Small Cap Value heads Rejoice !!!

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absolute zero
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Re: Small Cap Value heads Rejoice !!!

Post by absolute zero »

AVDV up 3.43%.
VEA up 2.73%

Appears that it was a blowout day for US value only.
MotoTrojan
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

absolute zero wrote: Mon Nov 09, 2020 8:56 pm AVDV up 3.43%.
VEA up 2.73%

Appears that it was a blowout day for US value only.
FNDF & IVLU (both large-value) had a nice premium at 4.5% today.

EM large value also seems to have done well compared to it's benchmark.
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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

caklim00 wrote: Mon Nov 09, 2020 2:53 pm This has to be a top 99.9% for positive spread between SCV and LCG day.

SLYV: +8.67%
MTUM: -1.16%

Guess we just need like 3 of these days :happy
Big momentum crash. $QMOM which is gold standard 12-1mo academic value -6.1%.
MotoTrojan
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan »

Forester wrote: Mon Nov 09, 2020 9:32 pm
caklim00 wrote: Mon Nov 09, 2020 2:53 pm This has to be a top 99.9% for positive spread between SCV and LCG day.

SLYV: +8.67%
MTUM: -1.16%

Guess we just need like 3 of these days :happy
Big momentum crash. $QMOM which is gold standard 12-1mo academic value -6.1%.
Earlier in the day QMOM was only down 2-3% and the spread was over 22%!!! Short side of momentum got obliterated today (negative momentum Covid-crushed stocks exploded to the upside).
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BroIceCream
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Re: Small Cap Value heads Rejoice !!!

Post by BroIceCream »

Back in late March, I noticed my "rebalancing bands" were a bit beyond their limits... I had way too many bonds (not a surprise, due to covid-on-the-market).
I dutifully rebalanced on March 23. My SP500 fund is up 35% from that low point, and my SCV purchase lot is already up 60.25%.

I acknowledge that it was luck that I happened to get both on their "low" week, and "past performance does not guarantee future results", but it has been an amazing ride up for US SCV for the last 8 months.
corp_sharecropper
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Re: Small Cap Value heads Rejoice !!!

Post by corp_sharecropper »

BroIceCream wrote: Mon Nov 09, 2020 10:26 pm Back in late March, I noticed my "rebalancing bands" were a bit beyond their limits... I had way too many bonds (not a surprise, due to covid-on-the-market).
I dutifully rebalanced on March 23. My SP500 fund is up 35% from that low point, and my SCV purchase lot is already up 60.25%.

I acknowledge that it was luck that I happened to get both on their "low" week, and "past performance does not guarantee future results", but it has been an amazing ride up for US SCV for the last 8 months.
What scv fund is that? Quickly just looked at spy vs slyv since March 23 and they don't look much different
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vineviz
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

corp_sharecropper wrote: Mon Nov 09, 2020 11:43 pm
BroIceCream wrote: Mon Nov 09, 2020 10:26 pm Back in late March, I noticed my "rebalancing bands" were a bit beyond their limits... I had way too many bonds (not a surprise, due to covid-on-the-market).
I dutifully rebalanced on March 23. My SP500 fund is up 35% from that low point, and my SCV purchase lot is already up 60.25%.

I acknowledge that it was luck that I happened to get both on their "low" week, and "past performance does not guarantee future results", but it has been an amazing ride up for US SCV for the last 8 months.
What scv fund is that? Quickly just looked at spy vs slyv since March 23 and they don't look much different
The SCV return seems plausible (IJS is up about 60% from 3/23), but the S&P 500 return does seem low: VOO is up about the same from 3/23, as you say.

Anyone lucky enough to buy ProShares UltraPro Russell2000 ETF (URTY) on 3/23 is now up over 280%.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
Mrvtmn
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Re: Small Cap Value heads Rejoice !!!

Post by Mrvtmn »

Yesterday a co-worker told me he sold the Microsoft stock he bought last Spring and invested it in VBR. Let the rebalancing continue today. Please and thank you.
bling
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Re: Small Cap Value heads Rejoice !!!

Post by bling »

ouch, even with the amazing gains yesterday, YTD is still -11% vs +11% for total US (comparing IJS vs ITOT).
stocknoob4111
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Re: Small Cap Value heads Rejoice !!!

Post by stocknoob4111 »

S&P 600 is up today +2.24%

S&P 500 is up today +0.09%

IJS, S&P 600 Value is up +2.51%

wow, am I seeing things? LOL! Looks like the cycle is shifting from Big to Small, this is usually what happens in the early stages of the recovery cycle.

