Small Cap Value heads Rejoice !!!

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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

Forester wrote: Wed Oct 07, 2020 4:20 am
absolute zero wrote: Tue Oct 06, 2020 9:09 pm Question for the group - how do most value investors think about momentum? In particular for those of us invested in IJS/VIOV which do not have one of those fancy momentum screens. Is there a way to get a sense for how much of the small/value premium gets offset by the negative momentum exposure?
After reading this series of articles https://fortunefinancialadvisors.com/b ... m-barbell/ and High Returns From Low Risk by Pim Van Vliet I decided to split my equities evenly threeways between momentum, min vol & value/SCV. In some markets, min vol will be the most defensive strategy (2008) in others SCV will hold up best (70s, Dotcom).

Overall with this split I should be underexposed to expensive downtrending stocks (the worst of all stocks to own), relative to a TSM approach.
Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.

I wouldn't trust anything that blog says. He says data was sourced from morningstar, but to my knowledge no live performance data of momentum funds is available back to 1997. It's all cherry-picked.

DFA seem quite confident that momentum can't be exploited in real life.

You should evaluate the total portfolio performance, which is characterized by the factor exposure. Backtests are not suitable tools to evaluate factor ETF's, no matter if they are black-box multifactor funds or combinations of single-factor funds.
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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

Uncorrelated wrote: Thu Oct 08, 2020 5:03 am
Forester wrote: Wed Oct 07, 2020 4:20 am
absolute zero wrote: Tue Oct 06, 2020 9:09 pm Question for the group - how do most value investors think about momentum? In particular for those of us invested in IJS/VIOV which do not have one of those fancy momentum screens. Is there a way to get a sense for how much of the small/value premium gets offset by the negative momentum exposure?
After reading this series of articles https://fortunefinancialadvisors.com/b ... m-barbell/ and High Returns From Low Risk by Pim Van Vliet I decided to split my equities evenly threeways between momentum, min vol & value/SCV. In some markets, min vol will be the most defensive strategy (2008) in others SCV will hold up best (70s, Dotcom).

Overall with this split I should be underexposed to expensive downtrending stocks (the worst of all stocks to own), relative to a TSM approach.
Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.

I wouldn't trust anything that blog says. He says data was sourced from morningstar, but to my knowledge no live performance data of momentum funds is available back to 1997. It's all cherry-picked.

DFA seem quite confident that momentum can't be exploited in real life.

You should evaluate the total portfolio performance, which is characterized by the factor exposure. Backtests are not suitable tools to evaluate factor ETF's, no matter if they are black-box multifactor funds or combinations of single-factor funds.
Arguments against a blended approach from the Alpha Architect blog; https://alphaarchitect.com/2015/03/26/t ... trategies/

* Easier ex-post assessment
E.g., if we mix and match value/momentum it is more difficult to identify the drivers of performance after the fact.

* Stronger portfolio diversification benefits.
Pure value and pure momentum strategies have lower correlations than “blended” versions.

* Stronger expected performance.
Running pure value and pure momentum in highly active forms generates higher expected performance than blended systems.

Re; DFA vs momentum. QMOM attempts to manage costs by rebalancing quarterly, vs monthly (academic Jegadeesh and Titman etc etc method). Alternately MTUM picks momentum stocks relative to their volatility.
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Re: Small Cap Value heads Rejoice !!!

Post by occambogle »

Uncorrelated wrote: Thu Oct 08, 2020 5:03 am Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.
Does a multi-factor fund like ISCF weigh all the factors together and then choose their holdings based on how they score with that total combination of factors together? Or do they choose which factors they consider the most important for now, and vary holdings based on that?

To be very simplistic, e.g. if company A scores value 0 momentum 10, company B scores 6/6, company C 10/0 - do they choose company B because it scores highest on the total of all the factors? Or do they decide that for now momentum is their top criteria and choose company C?
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

Forester wrote: Thu Oct 08, 2020 6:04 am
Uncorrelated wrote: Thu Oct 08, 2020 5:03 am
Forester wrote: Wed Oct 07, 2020 4:20 am
absolute zero wrote: Tue Oct 06, 2020 9:09 pm Question for the group - how do most value investors think about momentum? In particular for those of us invested in IJS/VIOV which do not have one of those fancy momentum screens. Is there a way to get a sense for how much of the small/value premium gets offset by the negative momentum exposure?
After reading this series of articles https://fortunefinancialadvisors.com/b ... m-barbell/ and High Returns From Low Risk by Pim Van Vliet I decided to split my equities evenly threeways between momentum, min vol & value/SCV. In some markets, min vol will be the most defensive strategy (2008) in others SCV will hold up best (70s, Dotcom).

Overall with this split I should be underexposed to expensive downtrending stocks (the worst of all stocks to own), relative to a TSM approach.
Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.

I wouldn't trust anything that blog says. He says data was sourced from morningstar, but to my knowledge no live performance data of momentum funds is available back to 1997. It's all cherry-picked.

DFA seem quite confident that momentum can't be exploited in real life.

You should evaluate the total portfolio performance, which is characterized by the factor exposure. Backtests are not suitable tools to evaluate factor ETF's, no matter if they are black-box multifactor funds or combinations of single-factor funds.
Arguments against a blended approach from the Alpha Architect blog; https://alphaarchitect.com/2015/03/26/t ... trategies/

* Easier ex-post assessment
E.g., if we mix and match value/momentum it is more difficult to identify the drivers of performance after the fact.

* Stronger portfolio diversification benefits.
Pure value and pure momentum strategies have lower correlations than “blended” versions.

* Stronger expected performance.
Running pure value and pure momentum in highly active forms generates higher expected performance than blended systems.

