Yes, but how many of those are on a mutual fund only platform. i.e. a non-brokerage account? Because if they are on a brokerage account you cab do a forced merger from mutual fund to ETF like what DFA is doing.UpperNwGuy wrote: ↑Fri Nov 27, 2020 8:11 pm I think Fidelity, not Vanguard, will be the last to use mutual funds. About half of Vanguard's mutual funds already have ETF share classes, allowing a tax-free conversion. None of Fidelity's mutual funds have ETF share classes.
Six more ETFs from DFA (Dimensional Fund Advisors)
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Does a forced merger trigger capital gains taxes?alex_686 wrote: ↑Fri Nov 27, 2020 8:18 pmYes, but how many of those are on a mutual fund only platform. i.e. a non-brokerage account? Because if they are on a brokerage account you cab do a forced merger from mutual fund to ETF like what DFA is doing.UpperNwGuy wrote: ↑Fri Nov 27, 2020 8:11 pm I think Fidelity, not Vanguard, will be the last to use mutual funds. About half of Vanguard's mutual funds already have ETF share classes, allowing a tax-free conversion. None of Fidelity's mutual funds have ETF share classes.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Whenever the topic of Vanguard’s mutual fund platform comes up around here people invariably start complaining about features that the mutual fund platform has but that the brokerage platform lacks.alex_686 wrote: ↑Fri Nov 27, 2020 8:18 pmYes, but how many of those are on a mutual fund only platform. i.e. a non-brokerage account? Because if they are on a brokerage account you cab do a forced merger from mutual fund to ETF like what DFA is doing.UpperNwGuy wrote: ↑Fri Nov 27, 2020 8:11 pm I think Fidelity, not Vanguard, will be the last to use mutual funds. About half of Vanguard's mutual funds already have ETF share classes, allowing a tax-free conversion. None of Fidelity's mutual funds have ETF share classes.
Are there any regulatory reasons for the lack of feature parity? It seems like the transition would be a much easier sell if brokerage accounts offered a strict superset of capabilities offered by their mutual fund platform.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
It depends on how it is done, but most stock mergers like this would be tax free.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
None that I know off.BogleZogle___Mogul wrote: ↑Fri Nov 27, 2020 8:36 pm Are there any regulatory reasons for the lack of feature parity? It seems like the transition would be a much easier sell if brokerage accounts offered a strict superset of capabilities offered by their mutual fund platform.
That being said I can see why they don’t want to do it. The advantage of a brokerage platform is that most of the components can be bought off the shelf. Everything is standardized and well integrated. This goes down to stuff like compliance and test modules.
The features you are asking about are off the brokerage system and running on the fund side. And they tend to br complex. So you have to build a whole host of stuff around the Vanguard funds but not extend those features to other funds. Maintenance tends to be a nightmare. You get grumpy clients asking why they can do stuff here but not there.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
retiringwhen wrote: ↑Wed Nov 18, 2020 10:21 am
From the Press Release in the OP (emphasis added)
https://www.businesswire.com/news/home/20201117005669/en/%C2%A0Dimensional-Fund-Advisors-Significantly-Expands-ETF-Offering wrote:
Dimensional intends to structure the conversion to be a tax-free event in which each investor’s mutual fund shares will convert to ETF shares.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
That is interesting, I assume that given Vanguard’s size and scale that everything backing both their platforms must be custom-made in-house. It sounds like that might not be the case?alex_686 wrote: ↑Fri Nov 27, 2020 8:56 pmNone that I know off.BogleZogle___Mogul wrote: ↑Fri Nov 27, 2020 8:36 pm Are there any regulatory reasons for the lack of feature parity? It seems like the transition would be a much easier sell if brokerage accounts offered a strict superset of capabilities offered by their mutual fund platform.
That being said I can see why they don’t want to do it. The advantage of a brokerage platform is that most of the components can be bought off the shelf. Everything is standardized and well integrated. This goes down to stuff like compliance and test modules.
I also assume that both these platforms must be significantly the same on the backend, that is, they’ve gotta share a lot of the same technology infrastructure as well as a lot of operational/process aspects. Is that not the case?
Maybe I shouldn’t assume quite as much?
