Emerging Markets Small Cap Value
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Emerging Markets Small Cap Value
Looking for some guidance here and thanks in advance.
Since I don't have access to DFA and I don't like the fundamentals of the available EM SC ETFs, specifically, DGS, EEMS and EWX. I am looking for a different EM SCV mutual fund.
The only one that I have seen that is really value oriented is rather expensive. That being Allianz's ALAIX. The fund would hopefully have a low entry cost and a strong value and small tilt.
My expected initial investment is $10000.
Any help is appreciated.
Since I don't have access to DFA and I don't like the fundamentals of the available EM SC ETFs, specifically, DGS, EEMS and EWX. I am looking for a different EM SCV mutual fund.
The only one that I have seen that is really value oriented is rather expensive. That being Allianz's ALAIX. The fund would hopefully have a low entry cost and a strong value and small tilt.
My expected initial investment is $10000.
Any help is appreciated.
Re: Emerging Markets Small Cap Value
Not a lot to choose from, especially when you have rejected some good choices. I always look what Eric Haas has to say when looking for a fund in a specific asset class.
http://altruistfa.com/emergingmktssmall%20funds.htm
I own DGS and EWX.
http://altruistfa.com/emergingmktssmall%20funds.htm
I own DGS and EWX.
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Re: Emerging Markets Small Cap Value
Angst,
I normally do that and GTS before I post any questions. It looks like all of the EM SC mutual funds have a pretty high expense ratio and a vast majority have a pretty substantial growth tilt.
Livesoft,
Thanks, I am using FEMS now, but after the change in index, it has less of a value tilt than it did before. I was looking forward to the index change because I thought that they would begin to include South Korea, but it doesn't hold any South Korean stocks even though Nasdaq includes South Korea as an Emerging Market in its regular indices.
I was hoping that Blackrock would release an iShares Emerging Markets Small Cap Fund similar to the iShares Enhanced US and Developed funds.
I normally do that and GTS before I post any questions. It looks like all of the EM SC mutual funds have a pretty high expense ratio and a vast majority have a pretty substantial growth tilt.
Livesoft,
Thanks, I am using FEMS now, but after the change in index, it has less of a value tilt than it did before. I was looking forward to the index change because I thought that they would begin to include South Korea, but it doesn't hold any South Korean stocks even though Nasdaq includes South Korea as an Emerging Market in its regular indices.
I was hoping that Blackrock would release an iShares Emerging Markets Small Cap Fund similar to the iShares Enhanced US and Developed funds.
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Re: Emerging Markets Small Cap Value
If you're looking for emerging markets small-cap there's EEMS. Pickings are mighty slim in the international SCV arena.gtwhitegold wrote: I was hoping that Blackrock would release an iShares Emerging Markets Small Cap Fund similar to the iShares Enhanced US and Developed funds.
There is only one success - to be able to spend your life in your own way. (Christopher Morley)
Re: Emerging Markets Small Cap Value
Sorry, I guess I just thought I didn't have a lot to offer though. I too limit myself to DGS and EWX, and I'm not totally thrilled with them either, but I haven't used FEMS. Just looking now, it's more expensive and holds a fairly small number of companies, although I have no problem with it excluding South Korea from "emerging markets". EWX excludes it too, although DGS doesn't; nonetheless, I hold both of these and tax loss harvest btw the two of them without giving it a lot of thought. I'm not sure why I haven't included EEMS in the mix; maybe no good reason not to. I might also mention that the majority of my SC Int'l is lumped into Vanguard's VSS. Perhaps the likes of PXH or FNDE would interest you, even though they're large cap EM. Best of luck.gtwhitegold wrote:Angst,
I normally do that and GTS before I post any questions. It looks like all of the EM SC mutual funds have a pretty high expense ratio and a vast majority have a pretty substantial growth tilt.
Re: Emerging Markets Small Cap Value
You can also overweight small-cap emerging markets (but not value) without a separate ETF, by using Vanguard's funds for small-cap international (which includes EM) and emerging markets (which includes small-cap). For example, if you work for the US Government and your international holdings are 30% I fund (large-cap developed), 30% Vanguard FTSE All-World Ex-US Small-Cap (which is 25% emerging), 40% Emerging Markets Index (which is 15% small), you hold EM small-cap as 13.5% of your international holdings, compared to the market weight of 3.75%.
Re: Emerging Markets Small Cap Value
My two favorite EM SCV funds are DGS and EEMS. I like some EM LCV too though and I would not exclude it. Too much tracking error with EWX and I think their index construction or trading policies may have some deficiencies. EM is a hard space due to country weightings, cap vs. value, etc.... Therefore, I think you need to spread the love around here to minimize regrets. I own similar percentages of DFCEX, DGS, SFENX, and QEELX. YTD the spread from best to worst returns is over 6%. Don't pick one horse in this race.
There are no guarantees, only probabilities.
Re: Emerging Markets Small Cap Value
grap, I second your logic and follow it, to a fair degree, with the likes of PXH, FNDE, EWX and DGS, not to mention the EM contributions of my more primary holdings in VEMAX, VSS and VTIAX
btw, I just now learned that DGS more than doubled its China % in Wisdom Tree's annual 2015 rebalancing:
viewtopic.php?f=1&t=186054&newpost=2822964
I can imagine this was already known by others, but I seem to have missed it. Not that I'm going to change anything for the moment.
btw, I just now learned that DGS more than doubled its China % in Wisdom Tree's annual 2015 rebalancing:
viewtopic.php?f=1&t=186054&newpost=2822964
I can imagine this was already known by others, but I seem to have missed it. Not that I'm going to change anything for the moment.
