jhfenton wrote: ↑
Fri Mar 09, 2018 10:05 pm
I'll do the momentum one tomorrow. Now that I know what I'm doing, it doesn't take long. I may do liquidity too. I'm curious what that one looks like.
Beehave wrote: ↑
Fri Mar 09, 2018 7:48 pm
I see that there are 6 factor ETFs and 2 mutual funds. I believe there are no special tax implications if someone holds these in an IRA or 401k fund.
There is only one new "factor" mutual fund, the multifactor VFMFX. There is a now-confusingly-named Vanguard U.S. Value Fund (VUVLX) managed by the same Quantitative Equity Group, but it is an older fund and has nothing to do with the Vanguard U.S. Value Factor ETF.
(It's a tame fund with a value and multifactor mandate designed for low-tracking error to the Russell 3000 Value Index.)
jhfenton, thank you for doing this. Fascinating thread.
I’ve been using iShares Edge MSCI USA Momentum Factor ETF (MTUM) for my momentum exposure for approximately two years. It’s done well, though I’ve read postings indicating that it isn’t just targeting momentum according to standard long-only definitions (I can’t explain it, though. Alpha Architect May have posted a blog about this. Not sure). I’d be curious to see Vanguard’s momentum Fund construction compared to iShares Edge MSCI USA Momentum Factor Index (MTUM) and AQR’s Momentum Fund (AMOMX). If it’s similar to MTUM I’d switch new contributions to Vanguard in a heartbeat.
Thank you again for starting this thread. Looking forward to everyone’s updates as the AUM grows in each fund.
*edited to include a link to Alpha Architect’s blog post on why MTUM is only a “quasi momentum fund”.
https://alphaarchitect.com/2017/07/24/m ... -and-size/
Can anyone evaluate the Vanguard U.S. Momentum Factor ETF (VFMO) offering and compare it to MTUM as well as address whether it’s targeting the academic definition of long-only momentum? I actually participated in the Vanguard webcast, yesterday at 1pm, discussing their Active Factor ETFs but I couldn’t pay attention to it because I was at work. I did hear them mention that at least some if not all of these ETFs are not market cap-weighted
and that they will have significant tracking error relative to the Russell 3000 (and that’s a great thing for people looking to load up on particular factor(s)).
As a person currently paying for platform access to invest taxable money
in DFA funds I’m keenly interested in seeing how Vanguard will compare to DFA. Hoping it will one day allow me to move new contributions to Vanguard.
In an earlier posting I saw that the value ETF was similar to 50/50 DFA US large cap value/DFA US SCV (DFLVX/DFSVX). The weighted average of that portfolio is 39.5bps. Wishing, but wouldn’t it be great to get something that performs similarly for 13bps all while having the built-in tax efficiency of an ETF?
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