Re; DFA vs momentum. QMOM attempts to manage costs by rebalancing quarterly, vs monthly (academic Jegadeesh and Titman etc etc method). Alternately MTUM picks momentum stocks relative to their volatility.
The first two arguments are really nonsense. You can't do ex-post assessment of your portfolio choice because you simply don't live long enough to draw statistically significant conclusions. If you're lucky, you can do it exactly once in your life. Fund correlations have absolutely nothing to do with the probability distribution of expected portfolio returns, which is the part investors should care about. MSCI research disagrees regarding stronger expected performance: https://www.msci.com/documents/10199/ff ... b0113a767d
The bottom-up index approach, on the other hand, targets specific factor exposures in its construction. The optimization employed is designed to maximize the intended factor exposures while constraining unintended factor tilts. The clear advantages of this bottom-up multi-factor index are its “efficiency” (the risk-return tradeoff) and “controllability.” Moreover, the use of optimization in maximizing target factor exposures has meant the bottom-up multi-factor index has produced more persistent and controllable factor exposures, and historically stronger performance
I really don't see how the statements from AA make any sense. They appear to contradict their own statements in part 2 of their blog.
occambogle wrote: Thu Oct 08, 2020 6:28 am
Uncorrelated wrote: Thu Oct 08, 2020 5:03 am Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.
Does a multi-factor fund like ISCF weigh all the factors together and then choose their holdings based on how they score with that total combination of factors together? Or do they choose which factors they consider the most important for now, and vary holdings based on that?

To be very simplistic, e.g. if company A scores value 0 momentum 10, company B scores 6/6, company C 10/0 - do they choose company B because it scores highest on the total of all the factors? Or do they decide that for now momentum is their top criteria and choose company C?
I don't know about ISCF. But vanguard (VFMF) assigns scores based on stock value/quality/momentum characteristics. Then they choose the top N stocks based on a blended measurement.

In general factor products try to deliver stable factor performance. Timing factors is something that generally doesn't happen.
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Re: Small Cap Value heads Rejoice !!!

Post by Steve Reading »

occambogle wrote: Thu Oct 08, 2020 6:28 am
Uncorrelated wrote: Thu Oct 08, 2020 5:03 am Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.
Does a multi-factor fund like ISCF weigh all the factors together and then choose their holdings based on how they score with that total combination of factors together? Or do they choose which factors they consider the most important for now, and vary holdings based on that?

To be very simplistic, e.g. if company A scores value 0 momentum 10, company B scores 6/6, company C 10/0 - do they choose company B because it scores highest on the total of all the factors? Or do they decide that for now momentum is their top criteria and choose company C?
Ok so ISCF's methodology can be quite complex and I encourage you to read it closely if you're interested. But the short version is that they start with the universe of stocks, and assign alpha scores to every stock. The alpha score is an equally-weighted score of their factor scores. So company A would have alpha score 5, B has alpha score 6 and C alpha score 5 as well (if ISCF only targeted 2 factors of course). They don't decide any one factor is more relevant.

They then perform an optimization problem where they pick and weigh stocks to get the highest possible overall alpha score, while still having a portfolio that has the same volatility as the index fund of the universe. So it is a constrained optimization solver. Other constraints (such as market caps) are also imposed.

I personally think it's a decent way to go about it. The point is that ISCF should have a similar volatility and "risk" to a cousin like SCZ, but simply tilted towards your desired factor.
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Re: Small Cap Value heads Rejoice !!!

Post by Hallman »

Some of you seem to like VFMF. I've seen it briefly discussed, but is no one concerned about the high turnover? Checking the semiannual report, it looks like it will have about 100% turnover again this year.
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Re: Small Cap Value heads Rejoice !!!

Post by foosball »

Hallman wrote: Fri Oct 09, 2020 10:47 am Some of you seem to like VFMF. I've seen it briefly discussed, but is no one concerned about the high turnover? Checking the semiannual report, it looks like it will have about 100% turnover again this year.
The current semi-annual report from May 31, 2020 shows that turnover dropped from 98% in the previous period to 52%. Compare to VTI (US Total Stock index) at 4%. Of concern to me is that VFMF net assets dropped from $90M to $57M.

https://advisors.vanguard.com/investmen ... ndinsights
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

Did a lump sum today, rejigged things a bit and I'm now 4% Energy

Image

I'm not so enthused about the prevalence of Financials in the value funds; Oil & Gas is dirt cheap (imho) and this helps to balance my value stocks.
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Re: Small Cap Value heads Rejoice !!!

Post by Hallman »

foosball wrote: Sun Oct 11, 2020 9:50 pm
Hallman wrote: Fri Oct 09, 2020 10:47 am Some of you seem to like VFMF. I've seen it briefly discussed, but is no one concerned about the high turnover? Checking the semiannual report, it looks like it will have about 100% turnover again this year.
The current semi-annual report from May 31, 2020 shows that turnover dropped from 98% in the previous period to 52%. Compare to VTI (US Total Stock index) at 4%. Of concern to me is that VFMF net assets dropped from $90M to $57M.

https://advisors.vanguard.com/investmen ... ndinsights
52% is latest semi-annual figure, 98% latest annual figure. I.e. unless the turnover drops for the last 6 months of the accounting year, I wouldn't expect a drop in turnover. The risk of Vanguard closing/changing funds due to low AUM doesn't worry me like it would at a different company.

I am admittedly not well versed on the topic, but the turnover for Vanguard's factor funds puzzles me. Even the liquidity factor fund has an annual turnover of about 50%. How does harvesting the liquidity premium and high turnover go together :confused
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Looking for advice on possibly simplifying my portfolio - hopefully this isn't deviating too much from the theme of this thread (I figured this is a good place to ask, since I have big small and value tilts).

Right now, my US positions are as follows:
RSP (equal weight s&p 500) for large/mid cap blend
S&P 400 value (IVOV) as my small value fund
S&P 600 as a small blend

Additionally, I have a position in VSEQX, which is a quant fund for mid and small caps:
https://investor.vanguard.com/mutual-fu ... file/VSEQX

I also have a similar fund for small caps, VSTCX
https://investor.vanguard.com/mutual-fu ... file/VSTCX

These are all in my taxable account. Basically, I'm thinking of getting rid of the actively managed quant funds, but I would consider holding off on that if they add anything worthwhile that my other funds don't, since fees seem relatively low for active management. So essentially, my question is specifically regarding those actively managed funds...is it advisable to trim them due to their being redundant (or potentially inferior to those other etfs), or is there a case to be made for holding on to them?