Ah I completely overlooked the fact that a lot of those features only apply to Vanguards own funds. That makes a lot of sense why they don’t implement them.alex_686 wrote: ↑Fri Nov 27, 2020 8:56 pm The features you are asking about are off the brokerage system and running on the fund side. And they tend to br complex. So you have to build a whole host of stuff around the Vanguard funds but not extend those features to other funds. Maintenance tends to be a nightmare. You get grumpy clients asking why they can do stuff here but not there.
Thanks alex_686, I always look forward to reading your posts on this board.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Yep, you assumed too much.BogleZogle___Mogul wrote: ↑Fri Nov 27, 2020 9:36 pm That is interesting, I assume that given Vanguard’s size and scale that everything backing both their platforms must be custom-made in-house. It sounds like that might not be the case?
I also assume that both these platforms must be significantly the same on the backend, that is, they’ve gotta share a lot of the same technology infrastructure as well as a lot of operational/process aspects. Is that not the case?
Maybe I shouldn’t assume quite as much?
Nowadays, banks, brokerages, credit card processing companies, payroll operations, and other financial businesses mostly use off-the-shelf software that they procure from third party software vendors. In-house custom software is a relic of the past, and much more expensive to develop and maintain.
The backend of the two systems would not be the same if one is a third party software package and the other is custom-built in-house. Some of the processes may appear similar to the user, but the underlying software itself would be different.
I managed a major conversion from in-house software to a commercial software package many years ago, and the users complained bitterly about capabilities that they would be losing and business processes that would have to evolve. The main reasons we made the change were (1) easier to achieve regulatory compliance and (2) long-term cost savings.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
I have no direct experience with Vanguard but I would assume not based on my experience.BogleZogle___Mogul wrote: ↑Fri Nov 27, 2020 9:36 pm That is interesting, I assume that given Vanguard’s size and scale that everything backing both their platforms must be custom-made in-house. It sounds like that might not be the case?
I also assume that both these platforms must be significantly the same on the backend, that is, they’ve gotta share a lot of the same technology infrastructure as well as a lot of operational/process aspects. Is that not the case?
Maybe I shouldn’t assume quite as much?
Mind you, I have a pretty broad definition of what "platform" is. I have worked primarily in the back or middle office - the 90% of the iceberg that clients never see. I used to work in Custody and Transfer. Reconciling our positions so that the client's position matched the custodian. Gifting stock. Fixing trade errors. The vast majority of our client's trading and holdings were stocks and bonds - lets say 95%. Mutual funds, while only 5% of our base, was about 1/3 of our work. Stocks and bonds are with the Depository Trust Company (DTC). Standardized and rock solid. On the other hand, each fund family is individual networked across multiple levels and each fund has its own quirks. Not standardized, not rock solid. I worked across a guy on the mutual fund trading desk whose job was to call into Vanguard and ask if he could place large trades.
But that is not how Vanguard fund only funds work. They would not go through DTC. They would go through a separate internal channel. So they are going to have to replicate everything that DTC does internally. BTW, all mutual fund exchanges within a fund family go through this internal channel.
This may sound like a small thing. And it is a small thing. The problem is that it is lots and lots of small things. And then systems get upgraded and regulations get revised.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
That makes a lot of sense to me. It sounds like there's a large amount of unique complexity to each of these two platforms.
This also makes sense. For Vanguard specifically I wonder how much of their backend software is in-house vs. third party. We'll never know, but I do see how going third-party could lead to savings. Having experience with large-scale software systems myself, but not in a regulated industry, I didn't think about the compliance aspect.UpperNwGuy wrote: ↑Sat Nov 28, 2020 6:55 am Yep, you assumed too much.
Nowadays, banks, brokerages, credit card processing companies, payroll operations, and other financial businesses mostly use off-the-shelf software that they procure from third party software vendors. In-house custom software is a relic of the past, and much more expensive to develop and maintain.
The backend of the two systems would not be the same if one is a third party software package and the other is custom-built in-house. Some of the processes may appear similar to the user, but the underlying software itself would be different.
I managed a major conversion from in-house software to a commercial software package many years ago, and the users complained bitterly about capabilities that they would be losing and business processes that would have to evolve. The main reasons we made the change were (1) easier to achieve regulatory compliance and (2) long-term cost savings.
