Avantis has the cheapest international large value ETF

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burritoLover
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Avantis has the cheapest international large value ETF

Post by burritoLover »

Avantis isn't usually the cheapest (as far as expense ratio) so I was surprised to not be able to find any ETFs for international large value cheaper than Avantis. I'm not including "high dividend" funds here. Am I missing a fund or two cheaper than 0.25 ER?

Avantis International Large Cap Value ETF (AVIV) 0.25 ER
Dimensional International Value ETF (DFIV) 0.30 ER
iShares MSCI Intl Value Factor ETF IVLU 0.30 ER
iShares MSCI EAFE Value ETF EFV 0.34 ER
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Kenster1
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Re: Avantis has the cheapest international large value ETF

Post by Kenster1 »

Yeah I think AVIV is great for the ER in that space - I'm not aware of anything cheaper (....and like you said I'm excluding Dividend Focused Int'l ETFs such as VYMI - 0.22% ER]

I just wish AVIV had more volume - it's pretty light. The one pro point going for DFIV is that it has much higher volume along with $4.9B in assets - and that's because it converted over from their traditional Mutual Fund to ETF structure.

Both are very similar including country allocation - though AVIV has a bit higher focus on the Quality factor than DFIV.

I like them both! Tough choice.

--- There is 1 ETF that isn't cheaper than AVIV but matches the same ER (0.25%) and that's the value-titled Schwab Fundamental International Large Company Index ETF (FNDF). Has $9B in assets.

.
Last edited by Kenster1 on Thu Jan 26, 2023 10:02 am, edited 2 times in total.
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Re: Avantis has the cheapest international large value ETF

Post by asif408 »

While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

asif408 wrote: Thu Jan 26, 2023 9:59 am While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
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Re: Avantis has the cheapest international large value ETF

Post by nedsaid »

burritoLover wrote: Thu Jan 26, 2023 9:38 am Avantis isn't usually the cheapest (as far as expense ratio) so I was surprised to not be able to find any ETFs for international large value cheaper than Avantis. I'm not including "high dividend" funds here. Am I missing a fund or two cheaper than 0.25 ER?

Avantis International Large Cap Value ETF (AVIV) 0.25 ER
Dimensional International Value ETF (DFIV) 0.30 ER
iShares MSCI Intl Value Factor ETF IVLU 0.30 ER
iShares MSCI EAFE Value ETF EFV 0.34 ER
Without going to Morningstar and looking over the profiles for each ETF, my best guess would be that any of these four ETFs would be a good International Large Value investment. We are getting spoiled with good choices with relatively low expense ratios. The other thing with ETFs is that you save probably 8-12 basis points on the expense ratios as Blackrock, Avantis, and DFA don't have to hire people to track individual mutual fund accounts.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

nedsaid wrote: Thu Jan 26, 2023 10:28 am
burritoLover wrote: Thu Jan 26, 2023 9:38 am Avantis isn't usually the cheapest (as far as expense ratio) so I was surprised to not be able to find any ETFs for international large value cheaper than Avantis. I'm not including "high dividend" funds here. Am I missing a fund or two cheaper than 0.25 ER?

Avantis International Large Cap Value ETF (AVIV) 0.25 ER
Dimensional International Value ETF (DFIV) 0.30 ER
iShares MSCI Intl Value Factor ETF IVLU 0.30 ER
iShares MSCI EAFE Value ETF EFV 0.34 ER
Without going to Morningstar and looking over the profiles for each ETF, my best guess would be that any of these four ETFs would be a good International Large Value investment. We are getting spoiled with good choices with relatively low expense ratios.
Sure - my strategy is to split the difference in different accounts between plain-vanilla style value funds with low ER (like Vanguard VBR US SCV at 0.05 ER) and more value-y funds with momentum/profitability screens but slightly higher ER (Avantis AVUV US SCV 0.25 ER). Looks like that doesn't hold for intl LCV though for whatever reason (maybe Avantis is trying to drive business).
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Re: Avantis has the cheapest international large value ETF

Post by 9-5 Suited »

They’ve got a great low cost fund lineup for factor investors. I still use IVLU because it’s close enough and not worth switching to me. But I shifted all my international SCV to AVDV at what I found to be a very reasonable 0.36% ER. It was previously hard to find actual ISCV funds that were low cost, also. The value funds cost a lot and the small cheap funds had more of a blend exposure than value.
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Re: Avantis has the cheapest international large value ETF

Post by Kenster1 »

.....
Last edited by Kenster1 on Tue Jan 31, 2023 1:03 am, edited 1 time in total.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 10:22 am
asif408 wrote: Thu Jan 26, 2023 9:59 am While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
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Re: Avantis has the cheapest international large value ETF

Post by slicendice »

Kenster1 wrote: Thu Jan 26, 2023 12:38 pm So the Smallcap factor return benefits for International Dev & EM is very thin --- the real outsized factors for higher expected returns comes from the Value and Profitability factors.
Isn't the Value factor more prominent in Small companies especially if you control for profitability, so it is more efficient to just buy small value to add value factor tilt? At least this was my rational for not having a large value tilt in international (or domestic) and just keeping my international stocks 2:1:1 AVDV:VXUS:VWO. For a while I considered replacing VXUS with AVIV but was leery of the benefit vs cost given my large position in AVDV which is I think is a good value but not a cheap fund.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 12:57 pm
burritoLover wrote: Thu Jan 26, 2023 10:22 am
asif408 wrote: Thu Jan 26, 2023 9:59 am While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 2:27 pm
typical.investor wrote: Thu Jan 26, 2023 12:57 pm
burritoLover wrote: Thu Jan 26, 2023 10:22 am
asif408 wrote: Thu Jan 26, 2023 9:59 am While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 2:36 pm
burritoLover wrote: Thu Jan 26, 2023 2:27 pm
typical.investor wrote: Thu Jan 26, 2023 12:57 pm
burritoLover wrote: Thu Jan 26, 2023 10:22 am
asif408 wrote: Thu Jan 26, 2023 9:59 am While there is no value in their names the Schwab fundamental index funds, from a performance standpoint they are basically value funds, and pretty much behave like the funds you listed. Their ERs are below. The US fund is the same ER, the international developed fund is slightly cheaper, and the EM fund is 2 basis points more than the Avantis equivalent:

Schwab Fundamental US Large Company Index (FNDB) 0.25%
Schwab Fundamental International Large Company Index (FNDF) 0.25%
Schwab Fundamental Emerging Markets Large Company Index (FNDE) 0.38%
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Russell RAFI fundamental factors

Adjusted Sales: Constituent level adjusted sales are calculated using the average sales generated by each constituent over the past five years. Average total sales are then adjusted to take into consideration financial leverage by multiplying the sales component by an adjustment factor. The constituent level adjustment factor is equivalent to the ratio of average equity to average assets. Adjusting for financial leverage decreases the weight of companies with significant leverage.

