Please review small value tilt portfolio

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Kelly
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Please review small value tilt portfolio

Post by Kelly »

Hi All

I've long followed Bill Bernstein's "Young Yvonne" (YY) portfolio from his Four Pillar book. It's here https://www.portfolioeinstein.com/willi ... _Portfolio

New ETFs have launched since this portfolio was written 12 years ago. I've tried to recreate the tilts using Portfolio Visualizer and M* X-Ray. I've left out the REIT allocation since Bill suggested that they were overpriced several years ago on this forum.

The proposed equity portion below over weights value by ten percentage points relative to a market portfolio (60% VTI, 40% VXUS). YY had a 13 percentage point overweight according to M* Xray. How much value tilt is optimal???

The below also over weights small 5 points compared to the market. YY had a 14 point overweight. Vanguard's latest outlook doesn't report an expected small premium.

48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!

Kelly
BJJ_GUY
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Re: Please review small value tilt portfolio

Post by BJJ_GUY »

Kelly wrote: Fri May 07, 2021 9:54 am Hi All

I've long followed Bill Bernstein's "Young Yvonne" (YY) portfolio from his Four Pillar book. It's here https://www.portfolioeinstein.com/willi ... _Portfolio

New ETFs have launched since this portfolio was written 12 years ago. I've tried to recreate the tilts using Portfolio Visualizer and M* X-Ray. I've left out the REIT allocation since Bill suggested that they were overpriced several years ago on this forum.

The proposed equity portion below over weights value by ten percentage points relative to a market portfolio (60% VTI, 40% VXUS). YY had a 13 percentage point overweight according to M* Xray. How much value tilt is optimal???

The below also over weights small 5 points compared to the market. YY had a 14 point overweight. Vanguard's latest outlook doesn't report an expected small premium.

48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!

Kelly
Out of curiosity, why are you mixing and matching ETF providers? Staying in the same family allows more seamless puzzle pieces.
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David Jay
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Re: Please review small value tilt portfolio

Post by David Jay »

Kelly wrote: Fri May 07, 2021 9:54 amHow much value tilt is optimal???
And that, detective, is the right question. (movie reference)

Several analyses have suggested that the "small" factor has disappeared, beginning shortly after it was first described. Value has underperformed over the last dozen years. Will value come back? Who knows.

One general issue with tilted portfolios is that "things change". That is why a market portfolio is the low-regret portfolio. The market is whatever the market is. And in 10 years the market will be whatever the market will be. If I own the market, I don't have to worry about those changes.

[edit] I had a small value tilt when I came to BH, but as I have simplified over the years I have dropped all factor tilts: Total Stock. Total International.
Prediction is very difficult, especially about the future - Niels Bohr | To get the "risk premium", you really do have to take the risk - nisiprius
dbr
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Re: Please review small value tilt portfolio

Post by dbr »

Kelly wrote: Fri May 07, 2021 9:54 am How much value tilt is optimal???
With respect to optimizing what? The basic Fama-French theory says stock returns are somewhat well predicted by market and by small and value factor loading. The regression model has positive linear coefficients for small and value so the return is greatest when those factor loadings are greatest. By that logic the optimal allocation is 100% small cap value using funds that have the highest attainable value and size loadings.

Note the Fama-French loadings of a fund or a portfolio can be found by running Portfolio Visualizer.

If you have a different figure of merit to optimize you will need to know the dependence of that statistic on the factor loadings and then run an optimization analysis.

Others may suggest some ideas for this.

Presumably you have read Swedroe's book on factor investing? It is one of the few directed specifically at this topic and Larry has been an advocate for that sort of investing.

An example of Swedroe thinking on this would be the "Larry" portfolio which places stocks at 100% small cap value and then increases bond holdings in shorter term Treasuries (I think) to set a desired return target or to cut risk to an acceptable value. The optimization hoped for is reduction in low tail risk. I asked Larry once if an implication of this would be an increase in safe withdrawal rate for retirees and he agrees it should, but there is no data I have looked at. Safe withdrawal rate is an example of a statistic that a person might want to optimize, different from maximizing return.

