Small Cap Value heads Rejoice !!!

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dml130
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Re: Small Cap Value heads Rejoice !!!

Post by dml130 »

Just out of curiosity, anybody know what current CAPE 10's for s&p 600 and s&p 400 are?
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Re: Small Cap Value heads Rejoice !!!

Post by Anon9001 »

If you combine negative skewness with high Excess Kurtosis you get Value stocks. The problem is who would want to buy such things? Junk bonds share this same characteristic yet there is no enthusiasm for owning them. Funnily enough the Index Portfolio is also negatively skewed but has less Excess Kurtosis than Value stocks so still less risky. I would say there is no free lunch here. If you don't like selling options/owning junk bonds (due to their negative skewness and high Excess Kurtosis) you should also not own Value stocks. This is a good thing for the tilters though who don't mind selling options/owning junk bonds as there is indeed a risk factor for Value stocks which should guarantee that it won't be arbitraged away. I personally don't like owning junk bonds/selling options so I would not own Value stocks in large amounts. My only equity fund is classified according to Morningstar as Large Growth so it seems like I unconsciously knew that owning Value in large amounts would not be a good idea for me even before I know what a Excess Kurtosis or Skewness means.
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muffins14
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Re: Small Cap Value heads Rejoice !!!

Post by muffins14 »

Anon9001 wrote: Tue Jan 19, 2021 3:04 am If you combine negative skewness with high Excess Kurtosis you get Value stocks. The problem is who would want to buy such things?

If you don't like selling options/owning junk bonds (due to their negative skewness and high Excess Kurtosis) you should also not own Value stocks. This is a good thing for the tilters though who don't mind selling options/owning junk bonds as there is indeed a risk factor for Value stocks which should guarantee that it won't be arbitraged away.
I think this is the crux of the issue. Some people want to avoid these characteristics, so the people who are willing to accept them expect to earn a premium.

Much like insurance, who would want to pay out claims each time someone has a fender-bender? Well, the person profiting by collecting insurance premiums.
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

Anon9001 wrote: Tue Jan 19, 2021 3:04 am If you combine negative skewness with high Excess Kurtosis you get Value stocks. The problem is who would want to buy such things? Junk bonds share this same characteristic yet there is no enthusiasm for owning them. Funnily enough the Index Portfolio is also negatively skewed but has less Excess Kurtosis than Value stocks so still less risky. I would say there is no free lunch here. If you don't like selling options/owning junk bonds (due to their negative skewness and high Excess Kurtosis) you should also not own Value stocks. This is a good thing for the tilters though who don't mind selling options/owning junk bonds as there is indeed a risk factor for Value stocks which should guarantee that it won't be arbitraged away. I personally don't like owning junk bonds/selling options so I would not own Value stocks in large amounts. My only equity fund is classified according to Morningstar as Large Growth so it seems like I unconsciously knew that owning Value in large amounts would not be a good idea for me even before I know what a Excess Kurtosis or Skewness means.
Wouldn't this lend credence to the idea the SCV stocks are riskier and hence have higher expected return due to a higher risk premium?
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Re: Small Cap Value heads Rejoice !!!

Post by Anon9001 »

HippoSir wrote: Tue Jan 19, 2021 11:03 am
Yes it should have higher expected return due to how risky it is when you consider Kurtosis and Skewness in addition to variance. Of course higher expected return is not guaranteed. I think that if you don't like owning Junk Bonds/Selling Options you should not own SCV stocks due to how similar they are in negative skew and high excess kurtosis.
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Park
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Re: Small Cap Value heads Rejoice !!!

Post by Park »

https://papers.ssrn.com/sol3/papers.cfm ... id=2980497

"We hypothesize that the common stock portfolio returns of value investors will be more negatively skewed, or at least lower than that of gamblers. Similarly, we hypothesize that the kurtosis of portfolio returns of value investors will be greater than that of gamblers. Using stock returns data from NYSE from 1999 to 2013, we created two portfolios based on price-to-book ratio: one we call quasi value (lowest price-to-book) and the other glamour portfolios (highest price-to-book). We then compared the higher moments of both sets of portfolios. The results show that contrary to what we hypothesized, the returns of glamour portfolios had lower skewness than the quasi value portfolios. However, as hypothesized, the kurtosis of the quasi value portfolios were higher than those of the glamour portfolios."
"
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Steve Reading
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Re: Small Cap Value heads Rejoice !!!