International is gaining too. So glad I have a sizable portion of both.
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

Yesterday was an all-time record for value vs growth

https://twitter.com/schuldensuehner/st ... 45061?s=21
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

I have been selling into this strength to get allocation back into range. I think we are seeing some unwinding of the long LCG short SCV trade causing some short squeeze in the short term. I have learned with SCV that when you see strong divergence (pos or neg) over a few day period to rebalance then. Otherwise, stick to the bands. Its produced a great result doing it this year at least
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Re: Small Cap Value heads Rejoice !!!

Post by BabaWawa »

bling wrote: Tue Nov 10, 2020 10:55 am ouch, even with the amazing gains yesterday, YTD is still -11% vs +11% for total US (comparing IJS vs ITOT).
For those of us who are disciplined and ignored the noise, we rebalanced in March and are up quite a bit. Close to hitting an upper band to trim back some IJS. It's all good.
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vineviz
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
absolute zero
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Re: Small Cap Value heads Rejoice !!!

Post by absolute zero »

vineviz wrote: Tue Nov 10, 2020 2:55 pm iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
It looks like a portion of the ER is temporarily waived through 2023. I’ve seen that same strategy with a few other funds. Do you (or anyone else) know whether these temporary fee reductions tend to eventually morph into permanent fee reductions?
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Re: Small Cap Value heads Rejoice !!!

Post by feh »

vineviz wrote: Tue Nov 10, 2020 2:55 pm iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
Has anybody looked at the differences between SVAL and IJS?
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vineviz
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

absolute zero wrote: Tue Nov 10, 2020 3:00 pm
vineviz wrote: Tue Nov 10, 2020 2:55 pm iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
It looks like a portion of the ER is temporarily waived through 2023. I’ve seen that same strategy with a few other funds. Do you (or anyone else) know whether these temporary fee reductions tend to eventually morph into permanent fee reductions?
The fee reductions almost universally become permanent.

The vast majority of costs associated with running an ETF are fixed costs, so the faster an ETF can build up assets the faster it becomes profitable. A fee waiver is usually designed to set the initial expense ratio at the level the issuer estimates to be a sustainable long-run expense ratio.

If the fund doesn't gain enough assets to be profitable at the reduced fee then the waiver will be extended (if the fund still shows some promise of growth) or the fund will be closed. I can't recall any examples of an ETF from major issuers where the waiver simply expired and the fee was increased.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
BabaWawa
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Re: Small Cap Value heads Rejoice !!!

Post by BabaWawa »

vineviz wrote: Tue Nov 10, 2020 2:55 pm iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
I was giddy when IJS finally reduced its ER from 25 to 18bps recently.
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

BabaWawa wrote: Tue Nov 10, 2020 2:41 pm
bling wrote: Tue Nov 10, 2020 10:55 am ouch, even with the amazing gains yesterday, YTD is still -11% vs +11% for total US (comparing IJS vs ITOT).
For those of us who are disciplined and ignored the noise, we rebalanced in March and are up quite a bit. Close to hitting an upper band to trim back some IJS. It's all good.
Indeed -- MIDU is still down 40% from the high this year but I am positive on my investment after rebalancing into it at the -80% lows
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

feh wrote: Tue Nov 10, 2020 3:03 pm
vineviz wrote: Tue Nov 10, 2020 2:55 pm iShares US Small Cap Value Factor ETF (SVAL) has already reduced its expense ratio: down to 20bps from 30bps.

Just two weeks after launch, this has to be the fastest fee reduction I can recall.

Harvest those losses if you've got 'em.
Has anybody looked at the differences between SVAL and IJS?
SVAL's holdings are cheaper and smaller than IJS. SVAL is 41% financials though, IJS has 21%.

I think AVUV is the more interesting option.

I asked Larry Swedroe what he thought of SVAL. He said he prefers AVUV but SVAL is a good option. He was concerned about the AUM and trading costs of SVAL.
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Re: Small Cap Value heads Rejoice !!!

Post by JimmyJammy »

Have we been given the greenlight to confidently get back into small cap value now (with vaccine news, election basically settled) or is it a fake-out? I lean bullish!
muffins14
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

JimmyJammy wrote: Wed Nov 11, 2020 12:08 pm Have we been given the greenlight to confidently get back into small cap value now (with vaccine news, election basically settled) or is it a fake-out? I lean bullish!
You were never given the green light to get out in the first place. Rebalancing into SCV in March was the boglehead-approved, non-market-timing move.
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Re: Small Cap Value heads Rejoice !!!