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Re: Emerging Markets Small Cap Value
I have used EEMS in the past for EMSC, but I'm trying to have a more focused quantitative portfolio. Right now, I'm using QEELX/QEENX for EMLC.
The reason that I had mentioned South Korea is that I would prefer to have similar country exposures in the funds that I invest in. This is a similar problem that I have with Canada. I'm not going to add a fund just to have more exposure to Canada or South Korea, so I'll just have to accept it for the time being.
The reason that I had mentioned South Korea is that I would prefer to have similar country exposures in the funds that I invest in. This is a similar problem that I have with Canada. I'm not going to add a fund just to have more exposure to Canada or South Korea, so I'll just have to accept it for the time being.
Re: Emerging Markets Small Cap Value
You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
Even educators need education. And some can be hard headed to the point of needing time out.
Re: Emerging Markets Small Cap Value
Taxable or tax-deferred account? I do not recommend EWX for a taxable account. That high dividend yield has a lot of non-qualified dividends, and the ETF has distributed a lot of capital gains, so you don't get to keep as much of the fund return. (I learned this the hard way, and sold EWX for EEMS after it distributed too many gains.)rustymutt wrote:You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
Re: Emerging Markets Small Cap Value
My IRA.grabiner wrote:Taxable or tax-deferred account? I do not recommend EWX for a taxable account. That high dividend yield has a lot of non-qualified dividends, and the ETF has distributed a lot of capital gains, so you don't get to keep as much of the fund return. (I learned this the hard way, and sold EWX for EEMS after it distributed too many gains.)rustymutt wrote:You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
Even educators need education. And some can be hard headed to the point of needing time out.
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Re: Emerging Markets Small Cap Value
Can someone please educate me why EWX is referred to as EM SCV in most posts on this forum? Per home page of the fund https://www.spdrs.com/product/fund.seam?ticker=EWX , it follows the "S&P Emerging Markets Under USD2 Billion Index". It says "The S&P Emerging Markets Under USD2 Billion Index is a float adjusted market cap weighted index."
Unfortunately I am not skilled enough to intelligently analyze funds for factor loadings. On the portfoliovisualizer web site I am unable to select EM as "Stock Market Area", if that is supposed to be the market that the factor loadings are determined against.
In viewtopic.php?f=10&t=157626&p=2365266 somebody commented: "EWX is much smaller with a lower P/B ratio (at least for the moment) [compared to DGS]...". DGS is supposed to track a dividend strategy, which is a proxy for a "value" weighting. So how can the market be more "value-y" than a value tilted fund?
EWX is also repeatedly mentioned in this thread ("Emerging Markets Small Cap Value").
Per definition of the ETF, it follows a market cap weighted index - so how can it have a value factor loading?
Similarly, grap0013 notes above in this thread: "My two favorite EM SCV funds are DGS and EEMS." But EEMS tracks the "MSCI Emerging Markets Small Cap Index", which is a market cap based index. My understanding was that market cap based indexes have no factor loadings by definition.
Please help me understanding what I am missing with this logic. I am desperately looking for an EM SCV fund, and am unable to find any. Research papers have shown that some factor returns are particularly high in EM small cap, and who knows if factor premiums still exist in the U.S. with gazillions of new ETFs and hedge funds by just about every fund family and quant shop chasing the same SCV stocks and trying to exploit almost identical quantitative strategies. I would like to diversify my "factor premium" bets by including EM SCV.
Unfortunately I am not skilled enough to intelligently analyze funds for factor loadings. On the portfoliovisualizer web site I am unable to select EM as "Stock Market Area", if that is supposed to be the market that the factor loadings are determined against.
In viewtopic.php?f=10&t=157626&p=2365266 somebody commented: "EWX is much smaller with a lower P/B ratio (at least for the moment) [compared to DGS]...". DGS is supposed to track a dividend strategy, which is a proxy for a "value" weighting. So how can the market be more "value-y" than a value tilted fund?
EWX is also repeatedly mentioned in this thread ("Emerging Markets Small Cap Value").
Per definition of the ETF, it follows a market cap weighted index - so how can it have a value factor loading?
Similarly, grap0013 notes above in this thread: "My two favorite EM SCV funds are DGS and EEMS." But EEMS tracks the "MSCI Emerging Markets Small Cap Index", which is a market cap based index. My understanding was that market cap based indexes have no factor loadings by definition.
Please help me understanding what I am missing with this logic. I am desperately looking for an EM SCV fund, and am unable to find any. Research papers have shown that some factor returns are particularly high in EM small cap, and who knows if factor premiums still exist in the U.S. with gazillions of new ETFs and hedge funds by just about every fund family and quant shop chasing the same SCV stocks and trying to exploit almost identical quantitative strategies. I would like to diversify my "factor premium" bets by including EM SCV.
Re: Emerging Markets Small Cap Value
I switched to EWX 2 years ago from EEMS. At the time I was looking for yield, and after some considerations, EWX was the choice for me. It's 6% of my portfolio weight. And for the last 2 years, it's worked out well for me. I felt it's factor load was more inline with my inclinations toward risk/reward, and the theories, that in the past panned out. I'm at 4% year to date overall. Remember to think long term when making smart investment choices.
Even educators need education. And some can be hard headed to the point of needing time out.
Re: Emerging Markets Small Cap Value
Given the various definitions of emerging markets, I am not surprised that portfoliovisualizer is not useful in this case. Morningstar is a good starting point http://portfolios.morningstar.com/fund/ ... ture=en_US
PS Morningstar is not very useful if the fund is using a multi factor model to choose stocks.