Post by Steve Reading »

Anon9001 wrote: Tue Jan 19, 2021 3:04 am If you combine negative skewness with high Excess Kurtosis you get Value stocks. The problem is who would want to buy such things? Junk bonds share this same characteristic yet there is no enthusiasm for owning them. Funnily enough the Index Portfolio is also negatively skewed but has less Excess Kurtosis than Value stocks so still less risky. I would say there is no free lunch here. If you don't like selling options/owning junk bonds (due to their negative skewness and high Excess Kurtosis) you should also not own Value stocks. This is a good thing for the tilters though who don't mind selling options/owning junk bonds as there is indeed a risk factor for Value stocks which should guarantee that it won't be arbitraged away. I personally don't like owning junk bonds/selling options so I would not own Value stocks in large amounts. My only equity fund is classified according to Morningstar as Large Growth so it seems like I unconsciously knew that owning Value in large amounts would not be a good idea for me even before I know what a Excess Kurtosis or Skewness means.
Do you have some numbers at least? Volatility selling has a kurtosis of 5x the market during normal times, and about 10x the market during volatile times (like GFC). Do we see anywhere close to that kurtosis from value?

More importantly, volatility selling is strongly correlated to the market (which makes it an undiversifiable and potentially compensated risk). Do we see a very high correlation between value and the market?

Lots of things have higher kurtosis than the market (ex: NASDAQ). So as good small-cap value heads, we should demand very high evidence and not just default to our confirmation bias that kurtosis leads to a value premium, no matter how much we want to.
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

Anon9001 wrote: Tue Jan 19, 2021 11:09 am
HippoSir wrote: Tue Jan 19, 2021 11:03 am
Yes it should have higher expected return due to how risky it is when you consider Kurtosis and Skewness in addition to variance. Of course higher expected return is not guaranteed. I think that if you don't like owning Junk Bonds/Selling Options you should not own SCV stocks due to how similar they are in negative skew and high excess kurtosis.
This is a non-sequitur: skew and kurtosis are not the ONLY relevant characteristics that investors should (or do) consider.

For instance, small cap value stocks typically have much lower transaction costs and much greater liquidity than junk bonds do. Selling options is a much more active strategy than buying and holding a fund like Vanguard Small-Cap Value ETF (VBR). I can't sell options in my 401k plan. And so on.

In other words, an investor might "not like owning Junk Bonds/Selling Options" for reasons having nothing to do with skew and/or kurtosis.
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Re: Small Cap Value heads Rejoice !!!

Post by Anon9001 »

Steve Reading wrote: Tue Jan 19, 2021 11:39 am
You are correct about Volatility Selling having higher kurtosis than Value. But what I am saying is that all these things have more negative skew,higher kurtosis than market and if you don't like having a larger chance of rare severe loss compared to market you should not put money into these. This would mean a risk premium for people who tolerate larger chance of rare severe loss than market. Long-short value has low correlation but most tilters are not using that and from PV we get 0.85-0.9 for US,0.89-0.96 for Ex-US Long Only Value. DFSVX,DFLVX has higher Kurtosis and more Negative Skew than QQQ. (Scroll Down to Metrics tab of PV).
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nzahir
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Re: Small Cap Value heads Rejoice !!!

Post by nzahir »

Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?

You are betting on a specific portion on the market though the premium may or may not be coming back.

Seems like scv grows quicker after a huge correction/market crash and large cap companies take over the later portion of the bull run, right?

Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want? Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing

I wonder if smaller companies (or at least in terms of the stock market) do or will face a tougher road for growth in the future with large companies usually having advantages in terms of being able to raise money or get lending for cheaper. Anything else I am missing in terms that favor large cap?

Why not even Tech/Innovation vs SCV? I am playing devils advocate, but just want to get some people's thoughts
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

nzahir wrote: Fri Jan 22, 2021 12:07 pm Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?

You are betting on a specific portion on the market though the premium may or may not be coming back.

Seems like scv grows quicker after a huge correction/market crash and large cap companies take over the later portion of the bull run, right?

Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want? Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing

I wonder if smaller companies (or at least in terms of the stock market) do or will face a tougher road for growth in the future with large companies usually having advantages in terms of being able to raise money or get lending for cheaper. Anything else I am missing in terms that favor large cap?

Why not even Tech/Innovation vs SCV? I am playing devils advocate, but just want to get some people's thoughts
Because investing in a few high conviction stocks is far riskier with no “market” premium.

A factor based play is well diversified with a market premium and potential factor premium
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Re: Small Cap Value heads Rejoice !!!

Post by Anon9001 »

nzahir wrote: Fri Jan 22, 2021 12:07 pm
A better idea would be UPRO/SSO or Index Futures and Options if one doesn't like Volatility Decay.
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Re: Small Cap Value heads Rejoice !!!

