Small Cap Value heads Rejoice !!!

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rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Nathan Drake wrote: Sun Sep 11, 2022 12:25 pm If you were to do the opposite, "Low Minus High" you would receive negative expected returns over time, even though some periods may show a positive return.
There is no theoretical basis for that assertion. No one knows whether LmH or HmL will be positive or negative over any future time period.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Random Walker wrote: Sun Sep 11, 2022 10:37 am
rkhusky wrote: Sat Sep 10, 2022 9:29 pm
Random Walker wrote: Sat Sep 10, 2022 8:46 am But just because most of us invest in long only funds does not mean we don’t invest in the value factor.
Yes it does. The value factor is HmL. Investing in a long-only value fund is investing in value stocks, not the value factor.
Maybe we are just playing semantics. Yes, when one is invested in say a combination of long only TSM and SV funds, he does indeed have some net exposure to the size and value factors.

Dave
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate. Choosing to investing in SCV doesn't really have anything to do with factor models in a practical sense, because factor models say nothing about the signs of HmL or SmB or any of the other factors. However, the development of the models was done in a historical period where HmL and SmB were expected to be positive. But they work just as well with the opposite signs. So, there is a historical connection between SCV investing and factor models.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

CletusCaddy wrote: Sun Sep 11, 2022 10:43 am
rkhusky wrote: Sun Sep 11, 2022 7:34 am
Nathan Drake wrote: Sat Sep 10, 2022 10:28 pm There’s no premium for growth in aggregate
Depends on the time period. Growth has had a premium over the last 20+ years. And 3, 5 and 10 years. Value has had a premium over the last 1 year period.
Outperformance =/= premium
Yes, in factorspeak HmL and SmB are called "premiums", which can be positive or negative. But in ordinary speak premium usually is positive.
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Re: Small Cap Value heads Rejoice !!!

Post by Random Walker »

rkhusky wrote: Sun Sep 11, 2022 8:59 pm
Random Walker wrote: Sun Sep 11, 2022 10:37 am
rkhusky wrote: Sat Sep 10, 2022 9:29 pm
Random Walker wrote: Sat Sep 10, 2022 8:46 am But just because most of us invest in long only funds does not mean we don’t invest in the value factor.
Yes it does. The value factor is HmL. Investing in a long-only value fund is investing in value stocks, not the value factor.
Maybe we are just playing semantics. Yes, when one is invested in say a combination of long only TSM and SV funds, he does indeed have some net exposure to the size and value factors.

Dave
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate. Choosing to investing in SCV doesn't really have anything to do with factor models in a practical sense, because factor models say nothing about the signs of HmL or SmB or any of the other factors. However, the development of the models was done in a historical period where HmL and SmB were expected to be positive. But they work just as well with the opposite signs. So, there is a historical connection between SCV investing and factor models.
I think you’re making this way more complicated than it need be. All of our long only stock/bond portfolios are really just a collection of factors, dominated by market beta. The factors explain returns, whether they be positive or negative over any given period. Pretty sure you know and understand all this. Can you further elaborate on the point you’re making?

Dave
rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Random Walker wrote: Sun Sep 11, 2022 9:32 pm I think you’re making this way more complicated than it need be. All of our long only stock/bond portfolios are really just a collection of factors, dominated by market beta. The factors explain returns, whether they be positive or negative over any given period. Pretty sure you know and understand all this. Can you further elaborate on the point you’re making?
If you want to define small, large, value, growth, etc as factors, that is fine. Then HmL and SmB would not be factors, but would be "premiums". Then, factors are not independent of the market, but premiums are independent.
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Re: Small Cap Value heads Rejoice !!!