PS Morningstar is not very useful if the fund is using a multi factor model to choose stocks.
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Re: Emerging Markets Small Cap Value
EWX is a market cap based index fund, recieves the dividends of the market, and pays distributions of dividends and cap gains as required by law. Fund shares can also be bought and sold at will at any time depending on the liquidity needs of the investor. I have a hard time understanding how "yield" can possibly deserve any consideration for an investment decision. As a market cap based index fund, what are its factor loads other than the market factor?rustymutt wrote:I switched to EWX 2 years ago from EEMS. At the time I was looking for yield, and after some considerations, EWX was the choice for me. It's 6% of my portfolio weight. And for the last 2 years, it's worked out well for me. I felt it's factor load was more inline with my inclinations toward risk/reward, and the theories, that in the past panned out. I'm at 4% year to date overall. Remember to think long term when making smart investment choices.
Re: Emerging Markets Small Cap Value
What's wrong with market factors? You don't feel they play a role in investing? Maybe I don't understand you.comeinvest wrote:EWX is a market cap based index fund, recieves the dividends of the market, and pays distributions of dividends and cap gains as required by law. Fund shares can also be bought and sold at will at any time depending on the liquidity needs of the investor. I have a hard time understanding how "yield" can possibly deserve any consideration for an investment decision. As a market cap based index fund, what are its factor loads other than the market factor?rustymutt wrote:I switched to EWX 2 years ago from EEMS. At the time I was looking for yield, and after some considerations, EWX was the choice for me. It's 6% of my portfolio weight. And for the last 2 years, it's worked out well for me. I felt it's factor load was more inline with my inclinations toward risk/reward, and the theories, that in the past panned out. I'm at 4% year to date overall. Remember to think long term when making smart investment choices.
Even educators need education. And some can be hard headed to the point of needing time out.
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Re: Emerging Markets Small Cap Value
My understanding is that this fund tracks the EM small cap market. No factor investing, factor premiums or tilts. As I asked in my post further up in this thread, I'd be glad if someone can educate me why most posts in this forum imply that it may be a small cap value fund.rustymutt wrote:What's wrong with market factors? You don't feel they play a role in investing? Maybe I don't understand you.comeinvest wrote:EWX is a market cap based index fund, recieves the dividends of the market, and pays distributions of dividends and cap gains as required by law. Fund shares can also be bought and sold at will at any time depending on the liquidity needs of the investor. I have a hard time understanding how "yield" can possibly deserve any consideration for an investment decision. As a market cap based index fund, what are its factor loads other than the market factor?rustymutt wrote:I switched to EWX 2 years ago from EEMS. At the time I was looking for yield, and after some considerations, EWX was the choice for me. It's 6% of my portfolio weight. And for the last 2 years, it's worked out well for me. I felt it's factor load was more inline with my inclinations toward risk/reward, and the theories, that in the past panned out. I'm at 4% year to date overall. Remember to think long term when making smart investment choices.
On another note, NAV underperformed the index by 0.85% annually since inception. Not too bad given that the ER is 0.65%. Turnover rate is a low 12.00% per Morningstar, which makes sense as it's an cap based index fund. However, it is not a multi-factor fund, which means all the small cap junk is included that factor tilted funds try to eliminate.
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Re: Emerging Markets Small Cap Value
gtwhitegold wrote:Angst,
I normally do that and GTS before I post any questions. It looks like all of the EM SC mutual funds have a pretty high expense ratio and a vast majority have a pretty substantial growth tilt.
Livesoft,
Thanks, I am using FEMS now, but after the change in index, it has less of a value tilt than it did before. I was looking forward to the index change because I thought that they would begin to include South Korea, but it doesn't hold any South Korean stocks even though Nasdaq includes South Korea as an Emerging Market in its regular indices.
I was hoping that Blackrock would release an iShares Emerging Markets Small Cap Fund similar to the iShares Enhanced US and Developed funds.
I was wondering what the bogleheads think of FEMS.
Per their index definiton, http://www.ftportfolios.com/retail/etf/ ... icker=FEMS, "To construct the Index, Nasdaq ranks the eligible stocks on growth factors including 3-, 6- and 12- month price appreciation, sales to price and one year sales growth, and separately on value factors including book value to price, cash flow to price and return on assets." ..
The growth and value criteria seem conflicting to me. What are the effective factor weightings?
Turnover rate is 151.00%, and the fund underperformed its own index that it tries to track by ca. 3% in a year.
Re: Emerging Markets Small Cap Value
Just to give my perspective on this, I've settled on SCHE for my EM SCV. It's not strictly small cap or value, but it's pretty close, and the expense ratio is .14% instead of .67%. I was tempted to shift to EEMS at some point since it has the highest small value loading factors in portfoliovisualizer, but the expense ratio is just too high for me in the end, while SCHE is really not that far off from it.
comeinvest - the stock market area I use in portfoliovisualizer is Asia Ex Japan. It results in a better correlation coefficient than any of the other selections, probably because most EM stocks are located there. It still only is around .85 - .90 for most of them though, which makes me even more confident that going for a lower expense ratio is a better idea than chasing the best SCV loading factors.
comeinvest - the stock market area I use in portfoliovisualizer is Asia Ex Japan. It results in a better correlation coefficient than any of the other selections, probably because most EM stocks are located there. It still only is around .85 - .90 for most of them though, which makes me even more confident that going for a lower expense ratio is a better idea than chasing the best SCV loading factors.