Post by KyleAAA »

nzahir wrote: Fri Jan 22, 2021 12:07 pm Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?
nzahir wrote: Fri Jan 22, 2021 12:07 pm You are betting on a specific portion on the market though the premium may or may not be coming back.
No, I'm betting on three different, uncorrelated sources of market return whereas total market indexers are betting on just one.
nzahir wrote: Fri Jan 22, 2021 12:07 pm Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want?
Because small/value tilting is a much more efficient way to invest and is likely to lead to better outcomes.
nzahir wrote: Fri Jan 22, 2021 12:07 pm Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing
I have no need to gamble or have fun with investing.
nzahir wrote: Fri Jan 22, 2021 12:07 pm Why not even Tech/Innovation vs SCV? I am playing devils advocate, but just want to get some people's thoughts
A quality tilt is also a valid strategy, but there are two reasons I prefer a small/value tilt:
1.) The quality factor is much less well established in the literature, IMO.
2.) Value has historically had a larger premium vs Quality and has had mildly favorable correlation properties wrt market beta.
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Re: Small Cap Value heads Rejoice !!!

Post by JamesDean44 »

nzahir wrote: Fri Jan 22, 2021 12:07 pm Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?

You are betting on a specific portion on the market though the premium may or may not be coming back.

Seems like scv grows quicker after a huge correction/market crash and large cap companies take over the later portion of the bull run, right?

Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want? Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing

I wonder if smaller companies (or at least in terms of the stock market) do or will face a tougher road for growth in the future with large companies usually having advantages in terms of being able to raise money or get lending for cheaper. Anything else I am missing in terms that favor large cap?

Why not even Tech/Innovation vs SCV? I am playing devils advocate, but just want to get some people's thoughts
I don't think it remotely resembles stock picking.
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

nzahir wrote: Fri Jan 22, 2021 12:07 pm Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?

You are betting on a specific portion on the market though the premium may or may not be coming back.

Seems like scv grows quicker after a huge correction/market crash and large cap companies take over the later portion of the bull run, right?

Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want? Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing
My preferred SCV fund is AVUV, which currently has holdings in 544 companies. That's a very far cry from "a few companies," and it provides very good exposure to the small and value factors, which are largely objectively defined variables with a solid track record of data behind them over both time and geography. That's no comparison whatsoever to picking "a few companies you have conviction on."
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Re: Small Cap Value heads Rejoice !!!

Post by nzahir »

willthrill81 wrote: Fri Jan 22, 2021 10:07 pm
nzahir wrote: Fri Jan 22, 2021 12:07 pm Hey guys, for those that choose to tilt to SCV, do you feel like it is somewhat like stock picking?

You are betting on a specific portion on the market though the premium may or may not be coming back.

Seems like scv grows quicker after a huge correction/market crash and large cap companies take over the later portion of the bull run, right?

Why not just pick a few companies you have high conviction on for 10-20% max of your portfolio and then the rest being vtsax, vtiax, and bonds if you want? Higher risk, but also chance for higher return and can get rid of your need to gamble/have some fun with investing
My preferred SCV fund is AVUV, which currently has holdings in 544 companies. That's a very far cry from "a few companies," and it provides very good exposure to the small and value factors, which are largely objectively defined variables with a solid track record of data behind them over both time and geography. That's no comparison whatsoever to picking "a few companies you have conviction on."
All fair points, mostly playing devils advocate, especially since many bogleheads will say just go with only total US and total Int and bonds if you want

Avuv looks like a solid fund. IJS or SLYV are also very good I think and a bit cheaper
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Re: Small Cap Value heads Rejoice !!!

Post by freyj6 »

I mostly use AVUV as well (and VBR due to 401k constraints).

I think IShare’s SMLF fund is interesting as well and I have a small allocation to it. Lighter value tilt (but still more than VBR if I remember correctly) and higher on other factors.

QVAL is interesting if you like the larger caps as well.

Has anyone looked into DEEP btw? I know the expense ratio is off putting, but it does seem to offer much deeper value/size loadings than any low-cost fund. Thoughts?
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Re: Small Cap Value heads Rejoice !!!

Post by fennewaldaj »

The Gamestop craziness was enough to shoot IJS up 1.5% this morning (and then cause it to crash down as gamestop crashed)
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Re: Small Cap Value heads Rejoice !!!

Post by zonto »

Does anyone know where to find info on qualified dividend income in 2020 for Avantis ETFs? I found the 2019 information in the Tax Center: https://www.avantisinvestors.com/conten ... ncome.html, but nothing for 2020. I'm considering an allocation to AVDV (international small cap value), but would likely have to place some or all of the allocation in a brokerage account.

Also interested in any other research re: tax efficiency for its competitors. VSS for example had only 56% QDI for 2020 (source), which is why I have not added it in years past.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

I've searched and read pretty much every thread on the forums about getting factor exposure to emerging markets. Aside from arguably the Wisdom Tree EM Small Cap Dividend fund, there aren't really any options for SCV. There doesn't seem to be a wide consensus on which fund is best for more general value or factor exposure, but based on the other threads, these are the funds I'm considering:

PXH- FTSE RAFI Emerging Markets Index
FNDE- RAFI Emerging Markets Large Company Index.
AVEM- Avantis methodology

I'm leaning towards using PHX in my tax advantaged accounts and AVEM in my taxable. Thoughts?