Post by Random Walker »

rkhusky wrote: Mon Sep 12, 2022 8:50 am
Random Walker wrote: Sun Sep 11, 2022 9:32 pm I think you’re making this way more complicated than it need be. All of our long only stock/bond portfolios are really just a collection of factors, dominated by market beta. The factors explain returns, whether they be positive or negative over any given period. Pretty sure you know and understand all this. Can you further elaborate on the point you’re making?
If you want to define small, large, value, growth, etc as factors, that is fine. Then HmL and SmB would not be factors, but would be "premiums". Then, factors are not independent of the market, but premiums are independent.
Not inventing any definitions. I’m not all that bright, but it’s not all that complicated.
Dave
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Random Walker wrote: Mon Sep 12, 2022 12:08 pm
rkhusky wrote: Mon Sep 12, 2022 8:50 am
Random Walker wrote: Sun Sep 11, 2022 9:32 pm I think you’re making this way more complicated than it need be. All of our long only stock/bond portfolios are really just a collection of factors, dominated by market beta. The factors explain returns, whether they be positive or negative over any given period. Pretty sure you know and understand all this. Can you further elaborate on the point you’re making?
If you want to define small, large, value, growth, etc as factors, that is fine. Then HmL and SmB would not be factors, but would be "premiums". Then, factors are not independent of the market, but premiums are independent.
Not inventing any definitions. I’m not all that bright, but it’s not all that complicated.
Dave
If it’s not that complicated it should be easy to define what a factor is and what it is not. But perhaps it is just a marketing term and has no real meaning.
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

rkhusky wrote: Sun Sep 11, 2022 8:59 pm
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate.
You can "do" factor investing using only long-only funds. You cannot invest directly in a factor, you can only buy stocks, but portfolios of those stocks have, in aggregate, some loading on those factors when regressed with the factor model. A long-only fund can load positively or negatively on a factor like HmL or SmB, but it still can have some loading on those factors.

I would argue that intentionally deviating from a portfolio with HmL = SmB = 0 is "factor investing", even if they do not have HmL = SmB = 1. Likewise most people would not specifically refer to someone with a 100% market-cap portfolio that had market beta = 1, HmL = SmB = 0 as a "factor investor", despite the fact that their portfolio has exposure to the market factor.
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Re: Small Cap Value heads Rejoice !!!

Post by LadyGeek »

The discussion is getting derailed on the definition of a factor. Please stay on-topic.
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Re: Small Cap Value heads Rejoice !!!

Post by Random Walker »

muffins14 wrote: Mon Sep 12, 2022 1:26 pm
rkhusky wrote: Sun Sep 11, 2022 8:59 pm
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate.
You can "do" factor investing using only long-only funds. You cannot invest directly in a factor, you can only buy stocks, but portfolios of those stocks have, in aggregate, some loading on those factors when regressed with the factor model. A long-only fund can load positively or negatively on a factor like HmL or SmB, but it still can have some loading on those factors.

I would argue that intentionally deviating from a portfolio with HmL = SmB = 0 is "factor investing", even if they do not have HmL = SmB = 1. Likewise most people would not specifically refer to someone with a 100% market-cap portfolio that had market beta = 1, HmL = SmB = 0 as a "factor investor", despite the fact that their portfolio has exposure to the market factor.
In effect, we are all factor investors whether we know it or not.

Dave
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Random Walker wrote: Mon Sep 12, 2022 2:27 pm
muffins14 wrote: Mon Sep 12, 2022 1:26 pm
rkhusky wrote: Sun Sep 11, 2022 8:59 pm
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate.
You can "do" factor investing using only long-only funds. You cannot invest directly in a factor, you can only buy stocks, but portfolios of those stocks have, in aggregate, some loading on those factors when regressed with the factor model. A long-only fund can load positively or negatively on a factor like HmL or SmB, but it still can have some loading on those factors.

I would argue that intentionally deviating from a portfolio with HmL = SmB = 0 is "factor investing", even if they do not have HmL = SmB = 1. Likewise most people would not specifically refer to someone with a 100% market-cap portfolio that had market beta = 1, HmL = SmB = 0 as a "factor investor", despite the fact that their portfolio has exposure to the market factor.
In effect, we are all factor investors whether we know it or not.