Thank you to you both for the insight.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
These ETFs won't be available until June. Seems more like DFA is just doing this for cost/tax reasons and not really interested in competing in the ETF space.
I just really wish Avantis would offer a SCV EM fund.
I just really wish Avantis would offer a SCV EM fund.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
I would like a better EM SCV or EM SC Multifactor fund as well. Before, I couldn't really decide between DGS and FEMS, but I recently moved everything over to FEMS since it has consistently had better quality and value metrics. If AVANTIS, DFA, or iShares releases a EM SC fund that loads on factors well, it will definitely be worth a look.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
The DFA mutual fund to ETF conversions are again available, to convert to a more tax efficient structure.
https://www.businesswire.com/news/home/ ... onversion/
https://www.businesswire.com/news/home/ ... onversion/
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Do I need to do anything to convert to ETF format ? I hold the Emerging Markets Core fund, and that hasn't gotten converted yet (not sure if some action from me is needed).
I am with a very low touch advisor, so "ask your advisor" isn't very helpful as advice
I am with a very low touch advisor, so "ask your advisor" isn't very helpful as advice
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Is there an ETF version of DFA International Value (DFIVX)?
The original post of this thread seems to say so, but I can only find DFA International Core
Seems like it would be good to pair with AVDV to get large cap and small cap value in developed international.
The original post of this thread seems to say so, but I can only find DFA International Core
Seems like it would be good to pair with AVDV to get large cap and small cap value in developed international.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
It comes sometime in September:SafeBonds wrote: ↑Mon Jun 14, 2021 8:57 pm Is there an ETF version of DFA International Value (DFIVX)?
The original post of this thread seems to say so, but I can only find DFA International Core
Seems like it would be good to pair with AVDV to get large-cap and small-cap value in developed international.
"DFA has plans to launch two more equity ETFs converted from mutual funds around September, said Lee. They are the Dimensional International Value ETF (converted from Tax-Managed International Value Portfolio) and the Dimensional World ex US Core Equity ETF (converted from TA World ex US Core Equity Portfolio) and the firm is also considering fixed income ETFs."
https://www.thinkadvisor.com/2021/06/14 ... ual-funds/
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Any information on a conversion with DFQTX DFA U.S. Core Equity II Portfolio Institutional Class to a ETF? Paul
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
thanks for the link. can anyone tell me, are these index etfs or actively managed etfs? Bonus points if you can answer without using the word passive!calwatch wrote: ↑Tue Jun 15, 2021 12:02 am All Dimensional ETFs are here: https://us.dimensional.com/etfs/
It doesn't look like it.
RIP Mr. Bogle.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
looks like they are actively managed etfs with daily holdings disclosuregrok87 wrote: ↑Tue Jun 15, 2021 6:09 pmthanks for the link. can anyone tell me, are these index etfs or actively managed etfs? Bonus points if you can answer without using the word passive!calwatch wrote: ↑Tue Jun 15, 2021 12:02 am All Dimensional ETFs are here: https://us.dimensional.com/etfs/
It doesn't look like it.
https://www.dimensional.com/us-en/insig ... -structure
RIP Mr. Bogle.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Can anyone tell me why "index" and "actively managed" are relevant descriptions for an ETF?
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Funny question. As there is no consensus on the definitions of "index", "actively managed" and "passive" the terms are rendered useless for communication between human beings. The only space where these definitions are meaningful is between the ears of an individual who can assign their own subjective meanings to the terms.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
I had a conversation today, with somebody telling me that they preferred the mutual funds.
The news related was that there were differences between the funds.
ETFs have to hold relatively liquid assets for the authorized participants to swap assets, thus keeping the NAV spread low.
The mutual funds have more flexibility in this regard. As such they can dig deeper in the value and small cap stocks.
Not sure if this is true, but it sounds sort of plausible.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Apparently the real distinction in the SEC's eyes is between transparent ETFs and non-transparent ETFs.DaufuskieNate wrote: ↑Wed Jun 16, 2021 10:42 amFunny question. As there is no consensus on the definitions of "index", "actively managed" and "passive" the terms are rendered useless for communication between human beings. The only space where these definitions are meaningful is between the ears of an individual who can assign their own subjective meanings to the terms.