Post by KlangFool »

muffins14 wrote: Wed Nov 11, 2020 3:18 pm
JimmyJammy wrote: Wed Nov 11, 2020 12:08 pm Have we been given the greenlight to confidently get back into small cap value now (with vaccine news, election basically settled) or is it a fake-out? I lean bullish!
You were never given the green light to get out in the first place. Rebalancing into SCV in March was the boglehead-approved, non-market-timing move.
+1,000.

I am harvesting my SCV gain from March now.


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RovenSkyfall
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Re: Small Cap Value heads Rejoice !!!

Post by RovenSkyfall »

vineviz wrote: Tue Nov 10, 2020 8:26 am
corp_sharecropper wrote: Mon Nov 09, 2020 11:43 pm
BroIceCream wrote: Mon Nov 09, 2020 10:26 pm Back in late March, I noticed my "rebalancing bands" were a bit beyond their limits... I had way too many bonds (not a surprise, due to covid-on-the-market).
I dutifully rebalanced on March 23. My SP500 fund is up 35% from that low point, and my SCV purchase lot is already up 60.25%.

I acknowledge that it was luck that I happened to get both on their "low" week, and "past performance does not guarantee future results", but it has been an amazing ride up for US SCV for the last 8 months.
What scv fund is that? Quickly just looked at spy vs slyv since March 23 and they don't look much different
The SCV return seems plausible (IJS is up about 60% from 3/23), but the S&P 500 return does seem low: VOO is up about the same from 3/23, as you say.

Anyone lucky enough to buy ProShares UltraPro Russell2000 ETF (URTY) on 3/23 is now up over 280%.
Has anyone here talked about LETFs for SCV? Is anyone actually using 3x? It seems like if anything people would ideally go for 2x according to what I can tell from this data and the accompanying paper. http://ddnum.com/articles/leveragedETFs.php

Obviously the backtest data compared to UPRO or HFEA isnt as good, but that is likely a result of the recent outperformance of LCG. It seems like one way to increase ones exposure to SCV might be for a LETF. Maybe the volatility is too much to make it worth it? Interested to hear peoples thoughts.
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vineviz
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

RovenSkyfall wrote: Wed Nov 11, 2020 4:06 pm Has anyone here talked about LETFs for SCV? Is anyone actually using 3x? It seems like if anything people would ideally go for 2x according to what I can tell from this data and the accompanying paper. http://ddnum.com/articles/leveragedETFs.php

Obviously the backtest data compared to UPRO or HFEA isnt as good, but that is likely a result of the recent outperformance of LCG. It seems like one way to increase ones exposure to SCV might be for a LETF. Maybe the volatility is too much to make it worth it? Interested to hear peoples thoughts.
There aren't any leveraged ETFs which specifically invest in SCV stocks. There are E-mini Russell 2000 Value Index Futures contracts, but few Bogleheads are active in futures trading AFAIK.

So you'd be limited to using a leveraged S&P 600 fund like SAA or one of the Russell 2000 products (TNA, UWM, URTY). You'd almost certainly get killed by whipsaw effects if you tried to use one of them as long-term investment without an offsetting high-duration Treasury fund (e.g. EDV, TMF, or UBT).

Image

https://www.portfoliovisualizer.com/bac ... tion3_1=25

And the normal limits to the effective leverage using LETFs would apply: the sweet spot is about 125% to 150% net equity exposure. Anything more than that increases your volatility without much chance of higher returns.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

I had some play money and invested in a HEDGEFUNDIE adventure-type portfolio of

45% 3x long-term treasuries (TMF),
30% 3x S&P 500 (UPRO)
25% 3x S&P Mid-Cap (MIDU)

I'm positive for the year on that portfolio but the 80% decline in MIDU was not fun. I think you're likely better off either:
a) going 100% equity with only total-market
b) going 100% equity with a split between total market + SCV (or multi-factor)
c) leveraging a bit past 100% equity by using future or 3x S&P 500

I'm just not really convinced the extra volatility of leveraging a small-cap or mid-cap index is worth the expected gain
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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

vineviz wrote: Wed Nov 11, 2020 4:39 pm
And the normal limits to the effective leverage using LETFs would apply: the sweet spot is about 125% to 150% net equity exposure. Anything more than that increases your volatility without much chance of higher returns.
There is no sweet spot. The optimal amount of leverage depends on your personal coefficient of relative risk aversion, remaining human capital, and how fast you can rebalance. With daily rebalanced funds, the useful limit is far above 3x.