Dave
It means everything so it means nothing. I prefer the “any tilt away from market” definition to that. Anyway, a SCV investor is more easily defined.
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Re: Small Cap Value heads Rejoice !!!

Post by Random Walker »

rkhusky wrote: Mon Sep 12, 2022 3:52 pm
Random Walker wrote: Mon Sep 12, 2022 2:27 pm
muffins14 wrote: Mon Sep 12, 2022 1:26 pm
rkhusky wrote: Sun Sep 11, 2022 8:59 pm
It is semantics, but it is sloppy semantics to use the same term for different things. Factors have a specific meaning in the factor models and they were defined to be long-short so they would be mostly independent of the market return. If a long SCV fund has exposure to the value and size factors, so do LCV, LCG, and SCG funds.

Since one is not factor investing by using long-only funds, perhaps the term "factor-inspired investing" would be more accurate.
You can "do" factor investing using only long-only funds. You cannot invest directly in a factor, you can only buy stocks, but portfolios of those stocks have, in aggregate, some loading on those factors when regressed with the factor model. A long-only fund can load positively or negatively on a factor like HmL or SmB, but it still can have some loading on those factors.

I would argue that intentionally deviating from a portfolio with HmL = SmB = 0 is "factor investing", even if they do not have HmL = SmB = 1. Likewise most people would not specifically refer to someone with a 100% market-cap portfolio that had market beta = 1, HmL = SmB = 0 as a "factor investor", despite the fact that their portfolio has exposure to the market factor.
In effect, we are all factor investors whether we know it or not.

Dave
It means everything so it means nothing. I prefer the “any tilt away from market” definition to that. Anyway, a SCV investor is more easily defined.
I’m just making the point that even the typical BH TSM/TBM investor is invested in the market, term, credit factors. And he elects no exposure to HmL and SmB.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

I purchased some AVUV, AVDV, and AVES this morning! I like these prices, although I wish AVUV was back in the 60s. I overweighted my purchases slightly to international given the dollar strength.
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Re: Small Cap Value heads Rejoice !!!

Post by Maximum_Profit »

Massdriver wrote: Tue Sep 13, 2022 9:57 am I purchased some AVUV, AVDV, and AVES this morning! I like these prices, although I wish AVUV was back in the 60s. I overweighted my purchases slightly to international given the dollar strength.
Same! It hurts losing almost 2 months worth of salary in a day, but I've got decades to go so bring on the pain! I'm also weighting more purchases toward intl but mostly a consequence of it dropping further and DCA rebalancing to my 30% intl weighting, not doing any special over-weighting beyond that.
65% AVUV | 27% AVDV | 4% AVES | 4% SLYV | 40+ years till retirement
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Maximum_Profit wrote: Tue Sep 13, 2022 2:59 pm
Massdriver wrote: Tue Sep 13, 2022 9:57 am I purchased some AVUV, AVDV, and AVES this morning! I like these prices, although I wish AVUV was back in the 60s. I overweighted my purchases slightly to international given the dollar strength.
Same! It hurts losing almost 2 months worth of salary in a day, but I've got decades to go so bring on the pain! I'm also weighting more purchases toward intl but mostly a consequence of it dropping further and DCA rebalancing to my 30% intl weighting, not doing any special over-weighting beyond that.
Yes, the overweighting I'm doing is just for this purchase I did today. Overall weights are still close MCW worldwide, but I would like to see AVUV back in the mid 60s so I can load up.
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Re: Small Cap Value heads Rejoice !!!

Post by Maximum_Profit »

Massdriver wrote: Tue Sep 13, 2022 4:27 pm Yes, the overweighting I'm doing is just for this purchase I did today. Overall weights are still close MCW worldwide, but I would like to see AVUV back in the mid 60s so I can load up.
Using Morningstar's P/E, P/B, P/FCF with prices of yesterdays close, and calculating those at a price of $65/share would leave us a PE of 6.10, P/B of 1.04 and P/FCF of 2.01. Oh boy would I love to see prices at those levels, assuming the economy isn't completely crumbling right out from under us.
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Re: Small Cap Value heads Rejoice !!!

