Quantitative Fund Discussion

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gtwhitegold
Posts: 413
Joined: Fri Sep 21, 2012 1:55 pm

Quantitative Fund Discussion

Post by gtwhitegold » Sun Nov 04, 2018 1:56 pm

Hello, I am opening this topic with the intention of having a discussion on various Quantitative or "Smart Beta" funds. The reason for bringing this about is that there have been many products released in the past few years that fall into this category and it may be difficult to compare one from another.

Personally, most of my investments outside of the TSP are in quantitative funds. Those that aren't are in areas that don't have many options (such as Frontier Market Equities.)

Quantitative funds that I currently hold:
US:
DFA U.S. Small Cap DFSTX
International Developed:
AQR International Multi-Style QICNX
Segall Bryant & Hamill International Small Cap SBHSX
Emerging Markets:
AQR Emerging Multi-Style Fund QEELX
First Trust Emerging Markets Small Cap AlphaDEX FEMS
WisdomTree Emerging Markets SmallCap Dividend DGS

I'm personally looking at new options to increase factor loads and reduce costs. When I started, it seemed like there were fewer options than there are now and it may not have been easy to put a portfolio together, but with Vanguard making all unleveraged ETFs commission free and more products available, it seems like a great time to make a more Larry Swedroe like portfolio for less costs.

In general the funds that I have been looking at are:
PIMCO Dynamic Multi-factor Funds
Franklin LibertyQ Funds
iShares Edge Multifactor Funds

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nedsaid
Posts: 11334
Joined: Fri Nov 23, 2012 12:33 pm

Re: Quantitative Fund Discussion

Post by nedsaid » Sun Jan 06, 2019 2:37 pm

I listened to a recent podcast featuring Larry Swedroe. He did say that one of his frustrations and a big frustration of his firm was that the assets in the DFA funds were growing and thus the funds were experiencing higher market caps and less Value loading. Sort of reminds me of the criticism of the Vanguard Small-Cap Value Index fund. So while they still use DFA, they were looking for alternatives like Bridgeway. But good investment results attract more assets so Buckingham went to a company, I think it was Bridgeway, and asked it to form a new fund only for Buckingham. In return, Buckingham promised a billion dollars of investment. So all of this gets to be a moving target. What was a great product yesterday isn't so great today. And that is a big frustration for us ordinary Joes and Janes that try doing this on their own.
A fool and his money are good for business.

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