Thanks in advance.
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Re: Small Cap Value heads Rejoice !!!

Post by sycamore »

dml130 wrote: Tue Oct 13, 2020 12:11 pm Looking for advice on possibly simplifying my portfolio - hopefully this isn't deviating too much from the theme of this thread (I figured this is a good place to ask, since I have big small and value tilts).

Right now, my US positions are as follows:
RSP (equal weight s&p 500) for large/mid cap blend
S&P 400 value (IVOV) as my small value fund
S&P 600 as a small blend

Additionally, I have a position in VSEQX, which is a quant fund for mid and small caps:
https://investor.vanguard.com/mutual-fu ... file/VSEQX

I also have a similar fund for small caps, VSTCX
https://investor.vanguard.com/mutual-fu ... file/VSTCX

These are all in my taxable account. Basically, I'm thinking of getting rid of the actively managed quant funds, but I would consider holding off on that if they add anything worthwhile that my other funds don't, since fees seem relatively low for active management. So essentially, my question is specifically regarding those actively managed funds...is it advisable to trim them due to their being redundant (or potentially inferior to those other etfs), or is there a case to be made for holding on to them?

Thanks in advance.
dml130,

I don't think there's a compelling reason to keep the Vanguard "strategic" funds. I used to own VSEQX and eventually swapped it for a mid-cap fund.
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

I was thinking along those lines as well but wanted to make sure I wasn't missing anything. Thanks for the advice, much appreciated.
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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

dml130 wrote: Tue Oct 13, 2020 12:11 pm Looking for advice on possibly simplifying my portfolio - hopefully this isn't deviating too much from the theme of this thread (I figured this is a good place to ask, since I have big small and value tilts).

Right now, my US positions are as follows:
RSP (equal weight s&p 500) for large/mid cap blend
S&P 400 value (IVOV) as my small value fund
S&P 600 as a small blend

Additionally, I have a position in VSEQX, which is a quant fund for mid and small caps:
https://investor.vanguard.com/mutual-fu ... file/VSEQX

I also have a similar fund for small caps, VSTCX
https://investor.vanguard.com/mutual-fu ... file/VSTCX

These are all in my taxable account. Basically, I'm thinking of getting rid of the actively managed quant funds, but I would consider holding off on that if they add anything worthwhile that my other funds don't, since fees seem relatively low for active management. So essentially, my question is specifically regarding those actively managed funds...is it advisable to trim them due to their being redundant (or potentially inferior to those other etfs), or is there a case to be made for holding on to them?

Thanks in advance.
Get rid of the small cap fund. The evidence for small (SmB) as a stand-alone factor is weak. It only works in combination with other factors.

IVOV is a mid-cap value fund.

The vanguard strategic funds do not appear to provide very stable factor loadings. If you're looking for active management, they're probably fine. If you are looking for exposure to academic risk factors, I would look elsewhere.

Personally I only have total stock market + VFMF (vanguard us multi-factor ETF) for my US exposure. This is a relatively new fund which targets 1/3 large, 1/3 mid and 1/3 small. Another good option is to use total stock market + small cap value + value if you prefer more established funds.

Don't skimp on international diversification.
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Thank you, I may reconsider some of those holdings. I agree with what you say about international, I only listed my US holdings but I also have a significant international tilt (VEA and VSS).
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Uncorrelated wrote: Tue Oct 13, 2020 3:18 pm
Get rid of the small cap fund. The evidence for small (SmB) as a stand-alone factor is weak. It only works in combination with other factors.
Just following up on this comment..to me, S&P 600 looks like it has a decent value factor, no?
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

dml130 wrote: Tue Oct 13, 2020 4:34 pm
Uncorrelated wrote: Tue Oct 13, 2020 3:18 pm
Get rid of the small cap fund. The evidence for small (SmB) as a stand-alone factor is weak. It only works in combination with other factors.
Just following up on this comment..to me, S&P 600 looks like it has a decent value factor, no?
The plain S&P600 index should be avoided.

The S&P600 value index (vanguard: VIOV, ishares: IJS) is a fine small cap value fund.
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Uncorrelated wrote: Wed Oct 14, 2020 11:29 am The plain S&P600 index should be avoided.

The S&P600 value index (vanguard: VIOV, ishares: IJS) is a fine small cap value fund.
Just curious, why do you have such opposite views of the two (s&p 600 vs s&p 600 value)? I'm looking and comparing the funds, and over 75% of the entire s&p 600 index is s&p600 value, and therefore the broader index seems to generally track with those value funds, so they seem more similar than not. Biggest differences I see are relatively small - lower fees for the broader s&p 600 index vs value, slight outperformance for the entire index vs value over recent years, slightly more diversification over sectors (and obviously more companies) than the value version, all of which, I think, could be arguments in favor of the broader index. The s&p 600 index also seems to have more value than other funds like VFMF mentioned on this thread.

Just to be clear, I don't have any strong opinions one way or the other, more just trying to get an understanding as to what makes the two so different in your view that one must be unconditionally avoided while the other is an excellent fund.
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Re: Small Cap Value heads Rejoice !!!

Post by Day9 »

dml130 wrote: Wed Oct 14, 2020 1:40 pm
Uncorrelated wrote: Wed Oct 14, 2020 11:29 am The plain S&P600 index should be avoided.

The S&P600 value index (vanguard: VIOV, ishares: IJS) is a fine small cap value fund.
Just curious, why do you have such opposite views of the two (s&p 600 vs s&p 600 value)? I'm looking and comparing the funds, and over 75% of the entire s&p 600 index is s&p600 value, and therefore the broader index seems to generally track with those value funds, so they seem more similar than not. Biggest differences I see are small - lower fees for the broader s&p 600 index vs value, slight outperformance for the entire index vs value over recent years, slightly more diversification over sectors (and obviously more companies) than the value version, all of which, I think, could be arguments in favor of the broader index. The s&p 600 index also seems to have more value than other funds like VFMF mentioned on this thread.