Post by JSPECO9 »

Forward p/e for S&P 500 large cap is 16.5.
Forward p/e for Russell 2000 value is 16.2.

(source: Yardeni)

Small value no longer cheap after this correction?
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

JSPECO9 wrote: Wed Sep 14, 2022 7:07 am Forward p/e for S&P 500 large cap is 16.5.
Forward p/e for Russell 2000 value is 16.2.

(source: Yardeni)

Small value no longer cheap after this correction?
Forward pe is worthless
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Maximum_Profit wrote: Tue Sep 13, 2022 5:02 pm
Massdriver wrote: Tue Sep 13, 2022 4:27 pm Yes, the overweighting I'm doing is just for this purchase I did today. Overall weights are still close MCW worldwide, but I would like to see AVUV back in the mid 60s so I can load up.
Using Morningstar's P/E, P/B, P/FCF with prices of yesterdays close, and calculating those at a price of $65/share would leave us a PE of 6.10, P/B of 1.04 and P/FCF of 2.01. Oh boy would I love to see prices at those levels, assuming the economy isn't completely crumbling right out from under us.
I managed to buy some AVUV when it was around $66 earlier this year. That's basically buying a moderate recession priced in in the U.S. It seems like markets are still holding out hope that interest rate hikes won't trigger a recession in the U.S.
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Re: Small Cap Value heads Rejoice !!!

Post by Angst »

Regarding Bridgeway's BOTSX being converted to ETF
Random Walker wrote: Sat Aug 27, 2022 4:19 pm As a mutual fund, I think it was only accessible through an advisor. As an ETF, it will be available to everyone? Does that create any capacity problems? Will it be harder to have the strong tilts to size and value if more people have access / more money to invest? Thanks,

Dave
ETFs are available for purchase by anyone through brokerages, so capacity is something I've wondered about too. I also wonder if BOTSX history will be incorporated into the ETF's stats. As when DFA converted some of its mutual funds to ETFs, this should be a non-taxable event. I suppose I should just go to the DFA website and figure this out for myself, but not right now. :D

I do wish Larry would comment on the capacity question.
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Re: Small Cap Value heads Rejoice !!!

Post by Random Walker »

Angst wrote: Tue Sep 20, 2022 8:52 am Regarding Bridgeway's BOTSX being converted to ETF
Random Walker wrote: Sat Aug 27, 2022 4:19 pm As a mutual fund, I think it was only accessible through an advisor. As an ETF, it will be available to everyone? Does that create any capacity problems? Will it be harder to have the strong tilts to size and value if more people have access / more money to invest? Thanks,

Dave
ETFs are available for purchase by anyone through brokerages, so capacity is something I've wondered about too. I also wonder if BOTSX history will be incorporated into the ETF's stats. As when DFA converted some of its mutual funds to ETFs, this should be a non-taxable event. I suppose I should just go to the DFA website and figure this out for myself, but not right now. :D

I do wish Larry would comment on the capacity question.

I looked at the loadings on BOTSX the other day, and they are big. I guess we’ll see over time if those change.

Dave
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Re: Small Cap Value heads Rejoice !!!

Post by SadCryingValiant »

Well my name is relevant today.
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Re: Small Cap Value heads Rejoice !!!

Post by JSPECO9 »

Nathan Drake wrote: Wed Sep 14, 2022 11:10 am
JSPECO9 wrote: Wed Sep 14, 2022 7:07 am Forward p/e for S&P 500 large cap is 16.5.
Forward p/e for Russell 2000 value is 16.2.

(source: Yardeni)

Small value no longer cheap after this correction?
Forward pe is worthless
Out of curiosity: is there any other valuation method other than CAPE that you believe in?
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Re: Small Cap Value heads Rejoice !!!

