single SCV fund for the US it would be AVUV. I'm glad I don't have to. :mrgreen:
"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 Massdriver »

Makaveli wrote: Thu Apr 21, 2022 8:45 pm
jason2459 wrote: Tue Apr 19, 2022 8:43 pm
000 wrote: Tue Apr 19, 2022 8:11 pm
SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
Even SLYV another S&P 600 Value ETF can beat IJS over time
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Lots of AVUV chatter. For someone holding VIOV (where Vanguard's website even suggests transferring to VBR), is it worth switching over to another fund despite material capital gains? FWIW, gains can be offset by past TLH.
I would rather own VIOV/SLYV/IJS than VBR since the data I've seen indicates VIOV has some exposure to the profitability and investment factors along with value and small. That should screen out a lot of junk. I prefer AVUV over all others, but I would not take a capital gains hit on VIOV to purchase AVUV.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

This is 18+ months old or so, but here is an interesting chart from the Rational Reminders forum:

Image
https://aws1.discourse-cdn.com/business ... 434f1.jpeg
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Re: Small Cap Value heads Rejoice !!!

Post by Makaveli »

Massdriver wrote: Fri Apr 22, 2022 10:13 am
Makaveli wrote: Thu Apr 21, 2022 8:45 pm
jason2459 wrote: Tue Apr 19, 2022 8:43 pm
000 wrote: Tue Apr 19, 2022 8:11 pm
SadCryingValiant wrote: Tue Apr 19, 2022 10:58 am There's a 10% performance gap 1-year between IJS and AVUV. That's pretty insane.
Wow!

Even VBR is beating IJS. :confused
Even SLYV another S&P 600 Value ETF can beat IJS over time
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Lots of AVUV chatter. For someone holding VIOV (where Vanguard's website even suggests transferring to VBR), is it worth switching over to another fund despite material capital gains? FWIW, gains can be offset by past TLH.
I would rather own VIOV/SLYV/IJS than VBR since the data I've seen indicates VIOV has some exposure to the profitability and investment factors along with value and small. That should screen out a lot of junk. I prefer AVUV over all others, but I would not take a capital gains hit on VIOV to purchase AVUV.
That's helpful. The gain is larger than I thought (92k) so it looks like I'll be holding those shares for the foreseeable future. If the day ever comes I'll make a note in my IPS to TLH with AVUV vs. VBR.
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Re: Small Cap Value heads Rejoice !!!

Post by Makaveli »

Massdriver wrote: Fri Apr 22, 2022 11:06 am This is 18+ months old or so, but here is an interesting chart from the Rational Reminders forum:

Image
https://aws1.discourse-cdn.com/business ... 434f1.jpeg
Neat. The work has usually been done, it's only a matter of finding it.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Makaveli wrote: Fri Apr 22, 2022 2:24 pm
Massdriver wrote: Fri Apr 22, 2022 11:06 am This is 18+ months old or so, but here is an interesting chart from the Rational Reminders forum:

Image
https://aws1.discourse-cdn.com/business ... 434f1.jpeg
Neat. The work has usually been done, it's only a matter of finding it.
I should mention that one thing that has changed since that chart was made was DFA now has ETFs available to retail investors. The chart also does not cover factor products that cover all caps such as Vanguard's factor products and ETFs like QVAL (which also gets into the concentration vs diversification debate).

This wouldn't change my own preference for AVUV with new money while keeping my old shares of VIOV, but DFA being available to retail investors is a big deal and would seem even bigger if Avantis didn't have such great offerings.
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Re: Small Cap Value heads Rejoice !!!

Post by livesoft »

AVUV (Avantis US small-cap value) has been pretty volatile in the past couple of weeks trading as high as 82.67 on April 21 and so far today at 75.11 or more than 9% lower. Earlier today was an intraday RBD. Fridays cannot be RBDs, by definition, but last Friday's one-day drop was -3.12%.
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Re: Small Cap Value heads Rejoice !!!

Post by livesoft »

Update: That has worked out rather well. AVUV has been up more than 2.5% off the lows of the day. There is no way to predict what will happen next though.
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

livesoft wrote: Mon Apr 25, 2022 2:19 pm Update: That has worked out rather well. AVUV has been up more than 2.5% off the lows of the day. There is no way to predict what will happen next though.
Well, stocks do only go up so...... 8-)
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Re: Small Cap Value heads Rejoice !!!

Post by Cantrip »

Massdriver wrote: Fri Apr 22, 2022 11:06 am This is 18+ months old or so, but here is an interesting chart from the Rational Reminders forum:

Image
https://aws1.discourse-cdn.com/business ... 434f1.jpeg
While the chart is nicely put together, it is based on only 1 year of factor regression. IIRC the CRSP SCV index (VBR) has positive RMW and CMA factor loadings since inception, but just not during the October 2019 to October 2020 time period. The table is misleading because while trying to give all the ETFs the same time period -- it does not have enough data to do an accurate job.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Cantrip wrote: Mon Apr 25, 2022 11:48 pm
Massdriver wrote: Fri Apr 22, 2022 11:06 am This is 18+ months old or so, but here is an interesting chart from the Rational Reminders forum:

Image
https://aws1.discourse-cdn.com/business ... 434f1.jpeg
While the chart is nicely put together, it is based on only 1 year of factor regression. IIRC the CRSP SCV index (VBR) has positive RMW and CMA factor loadings since inception, but just not during the October 2019 to October 2020 time period. The table is misleading because while trying to give all the ETFs the same time period -- it does not have enough data to do an accurate job.
Thank you for that and that seems like a valid critique. My guess is they did the regression that way to have AVUV included.
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

AVUV is almost 10% ahead of VTI in year to date returns. It's still negative but only slightly at just over -4%.
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

willthrill81 wrote: Tue May 03, 2022 3:06 pm AVUV is almost 10% ahead of VTI in year to date returns. It's still negative but only slightly at just over -4%.
AVDV down only 8% (VTMGX down 13%)

AVES down only 8% (VWO down 13%)

Decent value “premiums” so far this year across the board
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!

Post by 000 »

It won't last if they really do tighten. Which I think they will get around to eventually, not necessarily right now or this year. But eventually.
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