Edit: I know I said I didn't care about factor exposure in EMs before, but I changed my mind and would like a slight tilt here as well. I wish they had a AVDV equivalent for EM.
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

fennewaldaj wrote: Tue Jan 26, 2021 12:56 am The Gamestop craziness was enough to shoot IJS up 1.5% this morning (and then cause it to crash down as gamestop crashed)
GME is now 0.86% of the fund (not counting of AH). Bbby (bed bath and beyond) is also up to 1% of viov/ijs. Gme started the year at 0.12%. Anything actionable if gme squeeze continues tomorrow. 50% move in ah for gme stock wouls be worth = .43% up for the fund. 20% move in bby ah would be worth .2% up for fund. Its only a matter of time before these two dump.
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

Massdriver wrote: Tue Jan 26, 2021 2:53 pm PXH- FTSE RAFI Emerging Markets Index
FNDE- RAFI Emerging Markets Large Company Index.
AVEM- Avantis methodology

I'm leaning towards using PHX in my tax advantaged accounts and AVEM in my taxable. Thoughts?
It's more expensive than AVEM (0.33%) but I went with EMGF (0.45%) as even though it's multi-factor it has stronger value exposure than AVEM provides (along with good momentum and quality exposure as well).
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

Massdriver wrote: Tue Jan 26, 2021 2:53 pm I've searched and read pretty much every thread on the forums about getting factor exposure to emerging markets. Aside from arguably the Wisdom Tree EM Small Cap Dividend fund, there aren't really any options for SCV. There doesn't seem to be a wide consensus on which fund is best for more general value or factor exposure, but based on the other threads, these are the funds I'm considering:

PXH- FTSE RAFI Emerging Markets Index
FNDE- RAFI Emerging Markets Large Company Index.
AVEM- Avantis methodology

I'm leaning towards using PHX in my tax advantaged accounts and AVEM in my taxable. Thoughts?

Edit: I know I said I didn't care about factor exposure in EMs before, but I changed my mind and would like a slight tilt here as well. I wish they had a AVDV equivalent for EM.
If you want a slight tilt I think AVEM fits the bill I think. It has a decent amount of mid and small cap too.
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

Pawpatrol wrote: Tue Jan 26, 2021 10:26 pm
fennewaldaj wrote: Tue Jan 26, 2021 12:56 am The Gamestop craziness was enough to shoot IJS up 1.5% this morning (and then cause it to crash down as gamestop crashed)
GME is now 0.86% of the fund (not counting of AH). Bbby (bed bath and beyond) is also up to 1% of viov/ijs. Gme started the year at 0.12%. Anything actionable if gme squeeze continues tomorrow. 50% move in ah for gme stock wouls be worth = .43% up for the fund. 20% move in bby ah would be worth .2% up for fund. Its only a matter of time before these two dump.
I decided to let this be the push to finally switch to avuv from viov/ijs. i saw that avuv happen to not own gamestop and owned less of bbby as well. These funds have diverged a bit in the last week with this craziness. Anyone else do the same?
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

Pawpatrol wrote: Tue Jan 26, 2021 10:26 pm
fennewaldaj wrote: Tue Jan 26, 2021 12:56 am The Gamestop craziness was enough to shoot IJS up 1.5% this morning (and then cause it to crash down as gamestop crashed)
GME is now 0.86% of the fund (not counting of AH). Bbby (bed bath and beyond) is also up to 1% of viov/ijs. Gme started the year at 0.12%. Anything actionable if gme squeeze continues tomorrow. 50% move in ah for gme stock wouls be worth = .43% up for the fund. 20% move in bby ah would be worth .2% up for fund. Its only a matter of time before these two dump.
I don't think S&P 600V does anything except at set times. AVUV could start unloading since they don't follow an index.

AVUV does hold Bbby (1/26)
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Massdriver
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

YRT70 wrote: Wed Jan 27, 2021 11:03 am
Massdriver wrote: Tue Jan 26, 2021 2:53 pm I've searched and read pretty much every thread on the forums about getting factor exposure to emerging markets. Aside from arguably the Wisdom Tree EM Small Cap Dividend fund, there aren't really any options for SCV. There doesn't seem to be a wide consensus on which fund is best for more general value or factor exposure, but based on the other threads, these are the funds I'm considering:

PXH- FTSE RAFI Emerging Markets Index
FNDE- RAFI Emerging Markets Large Company Index.
AVEM- Avantis methodology

I'm leaning towards using PHX in my tax advantaged accounts and AVEM in my taxable. Thoughts?