Post by Abalyon »

It’s been fascinating to watch the market the last few weeks. There have been many days where growth gets hammered and value and small actually go up. Hard to say where it will go from here, but I feel a change is happening in the market. Well, except for META. They will have the valuations of Chinese bank stocks if it doesn’t stop falling lol.
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

Abalyon wrote: Thu Oct 27, 2022 10:03 am It’s been fascinating to watch the market the last few weeks. There have been many days where growth gets hammered and value and small actually go up. Hard to say where it will go from here, but I feel a change is happening in the market. Well, except for META. They will have the valuations of Chinese bank stocks if it doesn’t stop falling lol.
Yes over the last few weeks AVUV is up 10.6% and VUG is down -1.6%.

Image

YTD AVUV is down 7.2% and VUG is down -32.0%

As for META, it is a top holding in Fidelity Large Cap Value Index Fund. It is the #6 holding at 1.6% of the fund's weight.
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Re: Small Cap Value heads Rejoice !!!

Post by BenS »

The Avantis Domestic value funds tend to be very heavy in energy sector. The exceptional performance of these funds over the past few months can be tied to energy out-performance. We'll see how long that lasts.
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Re: Small Cap Value heads Rejoice !!!

Post by livesoft »

livesoft wrote: Wed Aug 17, 2022 8:04 am Is it true that AVUV has gone UP almost 17% in the past 30 days?
Is it true that AVUV has gone UP almost 18% since it dropped more than 3% on September 23rd? :twisted:
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

BenS wrote: Thu Oct 27, 2022 3:37 pm The Avantis Domestic value funds tend to be very heavy in energy sector. The exceptional performance of these funds over the past few months can be tied to energy out-performance. We'll see how long that lasts.
Apparently those stocks are cheap and profitable. If tech stocks would be as cheap and profitable Avantis would hold as much of them.
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

Yeah, days like today are outstanding! :sharebeer
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Re: Small Cap Value heads Rejoice !!!

Post by bling »

what happened??? it's crazy up everywhere.
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Re: Small Cap Value heads Rejoice !!!

Post by Elysium »

bling wrote: Thu Nov 10, 2022 10:38 am what happened??? it's crazy up everywhere.
CPI came in lower. Just a bit of overexcitement going on, will correct itself eventually, but it's a news in right direction.
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Re: Small Cap Value heads Rejoice !!!

Post by Apathizer »

Elysium wrote: Thu Nov 10, 2022 10:44 am
bling wrote: Thu Nov 10, 2022 10:38 am what happened??? it's crazy up everywhere.
CPI came in lower. Just a bit of overexcitement going on, will correct itself eventually, but it's a news in right direction.
Yeah, markets are only are rational and efficient as the collective mindhive of all investors some of whom aren't very rational and efficient.
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

Sad to see this thread has been so quiet... haven't posted on Bogleheads in ages, but wanted to say hi to everyone and rejoice for another great year of SCV investing!
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Re: Small Cap Value heads Rejoice !!!

Post by livesoft »

MotoTrojan wrote: Tue Jan 10, 2023 3:25 pm Sad to see this thread has been so quiet... haven't posted on Bogleheads in ages, but wanted to say hi to everyone and rejoice for another great year of SCV investing!
Hi! Right back at ya! I think SCV investing is supposed to be quiet --- except for those few days around RBDs. :twisted:
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

livesoft wrote: Tue Jan 10, 2023 3:35 pm
MotoTrojan wrote: Tue Jan 10, 2023 3:25 pm Sad to see this thread has been so quiet... haven't posted on Bogleheads in ages, but wanted to say hi to everyone and rejoice for another great year of SCV investing!
Hi! Right back at ya! I think SCV investing is supposed to be quiet --- except for those few days around RBDs. :twisted:
Looking at recent posts, it seems you had a nice call with the RBD on AVUV!
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Re: Small Cap Value heads Rejoice !!!

