### Comments on my DFA/IFA-100 portfolio clone

Posted:

**Wed Oct 04, 2017 11:20 pm**I posted this under another topic. Got a PM recommending that I start a new topic with it . . . so here it is . . .

Well, I was off work today and bored . . . . . So, I decided to give a go at duplicating a well-known DFA based portfolio using VANGUARD and other available ETFs. I attempted to match each component of the old IFA 100/DFA portfolio using ETFs with similar Morningstar portfolio analytics and 10 year correlations (if possible) greater than 95%. Rebalancing was performed annually. I ran the two portfolios through Morningstar and posted a PDF of the result.

As can be seen, the IFA portfolio can be "cloned" easily. The correlation coefficient between the two portfolios is 99% since inception of the newest ETFs (1/2010). Not surprisingly, overall performance, alpha, beta and sharpe ratio of the two are matched as well. Though i would like to see longer than a 7 year run, given the statistical match of the two portfolios, no reason to think things will not continue similarly as time goes on. If you look at the performance graph in the pdf link, the two portfolios track each other almost exactly.

Of note, this exercise does NOT include trading costs or the advisor fees required to access DFA funds. Transaction costs, of course, would be higher for the DFA portfolio due to higher mutual fund trading costs vs ETFs. If one were to subtract the IFA 0.9% AUM fee, the clone's performance would trounce the DFA mix as well. Given that ANYONE can easily create this cloned portfolio, it's hard for me to justify IFA's fee structure. As there are a number of free or ridiculously cheap ETF trading options out there, the pro-IFA argument becomes even weaker.

https://drive.google.com/file/d/0B1ll8a ... sp=sharing

Old IFA100 Clone

DFUSX 12% VV

DFLVX 12 VTV

DFSCX 20 IJR 10%, BRSIX 10%

DFSVX 20 IJS

DFGEX 5 RWO

DFIVX 6 DWM

DFISX 6 SCHC

DISVX 6 DLS

DFEX 4 SCHE

DFEVX 4 DEM

DEMSX 5 DGS

As always, I welcome any thoughtful comments/criticisms/etc.

Well, I was off work today and bored . . . . . So, I decided to give a go at duplicating a well-known DFA based portfolio using VANGUARD and other available ETFs. I attempted to match each component of the old IFA 100/DFA portfolio using ETFs with similar Morningstar portfolio analytics and 10 year correlations (if possible) greater than 95%. Rebalancing was performed annually. I ran the two portfolios through Morningstar and posted a PDF of the result.

As can be seen, the IFA portfolio can be "cloned" easily. The correlation coefficient between the two portfolios is 99% since inception of the newest ETFs (1/2010). Not surprisingly, overall performance, alpha, beta and sharpe ratio of the two are matched as well. Though i would like to see longer than a 7 year run, given the statistical match of the two portfolios, no reason to think things will not continue similarly as time goes on. If you look at the performance graph in the pdf link, the two portfolios track each other almost exactly.

Of note, this exercise does NOT include trading costs or the advisor fees required to access DFA funds. Transaction costs, of course, would be higher for the DFA portfolio due to higher mutual fund trading costs vs ETFs. If one were to subtract the IFA 0.9% AUM fee, the clone's performance would trounce the DFA mix as well. Given that ANYONE can easily create this cloned portfolio, it's hard for me to justify IFA's fee structure. As there are a number of free or ridiculously cheap ETF trading options out there, the pro-IFA argument becomes even weaker.

https://drive.google.com/file/d/0B1ll8a ... sp=sharing

Old IFA100 Clone

DFUSX 12% VV

DFLVX 12 VTV

DFSCX 20 IJR 10%, BRSIX 10%

DFSVX 20 IJS

DFGEX 5 RWO

DFIVX 6 DWM

DFISX 6 SCHC

DISVX 6 DLS

DFEX 4 SCHE

DFEVX 4 DEM

DEMSX 5 DGS

As always, I welcome any thoughtful comments/criticisms/etc.