Re: Emerging Markets Small Cap Value
I use GVAL, which is 0.69%, deep value, and in the "small/mid international" category. It's not a pure EM fund (currently about 50% EM), but it definitely has some healthy positions in some very sketchy countries, that overall, has it well in the EM category in my opinion.
Rough guide:
1. Cheap 2. International Small/Value Fund/ETF
> Directions: Pick any one of the two choices above.
Rough guide:
1. Cheap 2. International Small/Value Fund/ETF
> Directions: Pick any one of the two choices above.
Re: Emerging Markets Small Cap Value
I wish there were a good EMV option with emphasis in the Midcap space - that would be a sweeter spot for me - or perhaps an all-cap EMV fund with heavier emphasis on Midcaps rather than the big megacaps typical of a market-weighted fund (....oh I just described the DFA All-cap funds ).
The EMV in Smallcap space is just too risky and volatile --- let me repeat, we're talking about small companies in emerging markets and then adding a value-tilt which includes the more distressed companies. Personally I prefer more emphasis in going a big bigger with Midcaps - but none really focuses on that.
Otherwise - the best bet for me is to just focus on EMV all-cap.
The Value and Size Effects in Emerging Markets
http://www.advisoryresearch.com/wp-cont ... e-2014.pdf
The EMV in Smallcap space is just too risky and volatile --- let me repeat, we're talking about small companies in emerging markets and then adding a value-tilt which includes the more distressed companies. Personally I prefer more emphasis in going a big bigger with Midcaps - but none really focuses on that.
Otherwise - the best bet for me is to just focus on EMV all-cap.
The Value and Size Effects in Emerging Markets
http://www.advisoryresearch.com/wp-cont ... e-2014.pdf
Twenty years ago, emerging markets represented 19% of global GDP compared to 36%
today and this is generally expected to increase in the future as forecasted growth in
emerging markets outpaces traditional developed markets. The value effect is supported
by the BGLR paper (1985-2000), Rouwenhorst paper (1982-1997), CFT paper (1990-
2011), and the DMS paper (2000-2013) – all which arrive at a similar conclusion that the
value effect exists in emerging markets and is at least as significant as in more developed
markets and most likely larger. The value effect works in the majority of emerging market
countries, frontier markets, and even works when investing at a country level (picking
countries based on value characteristics), providing compelling support for the value effect.
However, for the size effect, the evidence is much less persuasive. It may exist if one
includes outliers or assumes segmented markets and analyzes stocks within their own
country. However the more recent papers do not find a statistically significant difference
between small and large cap stocks or if one exists it is smaller than in developed markets.
The usual explanation that small cap stocks should earn higher returns due to their lower
liquidity vs large cap stocks also does not appear to hold up as Rouwenhorst shows. Thus
for investors, an all cap or opportunistic portfolio may be the best solution when investing
in emerging markets.
SURGEON GENERAL'S WARNING: Any overconfidence in your investing ability, willingness and need to take risk may be hazardous to your health.
Re: Emerging Markets Small Cap Value
There's also iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF)
But it focuses on Large + Midcaps. It's more balanced across Large + Midcaps versus the Large-cap heavy market-cap weighted EM indexes.
And it has a bit of a value-tilt versus the index.
But it focuses on Large + Midcaps. It's more balanced across Large + Midcaps versus the Large-cap heavy market-cap weighted EM indexes.
And it has a bit of a value-tilt versus the index.
Focus on drivers of emerging market equity performance: inexpensive stocks, financially healthy firms, trending stocks and relatively low market cap companies
SURGEON GENERAL'S WARNING: Any overconfidence in your investing ability, willingness and need to take risk may be hazardous to your health.
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Re: Emerging Markets Small Cap Value
SCHE is a market cap based EM index fund. From reading Schwab's fund description or Morningstar data, it has nothing, but absolutely nothing in common with either small cap or value tilt - not even one of those two things. No offense, but it appears that many bogleheads are misinterpreting or overusing portfoliovisualizer. It would appear to me that this tool is not designed to be used for EM funds as there are no suitable index data built in. Most EM funds show as "value" funds although they are market cap weighted with zero tilt, just because EM are cheap.matt4109 wrote:Just to give my perspective on this, I've settled on SCHE for my EM SCV. It's not strictly small cap or value, but it's pretty close, and the expense ratio is .14% instead of .67%. I was tempted to shift to EEMS at some point since it has the highest small value loading factors in portfoliovisualizer, but the expense ratio is just too high for me in the end, while SCHE is really not that far off from it.
comeinvest - the stock market area I use in portfoliovisualizer is Asia Ex Japan. It results in a better correlation coefficient than any of the other selections, probably because most EM stocks are located there. It still only is around .85 - .90 for most of them though, which makes me even more confident that going for a lower expense ratio is a better idea than chasing the best SCV loading factors.