Retained Operating Cash Flow: Constituent level retained operating cash flow is calculated using the average operating cash flow from operations less dividends and buybacks (as defined below) over the past five years.

Dividends plus Buybacks: Constituent level dividends plus buybacks is calculated using the average dividends paid and share buybacks over the past five years.

The average of the three fundamental factor weights determines the aggregate fundamental value for each individual company. In the event of a constituent having missing data resulting in incomplete five-year history for any factor, the remaining available data is used for the calculations. If all five years of data are missing for a factor, the company is deemed ineligible. For each security, a relative fundamental weight is then calculated based on all the securities in the universe.

The fundamental value for each security is multiplied by its investability weight and the result is the free float adjusted fundamental weight for the security.

For any company with multiple share classes the fundamental weight is distributed across the share classes eligible for the index based on the company’s free float adjusted market capitalization.

Constituents are then ranked in descending order by their fundamental weights. Securities representing the bottom 2% in fundamental weights are removed. Removing the bottom 2% prevents securities with very small fundamental weights from entering the index.
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Re: Avantis has the cheapest international large value ETF

Post by nedsaid »

burritoLover wrote: Thu Jan 26, 2023 10:37 am
nedsaid wrote: Thu Jan 26, 2023 10:28 am
burritoLover wrote: Thu Jan 26, 2023 9:38 am Avantis isn't usually the cheapest (as far as expense ratio) so I was surprised to not be able to find any ETFs for international large value cheaper than Avantis. I'm not including "high dividend" funds here. Am I missing a fund or two cheaper than 0.25 ER?

Avantis International Large Cap Value ETF (AVIV) 0.25 ER
Dimensional International Value ETF (DFIV) 0.30 ER
iShares MSCI Intl Value Factor ETF IVLU 0.30 ER
iShares MSCI EAFE Value ETF EFV 0.34 ER
Without going to Morningstar and looking over the profiles for each ETF, my best guess would be that any of these four ETFs would be a good International Large Value investment. We are getting spoiled with good choices with relatively low expense ratios.
Sure - my strategy is to split the difference in different accounts between plain-vanilla style value funds with low ER (like Vanguard VBR US SCV at 0.05 ER) and more value-y funds with momentum/profitability screens but slightly higher ER (Avantis AVUV US SCV 0.25 ER). Looks like that doesn't hold for intl LCV though for whatever reason (maybe Avantis is trying to drive business).
By Golly, that is a great idea! Coupling a style index fund with a similar factor fund from DFA or Avantis for a factor tilt. That is a way of hedging your bets a bit. I have discussed the "good" factor funds which are Avantis or DFA style funds and the "bad" factor funds like VBR, which isn't so valuey and has a lot of Mid-Caps in it. The style index funds could be "good" or "bad" as defined by actual factor loading.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 2:52 pm
typical.investor wrote: Thu Jan 26, 2023 2:36 pm
burritoLover wrote: Thu Jan 26, 2023 2:27 pm
typical.investor wrote: Thu Jan 26, 2023 12:57 pm
burritoLover wrote: Thu Jan 26, 2023 10:22 am
Doesn't seem like the methodology for those is sorting anything based on price? May be closer to a high dividend fund?
"Russell RAFI Index Series methodology selects and weights securities using the average of three fundamental measures of company size including adjusted sales, retained operating cash flow and dividends plus buybacks."
It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Russell RAFI fundamental factors

Adjusted Sales: Constituent level adjusted sales are calculated using the average sales generated by each constituent over the past five years. Average total sales are then adjusted to take into consideration financial leverage by multiplying the sales component by an adjustment factor. The constituent level adjustment factor is equivalent to the ratio of average equity to average assets. Adjusting for financial leverage decreases the weight of companies with significant leverage.

Retained Operating Cash Flow: Constituent level retained operating cash flow is calculated using the average operating cash flow from operations less dividends and buybacks (as defined below) over the past five years.

Dividends plus Buybacks: Constituent level dividends plus buybacks is calculated using the average dividends paid and share buybacks over the past five years.

The average of the three fundamental factor weights determines the aggregate fundamental value for each individual company. In the event of a constituent having missing data resulting in incomplete five-year history for any factor, the remaining available data is used for the calculations. If all five years of data are missing for a factor, the company is deemed ineligible. For each security, a relative fundamental weight is then calculated based on all the securities in the universe.

The fundamental value for each security is multiplied by its investability weight and the result is the free float adjusted fundamental weight for the security.

For any company with multiple share classes the fundamental weight is distributed across the share classes eligible for the index based on the company’s free float adjusted market capitalization.

Constituents are then ranked in descending order by their fundamental weights. Securities representing the bottom 2% in fundamental weights are removed. Removing the bottom 2% prevents securities with very small fundamental weights from entering the index.
Well, if you don't understand how free float adjusted market capitalization is the number of available share times price, I think you should start figuring that out. The fund functions as I explained, but no they don't use the word price in the section you quoted because that is implied and redundant to market capitalization which they do use.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 3:09 pm
burritoLover wrote: Thu Jan 26, 2023 2:52 pm
typical.investor wrote: Thu Jan 26, 2023 2:36 pm
burritoLover wrote: Thu Jan 26, 2023 2:27 pm
typical.investor wrote: Thu Jan 26, 2023 12:57 pm

It uses price-to-adjusted sales, price-to-retained operating cash flow, price-to-dividends plus buybacks.

Advents portfolio managers define “value characteristics” mainly as adjusted book/price ratio <--- per the Avantis prospectus

To me, book/price isn't the best measure as contributed capital affects book but does not actually predict the value premium.

Anyway, b/m is still definately a way to get value exposure but I am not buying an argument that it is the only or best.
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Russell RAFI fundamental factors

Adjusted Sales: Constituent level adjusted sales are calculated using the average sales generated by each constituent over the past five years. Average total sales are then adjusted to take into consideration financial leverage by multiplying the sales component by an adjustment factor. The constituent level adjustment factor is equivalent to the ratio of average equity to average assets. Adjusting for financial leverage decreases the weight of companies with significant leverage.

Retained Operating Cash Flow: Constituent level retained operating cash flow is calculated using the average operating cash flow from operations less dividends and buybacks (as defined below) over the past five years.

Dividends plus Buybacks: Constituent level dividends plus buybacks is calculated using the average dividends paid and share buybacks over the past five years.

The average of the three fundamental factor weights determines the aggregate fundamental value for each individual company. In the event of a constituent having missing data resulting in incomplete five-year history for any factor, the remaining available data is used for the calculations. If all five years of data are missing for a factor, the company is deemed ineligible. For each security, a relative fundamental weight is then calculated based on all the securities in the universe.

The fundamental value for each security is multiplied by its investability weight and the result is the free float adjusted fundamental weight for the security.