See Life-Cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk for the underlying theory. The authors suggest a max leverage of 2x when the strategy is implemented with futures and monthly rebalancing.
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

muffins14 wrote: Wed Nov 11, 2020 4:46 pm I had some play money and invested in a HEDGEFUNDIE adventure-type portfolio of

45% 3x long-term treasuries (TMF),
30% 3x S&P 500 (UPRO)
25% 3x S&P Mid-Cap (MIDU)

I'm positive for the year on that portfolio but the 80% decline in MIDU was not fun. I think you're likely better off either:
a) going 100% equity with only total-market
b) going 100% equity with a split between total market + SCV (or multi-factor)
c) leveraging a bit past 100% equity by using future or 3x S&P 500

I'm just not really convinced the extra volatility of leveraging a small-cap or mid-cap index is worth the expected gain
Long & medium term momentum is shifting from the US to Emerging Markets. 3x EM starting in 2020 and a strong stomach could be wiser than flogging a dead horse by leveraging US assets. Obvious conundrum then is - what's the trigger to exit EM.
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vineviz
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

Uncorrelated wrote: Thu Nov 12, 2020 3:35 am
vineviz wrote: Wed Nov 11, 2020 4:39 pm
And the normal limits to the effective leverage using LETFs would apply: the sweet spot is about 125% to 150% net equity exposure. Anything more than that increases your volatility without much chance of higher returns.
There is no sweet spot. The optimal amount of leverage depends on your personal coefficient of relative risk aversion, remaining human capital, and how fast you can rebalance. With daily rebalanced funds, the useful limit is far above 3x.

See Life-Cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk for the underlying theory. The authors suggest a max leverage of 2x when the strategy is implemented with futures and monthly rebalancing.

No risk-averse investor will prefer a high volatility / low return portfolio over a low volatility / high return portfolio. That fact puts the useful limit to leverage via daily reset ETFs at something far less than 300% equity.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

vineviz wrote: Thu Nov 12, 2020 6:33 am
Uncorrelated wrote: Thu Nov 12, 2020 3:35 am
vineviz wrote: Wed Nov 11, 2020 4:39 pm
And the normal limits to the effective leverage using LETFs would apply: the sweet spot is about 125% to 150% net equity exposure. Anything more than that increases your volatility without much chance of higher returns.
There is no sweet spot. The optimal amount of leverage depends on your personal coefficient of relative risk aversion, remaining human capital, and how fast you can rebalance. With daily rebalanced funds, the useful limit is far above 3x.

See Life-Cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk for the underlying theory. The authors suggest a max leverage of 2x when the strategy is implemented with futures and monthly rebalancing.

No risk-averse investor will prefer a high volatility / low return portfolio over a low volatility / high return portfolio. That fact puts the useful limit to leverage via daily reset ETFs at something far less than 300% equity.
A 3x leveraged ETF will have a higher expected return than a 2x leveraged ETF. There is no upper limit to how high the expected return can get, as long as the marginal borrowing costs are lower than the expected return of the base product.
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

Uncorrelated wrote: Thu Nov 12, 2020 6:55 am
vineviz wrote: Thu Nov 12, 2020 6:33 am
Uncorrelated wrote: Thu Nov 12, 2020 3:35 am
vineviz wrote: Wed Nov 11, 2020 4:39 pm
And the normal limits to the effective leverage using LETFs would apply: the sweet spot is about 125% to 150% net equity exposure. Anything more than that increases your volatility without much chance of higher returns.
There is no sweet spot. The optimal amount of leverage depends on your personal coefficient of relative risk aversion, remaining human capital, and how fast you can rebalance. With daily rebalanced funds, the useful limit is far above 3x.

See Life-Cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk for the underlying theory. The authors suggest a max leverage of 2x when the strategy is implemented with futures and monthly rebalancing.

No risk-averse investor will prefer a high volatility / low return portfolio over a low volatility / high return portfolio. That fact puts the useful limit to leverage via daily reset ETFs at something far less than 300% equity.
A 3x leveraged ETF will have a higher expected return than a 2x leveraged ETF. There is no upper limit to how high the expected return can get, as long as the marginal borrowing costs are lower than the expected return of the base product.
No, because the geometric mean return (or CAGR) does not scale linearly with leverage the way that the arithmetic mean return does.

See for example the efficient frontier for 3x leveraged ETFs UPRO (S&P 500) and TMF (20+ year Treasuries). Given this risk/return profile, no rational risk-averse investor would prefer any portfolio with >200% equity exposure.