Just to be clear, I don't have any strong opinions one way or the other, more just trying to get an understanding as to what makes the two so different in your view that one must be unconditionally avoided while the other is an excellent fund.
Uncorrelated earlier in this thread mentioned some researched he read and concluded there is no reason to invest in small blend.

It reminded me of the Cliff Asness paper that had a very crass title "Size Matters, If You Control Your Junk". I think that kind of title is a symptom of the disease that makes it harder for women to succeed in that profession. But to his credit I will never forget it and it is easy to figure out the point of the paper. The size factor matters, if you filter out low quality (junk) companies. He should say "control for junk", but the temptation to make such a pun was too great, I suppose.

Small cap blend index funds don't control for junk.

I was about to ask this thread their thoughts on IJS vs AVUV because I see in recent portfoliovisualizer factor regressions, AVUV loads higher on size and quality, which made me think of that paper.
I'm just a fan of the person I got my user name from
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Day9 wrote: Wed Oct 14, 2020 2:05 pm
Small cap blend index funds don't control for junk.
But then, how are we defining "junk"? And by what mechanism if any does value (VIOV, for example) control for "junk" that is lacking in a fund like VIOO?
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

dml130 wrote: Wed Oct 14, 2020 1:40 pm
Uncorrelated wrote: Wed Oct 14, 2020 11:29 am The plain S&P600 index should be avoided.

The S&P600 value index (vanguard: VIOV, ishares: IJS) is a fine small cap value fund.
Just curious, why do you have such opposite views of the two (s&p 600 vs s&p 600 value)? I'm looking and comparing the funds, and over 75% of the entire s&p 600 index is s&p600 value, and therefore the broader index seems to generally track with those value funds, so they seem more similar than not. Biggest differences I see are small - lower fees for the broader s&p 600 index vs value, slight outperformance for the entire index vs value over recent years, slightly more diversification over sectors (and obviously more companies) than the value version, all of which, I think, could be arguments in favor of the broader index. The s&p 600 index also seems to have more value than other funds like VFMF mentioned on this thread.

Just to be clear, I don't have any strong opinions one way or the other, more just trying to get an understanding as to what makes the two so different in your view that one must be unconditionally avoided while the other is an excellent fund.
In general, the purpose of tilting is to obtain exposure to Fama & French risk factors, such as SmB (small minus big), and HmL (high minus low value).

You might think that if you select small cap stocks, you will obtain positive exposure to SmB and that is good. But there is a problem: in a 3 factor world, SmB actually doesn't actually work. The "excess" return of SmB is fully explained by small cap's higher exposure to market beta (general market risk).

There are two ways to get around this problem: the first way is to ignore the SmB factor altogether and target the value factor. This can be done by purchasing a value fund and a small cap value fund. Although the SmB factor doesn't work, small caps usually have higher exposure to the value factor, therefore purchasing small cap value to obtain a higher value exposure is a perfectly fine approach. When I recommended combining a value fund with a small cap value fund, I used this rationale.

The second approach is to move over to a 5 factor world. It turns out that after controlling for investment and profitability (or quality), SmB is statistically significant again. But then you would need a small cap fund that controls for those factors, I call that a multifactor fund, not a small cap fund. When I recommended VFMF, I used this rationale.

For more information you can view this video: https://www.youtube.com/watch?v=uErHwq4M6pg, or read one of these academic papers: Size Matters, If You Control Your Junk, Fact, Fiction, and the Size Effect (the video refers to these papers).


Note that the S&P600 index is formally a multifactor index as a side effect of their index requirements. If you look at a normal small cap fund, i.e. Vanguard Small Cap Index, you'll see a pretty sizeable negative alpha of -1.5%: portfolio visualizer link, this is something you would definitely like to avoid.
dml130
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

I see. So your position is that the s&p 600 does not have sufficient value in and of itself without the extra value filter of the s&p600 value?

Also, my impression was that the S&P index itself controls for quality. Maybe I am wrong on that.

(Thanks for your patience in explaining this by the way)
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

Uncorrelated wrote: Wed Oct 14, 2020 2:26 pm
dml130 wrote: Wed Oct 14, 2020 1:40 pm
Uncorrelated wrote: Wed Oct 14, 2020 11:29 am The plain S&P600 index should be avoided.

The S&P600 value index (vanguard: VIOV, ishares: IJS) is a fine small cap value fund.
Just curious, why do you have such opposite views of the two (s&p 600 vs s&p 600 value)? I'm looking and comparing the funds, and over 75% of the entire s&p 600 index is s&p600 value, and therefore the broader index seems to generally track with those value funds, so they seem more similar than not. Biggest differences I see are small - lower fees for the broader s&p 600 index vs value, slight outperformance for the entire index vs value over recent years, slightly more diversification over sectors (and obviously more companies) than the value version, all of which, I think, could be arguments in favor of the broader index. The s&p 600 index also seems to have more value than other funds like VFMF mentioned on this thread.

Just to be clear, I don't have any strong opinions one way or the other, more just trying to get an understanding as to what makes the two so different in your view that one must be unconditionally avoided while the other is an excellent fund.
In general, the purpose of tilting is to obtain exposure to Fama & French risk factors, such as SmB (small minus big), and HmL (high minus low value).

[trimmed]
HmL exposure is determined by splitting the market 50/50 large/small and then performing the value spread. S&P600 index has had a significant exposure to HmL, so I don't see why it should be avoided (sure you can argue, as I would, that the value variant is a better way to go).

https://www.portfoliovisualizer.com/fac ... sion=false

VFMF hasn't been around long enough to get a very meaningful regression but FWIW it has about mirrored the HML exposure of S&P600 value, with both beating the S&P600 blend's still healthy exposure. Pretty good deal to mirror S&P600 value when it also holds less small-cap exposure, and gains you some healthy momentum.

https://www.portfoliovisualizer.com/fac ... sion=false
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

dml130 wrote: Wed Oct 14, 2020 2:30 pm I see. So your position is that the s&p 600 does not have sufficient value in and of itself without the extra value filter of the s&p600 value?