For any company with multiple share classes the fundamental weight is distributed across the share classes eligible for the index based on the company’s free float adjusted market capitalization.

Constituents are then ranked in descending order by their fundamental weights. Securities representing the bottom 2% in fundamental weights are removed. Removing the bottom 2% prevents securities with very small fundamental weights from entering the index.
Well, if you don't understand how free float adjusted market capitalization is the number of available share times price, I think you should start figuring that out. The fund functions as I explained, but no they don't use the word price in the section you quoted because that is implied and redundant to market capitalization which they do use.
That isn't creating an index that sorts companies on price-to-something and then takes the cheapest of these. The quote you mentioned (below) means that once they determine the weighting based on their "fundamental" calculations the fund operates like a float-adjusted market cap index (like the S&P 500). Additionally they split up the rebalancing into 4 tranches where each is rebalanced quarterly (individually) rather than all at once:
"The annual review of the Russell RAFI Index Series is implemented across the year rather than at one point in time to help increase investment capacity and minimize entry point risk".
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 3:29 pm
typical.investor wrote: Thu Jan 26, 2023 3:09 pm
burritoLover wrote: Thu Jan 26, 2023 2:52 pm
typical.investor wrote: Thu Jan 26, 2023 2:36 pm
burritoLover wrote: Thu Jan 26, 2023 2:27 pm
Where do you see price in the methodology of the RAFI index? What I quoted neglects to mention it all.
I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Russell RAFI fundamental factors

Adjusted Sales: Constituent level adjusted sales are calculated using the average sales generated by each constituent over the past five years. Average total sales are then adjusted to take into consideration financial leverage by multiplying the sales component by an adjustment factor. The constituent level adjustment factor is equivalent to the ratio of average equity to average assets. Adjusting for financial leverage decreases the weight of companies with significant leverage.

Retained Operating Cash Flow: Constituent level retained operating cash flow is calculated using the average operating cash flow from operations less dividends and buybacks (as defined below) over the past five years.

Dividends plus Buybacks: Constituent level dividends plus buybacks is calculated using the average dividends paid and share buybacks over the past five years.

The average of the three fundamental factor weights determines the aggregate fundamental value for each individual company. In the event of a constituent having missing data resulting in incomplete five-year history for any factor, the remaining available data is used for the calculations. If all five years of data are missing for a factor, the company is deemed ineligible. For each security, a relative fundamental weight is then calculated based on all the securities in the universe.

The fundamental value for each security is multiplied by its investability weight and the result is the free float adjusted fundamental weight for the security.

For any company with multiple share classes the fundamental weight is distributed across the share classes eligible for the index based on the company’s free float adjusted market capitalization.

Constituents are then ranked in descending order by their fundamental weights. Securities representing the bottom 2% in fundamental weights are removed. Removing the bottom 2% prevents securities with very small fundamental weights from entering the index.
Well, if you don't understand how free float adjusted market capitalization is the number of available share times price, I think you should start figuring that out. The fund functions as I explained, but no they don't use the word price in the section you quoted because that is implied and redundant to market capitalization which they do use.
That isn't creating an index that sorts companies on price-to-something and then takes the cheapest of these. The quote you mentioned (below) means that once they determine the weighting based on their "fundamental" calculations the fund operates like a float-adjusted market cap index (like the S&P 500). Additionally they split up the rebalancing into 4 tranches where each is rebalanced quarterly (individually) rather than all at once:
"The annual review of the Russell RAFI Index Series is implemented across the year rather than at one point in time to help increase investment capacity and minimize entry point risk".
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
Whatever .... I'm thinking simply that Avantis is your darling and you are going to dismiss anything contrary to your assertion that they have the cheapest international large value ETF.

Anyway, go talk to Morningstar about why they place FNDF in the Foreign Large Value category. Maybe they can explain it to you. It yields less than AVIV too so it's not a dividend fund.

I'm not into flat earthing, but yeah say what you want.

As explained in section 6.2.4, "its weight in the index will fluctuate with price movement". A higher price relative to its fundamentals will result in a lower weighting. A lower price relative to its fundamentals will result in a higher weighting.
Last edited by typical.investor on Thu Jan 26, 2023 3:51 pm, edited 1 time in total.
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Re: Avantis has the cheapest international large value ETF

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typical.investor wrote: Thu Jan 26, 2023 3:35 pm
burritoLover wrote: Thu Jan 26, 2023 3:29 pm
typical.investor wrote: Thu Jan 26, 2023 3:09 pm
burritoLover wrote: Thu Jan 26, 2023 2:52 pm
typical.investor wrote: Thu Jan 26, 2023 2:36 pm

I know your quote didn't mention it, that's why I did.

Anyways, it measures those things you - quoted adjusted sales, retained operating cash flow and dividends plus buybacks. Then what do you think it does? Load up on stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks even if the price is sky high? No, it uses the stock price to select stocks with high adjusted sales, retained operating cash flow and dividends plus buybacks relative to its price.



See p14 for that example https://research.ftserussell.com/produc ... gy_new.pdf

So a stock with a low price relative to high adjusted sales, retained operating cash flow and dividends plus buybacks will have a larger weighting in the index. Avantis may make similar use of that data, but they do say they define “value characteristics” mainly as adjusted book/price ratio.

Note: that is for RAFI's Russell series that is available at Schwab. Earlier versions did rebalancing once/year I think instead of in quarterly tranches but that doesn't change anything in this discussion...
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Russell RAFI fundamental factors

Adjusted Sales: Constituent level adjusted sales are calculated using the average sales generated by each constituent over the past five years. Average total sales are then adjusted to take into consideration financial leverage by multiplying the sales component by an adjustment factor. The constituent level adjustment factor is equivalent to the ratio of average equity to average assets. Adjusting for financial leverage decreases the weight of companies with significant leverage.

Retained Operating Cash Flow: Constituent level retained operating cash flow is calculated using the average operating cash flow from operations less dividends and buybacks (as defined below) over the past five years.

Dividends plus Buybacks: Constituent level dividends plus buybacks is calculated using the average dividends paid and share buybacks over the past five years.

The average of the three fundamental factor weights determines the aggregate fundamental value for each individual company. In the event of a constituent having missing data resulting in incomplete five-year history for any factor, the remaining available data is used for the calculations. If all five years of data are missing for a factor, the company is deemed ineligible. For each security, a relative fundamental weight is then calculated based on all the securities in the universe.

The fundamental value for each security is multiplied by its investability weight and the result is the free float adjusted fundamental weight for the security.

For any company with multiple share classes the fundamental weight is distributed across the share classes eligible for the index based on the company’s free float adjusted market capitalization.