Re: Emerging Markets Small Cap Value
There is Schwab's Fundamental Emerging Mrkts Lrg. Co. Index ETF FNDE, ER .47. It's certainly not Mid or Small cap, but it does have a value tilt. From M*:
[Edit] Here are some previously mentioned EM ETF's, per M*:
Code: Select all
V B G
L 58 27 6
M 4 3 1
S 1 0 0
Code: Select all
EMGF - iShares Edge MSCI Multifactor EM ETF ER .65
V B G
L 24 26 22
M 7 13 8
S 0 0 0
Code: Select all
EWX - SPDR S&P EM SC ETF ER .65
V B G
L 1 0 3
M 26 12 11
S 28 13 5
EEMS - iShares EM SC ETF ER .67
V B G
L 1 1 3
M 26 14 13
S 21 11 09
Code: Select all
FEMS - First Trust EM SC AlphaDEX Rund ETF ER .80
V B G
L 1 0 1
M 43 12 11
S 17 11 4
DGS - Wisdom Tree EM SC Div Fund ETF ER .63
V B G
L 7 5 2
M 42 9 6
S 18 7 2
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Re: Emerging Markets Small Cap Value
What conclusions can we draw from this?Angst wrote:There is Schwab's Fundamental Emerging Mrkts Lrg. Co. Index ETF FNDE, ER .47. It's certainly not Mid or Small cap, but it does have a value tilt. From M*:
I draw the following conclusions:
- Morningstar style box data are probably relative to U.S. indexes. Quite meaningless unless one wants to do tactical asset allocation based on country valuations.
- With the ETFs shown, factor investing vs. market cap index investing comes for almost free in EM.
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Re: Emerging Markets Small Cap Value
Brilliant. This is along the lines of what I am attempting with my non-TSP accounts. Building up Vanguard Emerging Markets (VEIEX / VEMAX / VWO investor/admiral/etf) and the Vanguard FTSE All-World Ex-US Small-Cap you mention (VFSVX / VSS inv/etf). I don't mind being a tad overexposed to emerging markets. As of today thanks to the I Fund I am way overexposed to developed at 19% compared to 1% emerging of my total portfolio. I'm increasing contributions to the I Fund as well as emerging and am going to start int'l small cap as soon as a rollover is completed and hopefully bring my total international up to 30% and my emerging to a much higher portion of that 30%. The numbers you gave above are a good goal for where I should be aiming my contributions between the 3 international funds.grabiner wrote:You can also overweight small-cap emerging markets (but not value) without a separate ETF, by using Vanguard's funds for small-cap international (which includes EM) and emerging markets (which includes small-cap). For example, if you work for the US Government and your international holdings are 30% I fund (large-cap developed), 30% Vanguard FTSE All-World Ex-US Small-Cap (which is 25% emerging), 40% Emerging Markets Index (which is 15% small), you hold EM small-cap as 13.5% of your international holdings, compared to the market weight of 3.75%.
Where the tides of fortune take us, no man can know.
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Re: Emerging Markets Small Cap Value
Angst wrote:There is Schwab's Fundamental Emerging Mrkts Lrg. Co. Index ETF FNDE, ER .47. It's certainly not Mid or Small cap, but it does have a value tilt. From M*:
[Edit] Here are some previously mentioned EM ETF's, per M*:Code: Select all
V B G L 58 27 6 M 4 3 1 S 1 0 0
Code: Select all
EMGF - iShares Edge MSCI Multifactor EM ETF ER .65 V B G L 24 26 22 M 7 13 8 S 0 0 0
Code: Select all
EWX - SPDR S&P EM SC ETF ER .65 V B G L 1 0 3 M 26 12 11 S 28 13 5 EEMS - iShares EM SC ETF ER .67 V B G L 1 1 3 M 26 14 13 S 21 11 09
Code: Select all
FEMS - First Trust EM SC AlphaDEX Rund ETF ER .80 V B G L 1 0 1 M 43 12 11 S 17 11 4 DGS - Wisdom Tree EM SC Div Fund ETF ER .63 V B G L 7 5 2 M 42 9 6 S 18 7 2
While it may seem at first glance that FNDE is more value-y than EMGF, this may not be the case. My understanding is that EMGF is to some extent "controlled" for the momentum factor, while FNDE is not. The momemtum factor, overlaid over the value factor, usually makes the value factor seem disappear or diminish, but this is just an artifact of overlaying more factors.
From the EMGF web site:
Why EMGF?
1. Seeks to maximize exposure to factors that have historically outperformed the broad market, while maintaining a similar level of market risk
2. Focus on drivers of emerging market equity performance: inexpensive stocks, financially healthy firms, trending stocks and relatively low market cap companies
The exact algorithm / index construction for the iShares Edge Multifactor ETFs should be disclosed somewhere on the msci web site.
Re: Emerging Markets Small Cap Value
Average daily volume for some of those ETFs rule them completely out for me.
Nobody in their right mind would want to own EMGF. Its reported average daily volume is about 4,100 shares or a mere $150,000.
Highest volume is FNDE, followed by DGS. DGS is already difficult to get orders executed.
I was selling DGS today in several transactions and distinctly noticed that I was the only one placing real trades. It was fun submitting limit orders and watching the computers change their orders based on what I set my limit price to.
There were no trades in DGS for tens of minutes until late in the day.
Nobody in their right mind would want to own EMGF. Its reported average daily volume is about 4,100 shares or a mere $150,000.
Highest volume is FNDE, followed by DGS. DGS is already difficult to get orders executed.
I was selling DGS today in several transactions and distinctly noticed that I was the only one placing real trades. It was fun submitting limit orders and watching the computers change their orders based on what I set my limit price to.
There were no trades in DGS for tens of minutes until late in the day.
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Re: Emerging Markets Small Cap Value
1. What matters is the spread and order sizes of bid/ask, not the volume, if you buy at the ask and sell at the bid. (Admittedly, if you set limits within the spread, volume may be relevant.) Volume and spread are often inversely related, but not always.livesoft wrote:Average daily volume for some of those ETFs rule them completely out for me.
Nobody in their right mind would want to own EMGF. Its reported average daily volume is about 4,100 shares or a mere $150,000.