Image

https://www.portfoliovisualizer.com/eff ... ymbol3=TMF
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch
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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

vineviz wrote: Thu Nov 12, 2020 8:03 am No, because the geometric mean return (or CAGR) does not scale linearly with leverage the way that the arithmetic mean return does.

See for example the efficient frontier for 3x leveraged ETFs UPRO (S&P 500) and TMF (20+ year Treasuries). Given this risk/return profile, no rational risk-averse investor would prefer any portfolio with >200% equity exposure.

Image

https://www.portfoliovisualizer.com/eff ... ymbol3=TMF
The definition of a risk-averse investor is an investor with a coefficient of relative risk aversion higher than 0. The CAGR is a specific measure that assumes a coefficient of relative risk aversion of 1, which is equivalent with a logaritmic utility function. Indeed, for such investors there is a limit on the max leverage that is around 2x. But this is not the case for all risk-averse investors, for example, an investor with a coefficient of relative risk aversion of 0.1 is clearly risk-averse, but would happily invest with much higher leverages than 3x.

Perhaps you should mention next time that you are specifically talking about investors with a log utility function rather than "all risk averse investors".

Your efficient frontier plot is ill-formed. The efficient frontier is defined as the set of portfolio's with the highest expected return for a given amount of risk. The Y axis should show the expected return, but your axis shows the median return, equivalent with CAGR, equivalent with assuming a coefficient of relative risk aversion of 1, equivalent to the certainty equivalent return for investors with a log utility function. The plot should be titled "certainty equivalent return for investors with log utility function based on time period XYZ". My mean variance optimizer clearly makes this distinction.
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

$DEEP Tobias Carlisle interview https://www.youtube.com/watch?v=KW9n-dfqnEY
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

Forester wrote: Fri Nov 13, 2020 7:08 am $DEEP Tobias Carlisle interview https://www.youtube.com/watch?v=KW9n-dfqnEY
Tobias is a smart guy, and DEEP seems like a great fund, but it's going to take a lot of convincing for me to spend 0.80% on a long only fund when I could just buy AVUV for 0.25% or SVAL for 0.20%. I guess you could argue since DEEP is very concentrated you need a smaller allocation to add the same factor exposure.
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Re: Small Cap Value heads Rejoice !!!

Post by donaldfair71 »

HippoSir wrote: Fri Nov 13, 2020 12:35 pm
Forester wrote: Fri Nov 13, 2020 7:08 am $DEEP Tobias Carlisle interview https://www.youtube.com/watch?v=KW9n-dfqnEY
Tobias is a smart guy, and DEEP seems like a great fund, but it's going to take a lot of convincing for me to spend 0.80% on a long only fund when I could just buy AVUV for 0.25% or SVAL for 0.20%. I guess you could argue since DEEP is very concentrated you need a smaller allocation to add the same factor exposure.
One would then be better in RZV, which is cheaper but similar exposure, correct?
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Re: Small Cap Value heads Rejoice !!!

Post by Dudley »

HippoSir wrote: Fri Nov 13, 2020 12:35 pm ..take a lot of convincing for me to spend 0.80% ....
Buy the underlying 100 individual stocks ?
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Makaveli
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Re: Small Cap Value heads Rejoice !!!

Post by Makaveli »

Expense ratio talk earlier got me thinking. Does anyone have an inclination on whether or not VIOV will reduce its ER? I believe they’re no longer accepting funds or they transitioned to VBR for some reason. This was a TLH partner for me but definitely the highest expense fund in my line up with sizable gains now.
Last edited by Makaveli on Fri Nov 13, 2020 5:06 pm, edited 2 times in total.
sycamore
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Re: Small Cap Value heads Rejoice !!!

Post by sycamore »

Makaveli wrote: Fri Nov 13, 2020 2:41 pm Expense ratio talk earlier got me thinking. Does anyone have an inclining on whether or not VIOV will reduce its ER? I believe they’re no longer accepting funds or they transitioned to VBR for some reason. This was a TLH partner for me but definitely the highest expense fund in my line up with sizable gains now.
From what I remember, Vanguard runs its funds "at cost" and so it doesn't raise or lower the ER to meet a certain target. The only way to get a lower ER is for Vanguard to cut costs somehow (say, for personnel/compensation) or to attract more assets over which to spread the expenses.

Anyway, I'm not sure what you mean by "no longer accepting funds" for VIOV? It's an ETF not a mutual fund so they can't close it to new investors.

VBR and VIOV continue to follow their respective indexes (CRSP US Small Cap Value Index and S&P Small Cap 600 Value, respectively).

