Help me analyze small value in my 401K

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Topic Author
markcoop
Posts: 966
Joined: Fri Mar 02, 2007 8:36 am

Help me analyze small value in my 401K

Post by markcoop » Tue Jun 11, 2019 1:13 pm

With all the recent factor threads, I've been trying to understand the small value fund offered in my 401K. As it doesn't map to a known fund, I was hoping to get some input from people here as to how it compares to other small cap value funds as far as size and value. It uses the Russell 2000 Value index as a benchmark.

Fund manager: Vanguard
Expense ratio: 0.04%
Turnover: 29%
Net assets: 596 million
# holdings: 1,377
Dividend yield: 2.41%
Sharpe ratio: 0.38 (as of 5/31/19), 0.4 (3 yr), 0.2 (5 yr)
Standard deviation: 17.01% (as of 5/31/19), 15.98% (3 yr), 15.18% (5 yr)
P/E (as of 12/31/18): 11.7
P/E (3-yr avg): 17.7
P/BV (as of 12/31/18): 1.2
P/E (3-yr avg): 1.5
Median mkt cap (as of 12/31/18): 621 million
Median mkt cap (3 yr avg): 699 million

Cumulative total returns (as of 5/31/19):
YTD (monthly): 6.68%
1 month: -8.16%
3 months: -7.44%
6 months: -6.20%

Quarter-End Average Annual Total Returns (as of 3/31/19):
1 yr: .25%
3 yrs: 10.95%
5 yrs: 5.67%
10 yrs: 14.22%

I compared it a bit to the other Vanguard small-cap value funds - Small-Cap Value Index Fund Admiral Shares (VSIAX) and S&P Small-Cap 600 Value Index Fund Institutional Shares (VSMVX). Mkt cap is much smaller and # of stocks greater in my 401K fund. P/B is smaller than VSIAX and closer to VSMVX.

Any thoughts would be appreciated
Mark

fabdog
Posts: 581
Joined: Wed Jan 16, 2013 1:59 pm
Location: Williamsburg VA

Re: Help me analyze small value in my 401K

Post by fabdog » Tue Jun 11, 2019 1:38 pm

The fund in your 401(k) is likely a Vanguard collective investment trust, so you won't find a ticker for it. The fees are very low

The delta in the funds is likely a result of them tracking different indexes

The CIT in your 401(k) is tracking the Russell 2000
VSIAX tracks the CSRP small cap value index median market cap $3.8 billion
VSMVX tracks S&P Small Cap 600 value index median market cap $1.6 billion

So if you want small cap value, decide what that means to you, and use this plan in your 401(k) or one of the 2 vanguard funds in a taxable account if their profile more closely matches what you want

Mike

MotoTrojan
Posts: 4595
Joined: Wed Feb 01, 2017 8:39 pm

Re: Help me analyze small value in my 401K

Post by MotoTrojan » Tue Jun 11, 2019 1:39 pm

How does it compare to VTWV, Vanguard's R2K Value ETF? I haven't looked in a while but I thought R2K was pretty close to S&P600 in terms of median market cap. Both were about 1/2 of Vanguard's preferred CRSP based fund (VBR is the ETF).

Topic Author
markcoop
Posts: 966
Joined: Fri Mar 02, 2007 8:36 am

Re: Help me analyze small value in my 401K

Post by markcoop » Tue Jun 11, 2019 3:10 pm

MotoTrojan wrote:
Tue Jun 11, 2019 1:39 pm
How does it compare to VTWV, Vanguard's R2K Value ETF? I haven't looked in a while but I thought R2K was pretty close to S&P600 in terms of median market cap. Both were about 1/2 of Vanguard's preferred CRSP based fund (VBR is the ETF).
I did not know about VTWV. The fund in my 401K appears to track it pretty closely (which makes sense given they track the same index).

Comparing performance of VTWV to VBR and VIOO, VTWV has done the worst over the last 5-yr (VIOO 37%, VBR- 22%, VTWV 16%), 3-yr, 1-yr periods. Guess I'm wondering is that because of factors? VTWV has a smaller median mkt cap and I believe the P/B ratio is lower.

I am surprised at the difference in performance.
Mark

MotoTrojan
Posts: 4595
Joined: Wed Feb 01, 2017 8:39 pm

Re: Help me analyze small value in my 401K

Post by MotoTrojan » Tue Jun 11, 2019 3:21 pm

markcoop wrote:
Tue Jun 11, 2019 3:10 pm
MotoTrojan wrote:
Tue Jun 11, 2019 1:39 pm
How does it compare to VTWV, Vanguard's R2K Value ETF? I haven't looked in a while but I thought R2K was pretty close to S&P600 in terms of median market cap. Both were about 1/2 of Vanguard's preferred CRSP based fund (VBR is the ETF).
I did not know about VTWV. The fund in my 401K appears to track it pretty closely (which makes sense given they track the same index).

Comparing performance of VTWV to VBR and VIOO, VTWV has done the worst over the last 5-yr (VIOO 37%, VBR- 22%, VTWV 16%), 3-yr, 1-yr periods. Guess I'm wondering is that because of factors? VTWV has a smaller median mkt cap and I believe the P/B ratio is lower.

I am surprised at the difference in performance.
VIOO is a broad-based fund, you want to compare to VIOV.

Here is a backtest since 2011 of these 3 vs. S&P500. You can see they all underperformed the S&P500, with the R2K falling behind the other two. I haven't done as much research but have been less impressed overall with the Russell 2000, but there were some front-running concerns that got alleviated recently with a change in the way the index selects holdings. Right now I am setup to either hold VBR equivalent in my 401k, or VIOV in my Roth, so I don't have much more to offer. I prefer S&P600 (VIOV) to the Vanguard CRSP based fund due to smaller median cap-size, along with S&P's quality screen (positive earnings) which Russell does not have.

https://www.portfoliovisualizer.com/bac ... total3=100

Topic Author
markcoop
Posts: 966
Joined: Fri Mar 02, 2007 8:36 am

Re: Help me analyze small value in my 401K

Post by markcoop » Tue Jun 11, 2019 8:20 pm

Thanks for the replies. I have always just blindly used the small value fund in my 401K because it had such a low fee and Vanguard was the fund manager. Pretty surprising looking under the hood a bit and seeing such differences between small value funds (Russell 2K vs S&P 600). The return difference in particular are really surprising. I know it was a turbulent period for small value stocks.
Mark

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