Highest volume is FNDE, followed by DGS. DGS is already difficult to get orders executed.
I was selling DGS today in several transactions and distinctly noticed that I was the only one placing real trades. It was fun submitting limit orders and watching the computers change their orders based on what I set my limit price to.
There were no trades in DGS for tens of minutes until late in the day.
2. The spread, along with other transaction cost, becomes relatively irrelevant for the buy-and-hold (boglehead) investor, if you hold the ETF for at least a few years. Amortize the spread over the number of years.
3. I can imagine that smaller fund size might translate into less internal transaction cost at the fund level for its annual turnover, especially for relatively illiquid (emerging) market mid and small caps.
Re: Emerging Markets Small Cap Value
I disagree.comeinvest wrote:1. What matters is the spread and order sizes of bid/ask, not the volume, if you buy at the ask and sell at the bid. (If you set limits within the spread, volume may be relevant.)
2. The spread becomes relatively irrelevant for the buy-and-hold (boglehead) investor, if you hold the ETF for at least a few years. Amortize the spread over the number of years.
First, the fact is that EM is often the best performer or the worst performer in the Callan Periodic Table, so in my opinion one needs to sell it when it has gone up a lot and buy it when it has gone down a lot. Buy-and-hold is not for this asset class, but buy-hold-rebalance is. If one doesn't commit to active rebalancing, then there is no point in owning this asset class.
Second, when the volume is low, the spread doesn't matter because there will be no one on the other side of the transaction when you place your order. For instance, today when bid/ask was 40.09/40.14 the spread looked small, so I set a limit price to 40.13 and it was not filled. Then I experimented, I replaced that order with limit to sell 40.15 and became the lowest ask, then 40.17 and that became the lowest ask, …. In other words, I was the only person interested in selling at that time. Later in the day, there was more interest and I just sold with market orders odd-lots and sold at higher prices than today's closing price.
Third, I've been trying to rebalance out of DGS for several days now, but could not get the price I wanted, so I just had to keep trying until today I succeeded.
So what's my point? I think one will get frustrated by the lack of volume when one really wants to make a trade and become impatient and make bad decisions.
What's your experience with any of these? How have your average annual returns been in this asset class?
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Re: Emerging Markets Small Cap Value
*SIGH* ... I would kill for a EM fund that looked like and was as good a quality as IJS.
Sorry not much more to add than that.
Sorry not much more to add than that.
70% AVGE | 20% FXNAX | 10% T-Bill/Muni
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Re: Emerging Markets Small Cap Value
I would just "rebalance" with new money. If you think you need to trade, you might also benefit from the spread, or at least limit your transaction cost, if you trade patiently and spend a lot of time on your trades. But even if you trade patiently using limit orders, you might incur cost due to information asymmetry.livesoft wrote:comeinvest wrote: ... What's your experience with any of these? How have your average annual returns been in this asset class?
- Taylor Larimore
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Re: Emerging Markets Small Cap Value
gwwhitegold:gtwhitegold wrote:
I am looking for a different EM SCV mutual fund. -- Any help is appreciated.
Consider one broad market international fund like Vanguard Total International Stock Market Index Fund which includes EM SCV.
Best wishes.Don't look for the needle. Buy the haystack. -- Jack Bogle
Taylor
"Simplicity is the master key to financial success." -- Jack Bogle
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Re: Emerging Markets Small Cap Value
Well I hate to say anything out of line with Taylor but ....
I bet OP in the same boat I am and it's all about the tilt. I've got the index now I want more EM SCV tilt.
I'm not willing to go with bad/mediocre funds so I've stayed out of it I'm just hoping something comes along soon.
I bet OP in the same boat I am and it's all about the tilt. I've got the index now I want more EM SCV tilt.
I'm not willing to go with bad/mediocre funds so I've stayed out of it I'm just hoping something comes along soon.
70% AVGE | 20% FXNAX | 10% T-Bill/Muni
Re: Emerging Markets Small Cap Value
If one is using a rebalancing bands rule like a Swedroe 5/25, then a few things happen:comeinvest wrote:I would just "rebalance" with new money. If you think you need to trade, you might also benefit from the spread, or at least limit your transaction cost, if you trade patiently and spend a lot of time on your trades. But even if you trade patiently using limit orders, you might incur cost due to information asymmetry.livesoft wrote:comeinvest wrote: ... What's your experience with any of these? How have your average annual returns been in this asset class?
1. One probably has less than 20% of their portfolio in such an asset class, so this asset class use the 25% rule.
2. With the 25%, then I don't think one can simply rebalance with new money because one will need to sell from time to time.
3. Example:
a. You buy some DGS when grap0013 tells you to on January 15, 2016. to restore your asset allocation after its 30% drop from just 7 months prior (the last time you sold it). That's outside the 25% band.
b. You sell some DGS to rebalance some time between Sep-Oct, 2016, when it has gone up 30% because it reached its trigger point.
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Re: Emerging Markets Small Cap Value
I personally subscribe to the "boglehead" passive investing philosophy, but I think sometimes members in this forum get a bit ahead of themselves over-engineering allocation percentages, and/or following some advise of some "gurus" like a religion without regard to the context. In many cases cited strategies or percentages are just examples. I'm sure you will be fine adjusting your rebalancing strategy without affecting your expected returns. Rebalancing between different equity styles or regions is mainly to distribute risk, not for market timing based on past performance. As long as you have your eggs in several baskets, you will be fine.livesoft wrote:If one is using a rebalancing bands rule like a Swedroe 5/25, then a few things happen:comeinvest wrote:I would just "rebalance" with new money. If you think you need to trade, you might also benefit from the spread, or at least limit your transaction cost, if you trade patiently and spend a lot of time on your trades. But even if you trade patiently using limit orders, you might incur cost due to information asymmetry.livesoft wrote:comeinvest wrote: ... What's your experience with any of these? How have your average annual returns been in this asset class?