Constituents are then ranked in descending order by their fundamental weights. Securities representing the bottom 2% in fundamental weights are removed. Removing the bottom 2% prevents securities with very small fundamental weights from entering the index.
Well, if you don't understand how free float adjusted market capitalization is the number of available share times price, I think you should start figuring that out. The fund functions as I explained, but no they don't use the word price in the section you quoted because that is implied and redundant to market capitalization which they do use.
That isn't creating an index that sorts companies on price-to-something and then takes the cheapest of these. The quote you mentioned (below) means that once they determine the weighting based on their "fundamental" calculations the fund operates like a float-adjusted market cap index (like the S&P 500). Additionally they split up the rebalancing into 4 tranches where each is rebalanced quarterly (individually) rather than all at once:
"The annual review of the Russell RAFI Index Series is implemented across the year rather than at one point in time to help increase investment capacity and minimize entry point risk".
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
Whatever .... I'm thinking simply that Avantis is your darling and you are going to dismiss anything contrary to your assertion that they have the cheapest international large value ETF.

Anyway, go talk to Morningstar about why they place FNDF in the Foreign Large Value. Maybe they can explain it to you. It yields less than AVIV too so it's not a dividend fund.

I'm not into flat earthing, but yeah say what you want.
High dividend funds are often sorted into value categories as well - that is nothing new - it doesn't mean that all funds put into that category use low price-to-something to construct the index. Regardless, I'm not looking for a proxy to value - that is just a personal preference.
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Re: Avantis has the cheapest international large value ETF

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burritoLover wrote: Thu Jan 26, 2023 3:51 pm
typical.investor wrote: Thu Jan 26, 2023 3:35 pm
burritoLover wrote: Thu Jan 26, 2023 3:29 pm
typical.investor wrote: Thu Jan 26, 2023 3:09 pm
burritoLover wrote: Thu Jan 26, 2023 2:52 pm
The document you posted explains the methodology in more detail on pages 8 and 9 and it literally says the same thing with no mention of price. High dividend indexes do exactly the same thing - they aren't generally based on price. Of course, the weight will fluctuate based on price until the next rebalancing - that doesn't have anything to do with how the index is constructed:
Well, if you don't understand how free float adjusted market capitalization is the number of available share times price, I think you should start figuring that out. The fund functions as I explained, but no they don't use the word price in the section you quoted because that is implied and redundant to market capitalization which they do use.
That isn't creating an index that sorts companies on price-to-something and then takes the cheapest of these. The quote you mentioned (below) means that once they determine the weighting based on their "fundamental" calculations the fund operates like a float-adjusted market cap index (like the S&P 500). Additionally they split up the rebalancing into 4 tranches where each is rebalanced quarterly (individually) rather than all at once:
"The annual review of the Russell RAFI Index Series is implemented across the year rather than at one point in time to help increase investment capacity and minimize entry point risk".
Though a security’s fundamental weight is set during the annual review, its weight in the index will fluctuate with price movement. The following is an example of the quarterly review implementation and price performance impact to a security’s weight in the Russell RAFI Index.
Whatever .... I'm thinking simply that Avantis is your darling and you are going to dismiss anything contrary to your assertion that they have the cheapest international large value ETF.

Anyway, go talk to Morningstar about why they place FNDF in the Foreign Large Value. Maybe they can explain it to you. It yields less than AVIV too so it's not a dividend fund.

I'm not into flat earthing, but yeah say what you want.
High dividend funds are often sorted into value categories as well - that is nothing new - it doesn't mean that all funds put into that category use low price-to-something to construct the index. Regardless, I'm not looking for a proxy to value - that is just a personal preference.
Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.

Anyway, contributed capital that shows up in book doesn't make a stock more valuey. That is the problem with that measure, why alternatives were constructed and why multiple measure are preferred. Avantis says their primary measure of value is book/market and it's not clear how much weighting to other measures they use.

You can see that clearly in the allocation to financials. Even when financials get expensive relative to earnings, they will still be included heavily in value funds that weight by book. Energy is similar.

Differences in methodology aren't so overwhelmingly important though. I don't mean to suggest it is, and am only stating that b/m is not the only definition of value and quite possible not the best.

BTW, I eat El Monterey frozen burritos about three times a week. If you have suggestions please let me know. My grocery bill is pretty high so I have to cut back someplace and they are convenient and good (with extra cheese and a nice fresh salad). Or are you catfishing us with the burritoLover thing????
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Re: Avantis has the cheapest international large value ETF

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typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely - probably why they called it "Fundamental" and not "Value". They wanted companies with high shareholder yield, high sales, and high cash flow. Now, that probably includes a number of value companies but that is a step away, IMO, from factoring low price-to-something into the sort. I'm sorry I'm not allowed to prefer certain methodologies in the ETFs I'm investing in, while excluding others.
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Re: Avantis has the cheapest international large value ETF

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burritoLover wrote: Thu Jan 26, 2023 4:26 pm
typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement". This is as when price-to-something is high, it will hold less. And when price-to-something is low it will hold more.

You of course are free to have your preferences. I care little about that. I find your misrepresentation of alternatives to your favorite to be unhelpful distortion and plain old FUD because it's simply inaccurate. Enjoy your bubble. I am more of a burrito lover than you I think.
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Re: Avantis has the cheapest international large value ETF

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typical.investor wrote: Thu Jan 26, 2023 4:34 pm
burritoLover wrote: Thu Jan 26, 2023 4:26 pm
typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement".
Dude, you are way off. The S&P 500 weighting will also "fluctuate with price movement". That is what any index does in-between re-balancing. When they re-balance, they change the weightings of the index according to their sort (in this case high sales/shareholder yield/cash flow). In-between re-balancing, prices will change and that changes the weighting of stocks in fund from the original sort. That has absolutely nothing to do with how the weighting is determined at re-balance time.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 4:48 pm
typical.investor wrote: Thu Jan 26, 2023 4:34 pm
burritoLover wrote: Thu Jan 26, 2023 4:26 pm
typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement".
Dude, you are way off.
Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.
burritoLover wrote: Thu Jan 26, 2023 4:48 pm The S&P 500 weighting will also "fluctuate with price movement".
Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
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Re: Avantis has the cheapest international large value ETF

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VYMI 0.22%
SCHY 0.14%
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Re: Avantis has the cheapest international large value ETF

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WhiteMaxima wrote: Thu Jan 26, 2023 6:33 pm VYMI 0.22%
SCHY 0.14%
burritoLover is going to lose their salsa if you suggest dividend funds for value exposure. I suggested a fund with value exposure and got sour cream thrown at me because dividends (along with buybacks and retained earnings) were a component in the weighting (you know I mean why pay to much for earnings - it's a value strategy no?). Be warned or wear a raincoat or something!
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Re: Avantis has the cheapest international large value ETF

