Factor Loadings on New Vanguard CRSP Value Benchmarks

[pauliec84]

In case anyone is interested I ran 4 Factor regressions on the new vanguard funds.

The data is from the CRSP website, the sample period is Jully 2000 to end of 2011

Code: Select all

Alpha, MrkRF, SMB, HML, UMD

CRSP LCV   0.000   0.913   -0.201   0.225   -0.034
CRSP MCV   0.001   0.919   0.230   0.398   -0.051
CRSP SCV   0.001   0.909   0.572   0.484   -0.047

I was hoping for funds with extra value factor, but not much different form the current MSCI benchmark.

[nisiprius]

Surely one would hope that an index of the same thing from two different providers would be about the same?

[pauliec84]

Haha. You make a good point. Guess that is reason number 1000000 I am not in charge of vanguard.

[hlfo718]

What about the change for the value index fund? Is there a similar database for int'l equities as well? Thanks for running the model.

[pauliec84]

What about the change for the value index fund?

I am confused that is what I posted. Do you mean growth funds?

Is there a similar database for int'l equities as well?

http://www.crsp.com/indexes/index-const ... lists.html

Here is the website. I don't really trust the international factor loads any time I have tried to run them.

[William4u]

I don't know much about some of these variables. I know what Alpha is, but not MrkRF, SMB, HML, and UMD. What are they? And how do those variables in CRSP SCV (in what will be VBR) compare to the other SCVfunds used by Bogleheads, including the super-valuey RZV? -Thanks!

[pauliec84]

I don't know much about some of these variables. I know what Alpha is, but not MrkRF, SMB, HML, and UMD. What are they?

see
http://www.bogleheads.org/wiki/Fama_and ... ctor_Model

And how do those variables in CRSP SCV (in what will be VBR) compare to the other SCVfunds used by Bogleheads, including the super-valuey RZV? -Thanks!

Alpha, MkTRF, SMB, HML, Mom
RZV 0.000 0.999 0.900 1.091 -0.299
VBR 0.000 0.914 0.424 0.673 -0.077
VIOV -0.002 0.947 0.608 0.605 -0.063

These numbers are for the indexes not the live funds and are calculated from data back to the 1990s