Factor Loadings on New Vanguard CRSP Value Benchmarks

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Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby pauliec84 » Sat Feb 09, 2013 9:37 pm

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.
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby nisiprius » Sat Feb 09, 2013 10:40 pm

Surely one would hope that an index of the same thing from two different providers would be about the same?
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby pauliec84 » Sat Feb 09, 2013 10:50 pm

Haha. You make a good point. Guess that is reason number 1000000 I am not in charge of vanguard.
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby hlfo718 » Sat Feb 09, 2013 11:39 pm

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.
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby pauliec84 » Sat Feb 09, 2013 11:47 pm

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.
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby William4u » Sun Feb 10, 2013 12:08 am

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!
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Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Postby pauliec84 » Sun Feb 10, 2013 12:12 pm

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
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