Also, my impression was that the S&P index itself controls for quality. Maybe I am wrong on that.

(Thanks for your patience in explaining this by the way)
See above. It does have exposure, a pretty healthy amount for a blend fund really, but not as much as value of course. It also gets some quality screen because S&P600 requires positive earnings for a year to get included, but it isn't a very good quality screen because once in, you are in. Macy's for example fell into the S&P600 (I wouldn't call it quality) as its market cap dropped.

I don't know what weight you hold RSP, IVOV, IJR in but if you assume equal-weight then you can simplify that into 40% S&P500 and 60% S&P600 Value which very closely mirrors the 5-factor exposure while also reducing expenses and trading costs significantly, which resulted in a 46bp increase to realized return since 2010:

https://www.portfoliovisualizer.com/mat ... on3_1=33.4
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Post by Uncorrelated »

dml130 wrote: Wed Oct 14, 2020 2:30 pm I see. So your position is that the s&p 600 does not have sufficient value in and of itself without the extra value filter of the s&p600 value?

Also, my impression was that the S&P index itself controls for quality. Maybe I am wrong on that.

(Thanks for your patience in explaining this by the way)
My position is that if you believe in Fama / French 3 model, then SmB doesn't work and over-weighting small non-value is actively harmful. If you believe in Fama / French 5 model, then SmB does work but there is no compelling reason to use S&P600 over S&P600 value or "true" multifactor ETF's such as VFMF.

Technically S&P600 also targets profitability (= quality) as a side effect of their listing requirements, but I don't believe that is significant enough to change the answer. It's better to have one fund that targets all factors at once.
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Post by dml130 »

I see. Thanks for the explanation.
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Post by dml130 »

MotoTrojan wrote: Wed Oct 14, 2020 2:38 pm
See above. It does have exposure, a pretty healthy amount for a blend fund really, but not as much as value of course. It also gets some quality screen because S&P600 requires positive earnings for a year to get included, but it isn't a very good quality screen because once in, you are in. Macy's for example fell into the S&P600 (I wouldn't call it quality) as its market cap dropped.

I don't know what weight you hold RSP, IVOV, IJR in but if you assume equal-weight then you can simplify that into 40% S&P500 and 60% S&P600 Value which very closely mirrors the 5-factor exposure while also reducing expenses and trading costs significantly, which resulted in a 46bp increase to realized return since 2010:

https://www.portfoliovisualizer.com/mat ... on3_1=33.4
Interesting, I will look into that suggestion. Thanks!
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Post by dcabler »

dml130 wrote: Wed Oct 14, 2020 5:23 pm
MotoTrojan wrote: Wed Oct 14, 2020 2:38 pm
See above. It does have exposure, a pretty healthy amount for a blend fund really, but not as much as value of course. It also gets some quality screen because S&P600 requires positive earnings for a year to get included, but it isn't a very good quality screen because once in, you are in. Macy's for example fell into the S&P600 (I wouldn't call it quality) as its market cap dropped.

I don't know what weight you hold RSP, IVOV, IJR in but if you assume equal-weight then you can simplify that into 40% S&P500 and 60% S&P600 Value which very closely mirrors the 5-factor exposure while also reducing expenses and trading costs significantly, which resulted in a 46bp increase to realized return since 2010:

https://www.portfoliovisualizer.com/mat ... on3_1=33.4
Interesting, I will look into that suggestion. Thanks!
It's similar for S&P's midcap blend in that it has had both size and value loading over time. The S&P indexes are not created the same way other indexes are.
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Post by dml130 »

^
Interesting. You are referring to the s&p 400 blend (IVOO being one of those etfs)? How would that potentially fit in with a portfolio with a value tilt? I do have IVOV as a main holding in my portfolio, so I'm thinking there may not be much point in taking a position in the blend fund for me.
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Post by Pawpatrol »

Uncorrelated wrote: Wed Oct 14, 2020 2:54 pm
dml130 wrote: Wed Oct 14, 2020 2:30 pm I see. So your position is that the s&p 600 does not have sufficient value in and of itself without the extra value filter of the s&p600 value?

Also, my impression was that the S&P index itself controls for quality. Maybe I am wrong on that.

(Thanks for your patience in explaining this by the way)
My position is that if you believe in Fama / French 3 model, then SmB doesn't work and over-weighting small non-value is actively harmful. If you believe in Fama / French 5 model, then SmB does work but there is no compelling reason to use S&P600 over S&P600 value or "true" multifactor ETF's such as VFMF.

Technically S&P600 also targets profitability (= quality) as a side effect of their listing requirements, but I don't believe that is significant enough to change the answer. It's better to have one fund that targets all factors at once.
All things being equal I agree and if I had enough tax advantaged space or was in a lower tax bracket i wouldn’t have a small blend. With tax drag implications i do 2/3 viov 1/3 vanguard tax managed small cap (tracks sp600). Viov would cost 30bp (was 40bp when er of viov was 25bp) more tax drag than viov so decided 2/3 value 1/3 blend was good enough and more tax efficient.
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Re: Small Cap Value heads Rejoice !!!

Post by cos »

Uncorrelated wrote: Tue Oct 13, 2020 3:18 pm Don't skimp on international diversification.
Alright, a few questions given your comments here and in other threads:

In your opinion, what funds or combinations of funds offer the best means of international diversification without sacrificing factor exposure?

Should I forget factors entirely and load up on emerging market funds like VWO and IEMG to avoid paying too much in expense ratios?

Could you share your precise personal portfolio, exact funds and allocations, for reference?

Thanks in advance for whatever advice you have!
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Re: Small Cap Value heads Rejoice !!!

