Funds Overlap Tool

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hdas
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Funds Overlap Tool

Post by hdas » Fri Jan 11, 2019 11:06 am

I find this resource useful to add to one's toolkit. A few curated examples:

1. I like holding IJR (SP600) instead of the popular IJS (SP600-Value)

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2. I find this an interesting complementing pair US Low Vol (USMV) + US Momentum (MTUM)

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3. This is instructive for a decision I'm trying to make:

a. EM Small Caps: EEMS vs DGS

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b. SPY vs Large Cap Growth

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So, a cursory review of the tools to aid fund selection:

1. Target Exposure
2. Marginal added diversification.
3. Expense Ratio
4. Turnover
5. Tax Efficiency
6. AUM
7. Liquidity
8. Fund Overlap
9. Factor Regression
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

livesoft
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Re: Funds Overlap Tool

Post by livesoft » Fri Jan 11, 2019 11:22 am

hdas wrote:
Fri Jan 11, 2019 11:06 am
a. EM Small Caps: EEMS vs DGS

Image
I'd expect ALL of DGS to be overlapped with EEMS and the graphic shows only 53% overlap. Both have significant amounts of mid-cap stocks according to M*, so it is not just that. Perhaps it is different definitions of which countries are considered emerging markets?
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hdas
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Re: Funds Overlap Tool

Post by hdas » Fri Jan 11, 2019 11:37 am

livesoft wrote:
Fri Jan 11, 2019 11:22 am
hdas wrote:
Fri Jan 11, 2019 11:06 am
a. EM Small Caps: EEMS vs DGS

Image
I'd expect ALL of DGS to be overlapped with EEMS and the graphic shows only 53% overlap. Both have significant amounts of mid-cap stocks according to M*, so it is not just that. Perhaps it is different definitions of which countries are considered emerging markets?
Here's the country exposure breakdown:

DGS

Image

EEMS

Image

No major diff in country, only in diff weights.

Cheers :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

livesoft
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Re: Funds Overlap Tool

Post by livesoft » Fri Jan 11, 2019 11:47 am

Thanks. I think I've see South Korea and Taiwan as no longer considered to be emerging markets, but since both EEMS and DGS have companies from these countries that's makes my earlier guess wrong.
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gtwhitegold
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Re: Funds Overlap Tool

Post by gtwhitegold » Fri Jan 11, 2019 6:27 pm

I think that the 2 biggest differences are as follows:
1. DGS has higher maximum market capitalization than EEMS thereby including larger mid-caps than EEMS.
2. DGS excludes companies that do not have a dividend, but EEMS includes all companies in their market cap range.

HEDGEFUNDIE
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Re: Funds Overlap Tool

Post by HEDGEFUNDIE » Mon Jan 14, 2019 2:22 am

Any overlap tools out there for that work with both mutual funds and etfs?

fennewaldaj
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Re: Funds Overlap Tool

Post by fennewaldaj » Mon Jan 14, 2019 5:08 am

gtwhitegold wrote:
Fri Jan 11, 2019 6:27 pm

1. DGS has higher maximum market capitalization than EEMS thereby including larger mid-caps than EEMS.
I assume this is the main reason. There must be 430ish holding in DGS that are too big to be in EEMS

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F150HD
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Re: Funds Overlap Tool

Post by F150HD » Mon Jan 14, 2019 6:53 am

HEDGEFUNDIE wrote:
Mon Jan 14, 2019 2:22 am
Any overlap tools out there for that work with both mutual funds and etfs?
+1

have been looking for a tool like that.

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hdas
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Re: Funds Overlap Tool

Post by hdas » Mon Jan 14, 2019 9:30 am

F150HD wrote:
Mon Jan 14, 2019 6:53 am
HEDGEFUNDIE wrote:
Mon Jan 14, 2019 2:22 am
Any overlap tools out there for that work with both mutual funds and etfs?
+1

have been looking for a tool like that.
If it doesn't exist. Seems like a good Forum project. Shouldn't be too complicated. :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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F150HD
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Re: Funds Overlap Tool

Post by F150HD » Mon Jan 14, 2019 1:14 pm

hdas wrote:
Mon Jan 14, 2019 9:30 am
F150HD wrote:
Mon Jan 14, 2019 6:53 am
HEDGEFUNDIE wrote:
Mon Jan 14, 2019 2:22 am
Any overlap tools out there for that work with both mutual funds and etfs?
+1

have been looking for a tool like that.
If it doesn't exist. Seems like a good Forum project. Shouldn't be too complicated. :greedy
seems like a no brainer tool to me! Has to be one somewheres.

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