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.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.
Small Cap Value heads Rejoice !!!
Re: Small Cap Value heads Rejoice !!!
Re: Small Cap Value heads Rejoice !!!
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.Random Walker wrote: ↑Sun Sep 11, 2022 10:37 amMaybe 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.rkhusky wrote: ↑Sat Sep 10, 2022 9:29 pmYes it does. The value factor is HmL. Investing in a long-only value fund is investing in value stocks, not the value factor.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.
Dave
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.
Re: Small Cap Value heads Rejoice !!!
Yes, in factorspeak HmL and SmB are called "premiums", which can be positive or negative. But in ordinary speak premium usually is positive.CletusCaddy wrote: ↑Sun Sep 11, 2022 10:43 amOutperformance =/= premium
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Re: Small Cap Value heads Rejoice !!!
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?rkhusky wrote: ↑Sun Sep 11, 2022 8:59 pmIt 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.Random Walker wrote: ↑Sun Sep 11, 2022 10:37 amMaybe 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.rkhusky wrote: ↑Sat Sep 10, 2022 9:29 pmYes it does. The value factor is HmL. Investing in a long-only value fund is investing in value stocks, not the value factor.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.
Dave
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.
Dave
Re: Small Cap Value heads Rejoice !!!
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.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?
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Re: Small Cap Value heads Rejoice !!!
Not inventing any definitions. I’m not all that bright, but it’s not all that complicated.rkhusky wrote: ↑Mon Sep 12, 2022 8:50 amIf 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.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?
Dave
Re: Small Cap Value heads Rejoice !!!
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.Random Walker wrote: ↑Mon Sep 12, 2022 12:08 pmNot inventing any definitions. I’m not all that bright, but it’s not all that complicated.rkhusky wrote: ↑Mon Sep 12, 2022 8:50 amIf 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.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?
Dave
Re: Small Cap Value heads Rejoice !!!
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.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.
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.
Crom laughs at your Four Winds
Re: Small Cap Value heads Rejoice !!!
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 !!!
In effect, we are all factor investors whether we know it or not.muffins14 wrote: ↑Mon Sep 12, 2022 1:26 pmYou 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.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.
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.
Dave
Re: Small Cap Value heads Rejoice !!!
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.Random Walker wrote: ↑Mon Sep 12, 2022 2:27 pmIn effect, we are all factor investors whether we know it or not.muffins14 wrote: ↑Mon Sep 12, 2022 1:26 pmYou 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.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.
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.
Dave
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Re: Small Cap Value heads Rejoice !!!
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.rkhusky wrote: ↑Mon Sep 12, 2022 3:52 pmIt 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.Random Walker wrote: ↑Mon Sep 12, 2022 2:27 pmIn effect, we are all factor investors whether we know it or not.muffins14 wrote: ↑Mon Sep 12, 2022 1:26 pmYou 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.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.
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.
Dave
Dave
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Re: Small Cap Value heads Rejoice !!!
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 !!!
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.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.
65% AVUV | 27% AVDV | 4% AVES | 4% SLYV | 40+ years till retirement
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Re: Small Cap Value heads Rejoice !!!
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.Maximum_Profit wrote: ↑Tue Sep 13, 2022 2:59 pmSame! 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.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.
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Re: Small Cap Value heads Rejoice !!!
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.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.
65% AVUV | 27% AVDV | 4% AVES | 4% SLYV | 40+ years till retirement
Re: Small Cap Value heads Rejoice !!!
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 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 !!!
Forward pe is worthless
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!
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.Maximum_Profit wrote: ↑Tue Sep 13, 2022 5:02 pmUsing 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.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.
Re: Small Cap Value heads Rejoice !!!
Regarding Bridgeway's BOTSX being converted to ETF
I do wish Larry would comment on the capacity question.
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.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
I do wish Larry would comment on the capacity question.
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Re: Small Cap Value heads Rejoice !!!
Angst wrote: ↑Tue Sep 20, 2022 8:52 am Regarding Bridgeway's BOTSX being converted to ETF
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.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
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 !!!
Well my name is relevant today.