Schwab has a discusssion.
https://www.schwab.com/resource-center/ ... under-hood
personally i think i will avoid nontransparent ETFs
cheers,
grok
RIP Mr. Bogle.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
The SEC as has firm ideas on what it means under their marketing regulations.grok87 wrote: ↑Wed Jun 16, 2021 6:17 pmApparently the real distinction in the SEC's eyes is between transparent ETFs and non-transparent ETFs.DaufuskieNate wrote: ↑Wed Jun 16, 2021 10:42 amFunny question. As there is no consensus on the definitions of "index", "actively managed" and "passive" the terms are rendered useless for communication between human beings. The only space where these definitions are meaningful is between the ears of an individual who can assign their own subjective meanings to the terms.
Schwab has a discusssion.
https://www.schwab.com/resource-center/ ... under-hood
personally i think i will avoid nontransparent ETFs
cheers,
grok
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
thanks, i think this is it?alex_686 wrote: ↑Wed Jun 16, 2021 6:23 pmThe SEC as has firm ideas on what it means under their marketing regulations.grok87 wrote: ↑Wed Jun 16, 2021 6:17 pmApparently the real distinction in the SEC's eyes is between transparent ETFs and non-transparent ETFs.DaufuskieNate wrote: ↑Wed Jun 16, 2021 10:42 amFunny question. As there is no consensus on the definitions of "index", "actively managed" and "passive" the terms are rendered useless for communication between human beings. The only space where these definitions are meaningful is between the ears of an individual who can assign their own subjective meanings to the terms.
Schwab has a discusssion.
https://www.schwab.com/resource-center/ ... under-hood
personally i think i will avoid nontransparent ETFs
cheers,
grok
https://www.sec.gov/oiea/investor-alert ... indexfunds
RIP Mr. Bogle.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
If a fund company like Wisdom Tree, or a service provider like Research Affiliates, creates an index based on a tilt toward dividend paying stocks or other fundamental measures, are funds tracking those indexes considered index funds, passively managed or actively managed? I think reasonable arguments can be made for any of these. More meaningful than any of these labels is simply understanding how the fund managers construct their portfolios.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
There are a couple of different types of indexes. If you call yourself a index fund it has to be a investable index.DaufuskieNate wrote: ↑Wed Jun 16, 2021 9:15 pm If a fund company like Wisdom Tree, or a service provider like Research Affiliates, creates an index based on a tilt toward dividend paying stocks or other fundamental measures, are funds tracking those indexes considered index funds, passively managed or actively managed? I think reasonable arguments can be made for any of these. More meaningful than any of these labels is simply understanding how the fund managers construct their portfolios.
Must be managed by a 3rd party. Must be independent. Must specify specific securities and weights. The fund must be able to purchase these securities. Must have clear rules on how these are chosen based on independently observed data. (There is some wiggle room here to handle subjective judgement and grey areas). Everything had to stated ahead of time. i.e. you can’t retroactively change things.
A fund can ask a index provider to create a custom proprietary index. That is allowed. See the Fidelity Zero funds. S&P manages those indexes.
But once set up the fund can’t ask the index provider to change things. In theory. There have been some odd edge cases.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
I think DaufuskieNate's question is a good one. The one thing i would personally add to the above is cap-weighting. that's what really makes an index fund an index fund for me.alex_686 wrote: ↑Wed Jun 16, 2021 9:35 pmThere are a couple of different types of indexes. If you call yourself a index fund it has to be a investable index.DaufuskieNate wrote: ↑Wed Jun 16, 2021 9:15 pm If a fund company like Wisdom Tree, or a service provider like Research Affiliates, creates an index based on a tilt toward dividend paying stocks or other fundamental measures, are funds tracking those indexes considered index funds, passively managed or actively managed? I think reasonable arguments can be made for any of these. More meaningful than any of these labels is simply understanding how the fund managers construct their portfolios.
Must be managed by a 3rd party. Must be independent. Must specify specific securities and weights. The fund must be able to purchase these securities. Must have clear rules on how these are chosen based on independently observed data. (There is some wiggle room here to handle subjective judgement and grey areas). Everything had to stated ahead of time. i.e. you can’t retroactively change things.
A fund can ask a index provider to create a custom proprietary index. That is allowed. See the Fidelity Zero funds. S&P manages those indexes.