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typical.investor wrote: Thu Jan 26, 2023 5:52 pm
burritoLover wrote: Thu Jan 26, 2023 4:48 pm
typical.investor wrote: Thu Jan 26, 2023 4:34 pm
burritoLover wrote: Thu Jan 26, 2023 4:26 pm
typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement".
Dude, you are way off.
Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.
burritoLover wrote: Thu Jan 26, 2023 4:48 pm The S&P 500 weighting will also "fluctuate with price movement".
Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 7:13 pm
typical.investor wrote: Thu Jan 26, 2023 5:52 pm
burritoLover wrote: Thu Jan 26, 2023 4:48 pm
typical.investor wrote: Thu Jan 26, 2023 4:34 pm
burritoLover wrote: Thu Jan 26, 2023 4:26 pm
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement".
Dude, you are way off.
Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.
burritoLover wrote: Thu Jan 26, 2023 4:48 pm The S&P 500 weighting will also "fluctuate with price movement".
Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 7:26 pm
burritoLover wrote: Thu Jan 26, 2023 7:13 pm
typical.investor wrote: Thu Jan 26, 2023 5:52 pm
burritoLover wrote: Thu Jan 26, 2023 4:48 pm
typical.investor wrote: Thu Jan 26, 2023 4:34 pm

I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement".
Dude, you are way off.
Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.
burritoLover wrote: Thu Jan 26, 2023 4:48 pm The S&P 500 weighting will also "fluctuate with price movement".
Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
First you tried to claim that the index methodology was price-to-sales, price-to-cash flow, price-to-shareholder yield. When that was proven to be wrong, then you claimed that normal index rebalancing made it a value fund because it buys more of what's cheaper. Let's think about that for a minute. Imagine an index that is exactly the same but the weighting is ACTUALLY determined by price-to-sales, price-to-cash flow, price-to-shareholder yield. By your logic, they would rebalance identically. But would they? In the example of the 4% weighted stock that drops in half to a 2%, all the rest of the stock equal, with this index, the new weighting at rebalancing would be even higher than 4%. So the index is buying more of what has recently become cheaper. Hmm what would you call buying more of what's cheaper?
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Re: Avantis has the cheapest international large value ETF

Post by Apathizer »

typical.investor wrote: Thu Jan 26, 2023 6:58 pm
WhiteMaxima wrote: Thu Jan 26, 2023 6:33 pm VYMI 0.22%
SCHY 0.14%
burritoLover is going to lose their salsa if you suggest dividend funds for value exposure. I suggested a fund with value exposure and got sour cream thrown at me because dividends (along with buybacks and retained earnings) were a component in the weighting (you know I mean why pay to much for earnings - it's a value strategy no?). Be warned or wear a raincoat or something!
BL seems busy so I guess I'll fling the sour cream. :P

A value slant doesn't necessitate dividends. Dividends are best ignored rather than targeted or avoided. That said, well diversified dividend focus will probably be fine, but is likely to be as consistent and reliable than a portfolio that ignores them and instead targets the more relevant characteristics.
ROTH: 50% AVGE, 10% DFAX, 40% BNDW. Taxable: 50% BNDW, 40% AVGE, 10% DFAX.
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 7:35 pm
typical.investor wrote: Thu Jan 26, 2023 7:26 pm
burritoLover wrote: Thu Jan 26, 2023 7:13 pm
typical.investor wrote: Thu Jan 26, 2023 5:52 pm
burritoLover wrote: Thu Jan 26, 2023 4:48 pm
Dude, you are way off.
Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.
burritoLover wrote: Thu Jan 26, 2023 4:48 pm The S&P 500 weighting will also "fluctuate with price movement".
Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
First you tried to claim that the index methodology was price-to-sales, price-to-cash flow, price-to-shareholder yield. When that was proven to be wrong, then you claimed that normal index rebalancing made it a value fund because it buys more of what's cheaper. Let's think about that for a minute. Imagine an index that is exactly the same but the weighting is ACTUALLY determined by price-to-sales, price-to-cash flow, price-to-shareholder yield. By your logic, they would rebalance identically. But would they? In the example of the 4% weighted stock that drops in half to a 2%, all the rest of the stock equal, with this index, the new weighting at rebalancing would be even higher than 4%. So the index is buying more of what has recently become cheaper. Hmm what would you call buying more of what's cheaper?
Sigh. Fine, my explanation of it fails and you don't understand. Ok, that's on me.

Here is what David Blitz & Laurens Swinkels in the Journal of Asset Management have to say:
In this paper, we critically examine the novel concept of fundamental indexation. We argue that fundamental indexation is by definition nothing more than an elegant value strategy, because the weights of stocks in a fundamental index and a market-capitalisation-weighted index only differ as a result of differences in valuation ratios.
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Re: Avantis has the cheapest international large value ETF

Post by whodidntante »

nedsaid wrote: Thu Jan 26, 2023 10:28 am The other thing with ETFs is that you save probably 8-12 basis points on the expense ratios as Blackrock, Avantis, and DFA don't have to hire people to track individual mutual fund accounts.
Fidelity oddly went the other route when beat Vanguard at their own game a few years ago, though. They were running ads about how basically every class of mutual fund they had was cheaper than what Vanguard had to offer. Meanwhile, the ETFs they have created are expensive and unloved. But it makes sense if you understand what they are doing. I guess that's true for a lot of things. :wink:

Fidelity probably has things dialed in so well that they can bleep-bloop a mutual fund accounting system into existence, though. I envision that after they get the SEC clearance, they go to the basement and pay a geek a Twizzlers bonus then voila! Mutual fund.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 9:16 pm
burritoLover wrote: Thu Jan 26, 2023 7:35 pm
typical.investor wrote: Thu Jan 26, 2023 7:26 pm
burritoLover wrote: Thu Jan 26, 2023 7:13 pm
typical.investor wrote: Thu Jan 26, 2023 5:52 pm

Sorry, I don't think you should be making comments on alternatives to Avantis funds because you don't understand what the alternatives are. You just don't.



Yes, and if AAPL which is 6% of the S&P 500 loses 50%, its weight in a market cap weighted index will be 50% less or 3%. (are you following that math?)

For the fundamental index which perhaps assigned AAPL a weight of 4%, at the next rebalancing after a 50% loss, it will buy more shares such that AAPL is still weighted at 4%. (do you doubt that?). So as AAPL became cheaper, its proportion in the fundamental index increased. (is that difficult to follow?)

You can do the math on $10k when AAPL is (now at 6% of the index S&P 500) and loses 50%. The overall value is of AAPL in the S&P 500 index will then be $300 and 3% of the index. (got it?)

For the fundamental index which weights AAPL now at 4% (based on it's fundamentals) and so has $400 worth of stock, the overall value of AAPLE in the index will be $200 after a 50% loss and 2% of the index. Then after the rebalance back to the weight of 4%, the fundamental index will hold $392 of AAPL (which is 4% of the new index value of 9800). (can you follow?)

So yes, the S&P 500 weighting fluctuated with price movement. (I agree with you) The weighting of AAPL was half what it was after a 50% loss. (seems obvious right?)