Re: Small Cap Value heads Rejoice !!!
Out of curiosity: is there any other valuation method other than CAPE that you believe in?
Re: Small Cap Value heads Rejoice !!!
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.
Re: Small Cap Value heads Rejoice !!!
Yes over the last few weeks AVUV is up 10.6% and VUG is down -1.6%.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.
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.
Re: Small Cap Value heads Rejoice !!!
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.
Re: Small Cap Value heads Rejoice !!!
Is it true that AVUV has gone UP almost 18% since it dropped more than 3% on September 23rd?
Re: Small Cap Value heads Rejoice !!!
Apparently those stocks are cheap and profitable. If tech stocks would be as cheap and profitable Avantis would hold as much of them.
- drumboy256
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Re: Small Cap Value heads Rejoice !!!
Yeah, days like today are outstanding!
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson |
20% IVV / 40% IBIT / 20% IXUS / 20% VGLT + chill
Re: Small Cap Value heads Rejoice !!!
what happened??? it's crazy up everywhere.
Re: Small Cap Value heads Rejoice !!!
Yeah, markets are only are rational and efficient as the collective mindhive of all investors some of whom aren't very rational and efficient.
ROTH: 50% AVGE, 10% DFAX, 40% BNDW. Taxable: 50% BNDW, 40% AVGE, 10% DFAX.
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Re: Small Cap Value heads Rejoice !!!
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!
Re: Small Cap Value heads Rejoice !!!
Hi! Right back at ya! I think SCV investing is supposed to be quiet --- except for those few days around RBDs.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!
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Re: Small Cap Value heads Rejoice !!!
Looking at recent posts, it seems you had a nice call with the RBD on AVUV!livesoft wrote: ↑Tue Jan 10, 2023 3:35 pmHi! Right back at ya! I think SCV investing is supposed to be quiet --- except for those few days around RBDs.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!
Re: Small Cap Value heads Rejoice !!!
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.MotoTrojan wrote: ↑Tue Jan 10, 2023 3:52 pmLooking at recent posts, it seems you had a nice call with the RBD on AVUV!
Re: Small Cap Value heads Rejoice !!!
It is quiet on this thread because everyone is waiting for the bubble to pop!
At 94th percentile as of Jan 4, 2023:
https://www.aqr.com/Insights/Perspectiv ... Not-Popped
At 94th percentile as of Jan 4, 2023:
https://www.aqr.com/Insights/Perspectiv ... Not-Popped
"Take a simple idea and take it seriously" ~ Charlie Munger
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Re: Small Cap Value heads Rejoice !!!
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.
Re: Small Cap Value heads Rejoice !!!
Thanks for reviving one of my favorite threads. Let's take a look at the 2022 performance for some US ETFs and fundMotoTrojan 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!
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 !!!
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.SafeBonds wrote: ↑Thu Jan 12, 2023 3:01 pmThanks for reviving one of my favorite threads. Let's take a look at the 2022 performance for some US ETFs and fundMotoTrojan 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!
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.
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.
Re: Small Cap Value heads Rejoice !!!
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).
Re: Small Cap Value heads Rejoice !!!
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.
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%
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Re: Small Cap Value heads Rejoice !!!
AVES not too far behind
Those two funds are now my biggest individual holdings
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!
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.
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Re: Small Cap Value heads Rejoice !!!
68% ex-US today. In due time my friend...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.
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Re: Small Cap Value heads Rejoice !!!
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.MotoTrojan wrote: ↑Fri Jan 13, 2023 10:53 am68% ex-US today. In due time my friend...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.
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
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Re: Small Cap Value heads Rejoice !!!
83% ex-US here.
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- Joined: Fri Sep 21, 2012 1:55 pm
Re: Small Cap Value heads Rejoice !!!
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.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.
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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%
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%
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- Posts: 233
- Joined: Tue Jan 02, 2018 11:05 am
Re: Small Cap Value heads Rejoice !!!
Rejoice!
42% international here. To the moon!
42% international here. To the moon!
Re: Small Cap Value heads Rejoice !!!
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)
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)