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Re: iShares Files for Intl Quality and Momentum Factor ETFs

Quality is the weakest of the factors and has the weakest risk story, maybe even nonexistent. I think value, size, and momentum should be the focus. I just checked the data and do not agree with this statement. Below please see Return & Standard Devation Numbers for the factors from July 1957 t...
by pauliec84
Sun Feb 01, 2015 1:54 pm
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

$107.8MM, isn't it? According to ishares website IEIS AUM is $8,729,854 as of 1/30/2015. Not sure what you are thinking of with the 107m. I am having a tough time following this exactly. I see PDN and SFILX having negative momentum until 2012 and then that switching to around zero (PDN) or positive...
by pauliec84
Sun Feb 01, 2015 11:49 am
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

How does IEIS stack up? iShares Enhanced International Small-Cap ETF attempts to capture quality, value, and size factors. Just accidently closed out a 10 minute response to this one. Here is the short version. I briefly owned IEIS but sold it the bitter task of acknowledging I had made a mistake a...
by pauliec84
Sun Feb 01, 2015 12:07 am
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

PS. The alphas on the US momentum from 1975-2014 = -0.02 (t-stat=-0.31). That corresponds to what I am getting, nice to have confirmation that I have finally navigated the MSCI website correctly. June 1995-December 2014 longest period of data available for MSCI World-ex US Momentum I was incorrectl...
by pauliec84
Sat Jan 31, 2015 3:03 pm
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

Alpha -0.22% Monthly. MKT = 1.04 SMB = -0.21 HML = -0.01 UMD = 0.32 Just a quick correction. I was accidently dowloading "net indexes" rather than "gross index" returns. I think the gross index is the the proper data to use from MSCI website. This changes the alphas on the US Mo...
by pauliec84
Sat Jan 31, 2015 12:44 pm
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

What are the risks? Just the possibility of the fund closing if it doesn't attract enough investors or some other things I'm not thinking of? iShares seems to do a nice job of keeping bid/ask spreads pretty tight on their new funds with low AUM. 1) Main risk is that fund closes and you take cap gai...
by pauliec84
Sat Jan 31, 2015 1:16 am
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

R2 = 0.85 Alpha -0.21 Monthly (~ -2.5 Annually) This is the bad news. MKT = 0.95 SMB = -0.06 HML = -0.06 UMD = 0.47 (The good news) I just checked to see if the high momentum load for the international MSCI momentum fund was time dependent as the US fund only has a ~0.30 momentum load. When the US ...
by pauliec84
Fri Jan 30, 2015 1:06 pm
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

Thanks. I changed over from PIZ (Powershares int MOM) yesterday after seeing your post. Since the ask was about the NAV as displayed by Morningstar, I figured I was paying fair value. Wow, slowest order fill ever. After a couple minutes though, order fills for exactly 100 shares started coming in ....
by pauliec84
Fri Jan 30, 2015 12:27 pm
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: iShares Files for Intl Quality and Momentum Factor ETFs

I just download the momentum index history from the ishares website (http://www.msci.com/products/indexes/strategy/factor/momentum/performance.html) and calculated the factor loading data via Ken French Global ex-US factors. Good news and bad news. From 1991 to present using Fama French Data R2 = 0....
by pauliec84
Fri Jan 30, 2015 10:55 am
 
Forum: Investing - Theory, News & General
Topic: iShares Files for Intl Quality and Momentum Factor ETFs
Replies: 24
Views: 1660

Re: Frazzini-Pederson vs. Fama French Factors Question

Thanks for the input. Stlulz. I do agree that the AQR HML dev is much more intuitively appealing, as you said, it more accurately represents what is understood by the market at the time. This (and AQR research papers) are what drew me to it. Out of curiosity do you know if most value index funds use...
by pauliec84
Wed Dec 31, 2014 10:31 am
 
Forum: Investing - Theory, News & General
Topic: Frazzini-Pederson vs. Fama French Factors Question
Replies: 3
Views: 526