...
If you need to rebalance every few years, currently the bid/ask spread e.g. on DGS is 4 cents 39.95:39.99, that of EMGF is 36.50:36.54. That is ca. 0.1%. Divide that by the number of years you hold the asset, and you may realize the cost is negligible.
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Re: Emerging Markets Small Cap Value
comeinvest wrote:I personally subscribe to the "boglehead" passive investing philosophy, but I think sometimes members in this forum get a bit ahead of themselves over-engineering allocation percentages, and/or following some advise of some "gurus" like a religion without regard to the context. In many cases cited strategies or percentages are just examples. I'm sure you will be fine adjusting your rebalancing strategy without affecting your expected returns. Rebalancing between different equity styles or regions is mainly to distribute risk, not for market timing based on past performance. As long as you have the majority of your eggs in several baskets, you will be fine.livesoft wrote:If one is using a rebalancing bands rule like a Swedroe 5/25, then a few things happen:comeinvest wrote:I would just "rebalance" with new money. If you think you need to trade, you might also benefit from the spread, or at least limit your transaction cost, if you trade patiently and spend a lot of time on your trades. But even if you trade patiently using limit orders, you might incur cost due to information asymmetry.livesoft wrote:comeinvest wrote: ... What's your experience with any of these? How have your average annual returns been in this asset class?
...
If you need to rebalance every few years, currently the bid/ask spread e.g. on DGS is 4 cents 39.95:39.99, that of EMGF is 36.50:36.54. That is ca. 0.1%. Divide that by the number of years you hold the asset, and you may realize the cost is negligible.
Re: Emerging Markets Small Cap Value
The current bid/ask for round lots of EMGF is 35.79/37.23 or almost 4%. There may be some oddlot bids not exposed.
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Re: Emerging Markets Small Cap Value
I have real time data for U.S. exchanges. The spread for EMGF is 4 cents with 1000 shares both bid and ask.livesoft wrote:The current bid/ask for round lots of EMGF is 35.79/37.23 or almost 4%. There may be some oddlot bids not exposed.
Re: Emerging Markets Small Cap Value
Thanks, I see that as well. I see some other things, too. I just tried to submit a limit order to buy just to see how the market maker would react and got this:
Do you own any shares of EMGF yourself? Was that you who just bought some shares?Error: The security entered is restricted from trading. If you need assistance, please select Customer Service above and Contact Us.
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Re: Emerging Markets Small Cap Value
You need run, not walk, and switch your broker.livesoft wrote:Thanks, I see that as well. I see some other things, too. I just tried to submit a limit order to buy just to see how the market maker would react and got this:
Do you own any shares of EMGF yourself? Was that you who just bought some shares?Error: The security entered is restricted from trading. If you need assistance, please select Customer Service above and Contact Us.
Re: Emerging Markets Small Cap Value
OK, I switched my broker and submitted an order to buy.comeinvest wrote:You need run, not walk, and switch your broker.
It looks like there has been one trade in the past hour.
Re: Emerging Markets Small Cap Value
EWX hasn't distributed capital gains since 2011: https://us.spdrs.com/resources/distribu ... x_code2=NAgrabiner wrote:Taxable or tax-deferred account? I do not recommend EWX for a taxable account. That high dividend yield has a lot of non-qualified dividends, and the ETF has distributed a lot of capital gains, so you don't get to keep as much of the fund return. (I learned this the hard way, and sold EWX for EEMS after it distributed too many gains.)rustymutt wrote:You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
So no worries there.
And the tax cost ratio on M* shows EWX and EEMS as quite similar in regards to tax efficiency over the past 3 years although EWX is slightly worse.
Re the M* style boxes, EWX shows as more valuey and more small.
The tracking error issues also seem to have been better for EWX more recently than in the past.
So if you're looking for SCV tilt - EWX appears to be the winner over EEMS.
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Re: Emerging Markets Small Cap Value
No offense, but I think your analysis is flawed.sperry8 wrote:EWX hasn't distributed capital gains since 2011: https://us.spdrs.com/resources/distribu ... x_code2=NAgrabiner wrote:Taxable or tax-deferred account? I do not recommend EWX for a taxable account. That high dividend yield has a lot of non-qualified dividends, and the ETF has distributed a lot of capital gains, so you don't get to keep as much of the fund return. (I learned this the hard way, and sold EWX for EEMS after it distributed too many gains.)rustymutt wrote:You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
So no worries there.
And the tax cost ratio on M* shows EWX and EEMS as quite similar in regards to tax efficiency over the past 3 years although EWX is slightly worse.
Re the M* style boxes, EWX shows as more valuey and more small.
The tracking error issues also seem to have been better for EWX more recently than in the past.
So if you're looking for SCV tilt - EWX appears to be the winner over EEMS.
- Capital gains in a prolonged down market are typically zero, this is no surprise. With the turnover ratios of these funds, they will be high in the long run, and similarly high for both funds, if and when markets go up, which they are almost certain to do. They will be similarly high because both funds track nearly identical indexes, and have to follow the same government regulations. One of many examples where looking at past or current numbers have close to zero predictive value.
- M* box differences are solely an artifact of slight differences in geographic index definition, as explained further up in this thread.