But the fundamental index rebalanced based on the fundamentals such that its weight was the same after the loss. Of course, the Russell series breaks up the rebalancing into quarterly tranches but it doesn't change anything in the analysis.

So the weighting in the S&P 500 went from 6% to 3% and the fundamental index went from 3% to 4% (as the stock became cheaper).

But well, I simply think you can't be bothered to try to understand this. For the love of burritos man, please understand.

Again, my point is not that the fundamental index is superior to other value measures, but only that it is value exposer. So claims to the contrary are plain and simply most wrong.
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
First you tried to claim that the index methodology was price-to-sales, price-to-cash flow, price-to-shareholder yield. When that was proven to be wrong, then you claimed that normal index rebalancing made it a value fund because it buys more of what's cheaper. Let's think about that for a minute. Imagine an index that is exactly the same but the weighting is ACTUALLY determined by price-to-sales, price-to-cash flow, price-to-shareholder yield. By your logic, they would rebalance identically. But would they? In the example of the 4% weighted stock that drops in half to a 2%, all the rest of the stock equal, with this index, the new weighting at rebalancing would be even higher than 4%. So the index is buying more of what has recently become cheaper. Hmm what would you call buying more of what's cheaper?
Sigh. Fine, my explanation of it fails and you don't understand. Ok, that's on me.

Here is what David Blitz & Laurens Swinkels in the Journal of Asset Management have to say:
In this paper, we critically examine the novel concept of fundamental indexation. We argue that fundamental indexation is by definition nothing more than an elegant value strategy, because the weights of stocks in a fundamental index and a market-capitalisation-weighted index only differ as a result of differences in valuation ratios.
I’ll let you off the hook here since obviously you’ve doubled down and just keeping digging yourself a bigger hole. You’ve run the gamut of logical fallacies including various strawmans (latest one quoting a comparison of a fundamental index - which could also include price to book among other metrics btw - to a market cap weighted index lol), various hasty generalizations and even some ad hominen attacks thrown in for good measure. Have a good one :sharebeer

Be sure to add another ad hominen attack on your way out cause I know you’re dying to. :twisted:
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typical.investor
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

burritoLover wrote: Thu Jan 26, 2023 9:57 pm
typical.investor wrote: Thu Jan 26, 2023 9:16 pm
burritoLover wrote: Thu Jan 26, 2023 7:35 pm
typical.investor wrote: Thu Jan 26, 2023 7:26 pm
burritoLover wrote: Thu Jan 26, 2023 7:13 pm
So every index must be a value index then. It could be index of the companies with lowest sales, lowest shareholder yield, and lowest cash flow. By your logic, if they weighted a stock with these metrics at 4% in the index at rebalancing and the price drops in half to 2%, they would be buying more of this stock at the next rebalance to 4%. So a construction of the index with the exact opposite methodology, is, wallah!, a value index - because they are buying more of what's cheaper! lol.
If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
First you tried to claim that the index methodology was price-to-sales, price-to-cash flow, price-to-shareholder yield. When that was proven to be wrong, then you claimed that normal index rebalancing made it a value fund because it buys more of what's cheaper. Let's think about that for a minute. Imagine an index that is exactly the same but the weighting is ACTUALLY determined by price-to-sales, price-to-cash flow, price-to-shareholder yield. By your logic, they would rebalance identically. But would they? In the example of the 4% weighted stock that drops in half to a 2%, all the rest of the stock equal, with this index, the new weighting at rebalancing would be even higher than 4%. So the index is buying more of what has recently become cheaper. Hmm what would you call buying more of what's cheaper?
Sigh. Fine, my explanation of it fails and you don't understand. Ok, that's on me.

Here is what David Blitz & Laurens Swinkels in the Journal of Asset Management have to say:
In this paper, we critically examine the novel concept of fundamental indexation. We argue that fundamental indexation is by definition nothing more than an elegant value strategy, because the weights of stocks in a fundamental index and a market-capitalisation-weighted index only differ as a result of differences in valuation ratios.
I’ll let you off the hook here since obviously you’ve doubled down and just keeping digging yourself a bigger hole. You’ve run the gamut of logical fallacies including various strawmans (latest one quoting a comparison of a fundamental index - which could also include price to book among other metrics btw - to a market cap weighted index lol), various hasty generalizations and even some ad hominen attacks thrown in for good measure. Have a good one :sharebeer
#1 OP claims Avantis has the cheapest international large value ETF
#2 Some one points out the Fundamental Indexes are the same ER.
#3 OP claims the Fundamental Index is closer to a high dividend fund than a value fund because it doesn't use 'price' you say
#4 I try to explain the methodology leads to value exposure and cite a journal showing others too think it's a value strategy based on valuations
#5 OP claims that citing analysis of a fundamental index is a straw man because the fundamental index could include price

I'm scratching my head wondering why analysis of a fundamental index that shows it is a value strategy is alleged to be a straw man when presentation of that analysis is disproving the claim the the fundamental index is a value strategy.

I simply conclude the OP is confused about value investing and that no-one should listen to their claims on the topic which are shown academic journals to be false
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

typical.investor wrote: Thu Jan 26, 2023 10:15 pm
burritoLover wrote: Thu Jan 26, 2023 9:57 pm
typical.investor wrote: Thu Jan 26, 2023 9:16 pm
burritoLover wrote: Thu Jan 26, 2023 7:35 pm
typical.investor wrote: Thu Jan 26, 2023 7:26 pm

If you took an index of overpriced stocks, and rebalanced into stocks as they became less overpriced, I wouldn't call that a value strategy. You would still not be holding value companies. You would merely be holding an index that is less overpriced.

I'm not sure if you know what you are posting.
First you tried to claim that the index methodology was price-to-sales, price-to-cash flow, price-to-shareholder yield. When that was proven to be wrong, then you claimed that normal index rebalancing made it a value fund because it buys more of what's cheaper. Let's think about that for a minute. Imagine an index that is exactly the same but the weighting is ACTUALLY determined by price-to-sales, price-to-cash flow, price-to-shareholder yield. By your logic, they would rebalance identically. But would they? In the example of the 4% weighted stock that drops in half to a 2%, all the rest of the stock equal, with this index, the new weighting at rebalancing would be even higher than 4%. So the index is buying more of what has recently become cheaper. Hmm what would you call buying more of what's cheaper?
Sigh. Fine, my explanation of it fails and you don't understand. Ok, that's on me.