But once set up the fund can’t ask the index provider to change things. In theory. There have been some odd edge cases.
if things are cap weighted, in theory the manager can just buy the securities and hold them (ignoring participant buy/sell transactions). if they are not cap-weighted, for example an "Equally-weighted" index, that means the manager must do a lot of trading to track the "index". to me that is just a rules based active management scheme. Some people call that spindexes.
I'm pretty sure Vanguard sticks to cap weighted indexes. that's good enough for me.
cheers,
grok
RIP Mr. Bogle.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Hi grok -
I would suspect DFA investors may be challenged at times to stay the course when the factors of small, value, and momentum are not in favor. That strategy appears to be active in nature by attempting to gain alpha and beat the markets.
Market capitalization provides for the highest cap weight towards the largest and most successful companies and less weight with others. Is this not an efficient market?
Best.
Tony
John C. Bogle: “Simplicity is the master key to financial success."
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
This is just my opinion, of course, but I tend to think of “legitimate” indices in this manner. Suppose you carve up the S&P 500 into 10 indices, maybe splitting growth from value, large cap from smaller cap, etc. Then, some time later, you re-combine the 10 indices and you get what you started with, in this case the S&P 500, then all well and good.DaufuskieNate wrote: ↑Wed Jun 16, 2021 9:15 pm If a fund company like Wisdom Tree, or a service provider like Research Affiliates, creates an index based on a tilt toward dividend paying stocks or other fundamental measures, are funds tracking those indexes considered index funds, passively managed or actively managed?
But if you break the market into component indices, but can’t roll the pieces back into the whole, then, IMHO, a fund has contrived a special index to suit its own purpose, maybe even to create a rules-based, actively-managed fund.
Just my two cents.
“My opinions are just that - opinions.”
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Just curious. I hadn’t heard of DFA funds, so googled them earlier today. Looks like their funds (not their new ETFs) are sold thru advisors, which means an additional fee. A cursory glance suggests they are not the type of product that would appeal to Bogleheads. So why does this thread garner so much attention, with > 80 posts?
Again, just curious.
Again, just curious.
“My opinions are just that - opinions.”
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Exchanged traded funds are traded on (you guessed it) exchanges, so you don't need an advisor.Gaston wrote: ↑Tue Jun 22, 2021 10:26 pm Just curious. I hadn’t heard of DFA funds, so googled them earlier today. Looks like their funds (not their new ETFs) are sold thru advisors, which means an additional fee. A cursory glance suggests they are not the type of product that would appeal to Bogleheads. So why does this thread garner so much attention, with > 80 posts?
Again, just curious.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
DFA is merely reacting the fact that Vanguard and BlackRock are eating their lunch. More and more investors are learning that investing costs are real and reliably consistent whereas advisor fees and attempts at outperformance are expensive and investing results are to put it mildly inconsistent. When money is flowing away from you into competitors at some point you must adjust your strategy to the new reality.
Garland Whizzer
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
But what about all those poor financial advisors that will no longer have exclusive access to DFA funds?garlandwhizzer wrote: ↑Wed Jun 23, 2021 12:35 pm DFA is merely reacting the fact that Vanguard and BlackRock are eating their lunch. More and more investors are learning that investing costs are real and reliably consistent whereas advisor fees and attempts at outperformance are expensive and investing results are to put it mildly inconsistent. When money is flowing away from you into competitors at some point you must adjust your strategy to the new reality.
Garland Whizzer
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Well, the one of the founders of DFA, David Booth, launched one of the first index funds - 2 years before Jack Bogle launched his.Gaston wrote: ↑Tue Jun 22, 2021 10:26 pm Just curious. I hadn’t heard of DFA funds, so googled them earlier today. Looks like their funds (not their new ETFs) are sold thru advisors, which means an additional fee. A cursory glance suggests they are not the type of product that would appeal to Bogleheads. So why does this thread garner so much attention, with > 80 posts?
On a more serious note, these are smart guys with strong technical chops. They publish good reports. Top down quants - things like the Value factor that we talk about here. They charge stiff fees but they earn them. The fees goes to research, not marketing. If one were to chose to go down the active route you would want somebody like them.
