VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]

[xram]

Vanguard Russell 2000 Value Index ETF VTWV

I never see this ETF mentioned on here. Anybody use this instead of VBR?

Just curious

http://portfolios.morningstar.com/fund/ ... ture=en-us

https://personal.vanguard.com/us/funds/ ... IntExt=INT

[smiley]

11 bp more expensive, no?

[pauliec84]

For what its worth Russel 2000 Value is more Valuey and Smaller than VBR.

So if that is what you are looking the 11 bp in terms of expense ratio per exposure to risk factor, you probably don't do any worse with the Russell 2000.

There has been some talk about investors front running the Russell 2000 when it re-balances. Not sure if this is still an issue.

[xram]

For what its worth Russel 2000 Value is more Valuey and Smaller than VBR.

So if that is what you are looking the 11 bp in terms of expense ratio per exposure to risk factor, you probably don't do any worse with the Russell 2000.

This is what I noticed when looking at this fund. I was surprised that it never came up during the "tilting" discussions when folks are talking about VBR. I guess the 11 bps must make it not worth it......

[pauliec84]

I think it is because the S&P 600 Value Fund, VIOV gives you a similar tilt with lower expense ratio vs Russell 2000 value.

There is also this front running issue. That has scared me from it.

Here are the 4 factor loadings from the funds that folllow each index (VBR, IJS/VIOV, IWN/VTWV)

Code: Select all

VG ER, Fund, MKTRF, SMB, HML, UMD

0.21 MSCI SCV   -0.001   0.937   0.629   0.399   -0.081
0.24 S&P 600 Value   -0.002   0.882   0.897   0.393   -0.017
0.32 Russell 2000 Value  -0.001   0.902   0.778   0.512   0.017

MSCI SCV has 1000 stocks
S&P 600 value has 446 stocks
Russell 2000 has 1400 stocks.

VBR is switching from MSCI SCV to CRSP SCV
With MKTRF, SMB, HML, UMD loadings of
0.909 0.572 0.484 -0.047

[grabiner]

I think it is because the S&P 600 Value Fund, VIOV gives you a similar tilt with lower expense ratio vs Russell 2000 value.

The expense difference goes away once you adjust for acquired fund fees and expenses from Business Development Companies, which are not a real expense for the fund but must be included under SEC rules. VIOV and VTWV both have 0.20% in real expenses. (You can see this because VIOG and VTWG both have 0.20% in reported expenses; BDCs are almost always value stocks and thus do not affect the expense of either one.)

The CRSP index fund, VBR, reports 0.21% expenses which are actually 0.10% in real expenses; these numbers are based on the old MSCI index.

[pauliec84]

Thanks for the info. In that case, assuming the front running issue is no longer an issue for Russell 2000, that may be a better choice than VIOV.

Does anyone know about the current status of frontrunning of the Russell 2000?

Also, any idea what the new fees will be on the CRSP indexes?

[BBL]

Thanks for the info. In that case, assuming the front running issue is no longer an issue for Russell 2000, that may be a better choice than VIOV.

Does anyone know about the current status of frontrunning of the Russell 2000?
Also, any idea what the new fees will be on the CRSP indexes?

Mitigated but not eliminated to my knowledge. The problem with entering [migrating into] the bottom of the 2000 is apparently still an issue, they have made some progress with that and other reconstitution issues in the last several years.

http://www.russell.com/indexes/document ... chmark.pdf

http://www.schwab-global.com/public/sch ... tocks.html

[zucckerbugger]

What is front running?
-z

[Default User BR]

What is front running?

If you know the formula for how an index is constituted and you know when the reconstitution takes place, then you have a good idea of when some significant buying and selling from all the large index funds will take place. You can then buy or sell in advance to take advantage of the likely movement in the share prices.


Brian

[xram]

I bought some VTWV today. Just for the heck of it. A whopping 5 shares. It was down 1.90% today when I bought so I think I "timed it" just right.

Edit: it's down 3.38% over last 4 days.