Disclaimer: I don't tilt to factors because I don't need to and I don't want to.
YRT70
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Re: Please review small value tilt portfolio

Post by YRT70 »

Kelly wrote: Fri May 07, 2021 9:54 am 48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!
Here's my suggestion:

50% VTI (I slightly prefer TSM over S&P because I wouldn't want to miss the next TSLA)
20% VXUS
15% AVUV (historically the value premium has been larger in small caps)
10% AVDV
5% AVEM

This is pretty close to my portfolio although I've got a stronger tilt.
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Horton
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Re: Please review small value tilt portfolio

Post by Horton »

Why not keep it simple...use VT plus your favorite SCV ETF (VBR, VIOV, etc.)?
XacTactX
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Re: Please review small value tilt portfolio

Post by XacTactX »

I used Morningstar X-Ray to look up the fundamentals of the portfolio that you are considering, and I made a benchmark to compare it to.

This is 60% VTI, 35% VEA, and 5% VWO (the same country allocation that Kelly wants to use)

Image

And this is the portfolio that you are considering with VTI, VXUS, VFVA, EFV, AVDV, etc

Image

Overall, I think value exposure is moderate, size exposure is mild, and profitability is the same as the cap-weighted portfolio. If your intention is to have this level of exposure to size (mild) and value (moderate) I think this is a reasonable allocation, I don't have any major concerns. Your factor exposure and your overall strategy will be similar to the portfolio that Bill Bernstein suggested and the exposure to size/value will be more evenly spread throughout the world.

I would just like clarification on one thing, your portfolio has around 5% exposure to emerging markets and the global cap weight of emerging markets is around 10-11%. Are you intentionally underweighting emerging markets? If the answer is yes, I don't have any major concerns, this portfolio will give you what you want to achieve
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Astones
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Re: Please review small value tilt portfolio

Post by Astones »

I believe a good alternative could be something like

VT (all world all cap) = 76 %
VBR (US small value) = 12 %
VSS (ex US small) = 12 %
Topic Author
Kelly
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Re: Please review small value tilt portfolio

Post by Kelly »

XacTactX wrote: Fri May 07, 2021 1:47 pm I would just like clarification on one thing, your portfolio has around 5% exposure to emerging markets and the global cap weight of emerging markets is around 10-11%. Are you intentionally underweighting emerging markets? If the answer is yes, I don't have any major concerns, this portfolio will give you what you want to achieve
Thanks for pointing this out. EFV and AVDV have minimal EM exposure. I'd have to add a separate EM.

Kelly
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Kelly
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Re: Please review small value tilt portfolio

Post by Kelly »

Astones wrote: Fri May 07, 2021 2:06 pm I believe a good alternative could be something like

VT (all world all cap) = 76 %
VBR (US small value) = 12 %
VSS (ex US small) = 12 %
The problem is that VSS has a value loading of 0.16 vs 0.32 for AVDV. The idea is to get a small value tilt.
Astones
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Re: Please review small value tilt portfolio

Post by Astones »

Kelly wrote: Fri May 07, 2021 3:03 pm
Astones wrote: Fri May 07, 2021 2:06 pm I believe a good alternative could be something like

VT (all world all cap) = 76 %
VBR (US small value) = 12 %
VSS (ex US small) = 12 %
The problem is that VSS has a value loading of 0.16 vs 0.32 for AVDV. The idea is to get a small value tilt.
I understand that, but the price you pay for it is a much larger expense ratio, much smaller fund size, larger tracking error, and in addition you are compensating the value tilt in AVDV by over-weighing large cap when you track S&P 500.

VBR is only US, but it provides the small cap value tilt you seek while being a better fund according to all the other common parameters, imho.
absolute zero
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Re: Please review small value tilt portfolio

Post by absolute zero »

Why are you trying to get more value exposure internationally than domestically? HML exposure is a lot cheaper in the US. You can invest in value in both places, but if you’re going to aim for more in one place vs the other, it would make more sense to have more value domestically.
absolute zero
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Re: Please review small value tilt portfolio

Post by absolute zero »

Astones wrote: Fri May 07, 2021 3:33 pm
Kelly wrote: Fri May 07, 2021 3:03 pm
Astones wrote: Fri May 07, 2021 2:06 pm I believe a good alternative could be something like

VT (all world all cap) = 76 %
VBR (US small value) = 12 %
VSS (ex US small) = 12 %
The problem is that VSS has a value loading of 0.16 vs 0.32 for AVDV. The idea is to get a small value tilt.
I understand that, but the price you pay for it is a much larger expense ratio, much smaller fund size, larger tracking error, and in addition you are compensating the value tilt in AVDV by over-weighing large cap when you track S&P 500.