They sell through advisors to keep their operational cost low (they don't need to staff a large phone bank for the retail clients) and turnover low (they discourage tactically trading by the advisors, less random noise from thousands of small investors). This was solid logic 20 years ago, but the landscape is shifting.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Thanks for your response. Re the above, Jack Bogle talked about this during his interview on Rick Ferri’s Boglehead podcast.
He said that his S&P 500 index fund was one of 5-6 that were launched roughly around the same time. He went on to say, however, that none of them was very successful, because advisors didn’t want to sell them (the commissions were too low). According to Bogle, none of the early starters survived, except his own, and his just barely. Again according to him, his fund is now the second largest in assets in the world.
“My opinions are just that - opinions.”
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Well, Booth launched the Samsonite Luggage Pension S&P 500 Index Fund at Wells Fargo. The name might be slightly off but you should get the idea. The division that managed that fund was spun off and would eventually morph into Blackrock, the number one asset manager. So a less direct path.Gaston wrote: ↑Wed Jun 23, 2021 7:48 pmThanks for your response. Re the above, Jack Bogle talked about this during his interview on Rick Ferri’s Boglehead podcast.
He said that his S&P 500 index fund was one of 5-6 that were launched roughly around the same time. He went on to say, however, that none of them was very successful, because advisors didn’t want to sell them (the commissions were too low). According to Bogle, none of the early starters survived, except his own, and his just barely. Again according to him, his fund is now the second largest in assets in the world.
Booth's thesis advisor at Chicago Booth School of Business (née Chicago School of Business) was Eugene Fama. Fama came up with the Efficient-Market Hypothesis (EMH), and Booth cites this as the theoretical basis for index fund. EMH makes some very high assumptions on how the market works. Booth figured that where those assumptions are weak in real life there would be anomalies that could be exploited. So he founded DFA and their funds had spectacular returns over long periods of time. This is active management done right.
This is also good news for us passive investors. Anomalies tend to be short lived. People figure out that they exist and make big bucks. This inspires clones, crowding the market so you only make small bucks. Eventually it gets ground down to pennies.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
if i recall correctly the Wells Fargo index fund that Booth helped launch had an equal weighting approach. which involved a lot of tradingGaston wrote: ↑Wed Jun 23, 2021 7:48 pmThanks for your response. Re the above, Jack Bogle talked about this during his interview on Rick Ferri’s Boglehead podcast.
He said that his S&P 500 index fund was one of 5-6 that were launched roughly around the same time. He went on to say, however, that none of them was very successful, because advisors didn’t want to sell them (the commissions were too low). According to Bogle, none of the early starters survived, except his own, and his just barely. Again according to him, his fund is now the second largest in assets in the world.
http://www.crsp.org/files/SpringMagazine_IndexFund.pdf
RIP Mr. Bogle.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
You are correct on the first part.grok87 wrote: ↑Thu Jun 24, 2021 7:43 am if i recall correctly the Wells Fargo index fund that Booth helped launch had an equal weighting approach. which involved a lot of trading
http://www.crsp.org/files/SpringMagazine_IndexFund.pdf
I am not so sure about the second. Market cap weight also involves a fair amount of trading. For example, the reinvestment of dividends. It depends on where you set the rebalance bands and cash reinvestment policy. It requires more work on the back end. Try calculating the required dividend reinvestment trades without a desktop computer. You could actually wind up with higher trading costs under the older trading structure.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
DFA is IMO a good company. But they got fat and happy. They had/have a network of advisors that are doing the real work for them. And of course the advisors are benefiting from selling the "exclusivity" and access of DFA funds. It's a good business model.
But things began to shift. Vanguard put the focus on low fee. And then ETFs came along. And now Avantis has come along and is selling DFA's "secret sauce" direct to retail.
So DFA has finally woken up because they had no choice. But they've still been slow. There has been no mention of any effort to release their strongly tilted funds as ETFs. So Avantis continues to take AUM from them. How they handle the next few years is critical for their long term future.
But things began to shift. Vanguard put the focus on low fee. And then ETFs came along. And now Avantis has come along and is selling DFA's "secret sauce" direct to retail.
So DFA has finally woken up because they had no choice. But they've still been slow. There has been no mention of any effort to release their strongly tilted funds as ETFs. So Avantis continues to take AUM from them. How they handle the next few years is critical for their long term future.