Here is what David Blitz & Laurens Swinkels in the Journal of Asset Management have to say:
In this paper, we critically examine the novel concept of fundamental indexation. We argue that fundamental indexation is by definition nothing more than an elegant value strategy, because the weights of stocks in a fundamental index and a market-capitalisation-weighted index only differ as a result of differences in valuation ratios.
I’ll let you off the hook here since obviously you’ve doubled down and just keeping digging yourself a bigger hole. You’ve run the gamut of logical fallacies including various strawmans (latest one quoting a comparison of a fundamental index - which could also include price to book among other metrics btw - to a market cap weighted index lol), various hasty generalizations and even some ad hominen attacks thrown in for good measure. Have a good one :sharebeer
#1 OP claims Avantis has the cheapest international large value ETF
#2 Some one points out the Fundamental Indexes are the same ER.
#3 OP claims the Fundamental Index is closer to a high dividend fund than a value fund because it doesn't use 'price' you say
#4 I try to explain the methodology leads to value exposure and cite a journal showing others too think it's a value strategy based on valuations
#5 OP claims that citing analysis of a fundamental index is a straw man because the fundamental index could include price

I'm scratching my head wondering why analysis of a fundamental index that shows it is a value strategy is alleged to be a straw man when presentation of that analysis is disproving the claim the the fundamental index is a value strategy.

I simply conclude the OP is confused about value investing and that no-one should listen to their claims on the topic which are shown academic journals to be false
Lol.
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typical.investor
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Re: Avantis has the cheapest international large value ETF

Post by typical.investor »

#1 OP claims Avantis has the cheapest international large value ETF
#2 Some one points out the Fundamental Indexes are the same ER.
#3 OP claims the Fundamental Index is closer to a high dividend fund than a value fund because it doesn't use 'price' you say
#4 I try to explain the methodology leads to value exposure and cite a journal showing others too think it's a value strategy based on valuations
#5 OP claims that citing analysis of a fundamental index is a straw man because the fundamental index could include price

I'm scratching my head wondering why analysis of a fundamental index that shows it is a value strategy is alleged to be a straw man when presentation of that analysis is disproving the claim the the fundamental index is a NOT value strategy.
Sorry typo ... neglected the NOT
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Re: Avantis has the cheapest international large value ETF

Post by nedsaid »

whodidntante wrote: Thu Jan 26, 2023 9:53 pm
nedsaid wrote: Thu Jan 26, 2023 10:28 am The other thing with ETFs is that you save probably 8-12 basis points on the expense ratios as Blackrock, Avantis, and DFA don't have to hire people to track individual mutual fund accounts.
Fidelity oddly went the other route when beat Vanguard at their own game a few years ago, though. They were running ads about how basically every class of mutual fund they had was cheaper than what Vanguard had to offer. Meanwhile, the ETFs they have created are expensive and unloved. But it makes sense if you understand what they are doing. I guess that's true for a lot of things. :wink:

Fidelity probably has things dialed in so well that they can bleep-bloop a mutual fund accounting system into existence, though. I envision that after they get the SEC clearance, they go to the basement and pay a geek a Twizzlers bonus then voila! Mutual fund.
Yes, Fidelity's Zero Funds are probably loss leaders and I wonder about Fidelity's other index funds. My guess is that we have underestimated the income received from securities lending. A thread on this topic would be quite interesting, I forget whatever numbers that have been put to the income from securities lending and how that affects the operation of index funds. I will probably have to look at a Vanguard prospectus or Statement of Additional Information to get an idea. I know somewhere here on the forum numbers have been posted.
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Re: Avantis has the cheapest international large value ETF

Post by unclescrooge »

typical.investor wrote: Thu Jan 26, 2023 4:34 pm
burritoLover wrote: Thu Jan 26, 2023 4:26 pm
typical.investor wrote: Thu Jan 26, 2023 3:58 pm Book-to-market is a proxy to value too though. Fama/French could just have as easily defined value as price-to-earnings, and then everyone using Avantis would be using a 'proxy' too. There is no perfect, true, shining measure of value. You seem to think you have it. I question that.
That's odd since I've been saying "price-to-something" this entire time, not price-to-book. Sure, there is no "perfect" metric of value and multiple measurements are preferred - there's no magic bullet. That said, you have an index that ignores prices completely
I'm sorry. Your assertions are wrong and not helpful to understanding investing.

As previous explained, it is Advantis who says in their prospectus that they define “value characteristics” mainly as adjusted book/price ratio. Thus, it logically follows when you say Avantis is value exposure and not a proxy, that you too agree value is defined as b/m.

As explained for the third time now ... you can see in section 6.2.4, the fundamental index docs say "its weight in the index will fluctuate with price movement". This is as when price-to-something is high, it will hold less. And when price-to-something is low it will hold more.

You of course are free to have your preferences. I care little about that. I find your misrepresentation of alternatives to your favorite to be unhelpful distortion and plain old FUD because it's simply inaccurate. Enjoy your bubble. I am more of a burrito lover than you I think.
First of all, it's Avantis!!!!

They use adjusted price-to-book where they strip out the impact of goodwill.

They also use high profitability as a quality factor. They use cash-based profitability from which accruals are removed, as these can be manipulated, and which had been found to be superior to net income, gross profitability or operating profitability.
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Re: Avantis has the cheapest international large value ETF

Post by ramink »

My biggest concern with Avantis funds is that other than AVUV and AVDV (I personally invest in both) - the later funds are not attracting much assets. DFA is attracting assets like clockwork across the spectrum. While ETFs in general can be tax efficient, DFIV, DFAT and DFUV are coversions of tax managed funds and may be great for taxable accounts.
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Re: Avantis has the cheapest international large value ETF

Post by comeinvest »

ramink wrote: Mon Jan 30, 2023 10:56 pm My biggest concern with Avantis funds is that other than AVUV and AVDV (I personally invest in both) - the later funds are not attracting much assets. DFA is attracting assets like clockwork across the spectrum. While ETFs in general can be tax efficient, DFIV, DFAT and DFUV are coversions of tax managed funds and may be great for taxable accounts.
I think in a tax-advantaged account, a small total asset base can be an advantage, if anything, as it might mean less internal trading cost. Of course in taxable, you always have to be concerned about possible termination; not so in tax-advantaged.
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Kenster1
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Re: Avantis has the cheapest international large value ETF

Post by Kenster1 »

ramink wrote: Mon Jan 30, 2023 10:56 pm My biggest concern with Avantis funds is that other than AVUV and AVDV (I personally invest in both) - the later funds are not attracting much assets. DFA is attracting assets like clockwork across the spectrum. While ETFs in general can be tax efficient, DFIV, DFAT and DFUV are coversions of tax managed funds and may be great for taxable accounts.
I've thought about that too - some of the DFA ETFs may be more appealing for Taxable accounts because they have large AUM and volume...and some of their ETFs are invested with extra tax-management care as you said because they were conversions from Tax-Managed Mutual Funds.

DFAC is another one: The investment objective of the Dimensional U.S. Core Equity 2 ETF (the "US Core Equity 2 ETF" or "Portfolio") is to achieve long-term capital appreciation while considering federal income tax implications of investment decisions.

