Vanguard New Factor Funds Portfolio Statistics

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schismal
Posts: 187
Joined: Sat Apr 13, 2019 8:53 pm

Re: Vanguard New Factor Funds Portfolio Statistics

Post by schismal » Thu Jul 11, 2019 5:01 am

MTUM seems like the only game in town, but I like the construction of VFMO, which allows it some size exposure as well as momentum. I haven't funded my backdoor Roth yet, and that's where I'd probably place this.

caklim00
Posts: 2131
Joined: Mon May 26, 2008 10:09 am

Re: Vanguard New Factor Funds Portfolio Statistics

Post by caklim00 » Mon Feb 03, 2020 11:03 am

Anyone do the regressions on these funds now that we are a couple years in? All of the funds seem to be lagging in their categories except for VFMV (minimum volatility).

HippoSir
Posts: 102
Joined: Tue Jul 03, 2018 2:56 pm

Re: Vanguard New Factor Funds Portfolio Statistics

Post by HippoSir » Mon Feb 03, 2020 12:18 pm

caklim00 wrote:
Mon Feb 03, 2020 11:03 am
Anyone do the regressions on these funds now that we are a couple years in? All of the funds seem to be lagging in their categories except for VFMV (minimum volatility).
I've done this with both the regression approach (portfoliovisualizer) and holdings based approach (etf.com/morningstar tools).

They are some of the consistently highest factor exposure products available in an ETF wrapper, which incidentally also explains their underperformance. Pretty much any factor exposure, especially in the past two years, has been a drag on returns.

If you're looking for strong exposure, these funds are excellent. Unfortunately, recently strong factor exposure has been anything but a good thing. :P

caklim00
Posts: 2131
Joined: Mon May 26, 2008 10:09 am

Re: Vanguard New Factor Funds Portfolio Statistics

Post by caklim00 » Mon Feb 03, 2020 1:42 pm

HippoSir wrote:
Mon Feb 03, 2020 12:18 pm
caklim00 wrote:
Mon Feb 03, 2020 11:03 am
Anyone do the regressions on these funds now that we are a couple years in? All of the funds seem to be lagging in their categories except for VFMV (minimum volatility).
I've done this with both the regression approach (portfoliovisualizer) and holdings based approach (etf.com/morningstar tools).

They are some of the consistently highest factor exposure products available in an ETF wrapper, which incidentally also explains their underperformance. Pretty much any factor exposure, especially in the past two years, has been a drag on returns.

If you're looking for strong exposure, these funds are excellent. Unfortunately, recently strong factor exposure has been anything but a good thing. :P
Thanks. I'm ok with the factor exposure being a drag on returns since I know thats expected. I can live with that. Just wanted to make sure there wasn't anything else that was contributing to the underperformance. At least with iShares edge I can check it vs the index.

HippoSir
Posts: 102
Joined: Tue Jul 03, 2018 2:56 pm

Re: Vanguard New Factor Funds Portfolio Statistics

Post by HippoSir » Mon Feb 03, 2020 3:30 pm

caklim00 wrote:
Mon Feb 03, 2020 1:42 pm
Thanks. I'm ok with the factor exposure being a drag on returns since I know thats expected. I can live with that. Just wanted to make sure there wasn't anything else that was contributing to the underperformance. At least with iShares edge I can check it vs the index.
The other tool you may want to poke around with is:

https://alphaarchitect.com/tools/

fund screener.

I'll admit up front I'm a VFMF fanboy (my US equity is split 50/50 VTI/VFMF), but by every measure I've looked at, it's an excellently designed fund if you want deep factor exposure. Turnover is pretty high, but I suspect this is due to the fact it's small enough that trading is still cheap, and since rebalancing is active, Vanguard is taking advantage of the fund's small size.

caklim00
Posts: 2131
Joined: Mon May 26, 2008 10:09 am

Re: Vanguard New Factor Funds Portfolio Statistics

Post by caklim00 » Tue Feb 04, 2020 12:08 pm

HippoSir wrote:
Mon Feb 03, 2020 3:30 pm
caklim00 wrote:
Mon Feb 03, 2020 1:42 pm
Thanks. I'm ok with the factor exposure being a drag on returns since I know thats expected. I can live with that. Just wanted to make sure there wasn't anything else that was contributing to the underperformance. At least with iShares edge I can check it vs the index.
The other tool you may want to poke around with is:

https://alphaarchitect.com/tools/

fund screener.

I'll admit up front I'm a VFMF fanboy (my US equity is split 50/50 VTI/VFMF), but by every measure I've looked at, it's an excellently designed fund if you want deep factor exposure. Turnover is pretty high, but I suspect this is due to the fact it's small enough that trading is still cheap, and since rebalancing is active, Vanguard is taking advantage of the fund's small size.
I put some funds that I have interest in (I own all except SMLF):

Code: Select all

Ticker	Expense Ratio	AUM ($mm)	# of Holdings	Market Cap ($B)	EBIT/TEV (%)	Book/Price (%)	Momentum (2-12) (%)
AVDV	0.36			2.22	8.44	92.52	21.32
AVUV	0.25			1.97	7.42	83.28	11.06
ISCF	0.40	79.24	672	2.00	8.29	69.12	32.03
SLYV	0.15	2,117.70	431	1.61	5.04	77.16	3.95
SMLF	0.30	227.32	509	3.26	5.60	49.49	24.14
VFMF	0.18	85.88	610	46.55	7.03	43.51	29.97
VFVA	0.13	60.30	753	30.14	7.56	80.57	7.29
What exactly is Momentum (2-12)? ISCF comes up with the highest number on this metric. Looks like the Avantis funds have the highest Book/Price.

HippoSir
Posts: 102
Joined: Tue Jul 03, 2018 2:56 pm

Re: Vanguard New Factor Funds Portfolio Statistics

Post by HippoSir » Tue Feb 04, 2020 3:10 pm

caklim00 wrote:
Tue Feb 04, 2020 12:08 pm
What exactly is Momentum (2-12)? ISCF comes up with the highest number on this metric. Looks like the Avantis funds have the highest Book/Price.
That is 12 months minus 2 month momentum. Note you are comparing ISCF/AVDV (international funds) against US funds, which will more be driven by international valuation differences than factor differences.

caklim00
Posts: 2131
Joined: Mon May 26, 2008 10:09 am

Re: Vanguard New Factor Funds Portfolio Statistics

Post by caklim00 » Tue Feb 04, 2020 3:28 pm

HippoSir wrote:
Tue Feb 04, 2020 3:10 pm
caklim00 wrote:
Tue Feb 04, 2020 12:08 pm
What exactly is Momentum (2-12)? ISCF comes up with the highest number on this metric. Looks like the Avantis funds have the highest Book/Price.
That is 12 months minus 2 month momentum. Note you are comparing ISCF/AVDV (international funds) against US funds, which will more be driven by international valuation differences than factor differences.
Yes, understand that. I'm just looking to get the the most diversified exposure at the lowest cost. It appears there is some additional benefit to AVUV (Avantis SCV) over SLYV (S&P600V) but given the additonal bid/ask spread + .1 additional ER I don't see a need to jump over.

Maybe I'm missing something though between SMLF and VFMF. It doesn't appear that VFMF has much more in momentum than SMLF. That's surprissing to me.

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