"I'm not an inventor. I'm an improver. I see things that are wrong, and I improve them." - Larry David, Curb Your Enthusiasm
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
If you want to know more about the DFA ETFs, a guy from DFA explained their strategy on the ETF Prime podcast on 15 June, starting at the 00:21:40 timestamp.
From what he said, some are active ETFs that allow DFA investment managers to underweight higher valued assets, overweight undervalued ones, tilt to smaller cap companies, etc. Others are tax-managed ETF's.
https://etfprime.com
From what he said, some are active ETFs that allow DFA investment managers to underweight higher valued assets, overweight undervalued ones, tilt to smaller cap companies, etc. Others are tax-managed ETF's.
https://etfprime.com
“My opinions are just that - opinions.”
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
i realize you are just quoting him. but i'm pretty sure they are all active ETFsGaston wrote: ↑Sat Jun 26, 2021 7:52 am If you want to know more about the DFA ETFs, a guy from DFA explained their strategy on the ETF Prime podcast on 15 June, starting at the 00:21:40 timestamp.
From what he said, some are active ETFs that allow DFA investment managers to underweight higher valued assets, overweight undervalued ones, tilt to smaller cap companies, etc. Others are tax-managed ETF's.
https://etfprime.com
RIP Mr. Bogle.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
The outperformance of FEMS over DGS was about 2% p.a., but does the relative performance over a few short years have any predictive value? Does the 100+ % annual turnover of FEMS not irritate you?gtwhitegold wrote: ↑Tue Mar 30, 2021 8:49 amI would like a better EM SCV or EM SC Multifactor fund as well. Before, I couldn't really decide between DGS and FEMS, but I recently moved everything over to FEMS since it has consistently had better quality and value metrics. If AVANTIS, DFA, or iShares releases a EM SC fund that loads on factors well, it will definitely be worth a look.
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
The higher turnover doesn't really bother me. Most of the time the fund appears to be smaller, higher quality, and more valuey than DGS or DEMSX, so I'll stick with it until something better comes along. I like the metrics and willing to pay slightly more for higher factor loads. As I mentioned earlier, I would definitely consider an Avantis or iShares Quant EMSC fund, but I haven't seen one yet.comeinvest wrote: ↑Thu Aug 05, 2021 3:58 amThe outperformance of FEMS over DGS was about 2% p.a., but does the relative performance over a few short years have any predictive value? Does the 100+ % annual turnover of FEMS not irritate you?gtwhitegold wrote: ↑Tue Mar 30, 2021 8:49 amI would like a better EM SCV or EM SC Multifactor fund as well. Before, I couldn't really decide between DGS and FEMS, but I recently moved everything over to FEMS since it has consistently had better quality and value metrics. If AVANTIS, DFA, or iShares releases a EM SC fund that loads on factors well, it will definitely be worth a look.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
An ETF based upon a particular index should about track that index minus expenses. Pretty much you know what you are buying based upon its underlying index.DaufuskieNate wrote: ↑Wed Jun 16, 2021 10:42 amFunny question. As there is no consensus on the definitions of "index", "actively managed" and "passive" the terms are rendered useless for communication between human beings. The only space where these definitions are meaningful is between the ears of an individual who can assign their own subjective meanings to the terms.
A more passive factor ETF from DFA or Avantis is attempting to capture factor premiums by factor tilting and by combining factors. The precise combination of factors is proprietary information but by running it an analysis tool like Portfolio Visualizer, you can get a sense of what they are doing. I like to look at the Factor Thermometer graphs at Morningstar and the Stylebox because they give you a visual representation of factor loading, as they say a picture is worth 1,000 words. If such funds have low turnover, I would consider them almost passive though this is actually cheap and low turnover active management.
An active ETF may or may not be 100% transparent, that is you may or may not be able to daily view the portfolio holdings of the ETF. American Century has issued semi-transparent ETFs. These have probably higher turnover and higher fees than an Index ETF or a factor based ETF.
At the risk of sounding science fictiony, I believe in the continuum. I got this idea from a MSCI White Paper, where they showed factor funds in between passive indexing and active management.
Active Investing--->Factor Investing--->Passive Investing.