VBR is only US, but it provides the small cap value tilt you seek while being a better fund according to all the other common parameters, imho.
Agree with the concern over cost, but I don’t understand the other 2 concerns.

- “much smaller fund size” As long as the fund isn’t at risk for closure (for AVDV its not) who cares about fund size?
- “larger tracking error” Tracking error relative to what? AVDV isn’t an index fund, so it can’t possibly have tracking error
Astones
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Re: Please review small value tilt portfolio

Post by Astones »

absolute zero wrote: Fri May 07, 2021 4:50 pm
Agree with the concern over cost, but I don’t understand the other 2 concerns.

- “much smaller fund size” As long as the fund isn’t at risk for closure (for AVDV its not) who cares about fund size?
Economy of scale.
absolute zero wrote: Fri May 07, 2021 4:50 pm - “larger tracking error” Tracking error relative to what? AVDV isn’t an index fund, so it can’t possibly have tracking error
Fair point, I assumed it was an index fund.
Topic Author
Kelly
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Re: Please review small value tilt portfolio

Post by Kelly »

absolute zero wrote: Fri May 07, 2021 4:46 pm Why are you trying to get more value exposure internationally than domestically? HML exposure is a lot cheaper in the US. You can invest in value in both places, but if you’re going to aim for more in one place vs the other, it would make more sense to have more value domestically.
Good point on the cost! I'll have to think more on that. VFVA cost 14bps (VBR is 7), EFV is 39 and AVDV is 36.

I was trying to overweight value by 10 percentage points in both US and Int'l. VXUS is 31% value according to M*. 45% VXUS, 30% EFV, and 25% ADVD gets me to 43%. 12 points more.

VTI is 26% value. 80% SP 500 and 20% VFVA gets me to 36%. 10 points more.

Kelly
Goldwater85
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Re: Please review small value tilt portfolio

Post by Goldwater85 »

Vanguard has a poor record of constructing funds for factor exposure other than beta. (This may have actually benefited performance of these funds in recent years).

I don’t understand mild tilts toward SCV. SCV still provides 100%+ exposure to beta, so you aren’t sacrificing market exposure. And it isn’t easy to find a long-only SCV fund with value exposure greater than .4.

If you don’t buy into Fama French or are bothered by market tracking, just stick with pure beta. Otherwise, follow Swedroe all-in. But the modest, annualized upside to SCV doesn’t justify the nuisance of minimal tilts.
YRT70
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Re: Please review small value tilt portfolio

Post by YRT70 »

Kelly wrote: Fri May 07, 2021 7:00 pm
absolute zero wrote: Fri May 07, 2021 4:46 pm Why are you trying to get more value exposure internationally than domestically? HML exposure is a lot cheaper in the US. You can invest in value in both places, but if you’re going to aim for more in one place vs the other, it would make more sense to have more value domestically.
Good point on the cost! I'll have to think more on that. VFVA cost 14bps (VBR is 7), EFV is 39 and AVDV is 36.

I was trying to overweight value by 10 percentage points in both US and Int'l. VXUS is 31% value according to M*. 45% VXUS, 30% EFV, and 25% ADVD gets me to 43%. 12 points more.

VTI is 26% value. 80% SP 500 and 20% VFVA gets me to 36%. 10 points more.

Kelly
Total market funds like VTI and VXUS typically don't have significant exposure to value. A regression analysis will show that, for example: https://www.portfoliovisualizer.com/fac ... sion=false

As for the costs, while it's true that VBR has lower costs than for example, AVUV, it's also true that if the factor return half of what they've historically returned AVUV should easily make up for its higher expense ratio. This is because AVUV loads more on value, size and profitability than VBR. In other words, looking for the cheapest value fund isn't necessarily the best solution. For example, since inception AVUV +58.75% VBR +42.05%. Of course, no guarantees that this will persist in the future.
stan1
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Re: Please review small value tilt portfolio

Post by stan1 »

Goldwater85 wrote: Sat May 08, 2021 8:31 am If you don’t buy into Fama French or are bothered by market tracking, just stick with pure beta. Otherwise, follow Swedroe all-in. But the modest, annualized upside to SCV doesn’t justify the nuisance of minimal tilts.
I've gone with equity strategy since 2008 (fixed income is separate -- this is just equity strategy)
4/9 = US Total Stock Market
2/9 = US Small Cap Value
2/9 = ex US Total Market
1/9 = ex US Small, now added in some small cap value since it is available via Avantis. DLS always seemed to expensive to me and I never bought it.