Edit: I know I said I didn't care about factor exposure in EMs before, but I changed my mind and would like a slight tilt here as well. I wish they had a AVDV equivalent for EM.
If you want a slight tilt I think AVEM fits the bill I think. It has a decent amount of mid and small cap too.
I know I used the word slight, but I could get that slight tilt with less money in a fund that has a greater tilt. I like AVEM, but I'm wondering if it's the optimal choice.
HippoSir wrote: Tue Jan 26, 2021 10:33 pm
I know I used the word slight, but I could get that slight tilt with less money in a fund that has a greater tilt. I like AVEM, but I'm wondering if it's the
Massdriver wrote: Tue Jan 26, 2021 2:53 pm PXH- FTSE RAFI Emerging Markets Index
FNDE- RAFI Emerging Markets Large Company Index.
AVEM- Avantis methodology

I'm leaning towards using PHX in my tax advantaged accounts and AVEM in my taxable. Thoughts?
It's more expensive than AVEM (0.33%) but I went with EMGF (0.45%) as even though it's multi-factor it has stronger value exposure than AVEM provides (along with good momentum and quality exposure as well).
What did you use to measure value exposure? If it was Portfolio Visualizer, what were your inputs?
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

Massdriver wrote: Wed Jan 27, 2021 11:44 am What did you use to measure value exposure? If it was Portfolio Visualizer, what were your inputs?
I find PV essentially useless for ex-US and emerging factor analysis. Even for US it's limited as it's based on just P/B IIRC. I use the etf.com FaCS analysis and the alpha architect fund screener:

Image

https://imgur.com/5iKfqwt
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

HippoSir wrote: Wed Jan 27, 2021 11:55 am
Massdriver wrote: Wed Jan 27, 2021 11:44 am What did you use to measure value exposure? If it was Portfolio Visualizer, what were your inputs?
I find PV essentially useless for ex-US and emerging factor analysis. Even for US it's limited as it's based on just P/B IIRC. I use the etf.com FaCS analysis and the alpha architect fund screener:

Image

https://imgur.com/5iKfqwt
Could you run that tool for DGS? According to PV it has no value loading but I wonder if that's accurate.

edit: just noticed that doesn't seem to show value loading?
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

YRT70 wrote: Wed Jan 27, 2021 12:29 pm edit: just noticed that doesn't seem to show value loading?
It shows the underlying metrics that go into various "value" loadings. All these tools define value differently so I prefer to just see P/E, EBIT/TEV, P/CF, B/P, etc... directly so I can make my own determination.
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

HippoSir wrote: Wed Jan 27, 2021 11:55 am
Massdriver wrote: Wed Jan 27, 2021 11:44 am What did you use to measure value exposure? If it was Portfolio Visualizer, what were your inputs?
I find PV essentially useless for ex-US and emerging factor analysis. Even for US it's limited as it's based on just P/B IIRC. I use the etf.com FaCS analysis and the alpha architect fund screener:

Image

https://imgur.com/5iKfqwt
I use the FaCS as well, but haven't checked into alpha architect yet.

Thanks for the feedback.
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Re: Small Cap Value heads Rejoice !!!

Post by e5116 »

Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....

I also hold FNDA (Schwab Fundament US Small Company) which is somewhat "in between the two." And, today's performance reflects that as well as it's currently up 0.13%.

Just haven't seen such a huge divergence in VIOV and VBR typically. Shows that these can't really be TLH partners -- I learned that lesson from Vanguard Small-Cap Tax Managed vs. Vanguard Small-Cap. Quite different.....The fund names may seem to suggest that though as the names are so similar. Whereas Large-Cap Index vs. Total Stock perform basically identically even though the names are much different. I guesss that's probably the case with funds that rely on smaller companies vs huge ones, as the few huge companies' make up such a large % of the funds so their performance drowns out the rest, whereas the "mix" of stocks when getting smaller has a much bigger impact.

Any thoughts on this? I think VIOV has been a better diversifier and have been leaning towards that, but have some VBR in taxable that don't want to sell for capital gains reasons.
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Steve Reading
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Re: Small Cap Value heads Rejoice !!!

Post by Steve Reading »

e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....

I also hold FNDA (Schwab Fundament US Small Company) which is somewhat "in between the two." And, today's performance reflects that as well as it's currently up 0.13%.

Just haven't seen such a huge divergence in VIOV and VBR typically. Shows that these can't really be TLH partners -- I learned that lesson from Vanguard Small-Cap Tax Managed vs. Vanguard Small-Cap. Quite different.....The fund names may seem to suggest that though as the names are so similar. Whereas Large-Cap Index vs. Total Stock perform basically identically even though the names are much different. I guesss that's probably the case with funds that rely on smaller companies vs huge ones, as the few huge companies' make up such a large % of the funds so their performance drowns out the rest, whereas the "mix" of stocks when getting smaller has a much bigger impact.