Frazzini-Pederson vs. Fama French Factors Question

I have recently set to the task of calculating factor loadings of various indices. I download the monthly factor data from AQRs website (https://www.aqr.com/library/data-sets/quality-minus-junk-factors-monthly) and have been getting VERY different results depending on if I use the AQR HML dev factor...
by pauliec84
Wed Dec 31, 2014 1:45 am
 
Forum: Investing - Theory, News & General
Topic: Frazzini-Pederson vs. Fama French Factors Question
Replies: 3
Views: 526

Factor Loadings Optimization given investable ETFs

Did some analysis today that I thought some would be interested in. I felt that it shed some light into some of the Robert T's / Cliff A. / Larry S. discussion on combining value and momentum together. I also think all sorts optimization based on backward looking correlation relationships needs to b...
by pauliec84
Fri Dec 26, 2014 4:25 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Loadings Optimization given investable ETFs
Replies: 0
Views: 334

Re: Research Affiliates article on size premium

It is standard practice to do this in academia. It is called "winsorizing" (http://en.wikipedia.org/wiki/Winsorising)

An issue though is that you have to remove (or modify as in winsorizing) the both the positive and negative outliers. If not you bias the data in the other direction.
by pauliec84
Tue Dec 23, 2014 3:29 pm
 
Forum: Investing - Theory, News & General
Topic: Research Affiliates article on size premium
Replies: 42
Views: 4048

Re: Asness response to value redundancy

I'm not sure Clarke's factors are adding much value for the task for forming tilted portfolios...but it is an interesting way to look at the question of how many of these factors really matter (given the correlations between many of the new ones). This is a very reasonable view. This really comes b...
by pauliec84
Mon Dec 22, 2014 4:43 pm
 
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 5257

Re: Asness response to value redundancy

Any idea what the factor loads are on the S&P 600 Value Index historically? When I ran portfolio visualizer on IJS (which goes back to 2000) I got 0.96 MKT, 0.79 SMB, 0.51 HML & 0.08 UMD which was promising in terms of avoiding negative momentum.
by pauliec84
Mon Dec 22, 2014 10:04 am
 
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 5257

Re: Asness response to value redundancy

11.71/20.7 = 25:25:25:25 MSCI US Momentum:RAFI Small Value:MSCI World ex US Momentum:MSCI World ex-US Small Value 11.73/21.7 = 25:25:50 MSCI US Momentum:RAFI Small Value:MSCI World ex-US Small Value Given that value loads on currently available Intl. Small Value ETF/Funds are smaller than for US op...
by pauliec84
Sun Dec 21, 2014 11:16 am
 
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 5257

Re: Asness response to value redundancy

In this respect, I think its prudent to target a few factors and try to get the purest exposure possible (zero alpha). For me, that's market, size, and value. However, the negative momentum loads on value funds tends to show up in negative alpha, so adding a momentum fund (MTUM) can reduce this ove...
by pauliec84
Sat Dec 20, 2014 5:56 pm
 
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 5257

Re: Asness response to value redundancy

Robert. Very interesting read and nice to see that value isn't dead and that there are sort of investment products that capture all 5 of those metrics. (mkt, smb, hml, rmw, umd). I am still at a loss those as an investor how to capture all 5 simultaneously (and get that value/momentum commingling) e...
by pauliec84
Sat Dec 20, 2014 1:23 pm
 
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 5257

Re: Int'l small value exposure without the negative MOM?

I recently selected IEIS (albeit hesitantly) as my in't small value of choice. My logic: Its portfolio characteristics are very small (739m marketcap) and valuey (1.03 p/b). Its expense ratio 0.49 is not higher than PDN (0.50). Reasons not to: Very small fundsize ( <10m) To young to infer Factor Loa...
by pauliec84
Tue Dec 16, 2014 4:54 pm
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 2128

Re: Why does VSS have a negative HmL?