Agree that tilts much smaller than that are unlikely to make a meaningful difference in return or diversification benefit and some would be more aggressive than I am up to Larry portfolio.
dbr
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Re: Please review small value tilt portfolio

Post by dbr »

stan1 wrote: Sat May 08, 2021 9:25 am
Goldwater85 wrote: Sat May 08, 2021 8:31 am If you don’t buy into Fama French or are bothered by market tracking, just stick with pure beta. Otherwise, follow Swedroe all-in. But the modest, annualized upside to SCV doesn’t justify the nuisance of minimal tilts.
I've gone with equity strategy since 2008 (fixed income is separate -- this is just equity strategy)
4/9 = US Total Stock Market
2/9 = US Small Cap Value
2/9 = ex US Total Market
1/9 = ex US Small, now added in some small cap value since it is available via Avantis. DLS always seemed to expensive to me and I never bought it.

Agree that tilts much smaller than that are unlikely to make a meaningful difference in return or diversification benefit and some would be more aggressive than I am up to Larry portfolio.
Right. It comes back to the obvious conclusion that the point of a tilt is to increase returns and that the optimum is full in on the purest small cap value tilt one can find. One can apply the same logic to holding only emerging markets.

The next step is to find something else to optimize. At this point it is on the investor to find what that might be and where the optimum is. I would start with Larry's book and see what one can find. Note the "Larry" portfolio was suggested for one idea of what might be optimized, namely that low tail risk should be reduced for the same expected return and expected risk.

I think it would be most helpful if people who have taken SCV tilts, especially large ones, would talk about what the expected advantage is. I do apologize that these things may have been addressed before on the forum, but we are here now. Also this is not for my benefit because I do not tilt but rather for others such as the OP who asked what the optimum tilt is.
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Forester
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Re: Please review small value tilt portfolio

Post by Forester »

Kelly wrote: Fri May 07, 2021 9:54 am Hi All

I've long followed Bill Bernstein's "Young Yvonne" (YY) portfolio from his Four Pillar book. It's here https://www.portfolioeinstein.com/willi ... _Portfolio

New ETFs have launched since this portfolio was written 12 years ago. I've tried to recreate the tilts using Portfolio Visualizer and M* X-Ray. I've left out the REIT allocation since Bill suggested that they were overpriced several years ago on this forum.

The proposed equity portion below over weights value by ten percentage points relative to a market portfolio (60% VTI, 40% VXUS). YY had a 13 percentage point overweight according to M* Xray. How much value tilt is optimal???

The below also over weights small 5 points compared to the market. YY had a 14 point overweight. Vanguard's latest outlook doesn't report an expected small premium.

48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!

Kelly
Possibly underweight US value? You're definitely on the right track because you're around 2/3 indexed, then the three value funds. I don't see anything wrong at all, just write down in a text document / piece of paper, how and why you arrived at those percentages.

For example MSCI ACWI is X% USA, so that could be how much you decide to own, then perhaps you want to split your international allocation 50-50 indexed & value, or whatever you choose, but have some kind of method or reasoning.
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Re: Please review small value tilt portfolio

Post by Goldwater85 »

dbr wrote: Sat May 08, 2021 10:05 am Right. It comes back to the obvious conclusion that the point of a tilt is to increase returns and that the optimum is full in on the purest small cap value tilt one can find. One can apply the same logic to holding only emerging markets.
The emerging markets analogy doesn’t work. U.S. market returns are embedded in the returns of U.S. SCV funds—indeed, they are the primary driver of U.S. SCV returns. That’s why IJS and DFSVX have posted good absolute returns since 2010 even while the size factor has been a mild drag and the value factor has been catastrophic.

This is the reason people like factors—you can layer them onto market exposure to diversify risks without pulling capital away from existing exposures (if the theory is correct). With emerging markets, every dollar of risk exposure bought in Chinese markets is a dollar you didn’t buy in the U.S.