Any thoughts on this? I think VIOV has been a better diversifier and have been leaning towards that, but have some VBR in taxable that don't want to sell for capital gains reasons.
I'm less surprised by VBR's divergence from VIOV. They follow slightly different indices and, over the long-term, it really has not mattered:
https://www.portfoliovisualizer.com/bac ... ion2_2=100

I am much more surprised that VIOV has diverged from SLYV and IJS today, seeing that they follow they same index. Now THAT'S funky! Something's up with VIOV haha.
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YRT70
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Re: Small Cap Value heads Rejoice !!!

Post by YRT70 »

e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....
Probably something to do with Reddit...
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Re: Small Cap Value heads Rejoice !!!

Post by jpsfranks »

Steve Reading wrote: Wed Jan 27, 2021 2:54 pm I am much more surprised that VIOV has diverged from SLYV and IJS today, seeing that they follow they same index. Now THAT'S funky! Something's up with VIOV haha.
It seems like VIOV, IJS, and SLYV all closed pretty close to even for the day, while VBR closed down 2%.

I mentioned the VIOV/IJS vs VBR divergence also in another thread. I swapped from IJS to VBR today (in a retirement account). It seems like the S&P Small Cap Value 600 Index is being affected by this phenomenon more than the CRSP US Small Cap Value Index due to its holdings, and my thought was to maintain my SV allocation while perhaps taking some of the edge off what might be (the inevitable?) reversion of some of these recent valuations. It's a minor tweak and not going to make a big difference either way and it lets me pretend I did something without being more rash.
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

YRT70 wrote: Wed Jan 27, 2021 3:43 pm
e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....
Probably something to do with Reddit...
Is gme the s&p 600v lottery ticket?
fennewaldaj
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Re: Small Cap Value heads Rejoice !!!

Post by fennewaldaj »

e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....

I also hold FNDA (Schwab Fundament US Small Company) which is somewhat "in between the two." And, today's performance reflects that as well as it's currently up 0.13%.

Just haven't seen such a huge divergence in VIOV and VBR typically. Shows that these can't really be TLH partners -- I learned that lesson from Vanguard Small-Cap Tax Managed vs. Vanguard Small-Cap. Quite different.....The fund names may seem to suggest that though as the names are so similar. Whereas Large-Cap Index vs. Total Stock perform basically identically even though the names are much different. I guesss that's probably the case with funds that rely on smaller companies vs huge ones, as the few huge companies' make up such a large % of the funds so their performance drowns out the rest, whereas the "mix" of stocks when getting smaller has a much bigger impact.

Any thoughts on this? I think VIOV has been a better diversifier and have been leaning towards that, but have some VBR in taxable that don't want to sell for capital gains reasons.
This is entirely due to gamestop.
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....

I also hold FNDA (Schwab Fundament US Small Company) which is somewhat "in between the two." And, today's performance reflects that as well as it's currently up 0.13%.

Just haven't seen such a huge divergence in VIOV and VBR typically. Shows that these can't really be TLH partners -- I learned that lesson from Vanguard Small-Cap Tax Managed vs. Vanguard Small-Cap. Quite different.....The fund names may seem to suggest that though as the names are so similar. Whereas Large-Cap Index vs. Total Stock perform basically identically even though the names are much different. I guesss that's probably the case with funds that rely on smaller companies vs huge ones, as the few huge companies' make up such a large % of the funds so their performance drowns out the rest, whereas the "mix" of stocks when getting smaller has a much bigger impact.

Any thoughts on this? I think VIOV has been a better diversifier and have been leaning towards that, but have some VBR in taxable that don't want to sell for capital gains reasons.
As I mentioned above today i swapped viov for avuv as avuv owns no gme shares and also owns less Macy’s and bed bath and beyond than viov which also went up big the last few days in short squeeze. Also, while in general i avoid active funds, avuv can sell the Macy and bed bath and beyond stock anytime vs following an index. Avuv is diverged like 3%ish in the last few days which seems like almost a free lunch (at least pos ev).

I have the other half of my holding of scv in taxable from april 2020 TlH so i am SOL there. Gme is 2%ish of viov so its sad to know that 2% will dissapear and there is not much i can do about it.
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 »

AVUV is my primary vehicle but I still own a ton of SLYV due to gains. Agree that eventually its going to lag AVUV because of the now large position in GME.
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

I never thought I'd be asking this question, but is there a place where it's easy to look up how much of a fund is in one stock?