Post by livesoft »

MotoTrojan wrote: Tue Jan 10, 2023 3:52 pmLooking at recent posts, it seems you had a nice call with the RBD on AVUV!
AVUV has been a real bright spot in the portfolio, but it isn't always rosy. The most recent RBD was December 5 I think.
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Re: Small Cap Value heads Rejoice !!!

Post by imak »

It is quiet on this thread because everyone is waiting for the bubble to pop!

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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

I just reached my allocation goal for Emerging Markets Value. After this, I plan to nudge my way with Developed Ex. US Small Cap Value. I doubt that I'll be able to allocate towards US Small Cap Value before I roll over my employer plan, but as soon as I am able to, I plan to roll over most of it to my Solo 401k that I use for my side gig. I highly doubt that the spread will be back to normal levels by the time that I'm through adjusting my portfolio to be almost completely small value, but I'm in it for the long haul either way.
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

MotoTrojan wrote: Tue Jan 10, 2023 3:25 pm Sad to see this thread has been so quiet... haven't posted on Bogleheads in ages, but wanted to say hi to everyone and rejoice for another great year of SCV investing!
Thanks for reviving one of my favorite threads. Let's take a look at the 2022 performance for some US ETFs and fund

Image

AVUV (Avantis small cap value) -4.9%
VBR (Vanguard small cap value) -9.3%
Vanguard 500 -18.2%
VUG (Vanguard growth) -33.2%

2022 was a down year but US Small Cap Value is significantly less down than the market and growth stocks.
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

SafeBonds wrote: Thu Jan 12, 2023 3:01 pm
MotoTrojan wrote: Tue Jan 10, 2023 3:25 pm Sad to see this thread has been so quiet... haven't posted on Bogleheads in ages, but wanted to say hi to everyone and rejoice for another great year of SCV investing!
Thanks for reviving one of my favorite threads. Let's take a look at the 2022 performance for some US ETFs and fund

Image

AVUV (Avantis small cap value) -4.9%
VBR (Vanguard small cap value) -9.3%
Vanguard 500 -18.2%
VUG (Vanguard growth) -33.2%

2022 was a down year but US Small Cap Value is significantly less down than the market and growth stocks.
Charts like that make me wish that I could roll over my TSP already. That way I could have more exposure to the small and value factors.

My TSP S Fund was down 26.26% last year. Ouch! Hopefully it will recover some relative to SCV before I can roll it over to my Solo 401k, but I'm not going to get my hopes up considering the current growth to value spread.

https://www.tsp.gov/funds-individual/s-fund/

The TSP I Fund was only down 13.94%, so that wasn't quite as bad as the S Fund.

I have DEMSX - Dimensional Emerging Markets Small Cap Fund in my MFW and it was down 15.29%, so not as bad as the S Fund.
Abalyon
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Joined: Tue May 10, 2022 6:11 pm

Re: Small Cap Value heads Rejoice !!!

Post by Abalyon »

I know this thread is mostly about AVUV, but AVDV has been on a tear lately. It is hilariously the best performing fund of my portfolio (started early 2022 and have been DCAing).
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Ketawa
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Joined: Mon Aug 22, 2011 1:11 am
Location: DC

Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

I was very pleased with my tilted portfolio's performance in 2022. My portfolio is tilted as much as possible between my IRA (AQR Funds) and TSP account (S Fund and I Fund, plus DFA funds in mutual fund window). My taxable account has fixed income that I hold to arbitrage against my mortgage. Otherwise, my portfolio is 90% equities/10% QSPIX at market weights for region splits.

All calculations using XIRR. Calculations for individual funds are mostly meaningless because I wasn't able to use the TSP mutual fund window until mid-year.