Post by dcabler »

dml130 wrote: Wed Oct 14, 2020 6:37 pm ^
Interesting. You are referring to the s&p 400 blend (IVOO being one of those etfs)? How would that potentially fit in with a portfolio with a value tilt? I do have IVOV as a main holding in my portfolio, so I'm thinking there may not be much point in taking a position in the blend fund for me.
Yes, something like IVOO or IJH. It would fit for anybody wanting a much milder size and value tilt than an SCV fund would have. And their e/r's tend to be cheaper. For example, ishares IJJ (MCV) has an e/r of 0.25% whereas IJH (MCB) has an e/r of 0.05%. The spread is tighter for the Vanguard versions, but MCB still is cheaper. The thing to remember is that with most funds that target size and/or value, their factor loadings are not constant. You can run portfoliovisualizer and check it out with their rolling regression capability. I usually do 4 factors + Quality since S&P does have a specific quality gate for inclusion in their indices.

IJH is a major holding of mine & provides what I want - like MCV and SCV, it also has had the bursty outperformance compared to TSM (just not as much), has shown it can underperform TSM for long periods (just not always as long as MCV/SCV has), and has lower overall volatility than either MCV/SCV. Historically, it has recovered from downturns a bit faster than either MCV/SCV. Born to be mild.
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Post by Uncorrelated »

cos wrote: Thu Oct 15, 2020 1:09 am
Uncorrelated wrote: Tue Oct 13, 2020 3:18 pm Don't skimp on international diversification.
Alright, a few questions given your comments here and in other threads:

In your opinion, what funds or combinations of funds offer the best means of international diversification without sacrificing factor exposure?

Should I forget factors entirely and load up on emerging market funds like VWO and IEMG to avoid paying too much in expense ratios?

Could you share your precise personal portfolio, exact funds and allocations, for reference?

Thanks in advance for whatever advice you have!
The last time I checked my portfolio weights was before corona so I might be slightly off on the ratio's, but this is my portfolio:
I hold countries in market cap weight. The US portion is around 1/3 VFMF and 2/3 total stock market, I may increase the VFMF allocation to 50% in the future. For the international portion I hold VXUS.
Everything that isn't allocated to equites is allocated to global aggregate bonds.

I'm still pondering over the right international funds to use, there just are no perfect options. Avantis' funds look good in theory, but I would like to run some good factor regressions before purchasing. I suppose FNDC is an acceptable choice, as is EFV (iShares MSCI EAFE Value ETF), but none of them are really ideal (high expense ratio, unclear methodology, high negative alpha). If I'm being honest, I'm just waiting for vanguard to launch a decent international factor fund. They have one in australia, they have one in ireland, why not in the US?

Basically, I'm not sure what funds you should use, but stay close to market cap weighted for your country weights.
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Re: Small Cap Value heads Rejoice !!!

Post by acegolfer »

Uncorrelated wrote: Wed Oct 14, 2020 2:26 pm
You might think that if you select small cap stocks, you will obtain positive exposure to SmB and that is good. But there is a problem: in a 3 factor world, SmB actually doesn't actually work. The "excess" return of SmB is fully explained by small cap's higher exposure to market beta (general market risk).
2 q's.

1. Any academic literature behind your last statement?
2. If what you said is true, why is SMB still a factor?
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Post by MotoTrojan »

acegolfer wrote: Thu Oct 15, 2020 7:42 am
Uncorrelated wrote: Wed Oct 14, 2020 2:26 pm
You might think that if you select small cap stocks, you will obtain positive exposure to SmB and that is good. But there is a problem: in a 3 factor world, SmB actually doesn't actually work. The "excess" return of SmB is fully explained by small cap's higher exposure to market beta (general market risk).
2 q's.

1. Any academic literature behind your last statement?
2. If what you said is true, why is SMB still a factor?
https://www.aqr.com/Insights/Perspectiv ... ly-Edition

Great read. Basically because of the reduced liquidity of small-caps their beta was not accurately represented in regressions, which resulted in an unexplained premium (SmB) when in reality they were just loading up on increased beta.

A very important distinction that I think needs to be made is that this does not mean a small-cap fund is not expected to outperform a large-cap or total-market fund; It absolutely is expected to outperform, but Cliff's point is that the outperformance is coming from increased beta rather than a unique risk-factor, and you can increase beta by simply leveraging a total-market fund as well.
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Post by Day9 »

acegolfer wrote: Thu Oct 15, 2020 7:42 am
Uncorrelated wrote: Wed Oct 14, 2020 2:26 pm
You might think that if you select small cap stocks, you will obtain positive exposure to SmB and that is good. But there is a problem: in a 3 factor world, SmB actually doesn't actually work. The "excess" return of SmB is fully explained by small cap's higher exposure to market beta (general market risk).
2 q's.

1. Any academic literature behind your last statement?
2. If what you said is true, why is SMB still a factor?
Uncorrelated posted academic literature 13 posts above yours, on this same page of this thread.
I'm just a fan of the person I got my user name from
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

dcabler wrote: Thu Oct 15, 2020 5:45 am
Yes, something like IVOO or IJH. It would fit for anybody wanting a much milder size and value tilt than an SCV fund would have. And their e/r's tend to be cheaper. For example, ishares IJJ (MCV) has an e/r of 0.25% whereas IJH (MCB) has an e/r of 0.05%. The spread is tighter for the Vanguard versions, but MCB still is cheaper. The thing to remember is that with most funds that target size and/or value, their factor loadings are not constant. You can run portfoliovisualizer and check it out with their rolling regression capability. I usually do 4 factors + Quality since S&P does have a specific quality gate for inclusion in their indices.

IJH is a major holding of mine & provides what I want - like MCV and SCV, it also has had the bursty outperformance compared to TSM (just not as much), has shown it can underperform TSM for long periods (just not always as long as MCV/SCV has), and has lower overall volatility than either MCV/SCV. Historically, it has recovered from downturns a bit faster than either MCV/SCV. Born to be mild.
That makes sense, thanks!
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Post by rkhusky »

Of course, factor analysis pertains to the past. In another 5 years, SMB could stage a comeback and regain factor status.
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Post by dml130 »

MotoTrojan wrote: Thu Oct 15, 2020 7:53 am https://www.aqr.com/Insights/Perspectiv ... ly-Edition

Great read. Basically because of the reduced liquidity of small-caps their beta was not accurately represented in regressions, which resulted in an unexplained premium (SmB) when in reality they were just loading up on increased beta.