Also, this forum sometimes conflates random outcomes with true randomness. The future is unknowable but market returns aren’t random in hindsight. If you had told me in 2010 that we were going to ZIRP and QE indefinitely with modest economic growth and no inflationary pressure, I could have told you to buy a basket of speculative growth stocks. The issue was limitations on what was actually known in 2010—value would have been a great hedge if the broader economy had caught stride and ZIRP and QE had sparked inflation.
Jebediah
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Re: Please review small value tilt portfolio

Post by Jebediah »

40 voo
10 vbr
10 avuv
20 vxus
10 avdv
10 fnde


- VBR is a nice way to get cheap mid-value exposure to spread out your HmL over more market cap. TLH with IJJ
- VFVA has negative mom load IIRC, skip it
- AVUV for real-deal SCV exposure. TLH with the not quite as good IJS
- increase EM exposure. FNDE for EM value if you want it. DGS if you really want it to be small value.
- if too much EM in the above, swap VXUS for VEA
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Re: Please review small value tilt portfolio

Post by mokaThought »

Kelly wrote: Fri May 07, 2021 9:54 am Hi All

I've long followed Bill Bernstein's "Young Yvonne" (YY) portfolio from his Four Pillar book. It's here https://www.portfolioeinstein.com/willi ... _Portfolio

New ETFs have launched since this portfolio was written 12 years ago. I've tried to recreate the tilts using Portfolio Visualizer and M* X-Ray. I've left out the REIT allocation since Bill suggested that they were overpriced several years ago on this forum.

The proposed equity portion below over weights value by ten percentage points relative to a market portfolio (60% VTI, 40% VXUS). YY had a 13 percentage point overweight according to M* Xray. How much value tilt is optimal???

The below also over weights small 5 points compared to the market. YY had a 14 point overweight. Vanguard's latest outlook doesn't report an expected small premium.

48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!

Kelly
Some possible suggestions:

1. Using Avantis funds wherever possible since it seems you like them, e.g. AVUS in place of S&P 500, AVDE in place of VXUS. And why no AVUV (Avantis U.S. small cap value)?

2. Depending upon how "valuey" you feel, RPV (Invesco S&P 500 Pure Value ETF) is an attractive but aggressive option in place of VFVA.

FWIW, I use a modified version of Paul Merriman's "Ultimate Buy and Hold" strategy minus REITs. I went with:

* AVUS — U.S. large blend
* RPV — U.S. large value
* IJR — U.S. small blend
* AVUV — U.S. small value
* AVDE — int'l large blend
* EFV — int'l large value
* FNDC — int'l small blend
* AVDV — int'l small value
* FRDM and EMXC — emerging markets (totally not a Merriman value play here)
reformed.trader
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Re: Please review small value tilt portfolio

Post by reformed.trader »

Assuming you are relatively young (sub 40), load up on as much small value as you can stand. Avantis funds are ok, though I prefer other valuation metrics that are used in funds like DEEP and CALF. As for international SCV funds, your choices are limited. AVDV and ISCF are the best options IMO. For EM, I believe DGS is the only option. Something like the below works great for me. Just make sure you are rebalancing on occasion.

ACWV - 25%
DEEP - 25%
ISCF - 25%
DGS - 25%
MotoTrojan
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Re: Please review small value tilt portfolio

Post by MotoTrojan »

YRT70 wrote: Fri May 07, 2021 10:54 am
Kelly wrote: Fri May 07, 2021 9:54 am 48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!
Here's my suggestion:

50% VTI (I slightly prefer TSM over S&P because I wouldn't want to miss the next TSLA)
20% VXUS
15% AVUV (historically the value premium has been larger in small caps)
10% AVDV
5% AVEM

This is pretty close to my portfolio although I've got a stronger tilt.
Came to suggest the same although at 5% I would just take the simplicity and kick out AVEM. Most efficient way to go is to hold Total Market and then get all your value in a SCV fund, of which Avantis' AVUV & AVDV are fantastic options.

I do like VFVA as well but don't see a need for the complexity here.
YRT70
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Re: Please review small value tilt portfolio

Post by YRT70 »

MotoTrojan wrote: Sat May 08, 2021 9:47 pm
YRT70 wrote: Fri May 07, 2021 10:54 am
Kelly wrote: Fri May 07, 2021 9:54 am 48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!
Here's my suggestion:

50% VTI (I slightly prefer TSM over S&P because I wouldn't want to miss the next TSLA)
20% VXUS
15% AVUV (historically the value premium has been larger in small caps)
10% AVDV
5% AVEM

This is pretty close to my portfolio although I've got a stronger tilt.
Came to suggest the same although at 5% I would just take the simplicity and kick out AVEM. Most efficient way to go is to hold Total Market and then get all your value in a SCV fund, of which Avantis' AVUV & AVDV are fantastic options.
I like that too. Simple, well diversified portfolio: VTI, VXUS, AVUV, AVDV.
bluerafters
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Re: Please review small value tilt portfolio

Post by bluerafters »

Settled on VTI/VIOV/VEA/VWO.