You can still use it and VBR as TLH partners.
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Re: Small Cap Value heads Rejoice !!!

Post by grabiner »

Makaveli wrote: Fri Nov 13, 2020 2:41 pm Expense ratio talk earlier got me thinking. Does anyone have an inclination on whether or not VIOV will reduce its ER? I believe they’re no longer accepting funds or they transitioned to VBR for some reason. This was a TLH partner for me but definitely the highest expense fund in my line up with sizable gains now.
VIOV is still available, but its use has always been discouraged by Vanguard. The Russell and S&P indexes are not listed on the ETF list on the personal investors' site. You can still find them by entering the ticker, or by changing the filter to "Russell and S&P indexes". When you view the page, you will see, "Consider Vanguard Small-Cap Value ETF, which tracks the same market segment at a lower cost. Compare now" The Russell and S&P ETFs do have equal status to the CRSP ETFs on Vanguard's page for advisors.
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Re: Small Cap Value heads Rejoice !!!

Post by Grt2bOutdoors »

grabiner wrote: Sat Nov 14, 2020 9:23 am
Makaveli wrote: Fri Nov 13, 2020 2:41 pm Expense ratio talk earlier got me thinking. Does anyone have an inclination on whether or not VIOV will reduce its ER? I believe they’re no longer accepting funds or they transitioned to VBR for some reason. This was a TLH partner for me but definitely the highest expense fund in my line up with sizable gains now.
VIOV is still available, but its use has always been discouraged by Vanguard. The Russell and S&P indexes are not listed on the ETF list on the personal investors' site. You can still find them by entering the ticker, or by changing the filter to "Russell and S&P indexes". When you view the page, you will see, "Consider Vanguard Small-Cap Value ETF, which tracks the same market segment at a lower cost. Compare now" The Russell and S&P ETFs do have equal status to the CRSP ETFs on Vanguard's page for advisors.
I hold VIOV in an outside brokerage account, but if you can’t find VIOV you can use IJS which tracks same index.
"One should invest based on their need, ability and willingness to take risk - Larry Swedroe" Asking Portfolio Questions
Pawpatrol
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

Front page of barrons https://www.barrons.com/articles/how-t ... od=hp_HERO

Barrons talking up scv. Not that i care what barrons thinks but they don’t call it the barron’s bounce for nothing. We will see if this plays out on Monday. Prior to this week there was a dearth of articles about small cap value relative to other investing styles. The amount of these articles has picked up a lot in the last few days.

I know many people on this board don’t follow/believe in technical analysis but sp600 value (ijs/viov/sly ) is at a pretty critical level. Until the gap up on 11/9 of ~8% It had been in a months long trading range since the june 2020 high. Once it broke above that level, the days later in the week was a battle for whether this gap would close (meaning it would trade intraday back down to the close on 11/6) which would likely mean a reversal back down for several weeks/month (stay back in the old range) or make new highs and breakaway out of the range and maybe not close the gap ever (or in next crash). If it makes new highs next week and doesn’t close the gap formed on 11/9 - you will see more technical traders piling in scv. My prediction based on technicals is we will see new highs in the coming weeks and have a good shot at 52 week high and possible alltime high in a few months. Friday’s gap up open was what was most convincing that maybe this long growth short value trade is ending.

I find technical analysis a fun hobby and makes if easier to be a boglehead. Only time i use it is occ to time when to rebalance. Does it make a difference for the time? This year it surprisingly netted 5% to my portfolio but this year is an outlier given so much volatility and timely rebalances. Usually it adds on avg in the 0.5% a year and probably not worth the time if i didn’t enjoy it.
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Makaveli
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Re: Small Cap Value heads Rejoice !!!

Post by Makaveli »

sycamore wrote: Fri Nov 13, 2020 3:15 pm
Makaveli wrote: Fri Nov 13, 2020 2:41 pm Expense ratio talk earlier got me thinking. Does anyone have an inclining on whether or not VIOV will reduce its ER? I believe they’re no longer accepting funds or they transitioned to VBR for some reason. This was a TLH partner for me but definitely the highest expense fund in my line up with sizable gains now.
Anyway, I'm not sure what you mean by "no longer accepting funds" for VIOV? It's an ETF not a mutual fund so they can't close it to new investors.
Grabiner found the quote which I was attempting to recall from memory, more comments below.
VIOV is still available, but its use has always been discouraged by Vanguard. The Russell and S&P indexes are not listed on the ETF list on the personal investors' site. You can still find them by entering the ticker, or by changing the filter to "Russell and S&P indexes". When you view the page, you will see, "Consider Vanguard Small-Cap Value ETF, which tracks the same market segment at a lower cost. Compare now" The Russell and S&P ETFs do have equal status to the CRSP ETFs on Vanguard's page for advisors.
So when folks go to research VIOV Vanguard is promoting their other SCV ETF (VBR) at the very top of the page. Hence my thought of "likely not growing over time" which eliminates the primary mechanism to reduce ER. 0.15% is quite amazing but when my total portfolio has a weighted average of 0.06% I want to get as low as possible! :twisted:
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Re: Small Cap Value heads Rejoice !!!