I hold QSMLX, a share class of AQR Small-Cap Multi-Style Fund, and the first place I looked was its Semi-Annual Report. Dated 9/30/20, it showed 41,906 shares held worth $427,441 out of $257,987,473 in total assets, making it only 0.17% of the fund. Theoretically, that same number of shares might make its holding in GameStop a whopping 5% of the fund now. However, it's also possible to check month-end holdings of funds on AQR's web site, in a format that is very difficult to use. As best I can tell, it didn't hold any shares in GameStop on 12/31/20.
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Re: Small Cap Value heads Rejoice !!!

Post by fennewaldaj »

If game stock is still up tomorrow when I wake up I will likely be trading all of my S+P 600 value for either S+P 400 value or VBR (likely to be traded back later). Not really the sort of thing I normally do but extraordinary time and such.
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Re: Small Cap Value heads Rejoice !!!

Post by sycamore »

Ketawa wrote: Thu Jan 28, 2021 12:02 am I never thought I'd be asking this question, but is there a place where it's easy to look up how much of a fund is in one stock?
One way is to view the fund on Morningstar and click on the "Portfolio" tab. https://www.morningstar.com/funds/xnas/qsmlx/portfolio
But the data there is relatively out-of-date from 09/30/2020.

Ideally the fund provider's web site should have more up-to-date info.
I see that https://funds.aqr.com/funds/aqr-small-c ... -fund#docs lists the top 10 stocks as of 12/31/2020.
At the bottom of the page there's a link for "Complete Holdings" which prompts you for an email address to send you info. No thanks.

This old article from Mike Piper (aka BH user obliviousinvestor) describes how to use the SEC database to get the latest reported data. Might be worth trying.
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Re: Small Cap Value heads Rejoice !!!

Post by Pawpatrol »

I am pretty frustrated. From looking at their daily holdings avuv on their website sold no shares of bed bath and beyond (up 44% yesterday and has been on a tear and now their top holding smh), or Macy’s. I thought the whole adv of this fund is that they can sell stock when they are not “value” anymore. Anyone else surprised?
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Re: Small Cap Value heads Rejoice !!!

Post by Steve Reading »

Pawpatrol wrote: Thu Jan 28, 2021 9:16 am I am pretty frustrated. From looking at their daily holdings avuv on their website sold no shares of bed bath and beyond (up 44% yesterday and has been on a tear and now their top holding smh), or Macy’s. I thought the whole adv of this fund is that they can sell stock when they are not “value” anymore.
The momentum screen is intended to be a feature, not a bug!
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e5116
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Re: Small Cap Value heads Rejoice !!!

Post by e5116 »

Pawpatrol wrote: Wed Jan 27, 2021 9:16 pm
e5116 wrote: Wed Jan 27, 2021 2:47 pm Interesting that today there is pretty wide divergence of VIOV (Vanguard S&P Small Cap 600 Value) and VBR (Vanguard Small-Cap Value). I hold both for various reasons. I recognize VIOV is smaller/more valuey, but typically they go in the same direction but VIOV is just magnified (i.e. if VBR is up, VIOV is up more, if VBR is down, VIOV is down more). But today, VIOV is UP 0.65% right now while VBR is down a whopping 1.7%, basically the same as Total Stock Market. Interesting to say the least....

I also hold FNDA (Schwab Fundament US Small Company) which is somewhat "in between the two." And, today's performance reflects that as well as it's currently up 0.13%.

Just haven't seen such a huge divergence in VIOV and VBR typically. Shows that these can't really be TLH partners -- I learned that lesson from Vanguard Small-Cap Tax Managed vs. Vanguard Small-Cap. Quite different.....The fund names may seem to suggest that though as the names are so similar. Whereas Large-Cap Index vs. Total Stock perform basically identically even though the names are much different. I guesss that's probably the case with funds that rely on smaller companies vs huge ones, as the few huge companies' make up such a large % of the funds so their performance drowns out the rest, whereas the "mix" of stocks when getting smaller has a much bigger impact.

Any thoughts on this? I think VIOV has been a better diversifier and have been leaning towards that, but have some VBR in taxable that don't want to sell for capital gains reasons.
As I mentioned above today i swapped viov for avuv as avuv owns no gme shares and also owns less Macy’s and bed bath and beyond than viov which also went up big the last few days in short squeeze. Also, while in general i avoid active funds, avuv can sell the Macy and bed bath and beyond stock anytime vs following an index. Avuv is diverged like 3%ish in the last few days which seems like almost a free lunch (at least pos ev).

I have the other half of my holding of scv in taxable from april 2020 TlH so i am SOL there. Gme is 2%ish of viov so its sad to know that 2% will dissapear and there is not much i can do about it.
Thanks. Today is weird too:

VBR +1.30%
VIOV +1.11%
AVUV +0.94%

GME is up 7% so if GME was the reason VIOV was so ahead of VBR yesterday, that clearly is NOT the narrative today and the GME holding isn't helping VIOV to outperform VBR...