The Avantis products are a bit too new for my tastes. This leaves a hole in international small cap value though...
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Re: Please review small value tilt portfolio

Post by MotoTrojan »

bluerafters wrote: Sun May 09, 2021 6:50 am Settled on VTI/VIOV/VEA/VWO.

The Avantis products are a bit too new for my tastes. This leaves a hole in international small cap value though...
If that helps you sleep at night it is a perfectly fine choice. You could hold VXUS & VSS if you want to overweight ex-US small-caps as well (only reason to hold VEA & VWO separately is if you want to overweight emerging markets as VXUS is basically VEA + VWO at market weight).

Avantis is backed by very reputable people, started by ex-DFA (also very reputable, the OGs in this space) and has an incredibly sound approach. I wouldn't hesitate to use them, they are far superior to indexed products, but you will do fine without them. If it makes you more comfortable, VFVA is still superior to VIOV in my humble opinion as it also is unconstrained by an index (can trade daily, systematically of course), just less small-cap tilt so perhaps hold a smidge more (but AVUV is the top-dog).
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Kelly
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Re: Please review small value tilt portfolio

Post by Kelly »

dbr wrote: Fri May 07, 2021 10:40 am
With respect to optimizing what? The basic Fama-French theory says stock returns are somewhat well predicted by market and by small and value factor loading. The regression model has positive linear coefficients for small and value so the return is greatest when those factor loadings are greatest. By that logic the optimal allocation is 100% small cap value using funds that have the highest attainable value and size loadings.
By optimal I mean how much tilt is too much considering that the value premium has been (is?) in a "coma" in Vanguard's words (2021 outlook). It appears that the B Bernstein port was a small tilt.
dbr
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Re: Please review small value tilt portfolio

Post by dbr »

You might be interested in these ruminations: viewtopic.php?t=121203
FiveFactor
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Re: Please review small value tilt portfolio

Post by FiveFactor »

The portfolio you suggest is very heavily skewed to the Market factor. The slight additions to value are almost negligible. IMO it’s not diversified
40% AVUV Advantis US Small Value | 7.5% VTI Vanguard Total Market | 23% AVDV Advantis Intl Small Value | 12% AVEM Advantis Emerging Markets | 7.5% VXUS Vanguard Global Ex-US | 5% QMOM AA quant Momentum | 5% Cash
bluerafters
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Re: Please review small value tilt portfolio

Post by bluerafters »

:twisted:
YRT70 wrote: Sun May 09, 2021 5:49 am
MotoTrojan wrote: Sat May 08, 2021 9:47 pm
YRT70 wrote: Fri May 07, 2021 10:54 am
Kelly wrote: Fri May 07, 2021 9:54 am 48% SP 500
12% Vgd Value Factor (VFVA)
18% Vgd Total Int'l (VXUS)
12% iShare EAFE value (EFV)
10% Avantis Int'l small cap value (AVDV)

All comments appreciated!
Here's my suggestion:

50% VTI (I slightly prefer TSM over S&P because I wouldn't want to miss the next TSLA)
20% VXUS
15% AVUV (historically the value premium has been larger in small caps)
10% AVDV
5% AVEM

This is pretty close to my portfolio although I've got a stronger tilt.
Came to suggest the same although at 5% I would just take the simplicity and kick out AVEM. Most efficient way to go is to hold Total Market and then get all your value in a SCV fund, of which Avantis' AVUV & AVDV are fantastic options.
I like that too. Simple, well diversified portfolio: VTI, VXUS, AVUV, AVDV.
Bookmarked. Food for thought.
bluerafters
Posts: 182
Joined: Mon Sep 18, 2017 7:14 pm

Re: Please review small value tilt portfolio

Post by bluerafters »

MotoTrojan wrote: Sun May 09, 2021 8:22 am
bluerafters wrote: Sun May 09, 2021 6:50 am Settled on VTI/VIOV/VEA/VWO.