Post by RovenSkyfall »

Uncorrelated wrote: Thu Nov 12, 2020 8:29 am
vineviz wrote: Thu Nov 12, 2020 8:03 am No, because the geometric mean return (or CAGR) does not scale linearly with leverage the way that the arithmetic mean return does.

See for example the efficient frontier for 3x leveraged ETFs UPRO (S&P 500) and TMF (20+ year Treasuries). Given this risk/return profile, no rational risk-averse investor would prefer any portfolio with >200% equity exposure.

Image

https://www.portfoliovisualizer.com/eff ... ymbol3=TMF
The definition of a risk-averse investor is an investor with a coefficient of relative risk aversion higher than 0. The CAGR is a specific measure that assumes a coefficient of relative risk aversion of 1, which is equivalent with a logaritmic utility function. Indeed, for such investors there is a limit on the max leverage that is around 2x. But this is not the case for all risk-averse investors, for example, an investor with a coefficient of relative risk aversion of 0.1 is clearly risk-averse, but would happily invest with much higher leverages than 3x.

Perhaps you should mention next time that you are specifically talking about investors with a log utility function rather than "all risk averse investors".

Your efficient frontier plot is ill-formed. The efficient frontier is defined as the set of portfolio's with the highest expected return for a given amount of risk. The Y axis should show the expected return, but your axis shows the median return, equivalent with CAGR, equivalent with assuming a coefficient of relative risk aversion of 1, equivalent to the certainty equivalent return for investors with a log utility function. The plot should be titled "certainty equivalent return for investors with log utility function based on time period XYZ". My mean variance optimizer clearly makes this distinction.
Can you clarify this? Does that mean that efficient frontiers and CAGR are only informative to an investor with a CRRA of 1? If so, why is that?
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Uncorrelated
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Re: Small Cap Value heads Rejoice !!!

Post by Uncorrelated »

RovenSkyfall wrote: Mon Nov 16, 2020 9:50 am
Uncorrelated wrote: Thu Nov 12, 2020 8:29 am
vineviz wrote: Thu Nov 12, 2020 8:03 am No, because the geometric mean return (or CAGR) does not scale linearly with leverage the way that the arithmetic mean return does.

See for example the efficient frontier for 3x leveraged ETFs UPRO (S&P 500) and TMF (20+ year Treasuries). Given this risk/return profile, no rational risk-averse investor would prefer any portfolio with >200% equity exposure.

Image

https://www.portfoliovisualizer.com/eff ... ymbol3=TMF
The definition of a risk-averse investor is an investor with a coefficient of relative risk aversion higher than 0. The CAGR is a specific measure that assumes a coefficient of relative risk aversion of 1, which is equivalent with a logaritmic utility function. Indeed, for such investors there is a limit on the max leverage that is around 2x. But this is not the case for all risk-averse investors, for example, an investor with a coefficient of relative risk aversion of 0.1 is clearly risk-averse, but would happily invest with much higher leverages than 3x.

Perhaps you should mention next time that you are specifically talking about investors with a log utility function rather than "all risk averse investors".

Your efficient frontier plot is ill-formed. The efficient frontier is defined as the set of portfolio's with the highest expected return for a given amount of risk. The Y axis should show the expected return, but your axis shows the median return, equivalent with CAGR, equivalent with assuming a coefficient of relative risk aversion of 1, equivalent to the certainty equivalent return for investors with a log utility function. The plot should be titled "certainty equivalent return for investors with log utility function based on time period XYZ". My mean variance optimizer clearly makes this distinction.
Can you clarify this? Does that mean that efficient frontiers and CAGR are only informative to an investor with a CRRA of 1? If so, why is that?
The efficient frontier uses expected returns (i.e. arithmetic returns). There is no CAGR in the efficient frontier.