Code: Select all

Total           -15.6%

Equities        -20.6%

Domestic        -24.4%
Domestic SCV     -7.2%

International   -14.2%
Intl Developed  -13.8%
Intl Emerging   -15.1%

Fixed Income      6.0%

QSPIX            41.5%


Individual Funds

QSMLX           -14.7%
DFSVX            23.0%
S Fund          -28.8%

QICLX            -5.2%
DISVX            10.9%
I Fund          -17.1%

QTELX           -25.4%
DEMGX             1.3%

Prepaid Cards     5.4%
I Bonds           6.2%
Nathan Drake
Posts: 6234
Joined: Mon Apr 11, 2011 12:28 am

Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

Abalyon wrote: Thu Jan 12, 2023 9:43 pm I know this thread is mostly about AVUV, but AVDV has been on a tear lately. It is hilariously the best performing fund of my portfolio (started early 2022 and have been DCAing).
AVES not too far behind

Those two funds are now my biggest individual holdings
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
averagedude
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Re: Small Cap Value heads Rejoice !!!

Post by averagedude »

I've been away from this forum lately, but I came back to rejoice my small cap value tilt! Lost money last year just like most people did, but perhaps not as much. Still behind though since I started this tilt thing but I have faith that there is a pot of gold at the end of the rainbow.Now if only International stocks will finally pay off so I won't feel so stupid about my investing decisions.
MotoTrojan
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

averagedude wrote: Fri Jan 13, 2023 12:34 am I've been away from this forum lately, but I came back to rejoice my small cap value tilt! Lost money last year just like most people did, but perhaps not as much. Still behind though since I started this tilt thing but I have faith that there is a pot of gold at the end of the rainbow.Now if only International stocks will finally pay off so I won't feel so stupid about my investing decisions.
68% ex-US today. In due time my friend...
Nathan Drake
Posts: 6234
Joined: Mon Apr 11, 2011 12:28 am

Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

MotoTrojan wrote: Fri Jan 13, 2023 10:53 am
averagedude wrote: Fri Jan 13, 2023 12:34 am I've been away from this forum lately, but I came back to rejoice my small cap value tilt! Lost money last year just like most people did, but perhaps not as much. Still behind though since I started this tilt thing but I have faith that there is a pot of gold at the end of the rainbow.Now if only International stocks will finally pay off so I won't feel so stupid about my investing decisions.
68% ex-US today. In due time my friend...
Ha! There's very few on here that have as much exUS as I do at roughly 60%. Most people can't fathom having that much international but think 100% US is just fine.

It felt pretty good allocating most of 2022's funds to AVDV/AVES last year while they both corrected sharply and the USD soared....any meaningful correction on the currency or geopolotical situation should see a nice boost to exUS
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
Startled Cat
Posts: 709
Joined: Thu Apr 03, 2008 8:54 pm

Re: Small Cap Value heads Rejoice !!!

Post by Startled Cat »

83% ex-US here.
gtwhitegold
Posts: 673
Joined: Fri Sep 21, 2012 1:55 pm

Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

Ketawa wrote: Thu Jan 12, 2023 11:09 pm I was very pleased with my tilted portfolio's performance in 2022. My portfolio is tilted as much as possible between my IRA (AQR Funds) and TSP account (S Fund and I Fund, plus DFA funds in mutual fund window). My taxable account has fixed income that I hold to arbitrage against my mortgage. Otherwise, my portfolio is 90% equities/10% QSPIX at market weights for region splits.

All calculations using XIRR. Calculations for individual funds are mostly meaningless because I wasn't able to use the TSP mutual fund window until mid-year.

Code: Select all

Total           -15.6%

Equities        -20.6%

Domestic        -24.4%
Domestic SCV     -7.2%

International   -14.2%
Intl Developed  -13.8%
Intl Emerging   -15.1%

Fixed Income      6.0%

QSPIX            41.5%


Individual Funds

QSMLX           -14.7%
DFSVX            23.0%
S Fund          -28.8%

QICLX            -5.2%
DISVX            10.9%
I Fund          -17.1%

QTELX           -25.4%
DEMGX             1.3%

Prepaid Cards     5.4%
I Bonds           6.2%
It's interesting to see how someone else who is in the TSP is trying to reach their factor allocations. I see that you aren't as dedicated towards a size tilt as I am. I also remembered that you weren't interested in allocating towards fixed income at all vice my 8% allocation to traditional fixed income and a very small allocation towards Emerging Markets Bonds and Fallen Angel Bonds in my diversifier bucket. Right now, my TSP is about 2/3 of my total portfolio with my MFW 25% of that.