I hold VBR, VIOV, and SLYV. Was considering swapping VIOV and SLYV for AVUV today, but now I'm not so sure....Probably won't make much of a difference in the long-run. VBR seems a bit different in that it has a larger mid-cap holding I believe.

The AVUV underperformance could be because of what you mentioned above in not selling BB&B (down 11% today) although Macy's is actually up another 3% today. I think I'm going to stick with the index funds...but maybe I'll swap VIOV/SLYV for some VBR. Would that be silly? This is all in Roth so no tax consequences.
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

sycamore wrote: Thu Jan 28, 2021 6:59 am
Ketawa wrote: Thu Jan 28, 2021 12:02 am I never thought I'd be asking this question, but is there a place where it's easy to look up how much of a fund is in one stock?
One way is to view the fund on Morningstar and click on the "Portfolio" tab. https://www.morningstar.com/funds/xnas/qsmlx/portfolio
But the data there is relatively out-of-date from 09/30/2020.

Ideally the fund provider's web site should have more up-to-date info.
I see that https://funds.aqr.com/funds/aqr-small-c ... -fund#docs lists the top 10 stocks as of 12/31/2020.
At the bottom of the page there's a link for "Complete Holdings" which prompts you for an email address to send you info. No thanks.

This old article from Mike Piper (aka BH user obliviousinvestor) describes how to use the SEC database to get the latest reported data. Might be worth trying.
I suspect the Morningstar data comes from the Semi-Annual Report. I used the "Complete Holdings" link to get the data for 12/31/2020, but it was presented 10 holdings at a time, in alphabetical order by name of the company, without ticker symbols, and requiring an agreement that the data wouldn't be used for commercial purposes. I suppose there is a good reason for fund companies like AQR to keep the secret sauce a little obscure.
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Re: Small Cap Value heads Rejoice !!!

Post by vineviz »

e5116 wrote: Thu Jan 28, 2021 10:19 am I think I'm going to stick with the index funds...but maybe I'll swap VIOV/SLYV for some VBR. Would that be silly? This is all in Roth so no tax consequences.
It's not silly to use two different SCV funds. The idiosyncratic implementation risks of VIOV/SLYV are very low, but in this case you'd be reducing those risks (albeit every so slightly) and also saving a bit on management costs by splitting your SCV allocation across the two different index methodologies. Probably not worth worrying about unless VIOV/SLYV is >10% of the portfolio, but since the transaction cost is low....
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e5116
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Re: Small Cap Value heads Rejoice !!!

Post by e5116 »

vineviz wrote: Thu Jan 28, 2021 11:11 am
e5116 wrote: Thu Jan 28, 2021 10:19 am I think I'm going to stick with the index funds...but maybe I'll swap VIOV/SLYV for some VBR. Would that be silly? This is all in Roth so no tax consequences.
It's not silly to use two different SCV funds. The idiosyncratic implementation risks of VIOV/SLYV are very low, but in this case you'd be reducing those risks (albeit every so slightly) and also saving a bit on management costs by splitting your SCV allocation across the two different index methodologies. Probably not worth worrying about unless VIOV/SLYV is >10% of the portfolio, but since the transaction cost is low....
Yeah, I think "splitting the difference" and going in on both is the best way to emotionally hedge and not have regrests. I have about 15% of my equities in SCV. I need to do the math to see the split between VBR/VIOV/SLYV/FNDA.....VIOV/SLYV are the same index, but VBR and FNDA are unique/different.
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Re: Small Cap Value heads Rejoice !!!

Post by stocknoob4111 »

well, Small Caps in meltdown again... well, good while it lasted I guess. Gosh, this asset class is just more challenging than I thought it would be.
e5116
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Re: Small Cap Value heads Rejoice !!!

Post by e5116 »

stocknoob4111 wrote: Thu Jan 28, 2021 11:31 am well, Small Caps in meltdown again... well, good while it lasted I guess. Gosh, this asset class is just more challenging than I thought it would be.
VB (Vanguard Small-Cap) up 0.65% today...Seems the value side is what is getting crushed as well as smaller market cap. (VB is kinda edge of small/mip). But, yes, this asset class is hard to figure out and seems to have major variability depending on what specific index it tracks.
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

stocknoob4111 wrote: Thu Jan 28, 2021 11:31 am well, Small Caps in meltdown again... well, good while it lasted I guess. Gosh, this asset class is just more challenging than I thought it would be.
Over the last 1, 3, and 6 months, AVUV is still far ahead of VTI. AVUV is only 3.6% off its high on January 14th.

If you think that's challenging, factor investing may not be your cup of tea.
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