A very important distinction that I think needs to be made is that this does not mean a small-cap fund is not expected to outperform a large-cap or total-market fund; It absolutely is expected to outperform, but Cliff's point is that the outperformance is coming from increased beta rather than a unique risk-factor, and you can increase beta by simply leveraging a total-market fund as well.
Interesting. So I'd infer that this implies a similar but lesser effect with mid caps? In other words, any enhanced performance of the mid cap blend fund (compared to TSM) is attributable to increased beta rather than SmB?
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

Uncorrelated wrote: Thu Oct 15, 2020 7:21 am ...
The US portion is around 1/3 VFMF and 2/3 total stock market, I may increase the VFMF allocation to 50% in the future. For the international portion I hold VXUS.
...
At which brokerage do you hold VFMF? Currently in my Fidelity accounts, I am somewhat annoyed that I can't place market orders, as they flag VFMF as an "illiquid security". I either have to place a limit order or contact a fidelity representative.


Back on the topic, SCV seems to be ~1.6% ahead of the total US market today, so I'm rejoicing again
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Re: Small Cap Value heads Rejoice !!!

Post by kolder »

Wanted to share this article with you all, which shows some evidence of a value premium being present pre-1926 (emphasis on "evidence", as the data is much less robust pre-1926).

https://www.twocenturies.com/blog/2020/ ... er-history

Interestingly, it seems there might have been a similar value crash similar to the current one back in 1904, with many other value crashes occurring pre-1926:

Image

Also, just by eyeballing this chart, it looks like there have been some extremely long stretches of no value premium, like ~1840-1882, ~1886-1916:

Image
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

dml130 wrote: Thu Oct 15, 2020 10:02 am
MotoTrojan wrote: Thu Oct 15, 2020 7:53 am https://www.aqr.com/Insights/Perspectiv ... ly-Edition

Great read. Basically because of the reduced liquidity of small-caps their beta was not accurately represented in regressions, which resulted in an unexplained premium (SmB) when in reality they were just loading up on increased beta.

A very important distinction that I think needs to be made is that this does not mean a small-cap fund is not expected to outperform a large-cap or total-market fund; It absolutely is expected to outperform, but Cliff's point is that the outperformance is coming from increased beta rather than a unique risk-factor, and you can increase beta by simply leveraging a total-market fund as well.
Interesting. So I'd infer that this implies a similar but lesser effect with mid caps? In other words, any enhanced performance of the mid cap blend fund (compared to TSM) is attributable to increased beta rather than SmB?
Small vs. mid vs. large is arbitrary. All that matters is SmB exposure (large will have slightly negative, total market will be 0, mid will have some and small will have even more). So yes, if you believe this then mid-caps would be expected to have an increased expected return because they get more beta exposure (just like when you leverage total market) and not a unique SmB premium, plus any HmL exposure which small/mid-cap blend funds generally get too.

As others have said, what really matters is factor loading, expenses, and negative alpha. So once you determine what factor loadings you want, you can see what funds best capture it efficiently.
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Post by Steve Reading »

MotoTrojan wrote: Thu Oct 15, 2020 1:20 pm .
Ah s@'it mate nice to see you around again :sharebeer
"... so high a present discounted value of wealth, it is only prudent for him to put more into common stocks compared to his present tangible wealth, borrowing if necessary" - Paul Samuelson
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Post by MotoTrojan »

Steve Reading wrote: Thu Oct 15, 2020 1:39 pm
MotoTrojan wrote: Thu Oct 15, 2020 1:20 pm .
Ah s@'it mate nice to see you around again :sharebeer
Thought I would pop in to say hi :sharebeer. I miss you all, and US SCV is certainly keeping me in the green today 8-).
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Post by MotoTrojan »

rkhusky wrote: Thu Oct 15, 2020 9:58 am Of course, factor analysis pertains to the past. In another 5 years, SMB could stage a comeback and regain factor status.
Cliff's analysis uses all of the available history, no? IF you buy that the past data proves his point that SmB was really just driven by underestimated beta in small-cap stocks, then SmB staging a comeback is no more likely than some new factor gaining explanatory power in the future, no? Whether value has a premium or not, it's explanatory power is unquestionable. Cliff is saying SmB isn't really explaining anything once you adjust for beta more accurately.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

MotoTrojan wrote: Thu Oct 15, 2020 2:10 pm
rkhusky wrote: Thu Oct 15, 2020 9:58 am Of course, factor analysis pertains to the past. In another 5 years, SMB could stage a comeback and regain factor status.
Cliff's analysis uses all of the available history, no? IF you buy that the past data proves his point that SmB was really just driven by underestimated beta in small-cap stocks, then SmB staging a comeback is no more likely than some new factor gaining explanatory power in the future, no? Whether value has a premium or not, it's explanatory power is unquestionable. Cliff is saying SmB isn't really explaining anything once you adjust for beta more accurately.
I note that he has another paper titled “The Small-Firm Effect Is Real, and It's Spectacular”. Talk about a whipsaw.

I’ll consider this more seriously once it’s peer reviewed and someone else, like Prof Fama, agrees with it.
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Post by Uncorrelated »

rkhusky wrote: Thu Oct 15, 2020 4:12 pm
MotoTrojan wrote: Thu Oct 15, 2020 2:10 pm
rkhusky wrote: Thu Oct 15, 2020 9:58 am Of course, factor analysis pertains to the past. In another 5 years, SMB could stage a comeback and regain factor status.
Cliff's analysis uses all of the available history, no? IF you buy that the past data proves his point that SmB was really just driven by underestimated beta in small-cap stocks, then SmB staging a comeback is no more likely than some new factor gaining explanatory power in the future, no? Whether value has a premium or not, it's explanatory power is unquestionable. Cliff is saying SmB isn't really explaining anything once you adjust for beta more accurately.
I note that he has another paper titled “The Small-Firm Effect Is Real, and It's Spectacular”. Talk about a whipsaw.