No answer for you but the result is also very sensitive to the factors included. It goes away when momentum and qualit are included.
by pauliec84
Sun Dec 14, 2014 8:35 am
 
Forum: Investing - Theory, News & General
Topic: Why does VSS have a negative HmL?
Replies: 8
Views: 1004

Re: a look at CAPE 10 in other markets

well if you buy low p/e and high profitability stocks you gain both premiums and AQR now has a fund that is value, MOM and profitability Note profitable companies tend to be growth companies Is there a way to buy these funds with under $5 million in assets, and does anyone know the deal with them k...
by pauliec84
Sun Mar 30, 2014 7:31 am
 
Forum: Investing - Theory, News & General
Topic: a look at CAPE 10 in other markets
Replies: 18
Views: 1531

Re: a look at CAPE 10 in other markets

Somewhat different perspective. of course we know that low valuations mean high EXPECTED returns and vice versa. But we need to estimate the level of returns to determine our NEED to take risk, what allocations to risky assets we need. I don't know how you can decide on an AA without estimating ret...
by pauliec84
Sat Mar 29, 2014 1:52 pm
 
Forum: Investing - Theory, News & General
Topic: a look at CAPE 10 in other markets
Replies: 18
Views: 1531

Re: Thoughts on iShares Enhanced ETF [IELG, IESM, IEIL, IEIS

I would say that IEIL and IEIS look like they could be the optimal option for those of us who struggle to get an international value tilt. IEIL has lower expenses and smaller firms than EFV (ishares EAFE value fund). IEIS has more value tilt and smaller firms than PDN. Thanks for bringing these to m...
by pauliec84
Tue Mar 25, 2014 1:47 pm
 
Forum: Investing - Theory, News & General
Topic: Thoughts on iShares Enhanced ETF [IELG, IESM, IEIL, IEIS]
Replies: 16
Views: 2298

Re: Wonderful article on Shiller/Fama debate by Asness/Liew

Very nice article. Thanks for the link. Pretty nice insight about Fama in 1980 saying "of course the market isn't completely efficient in class." Aligns pretty well with the beliefs of most slice and dicers.
by pauliec84
Mon Mar 03, 2014 5:26 pm
 
Forum: Investing - Theory, News & General
Topic: Wonderful article on Shiller/Fama debate by Asness/Liew
Replies: 1
Views: 481

How to Hedge Currancy Risk

I am moving from the US to Canada, and have concerns about the currency risk I will be taking (especially after the pain of seeing CAD drop >5% right accepting job offer). I wanted to consider hedging some of that risk. 1) Are there any books/websites that walk individual investors through implement...
by pauliec84
Tue Feb 18, 2014 4:34 pm
 
Forum: Investing - Theory, News & General
Topic: How to Hedge Currancy Risk
Replies: 2
Views: 304

Re: RZV (S&P 600 Small Cap Pure Vaue ETF) Factor Regression

Everyone regression I have ever run on it has given a momentum loading in the -0.50 range. This effectively wipes out the higher expected return you get from the SMB and HML loading, assuming historic premium.
by pauliec84
Sun Jan 26, 2014 6:59 pm
 
Forum: Investing - Theory, News & General
Topic: RZV (S&P 600 Small Cap Pure Vaue ETF) Factor Regression
Replies: 6
Views: 833

Re: Factor Analysis and Morningstar X-Ray (VFSVX)

I have the Andrea Frazzini Developed Markets factor data loaded into my regression web app. I loaded the VFSVX fund for example's sake so you can see the fund in question at http://www.fundfactors.com/en/funds/VFSVX. It is an issue to use VFSVX which has emerging in it within the developed market f...
by pauliec84
Mon Jan 06, 2014 6:17 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Analysis and Morningstar X-Ray (VFSVX)
Replies: 7
Views: 635

Re: Bridgeway Omni SCV funds

Here's probably the best alternative, though bit less in AUM than I would like to see http://etfs.morningstar.com/quote?t=rzv I would disagree with this. Powershares Purse Small Value (PXSV) much better loads on the the Small and Value factors without the huge negative momentum. Here is a previous ...
by pauliec84
Sun Jan 05, 2014 3:12 pm
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV funds
Replies: 9
Views: 728