CAGR's are only informative for investors with CRRA=1 (log utility function), because the CAGR is equal to the certainty equivalent (expected) return for investors with a log utility function. This is very useful if you happen to have a log utility function, but in all other cases using the expected return is simpler and comes with less assumptions.
H-Town
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Re: Small Cap Value heads Rejoice !!!

Post by H-Town »

The SCV rally has been rewarding to those who stick to their portfolio rain or shine.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

H-Town wrote: Mon Nov 16, 2020 11:02 am The SCV rally has been rewarding to those who stick to their portfolio rain or shine.
It's been a nice couple of weeks for us. Let's hope it continues!
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Re: Small Cap Value heads Rejoice !!!

Post by Forester »

Pawpatrol wrote: Sat Nov 14, 2020 2:37 pm Front page of barrons https://www.barrons.com/articles/how-t ... od=hp_HERO

Barrons talking up scv. Not that i care what barrons thinks but they don’t call it the barron’s bounce for nothing. We will see if this plays out on Monday. Prior to this week there was a dearth of articles about small cap value relative to other investing styles. The amount of these articles has picked up a lot in the last few days.

I know many people on this board don’t follow/believe in technical analysis but sp600 value (ijs/viov/sly ) is at a pretty critical level. Until the gap up on 11/9 of ~8% It had been in a months long trading range since the june 2020 high. Once it broke above that level, the days later in the week was a battle for whether this gap would close (meaning it would trade intraday back down to the close on 11/6) which would likely mean a reversal back down for several weeks/month (stay back in the old range) or make new highs and breakaway out of the range and maybe not close the gap ever (or in next crash). If it makes new highs next week and doesn’t close the gap formed on 11/9 - you will see more technical traders piling in scv. My prediction based on technicals is we will see new highs in the coming weeks and have a good shot at 52 week high and possible alltime high in a few months. Friday’s gap up open was what was most convincing that maybe this long growth short value trade is ending.

I find technical analysis a fun hobby and makes if easier to be a boglehead. Only time i use it is occ to time when to rebalance. Does it make a difference for the time? This year it surprisingly netted 5% to my portfolio but this year is an outlier given so much volatility and timely rebalances. Usually it adds on avg in the 0.5% a year and probably not worth the time if i didn’t enjoy it.
The Nasdaq did another leg up after this Economist cover which seemed ominous at the time

Image

Let's hope that SCV doesn't get jinxed by popular media coverage!
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

Pawpatrol wrote: Sat Nov 14, 2020 2:37 pm Front page of barrons https://www.barrons.com/articles/how-t ... od=hp_HERO

Barrons talking up scv. Not that i care what barrons thinks but they don’t call it the barron’s bounce for nothing. We will see if this plays out on Monday. Prior to this week there was a dearth of articles about small cap value relative to other investing styles. The amount of these articles has picked up a lot in the last few days.

I know many people on this board don’t follow/believe in technical analysis but sp600 value (ijs/viov/sly ) is at a pretty critical level. Until the gap up on 11/9 of ~8% It had been in a months long trading range since the june 2020 high. Once it broke above that level, the days later in the week was a battle for whether this gap would close (meaning it would trade intraday back down to the close on 11/6) which would likely mean a reversal back down for several weeks/month (stay back in the old range) or make new highs and breakaway out of the range and maybe not close the gap ever (or in next crash). If it makes new highs next week and doesn’t close the gap formed on 11/9 - you will see more technical traders piling in scv. My prediction based on technicals is we will see new highs in the coming weeks and have a good shot at 52 week high and possible alltime high in a few months. Friday’s gap up open was what was most convincing that maybe this long growth short value trade is ending.

I find technical analysis a fun hobby and makes if easier to be a boglehead. Only time i use it is occ to time when to rebalance. Does it make a difference for the time? This year it surprisingly netted 5% to my portfolio but this year is an outlier given so much volatility and timely rebalances. Usually it adds on avg in the 0.5% a year and probably not worth the time if i didn’t enjoy it.
Any significant quotes or a quick summary of what they're saying? What is their reasoning for value coming back?
feh
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Re: Small Cap Value heads Rejoice !!!

Post by feh »

It's been a nice week, but SV is still way behind total market for the year.
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Re: Small Cap Value heads Rejoice !!!

Post by KlangFool »

feh wrote: Mon Nov 16, 2020 5:53 pm It's been a nice week, but SV is still way behind total market for the year.

feh,

And, why do that matters for folks with a fixed percent allocation to SCV? I had made my money with my SCV from rebalancing twice this year. Buy in March and sold a few months ago. The volatility of SCV is great!


KlangFool
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