I did a long time ago. The factor exposure of MSCI multifactor indices is extremely poor. For example:YRT70 wrote: ↑Thu Nov 28, 2019 12:02 pmToo bad we can't buy VFMF in the Netherlands. iShares has a bunch of multifactor funds available in Europe. Have you done any analysis on them? https://www.justetf.com/de-en/find-etf. ... ultifactorUncorrelated wrote: ↑Thu Nov 28, 2019 7:34 amWhen I add VFMF, this fund dominates all other funds by an extremely large margin. I have to discount VFMF' factor exposure by 2 and the momentum exposure by 4 before it even starts to consider other funds. I believe this is because the FF2013 factor data I used has similar premia for all different factors (except bond factors) and VFMF is the fund that has the most balanced factor exposure out of the fund selection.
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R^2: 0.86 adj R^2: 0.86 | |annualized alpha|beta |SmB |HmL |RmW |CmA |MoM :--|:--|:--|:--|:--|:--|:--|:-- |IFSU, iShares Edge MSCI USA Multifactor UCITS ETF | -2.15%| 0.92| 0.07| 0.01| 0.10| 0.10| 0.01| |t stat | -0.82| 67.65| 3.11| 0.45| 3.24| 2.53| 0.87| expected outperformance based on 50% factor premia: 0.19% + alpha Based on 3.7 years of data, 248 data points per year (2015-09-03 to 2019-05-31)