- Tracking error has many components, and does not even capture the full implementation shortfall cost. I think the predictive value is very limited. To arrive at an estimate for future downside tracking error, one would have to look at the expense ratio (easy), and analyze the trading desk capabilities and algorithms of both funds, which are not disclosed.
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Re: Emerging Markets Small Cap Value
I agree out of the listed funds EWX is the best but that's not saying much.
At 50% Mid-Cap funds, a ER of .65% a tracking error of .78 AND a Volume of 27,919 ... and to top it off it's a commission sale at Fidelity.
I'm still looking.
At 50% Mid-Cap funds, a ER of .65% a tracking error of .78 AND a Volume of 27,919 ... and to top it off it's a commission sale at Fidelity.
I'm still looking.
70% AVGE | 20% FXNAX | 10% T-Bill/Muni
Re: Emerging Markets Small Cap Value
1. EWX is up in the past 5 years... and stll no cap gain distributions.comeinvest wrote:No offense, but I think your analysis is flawed.sperry8 wrote:EWX hasn't distributed capital gains since 2011: https://us.spdrs.com/resources/distribu ... x_code2=NAgrabiner wrote:Taxable or tax-deferred account? I do not recommend EWX for a taxable account. That high dividend yield has a lot of non-qualified dividends, and the ETF has distributed a lot of capital gains, so you don't get to keep as much of the fund return. (I learned this the hard way, and sold EWX for EEMS after it distributed too many gains.)rustymutt wrote:You can consider EEMS, and/or EWX. I recently switched to EWX, because it's paying out better dividends, and in this low interest environment, I want better dividends.
So no worries there.
And the tax cost ratio on M* shows EWX and EEMS as quite similar in regards to tax efficiency over the past 3 years although EWX is slightly worse.
Re the M* style boxes, EWX shows as more valuey and more small.
The tracking error issues also seem to have been better for EWX more recently than in the past.
So if you're looking for SCV tilt - EWX appears to be the winner over EEMS.
- Capital gains in a prolonged down market are typically zero, this is no surprise. With the turnover ratios of these funds, they will be high in the long run, and similarly high for both funds, if and when markets go up, which they are almost certain to do. They will be similarly high because both funds track nearly identical indexes, and have to follow the same government regulations. One of many examples where looking at past or current numbers have close to zero predictive value.
- M* box differences are solely an artifact of slight differences in geographic index definition, as explained further up in this thread.
- Tracking error has many components, and does not even capture the full implementation shortfall cost. I think the predictive value is very limited. To arrive at an estimate for future downside tracking error, one would have to look at the expense ratio (easy), and analyze the trading desk capabilities and algorithms of both funds, which are not disclosed.
2- I re-read the whole thread and don't see anything about M* style boxes being an artifact. Are you suggesting the M* style boxes are wrong for all international and EM?
3- I don't know much about tracking error or its components. I only know that EWX has done a better job recently. Whether this will continue or get worse I cannot say. However, if you are going to use that argument then you'd also be hard pressed to choose EEMS. After all, you'd have the same issues there. So you'd have to just live with whatever happens.
Note, my analysis is simply to try to identify the better of EEMS or EWX.
What about TLTE (FlexShares Morningstar Emerging Markets Factor Tilt Index)? Seems to be constructed similarly to the DFA EM value fund. And as the research you linked to shows... it mostly tilts value (rather than small) which may be a good thing if that research is to be believed.Kenster1 wrote:I wish there were a good EMV option with emphasis in the Midcap space - that would be a sweeter spot for me - or perhaps an all-cap EMV fund with heavier emphasis on Midcaps rather than the big megacaps typical of a market-weighted fund (....oh I just described the DFA All-cap funds ).
The EMV in Smallcap space is just too risky and volatile --- let me repeat, we're talking about small companies in emerging markets and then adding a value-tilt which includes the more distressed companies. Personally I prefer more emphasis in going a big bigger with Midcaps - but none really focuses on that.
Otherwise - the best bet for me is to just focus on EMV all-cap.
The Value and Size Effects in Emerging Markets
http://www.advisoryresearch.com/wp-cont ... e-2014.pdf
btw are there any corroborating studies for the research you posted that shows only the value premium in EM remains and the small premium doesn't exist there? A google search for everyone else seems to show people believe both small and value premiums in EM work. I like TLTE if only the value premium exists - but prefer EWX (or possibly EEMS) if both do.
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Re: Emerging Markets Small Cap Value
The share price of EWX now is about the same as it was five years ago, so there haven't been many capital gains for potential distribution. Almost all of the fund's 5-year gain is from dividends.sperry8 wrote:1. EWX is up in the past 5 years... and stll no cap gain distributions.]
And I would expect EWX to continue distributing capital gains if the market rises EWX and the developed analogue GWX are the only two international small-cap ETFs which have distributed capital gains after their second year. EWX distributed gains in its third and fourth years (2010 and 2011), and GWX has distributed gains in the last three years.
I don't know what will happen with EEMS. It hasn't distributed a capital gain, but it hasn't had much opportunity to distribute one; its share price was never much higher than at inception.
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Re: Emerging Markets Small Cap Value
I like TLTE and I own some, but it can be difficult to buy at a price close to NAV. The DFA EM value fund is my favorite and I have a large position (to me) in that.sperry8 wrote:
What about TLTE (FlexShares Morningstar Emerging Markets Factor Tilt Index)? Seems to be constructed similarly to the DFA EM value fund. And as the research you linked to shows... it mostly tilts value (rather than small) which may be a good thing if that research is to be believed.