The Avantis products are a bit too new for my tastes. This leaves a hole in international small cap value though...
If that helps you sleep at night it is a perfectly fine choice. You could hold VXUS & VSS if you want to overweight ex-US small-caps as well (only reason to hold VEA & VWO separately is if you want to overweight emerging markets as VXUS is basically VEA + VWO at market weight).

Avantis is backed by very reputable people, started by ex-DFA (also very reputable, the OGs in this space) and has an incredibly sound approach. I wouldn't hesitate to use them, they are far superior to indexed products, but you will do fine without them. If it makes you more comfortable, VFVA is still superior to VIOV in my humble opinion as it also is unconstrained by an index (can trade daily, systematically of course), just less small-cap tilt so perhaps hold a smidge more (but AVUV is the top-dog).
Appreciate that. For VXUS I relied on, no affiliation:

https://www.optimizedportfolio.com/vea-vwo-vxus/
MotoTrojan
Posts: 11094
Joined: Wed Feb 01, 2017 8:39 pm

Re: Please review small value tilt portfolio

Post by MotoTrojan »

bluerafters wrote: Mon May 10, 2021 3:01 am
MotoTrojan wrote: Sun May 09, 2021 8:22 am
bluerafters wrote: Sun May 09, 2021 6:50 am Settled on VTI/VIOV/VEA/VWO.

The Avantis products are a bit too new for my tastes. This leaves a hole in international small cap value though...
If that helps you sleep at night it is a perfectly fine choice. You could hold VXUS & VSS if you want to overweight ex-US small-caps as well (only reason to hold VEA & VWO separately is if you want to overweight emerging markets as VXUS is basically VEA + VWO at market weight).

Avantis is backed by very reputable people, started by ex-DFA (also very reputable, the OGs in this space) and has an incredibly sound approach. I wouldn't hesitate to use them, they are far superior to indexed products, but you will do fine without them. If it makes you more comfortable, VFVA is still superior to VIOV in my humble opinion as it also is unconstrained by an index (can trade daily, systematically of course), just less small-cap tilt so perhaps hold a smidge more (but AVUV is the top-dog).
Appreciate that. For VXUS I relied on, no affiliation:

https://www.optimizedportfolio.com/vea-vwo-vxus/
Awesome, so you are equal-weight VEA & VWO? That is a good way to go (could also do VXUS + additional VWO). I still personally would use some more factor products abroad but I am biased as I aim to get all of my portfolio into tilted products. I think this is especially pertinent if you were sold on the increased diversification of overweighting emerging markets in that article; tilting to smaller, more profitable, and cheaper companies (what Avantis does) has a very similar effect but even stronger.
bluerafters
Posts: 182
Joined: Mon Sep 18, 2017 7:14 pm

Re: Please review small value tilt portfolio

Post by bluerafters »

MotoTrojan wrote: Mon May 10, 2021 7:44 am
bluerafters wrote: Mon May 10, 2021 3:01 am
MotoTrojan wrote: Sun May 09, 2021 8:22 am
bluerafters wrote: Sun May 09, 2021 6:50 am Settled on VTI/VIOV/VEA/VWO.

The Avantis products are a bit too new for my tastes. This leaves a hole in international small cap value though...
If that helps you sleep at night it is a perfectly fine choice. You could hold VXUS & VSS if you want to overweight ex-US small-caps as well (only reason to hold VEA & VWO separately is if you want to overweight emerging markets as VXUS is basically VEA + VWO at market weight).

Avantis is backed by very reputable people, started by ex-DFA (also very reputable, the OGs in this space) and has an incredibly sound approach. I wouldn't hesitate to use them, they are far superior to indexed products, but you will do fine without them. If it makes you more comfortable, VFVA is still superior to VIOV in my humble opinion as it also is unconstrained by an index (can trade daily, systematically of course), just less small-cap tilt so perhaps hold a smidge more (but AVUV is the top-dog).
Appreciate that. For VXUS I relied on, no affiliation:

https://www.optimizedportfolio.com/vea-vwo-vxus/
Awesome, so you are equal-weight VEA & VWO? That is a good way to go (could also do VXUS + additional VWO). I still personally would use some more factor products abroad but I am biased as I aim to get all of my portfolio into tilted products. I think this is especially pertinent if you were sold on the increased diversification of overweighting emerging markets in that article; tilting to smaller, more profitable, and cheaper companies (what Avantis does) has a very similar effect but even stronger.
Yes. 50/50 split.
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