Re: Comparison between MSCI and CRSP small/mid value indexes

The time period is not the same for the CRSP and MSCI. I did not have free time to sync them. Here are fama french factors for 2 indices though. mktrf smb hml umd CRSP SV 0.909 0.572 0.484 -0.047 MSCI SV 0.914 0.424 0.673 -0.077 CRSP MV 0.919 0.230 0.398 -0.051 MSCI MV 0.941 0.091 0.588 -0.058
by pauliec84
Wed May 29, 2013 2:28 pm
 
Forum: Investing - Theory, News & General
Topic: Comparison between MSCI and CRSP small/mid value indexes
Replies: 8
Views: 938

Re: New CRSP indexes as new funds

I ran the 4-Factor Model on the new CRSP indexes a while back. They are very similar to the MSCI index in terms of the SMB/HML exposure.
by pauliec84
Mon Apr 22, 2013 8:49 pm
 
Forum: Investing - Theory, News & General
Topic: New CRSP indexes as new funds
Replies: 4
Views: 572

Re: Multi-Manager Funds

That is a very interesting theory, and worth exploring in more detail. It is like benching your star athelete so they can't get much money in free agency.
by pauliec84
Mon Apr 22, 2013 2:24 pm
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 607

Re: Multi-Manager Funds

Thanks a lot for the replays. This was a great help for me as I did not find all this info from a google scholar search.
by pauliec84
Sat Apr 20, 2013 11:09 pm
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 607

Multi-Manager Funds

I am doing a research project for school.

Does anyone know about any papers/articles that address the difference in performance of funds with a single manager and funds with a multi-manager set up?

Thanks for the help.
by pauliec84
Fri Apr 19, 2013 9:37 am
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 607

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

Does it really matter what the countries are like?

There is the story-time approach that accomplishes nothing.

There is the efficient market approach that says the market knows all of these things and it will be incorporated into the price.
by pauliec84
Sun Apr 14, 2013 8:06 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2305

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

I agree with you that there is a fun aspect to holding this fund. I also think there is a obvious diversification benefit aspect to holding this fund, and it is always nice when there is an asset has the potential to increase both your Return, and simultanously lower your portfolio risk (sort of lik...
by pauliec84
Sun Apr 14, 2013 3:52 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2305

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

For what its worth, over the meager 6th months of its existance, the fund returns have only trailed the index's returns by 0.23%
by pauliec84
Sun Apr 14, 2013 3:10 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2305

Re: Index monkeys beat market cap weighting

Smartmonkey. Thanks for the replay. It is much more constructive to discuss a paper with its author. Per my intellectually dishonest comment, and your subsequent response. "where is the fun in that?": The fun in that is accurately and honestly present your results. It is fine to not presen...
by pauliec84
Sun Apr 07, 2013 4:08 pm
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2762

Re: High ER and Index fund results

Well, it seems to me that if just eliminating the 20-30% of the Highesr ER active funds from the selection pool would change the odds of indexing outperforming to less than 50%, that would be pretty easy to do. This is why I am questioning if the 20% number or even a 50% number has been shown to be...
by pauliec84
Sun Apr 07, 2013 11:18 am
 
Forum: Investing - Theory, News & General
Topic: High ER and Index fund results
Replies: 19
Views: 1596

Re: Index monkeys beat market cap weighting

I skimmed through the paper so correct me if I am wrong. But the first thing I would do if I wanted to know if one index construction method was better than the other would be to run 4 Factor regression (MKTRF SMB HML UMD) and see what the alphas looked like. Because of the mentioned liquidity issue...
by pauliec84
Sat Apr 06, 2013 5:30 pm
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2762

Re: Index monkeys beat market cap weighting

#1) Historically and probably going forward. Small cap beats large cap. So by moving away from a market-cap weighting you are increasing you loading on the small cap stocks, and thus increase expected returns. So the finding is not a surprise. #2) Trading Costs. A Market-cap weighted system involves...
by pauliec84
Fri Apr 05, 2013 10:47 am
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2762

Re: How to implement my Small Value tilt?