Active would be higher turnover and have higher fees. The lower turnover Factor funds such as DFA and Avantis would be lower turnover and lower fees, not active but not quite passive in my view. The Total Stock and Bond Indexes would come closest to pure passive investing with very low fees and of course very closely following an index, the Total Stock indexes have both very low fees and very low turnover.
Passive in my view is very low fees, low turnover (20% is the absolute maximum), and hundreds of securities (I will arbitrarily make this number 300 plus). Passive would be just following a low turnover index. Almost passive would be picking all the stocks that fit the criteria or stock screens designed by the managers of a factor ETF. Active management would be to pick the "best" out of a universe of stocks selected by criteria or stock screens, in other words with a higher level of human intervention. I disagreed with Larry Swedroe, I think what DFA and Avantis do is almost passive but not quite because security selection is still involved; in my view it isn't passive investing just because the computers make the selections.
Things that I would consider in the definition of passive vs. active would be turnover, fees, number of holdings, and the amount of human decision making. A good example that illustrates my thinking on this is the iShares MSCI USA Momentum Factor ETF which with 105% portfolio turnover would in any stretch of the imagination be a passive investment. I could not call a narrow market index with turnover of more than 20% as passive. Perhaps the range of 10% to 20% turnover is almost passive. A Dow 30 Index in my view would be almost passive but not meet the passive criteria because there are just not enough securities.
So it is sort of a "I know it when I see it" type of thing. Indexes in my view are usually passive but if turnover is too high, it would be moved somewhere in the continuum between passive and active. Active funds, if they outperform, outperform on the basis of factors so really they are factor funds with fewer stocks and higher turnover. So the definitions get squishy, hard to say exactly where to draw the lines on fees, number of securities, portfolio turnover, and the degree of human involvement in picking from whatever universe of stocks that pass the screening.
In my view, you place ETFs on wherever they might fit in the active management--->higher turnover factor funds--->more passive factor funds and higher turnover index funds--->passive and very broad index funds.
A fool and his money are good for business.
Re: Six more ETFs from DFA (Dimensional Fund Advisors)
3 more new DFA ETFs, including a SCV one and a real estate one.
https://www.businesswire.com/news/home/ ... -Offering/
https://www.businesswire.com/news/home/ ... -Offering/
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Honestly, I think they're a bit late to the party, the SCV should've been out a year or two ago. I don't see any reason to move from AVUV since it would just be either preference or performance chasing.Tanelorn wrote: ↑Fri Feb 25, 2022 9:32 pm 3 more new DFA ETFs, including a SCV one and a real estate one.
https://www.businesswire.com/news/home/ ... -Offering/
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
Yup, but it seems like a good TLH partner for AVUV, though SLYV/VIOV are good as well. I'm more interested in the upcoming EM Value and International SCV ETFs.drumboy256 wrote: ↑Fri Feb 25, 2022 9:43 pmHonestly, I think they're a bit late to the party, the SCV should've been out a year or two ago. I don't see any reason to move from AVUV since it would just be either preference or performance chasing.Tanelorn wrote: ↑Fri Feb 25, 2022 9:32 pm 3 more new DFA ETFs, including a SCV one and a real estate one.
https://www.businesswire.com/news/home/ ... -Offering/
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Re: Six more ETFs from DFA (Dimensional Fund Advisors)
DFA is going to launch an additional four sustainability ETFs:
Dimensional US Sustainability Core 1 ETF
Dimensional International Sustainability Core 1 ETF
Dimensional Emerging Markets Sustainability Core 1 ETF
Dimensional Global Sustainability Fixed Income ETF
Also dropped on Edgar yesterday are the initial registration for three upcoming ETFs:
Dimensional Emerging Markets High Profitability ETF
Dimensional Emerging Markets Value ETF
Dimensional Emerging Markets Core Equity 2 ETF
I’m particularly interested in the latter two.
Dimensional US Sustainability Core 1 ETF
Dimensional International Sustainability Core 1 ETF
Dimensional Emerging Markets Sustainability Core 1 ETF
Dimensional Global Sustainability Fixed Income ETF
Also dropped on Edgar yesterday are the initial registration for three upcoming ETFs:
Dimensional Emerging Markets High Profitability ETF
Dimensional Emerging Markets Value ETF
Dimensional Emerging Markets Core Equity 2 ETF
I’m particularly interested in the latter two.