I’ll consider this more seriously once it’s peer reviewed and someone else, like Prof Fama, agrees with it.
Those papers are not in contradiction with each other. See:
In our size/junk paper we went and confused some people (we really tried not to!). We confirmed the lack of existence of a simple size effect but showed that small stocks were far lower “quality” than big stocks. Thus, any return they generate is, in fact, more impressive as historically quality is a rewarded factor, so small stocks face a rather severe headwind. In English, it is quite a feat for small stocks to even keep up with large stocks (after market beta adjustment) given that small stocks are far lower quality. We found this decidedly non-simple size effect to be impressive. Some have, quite mistakenly and to our great surprise, taken this as a contradiction: “I mean, in one paper you say size doesn’t work but in another you say it does!” Nope, not what we said. In both papers we say that size doesn’t really work alone (the “simple” size effect adjusting for only market beta) and in both papers we say (the main focus of one paper and a section of the other) that only when considering they’re fighting the successful quality factor are small vs. large returns impressive. These are not at all contradictory.
https://www.aqr.com/Insights/Perspectiv ... ly-Edition

This was discussed a few pages back.

Do you think their analysis has holes? Potential statistical errors? Funding biases? I would love to hear it. You can easily confirm some of their findings by running a few simple regressions on open data.

The paper was peer reviewed and published in a journal. I don't think that counts for anything given the junk (pun intended) that gets published these days, but just fyi.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Uncorrelated wrote: Thu Oct 15, 2020 4:38 pm
rkhusky wrote: Thu Oct 15, 2020 4:12 pm
MotoTrojan wrote: Thu Oct 15, 2020 2:10 pm
rkhusky wrote: Thu Oct 15, 2020 9:58 am Of course, factor analysis pertains to the past. In another 5 years, SMB could stage a comeback and regain factor status.
Cliff's analysis uses all of the available history, no? IF you buy that the past data proves his point that SmB was really just driven by underestimated beta in small-cap stocks, then SmB staging a comeback is no more likely than some new factor gaining explanatory power in the future, no? Whether value has a premium or not, it's explanatory power is unquestionable. Cliff is saying SmB isn't really explaining anything once you adjust for beta more accurately.
I note that he has another paper titled “The Small-Firm Effect Is Real, and It's Spectacular”. Talk about a whipsaw.

I’ll consider this more seriously once it’s peer reviewed and someone else, like Prof Fama, agrees with it.
Those papers are not in contradiction with each other. See:
In our size/junk paper we went and confused some people (we really tried not to!). We confirmed the lack of existence of a simple size effect but showed that small stocks were far lower “quality” than big stocks. Thus, any return they generate is, in fact, more impressive as historically quality is a rewarded factor, so small stocks face a rather severe headwind. In English, it is quite a feat for small stocks to even keep up with large stocks (after market beta adjustment) given that small stocks are far lower quality. We found this decidedly non-simple size effect to be impressive. Some have, quite mistakenly and to our great surprise, taken this as a contradiction: “I mean, in one paper you say size doesn’t work but in another you say it does!” Nope, not what we said. In both papers we say that size doesn’t really work alone (the “simple” size effect adjusting for only market beta) and in both papers we say (the main focus of one paper and a section of the other) that only when considering they’re fighting the successful quality factor are small vs. large returns impressive. These are not at all contradictory.
https://www.aqr.com/Insights/Perspectiv ... ly-Edition

This was discussed a few pages back.

Do you think their analysis has holes? Potential statistical errors? Funding biases? I would love to hear it. You can easily confirm some of their findings by running a few simple regressions on open data.

The paper was peer reviewed and published in a journal. I don't think that counts for anything given the junk (pun intended) that gets published these days, but just fyi.
That's a different publication, but I see that it's just an intro to the journal publication you reference, with a click-bait title.

I would prefer to see a FF style analysis with Mkt-Rf, Mkt-Rf lagged, HmL and SmB, and give me the R^2. For time periods 1963-1993, 1963-2020, 2000-2020, with the data format that FF used.
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Post by Uncorrelated »

rkhusky wrote: Thu Oct 15, 2020 8:57 pm
That's a different publication, but I see that it's just an intro to the journal publication you reference, with a click-bait title.

I would prefer to see a FF style analysis with Mkt-Rf, Mkt-Rf lagged, HmL and SmB, and give me the R^2. For time periods 1963-1993, 1963-2020, 2000-2020, with the data format that FF used.
A link to the journal article, which contains the items you mentioned, can be found on the right side of the page.
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky »

Uncorrelated wrote: Fri Oct 16, 2020 2:40 am
rkhusky wrote: Thu Oct 15, 2020 8:57 pm
That's a different publication, but I see that it's just an intro to the journal publication you reference, with a click-bait title.

I would prefer to see a FF style analysis with Mkt-Rf, Mkt-Rf lagged, HmL and SmB, and give me the R^2. For time periods 1963-1993, 1963-2020, 2000-2020, with the data format that FF used.
A link to the journal article, which contains the items you mentioned, can be found on the right side of the page.
Which journal article has the lagged market-rf factor and HmL and R^2 and the usual F&F data format?

"There Is No Size Effect: Daily Edition" is not a journal article and doesn't provide HmL or R^2 and the size data doesn't look like it is the same as the usual F&F size data, bottom half - top half.

"Size matters, if you control your junk" is a journal article, but doesn't talk about the lagged market-rf factor. I was only able to download the working paper from 2013 and didn't see anything about a lagged market-rf factor.
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Post by YRT70 »

muffins14 wrote: Thu Oct 15, 2020 12:22 pm
Uncorrelated wrote: Thu Oct 15, 2020 7:21 am ...
The US portion is around 1/3 VFMF and 2/3 total stock market, I may increase the VFMF allocation to 50% in the future. For the international portion I hold VXUS.
...
At which brokerage do you hold VFMF? Currently in my Fidelity accounts, I am somewhat annoyed that I can't place market orders, as they flag VFMF as an "illiquid security". I either have to place a limit order or contact a fidelity representative.
Why do you mind using limit orders? I'd actually prefer using limit orders for these kind of funds that aren't traded that much.
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