Though the Avantis ETFs besides AVUV and AVDV that have sizable assets - AVUS, AVDE and AVEM (Core Equity ETFs with mild-moderate value/profitability tilt) also have billions in AUM.
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NiceUnparticularMan
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Re: Avantis has the cheapest international large value ETF

Post by NiceUnparticularMan »

For what it is worth, using the five-factor regression tool at Portfolio Visualizer, constrained to just since 10/2021 due to data for AVIV/DFIV, market=Intl Developed Ex Us, I get their value loadings as:

EFV 0.57
FNDF 0.60
AVIV 0.70
IVLU 0.74
DFIV 0.83

So FNDF's methodology does appear to make it valuey. However, I am not sure HOW valuey in the long run.

Like, I dropped AVIV and DFIV to get this back to 2015, and got:

FNDF 0.32
EFV 0.50
IVLU 0.66

Dropping IVLU gets back to 2013 (all of FNDF):

FNDF 0.29
EFV 0.45

Of course this doesn't mean FNDF is a bad fund (indeed, it significantly outperformed EFV/IVLU over those periods). But specifically in terms of value loading, it doesn't appear to be consistently as valuey as these other two value funds.
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Re: Avantis has the cheapest international large value ETF

Post by asif408 »

NiceUnparticularMan wrote: Tue Jan 31, 2023 5:32 am Of course this doesn't mean FNDF is a bad fund (indeed, it significantly outperformed EFV/IVLU over those periods). But specifically in terms of value loading, it doesn't appear to be consistently as valuey as these other two value funds.
That makes sense, as my understanding of the methodology is that the fundamental index funds will be less heavily tilted to value when the value/growth spread is small, and more heavily tilted to value when the value/growth spread is wide. I believe they always have a value tilt, but the degree of that tilt will vary over time based on the value/growth spread.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

FNDF is more along the spectrum of a high dividend fund (as expected):

(2013-2022 HmL)
FNDF Schwab Fundamental Intl Lg Co ETF 0.34
DTH WisdomTree International High Div ETF 0.34
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

I'm also having trouble finding anything more attractive for EM value than Avantis AVES.

edited: wrong ticker
Last edited by burritoLover on Tue Jan 31, 2023 9:32 am, edited 1 time in total.
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Re: Avantis has the cheapest international large value ETF

Post by NiceUnparticularMan »

asif408 wrote: Tue Jan 31, 2023 7:25 am
NiceUnparticularMan wrote: Tue Jan 31, 2023 5:32 am Of course this doesn't mean FNDF is a bad fund (indeed, it significantly outperformed EFV/IVLU over those periods). But specifically in terms of value loading, it doesn't appear to be consistently as valuey as these other two value funds.
That makes sense, as my understanding of the methodology is that the fundamental index funds will be less heavily tilted to value when the value/growth spread is small, and more heavily tilted to value when the value/growth spread is wide. I believe they always have a value tilt, but the degree of that tilt will vary over time based on the value/growth spread.
That definitely makes sense.

As a random anecdotal aside, I have ended up with several "fundamental index" (both US and ex-US) ETFs as a result of tax-loss harvesting events. On the one hand, I recognize these are varying somewhat from my theoretical tilt plan. On the other hand, I think they are kinda interesting anyway. And the bottom line is I wouldn't still have them if they hadn't had significant capital gains since I swapped into them, so there you go.
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Re: Avantis has the cheapest international large value ETF

Post by NiceUnparticularMan »

burritoLover wrote: Tue Jan 31, 2023 7:58 am I'm also having trouble finding anything more attractive for EM value than Avantis AVEM.
Are you ruling out AVES and DFEV because of the much lower AUM?

As I recall, for EMV specifically, the dividend/fundamentals ETFs have so far been significantly more valuey than AVEM, which really isn't valuey at all.
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Re: Avantis has the cheapest international large value ETF

Post by Kenster1 »

.
If anyone is looking for an all-in-one multi-cap set & forget International+EM core ETF with mild-moderate value tilt and significant smaller size tilt --- DFAX (Dimensional World ex-US Core Equity 2 ETF) is an interesting option. Has $5.5B in AUM.

Approx split of: 68% Developed Int'l & 32% EM

DFAX is not quite as valuey as the DFA International Value & EM Value ETFs but has moderately higher profitability measures.

.
Last edited by Kenster1 on Tue Jan 31, 2023 9:40 am, edited 3 times in total.
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Re: Avantis has the cheapest international large value ETF

Post by Kenster1 »

NiceUnparticularMan wrote: Tue Jan 31, 2023 9:13 am
burritoLover wrote: Tue Jan 31, 2023 7:58 am I'm also having trouble finding anything more attractive for EM value than Avantis AVEM.
Are you ruling out AVES and DFEV because of the much lower AUM?

As I recall, for EMV specifically, the dividend/fundamentals ETFs have so far been significantly more valuey than AVEM, which really isn't valuey at all.

BL may have meant AVES (Avantis EM Value ETF) which is very value-y plus significant smaller size factor and of course adds profitability factor weighting.

.
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Re: Avantis has the cheapest international large value ETF

Post by burritoLover »

NiceUnparticularMan wrote: Tue Jan 31, 2023 9:13 am
burritoLover wrote: Tue Jan 31, 2023 7:58 am I'm also having trouble finding anything more attractive for EM value than Avantis AVEM.
Are you ruling out AVES and DFEV because of the much lower AUM?

As I recall, for EMV specifically, the dividend/fundamentals ETFs have so far been significantly more valuey than AVEM, which really isn't valuey at all.
Sorry meant to say AVES. I'm trying to split between different funds in taxable (currently AVUV, AVDV, AVES) vs Roth Ira (VBR, ?, ?). Large intl developed value is fine in the Roth (so I was thinking AVIV). Then I will use DFA funds for TLH opportunities in taxable.
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Re: Avantis has the cheapest international large value ETF

Post by NiceUnparticularMan »

Kenster1 wrote: Tue Jan 31, 2023 9:23 am
NiceUnparticularMan wrote: Tue Jan 31, 2023 9:13 am
burritoLover wrote: Tue Jan 31, 2023 7:58 am I'm also having trouble finding anything more attractive for EM value than Avantis AVEM.
Are you ruling out AVES and DFEV because of the much lower AUM?

As I recall, for EMV specifically, the dividend/fundamentals ETFs have so far been significantly more valuey than AVEM, which really isn't valuey at all.

BL may have meant AVES (Avantis EM Value ETF) which is very value-y plus significant smaller size factor and of course adds profitability factor weighting.

.
Yeah, I have recently started using AVES for EMV.

Although interestingly, it looks like so far DGS (WisdomTree's EM SC Div ETF) has had a higher HML (value), higher RMW (profitability), and is smaller as well:

https://www.portfoliovisualizer.com/fac ... ssion=true

Not a very long sample period yet, of course.
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