I would advise against RZV. The issue is that while it is smaller and has more value exposure than other ETFs, it has tremendous negative exposure to the momentum factor (UMD). ETF, SMB, HML, UMD RZV 0.900 1.091 -0.299 IJS/VIOV 0.608 0.605 -0.063 VBR 0.572 0.484 -0.047 IWN 0.778 0.512 0.017 The mome...
by pauliec84
Sun Mar 24, 2013 11:02 pm
 
Forum: Investing - Theory, News & General
Topic: How to implement my Small Value tilt?
Replies: 19
Views: 1639

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

This story telling doesn't get you anywhere in terms of making actionable investment decisions. The relevant issues are: What is the expected return of asset? What is the riskiness of the asset? How does the asset's risks co-vary with other assets in your portfolio? Per this Vanguard report: https:/...
by pauliec84
Sun Mar 24, 2013 12:10 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2305

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

0.79 ER doesn't seem unreasonable given the context. Small cap EM has about that ER, as does Microcap. I would take FM anyday over Microcaps, and think it would be comparable to emerging market small cap in terms of expected return and correlations. With that said the 2-3% upfront haircut is the dea...
by pauliec84
Sat Mar 23, 2013 1:44 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2305

Re: The prudent way to increase expected returns

Larry. Nice article. Two questions: 1) Why did you use the European Market and not EAFE Market in your chart of valuation ratios? It raises an unnecessary question mark. 2) How high would you go with international weighting. I am at 50%, but even that is underweight market portfolio. So if you were ...
by pauliec84
Thu Mar 14, 2013 10:47 am
 
Forum: Investing - Theory, News & General
Topic: The prudent way to increase expected returns
Replies: 31
Views: 4108

Re: international small value

Pauliec84, I would appreciate an analysis of your data. I sometimes think I understand the numbers but obviously, I don't . In my company's profit sharing account, the international allocation is Vanguard Total International index 50%, GWX ( S& P international small cap ETF) 25% and DLS (Wisdom...
by pauliec84
Sat Mar 02, 2013 4:40 pm
 
Forum: Investing - Theory, News & General
Topic: international small value
Replies: 26
Views: 2714

Re: international small value

Here are some factor loadings a ran when I was deciding how to get value internationally. Note, you can't do factor analysis on emerging market as Fama French Data Library does not have loadings for those markets. Fund ALPHA mktrf smb hml umd HEDJ 0.000 0.641 -0.638 0.424 -0.083 FDT -0.004 1.304 0.8...
by pauliec84
Sat Mar 02, 2013 11:32 am
 
Forum: Investing - Theory, News & General
Topic: international small value
Replies: 26
Views: 2714

Re: Any opinions on this WSJ article - Gross Profitability F

I don't think we should dismiss something out of hand. Per Data-mining Argument: Does the strategy work out of sample? YES Table 2, performed on stocks from developed markets outside the US, including those from Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Great Britain, H...
by pauliec84
Sat Mar 02, 2013 10:46 am
 
Forum: Investing - Theory, News & General
Topic: Any opinions on this WSJ article - Gross Profitability Funds
Replies: 11
Views: 1398

Re: how much tilted is 'a little' or 'a lot'?

Tilts 1. 5% of anything (esp. a small value index that isn't that small or value oriented) isn't mild, its a waste of time. So we can cross that off the list. 2. 75% TSM, 25% S&P 600 Value has only about 0.15 sensitivity to size and value. At the historical 2% and 4% premiums, that is less than...
by pauliec84
Sat Feb 16, 2013 3:00 am
 
Forum: Investing - Theory, News & General
Topic: how much tilted is 'a little' or 'a lot'?
Replies: 18
Views: 1232

Re: Small/Value Tilt question

No need to give up. Take a crack at a little reading.
by pauliec84
Sun Feb 10, 2013 10:06 pm
 
Forum: Investing - Theory, News & General
Topic: Small/Value Tilt question
Replies: 27
Views: 2533

Re: Small/Value Tilt question

Chan_va

I would say most people (including myself) think it is not a free lunch. It is simply a risk not captured by volatility (or CAPM beta). Such as exposure to unemployment risk etc.
by pauliec84
Sun Feb 10, 2013 9:44 pm
 
Forum: Investing - Theory, News & General
Topic: Small/Value Tilt question
Replies: 27
Views: 2533
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