I sold out of all of my AQR equity funds several years ago when I was in somewhat of a cash crunch. I still have a considerable portion of my portfolio in QSPNX, but I swapped out of QMHNX into AMFAX to my own disadvantage, but I was unaware that they had changed their methodology a few months before I decided to make the change, but I made the decision based upon a determination that AQR wasn't executing very well on their strategy compared to some other managed futures providers. I still believe that managed futures is a good diversifier for a portfolio that's dominated by equities and I would likely reinvest in QMHNX with their updated strategy.

I also decided to prioritize allocating towards my diversifier bucket and Emerging Markets over starting a tilt in my Developed Markets Ex US and US allocations since I was unable to allocate towards Emerging Markets in the TSP. I also have decided to take a considerable size tilt and aside from my allocation to the I Fund in the TSP, I have minimal exposure to large caps at all. However, I will likely add some exposure in emerging markets after I retire since I will no longer have access to DEMSX if I roll my TSP over into my E*TRADE Solo 401k account. I am deciding between using DGS or a large cap fund like AVES or EMGF in addition to the FEMS and EYLD that I already hold. If I end up transitioning from service this year or early next year, I highly doubt that I'll be able to significantly improve my allocation towards small value before I roll over my TSP into my Solo 401k account. My current allocation is below:

Diversifiers
AMFAX - AlphaSimplex Managed Futures Strategy 3.12%
QSPNX - AQR Style Premia Alternative 2.99%
VEMBX - Vanguard Emerging Markets Bond 1.31%
FALN - iShares Fallen Angels USD Bond ETF 0.18%

Bonds
F Fund - TSP Fixed Income Index 2.84%
ZROZ - PIMCO 25+ Year Zero Coupon US Treasury 1.64%
VTIP - Vanguard Sht-Term Inflation-Protected Sec 0.94%
GOVZ - iShares 25+ Year Treasury STRIPS Bond 0.19%

US Stocks
S Fund - TSP Small Cap Stock Index 29.15%
DFSTX - DFA U.S. Small Cap 12.38%
IJR - iShares Core S&P Small-Cap 0.96%

Developed Ex US Stocks
I Fund - TSP International Stock Index 16.38%
SFILX - Schwab Fundamental International Small Company Index 0.01%

Emerging Markets Stocks
DEMSX - DFA Emerging Markets Small Cap 15.25%
FEMS - First Trust Emerging Markets Sm Cap AlphaDEX 8.12%
EYLD - Cambria Emerging Shareholder Yield 1.99%

Cash 2.54%
Massdriver
Posts: 233
Joined: Tue Jan 02, 2018 11:05 am

Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Rejoice!

42% international here. To the moon!
SafeBonds
Posts: 142
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

I guess we're a little off topic but it is really interesting how so many of us have higher international allocations than other Bogleheads or are even overweight International. Among my stock allocation I am

40% US (About 50/50 AVUV / the low cost value index fund in my 401k)
40% Developed Int'l (about 50/50 AVDV and DFA Intl Value fund)
20% Emerging markets (DFA Emerg Value)

To get us back on topic we can talk about how our international allocation has small cap value funds. Like I mentioned I have a large allocation to AVDV. I have read here in Bogelehads that small cap international is a better diversifier to US stocks than large cap international because mega cap stocks are all international megacorps with the same global clients, but smaller companies are more affected by their local companies. So that is another reason why AVDV is such a good fund that I recommend. But since I have such a high allocation to international I am happy with my large allocation to DFA International Value, which is not a small cap fund. I have this in my 401k. If I had a, say, 20% international allocation that so many have here I would have my whole international developed allocation in AVDV. (The 20% allocation is popular here because Bogle recommended 0%-20% and Vanguard recommended 20%-40%, so that is where they overlap)
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