How to imitate DFA Global Equity Portfolio with ETF?

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flash_os
Posts: 6
Joined: Mon Sep 21, 2020 9:53 pm

How to imitate DFA Global Equity Portfolio with ETF?

Post by flash_os »

Interesting about DFA Global Equity Portfolio.

Do you know how to imitate DFA Global Equity Portfolio with ETF as a personal investor?
snailderby
Posts: 1248
Joined: Thu Jul 26, 2018 11:30 am

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by snailderby »

Welcome to the forum! Are you looking for a global equity portfolio with a small-cap/value tilt? If so, here are a few ways to get there with ETFs:

1. Use VT (Vanguard Total World Stock Index Fund ETF) as a starting point and add VBR (Vanguard Small-Cap Value Index Fund ETF), SLYV (SPDR S&P 600 Small Cap Value ETF), or AVUV (Avantis U.S. Small Cap Value ETF); AVDV (Avantis International Small Cap Value ETF); and AVEM (Avantis Emerging Markets Equity ETF) to taste.

2. Use AVUS (Avantis U.S. Equity ETF), AVDE (Avantis International Equity ETF), and AVEM (Avantis Emerging Markets Equity ETF).

3. Use Dimensional's new ETFs when they come out later this year. See https://www.dimensional.com/us-en/insig ... -structure.
MotoTrojan
Posts: 10708
Joined: Wed Feb 01, 2017 8:39 pm

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by MotoTrojan »

snailderby wrote: Tue Sep 22, 2020 9:48 am Welcome to the forum! Are you looking for a global equity portfolio with a small-cap/value tilt? If so, here are a few ways to get there with ETFs:

1. Use VT (Vanguard Total World Stock Index Fund ETF) as a starting point and add VBR (Vanguard Small-Cap Value Index Fund ETF), SLYV (SPDR S&P 600 Small Cap Value ETF), or AVUV (Avantis U.S. Small Cap Value ETF); AVDV (Avantis International Small Cap Value ETF); and AVEM (Avantis Emerging Markets Equity ETF) to taste.

2. Use AVUS (Avantis U.S. Equity ETF), AVDE (Avantis International Equity ETF), and AVEM (Avantis Emerging Markets Equity ETF).

3. Use Dimensional's new ETFs when they come out later this year. See https://www.dimensional.com/us-en/insig ... -structure.
Good advice. Personally I would avoid the DFA ETFs as they are the more diluted factor tilt core funds so not a lot of bang-for-your-buck. I don't know the exact make-up of the global equity portfolio but I would go with your #1 here and use a core position in VT for low-cost total-world beta exposure, and then hold AVUV, AVDE, and AVEM at say 50/30/20 or similar proportion close to total world make-up, diluted down to however much tilt you want to small value. AVUV could be replaced with VBR as noted above to get the expense ratio down a bit further, but you'd need to hold a bit more of it to get the same factor tilt; if you are already using AVDE/AVEM, might as well go all-in with Avantis and just use AVUV.
Topic Author
flash_os
Posts: 6
Joined: Mon Sep 21, 2020 9:53 pm

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by flash_os »

Thanks guys.

What do you think about if I will view it as Global Asset Allocation per Global Regions (countries)?

Since this fund is very global diversified one, with 13540 stocks!

I took https://markets.businessinsider.com/fun ... 25434d6748
as Global Asset Allocation overview.
Image



Engaged "Developer tools" on Chrome (Ctrl+Shift+I) in order to see more in details Global Asset Allocation per countries:

['Romania',0.0017],
['Ireland',0.1263],
['Colombia',0.0188],
['Liechtenstein',0.0031],
['Sweden',0.5391],
['British Virgin Islands',0.0008],
['Finland',0.3228],
['Qatar',0.0008],
['Cambodia',0.0079],
['China',2.176],
['Portugal',0.0423],
['Israel',0.1563],
['Netherlands',0.6331],
['Turkey',0.0626],
['United States',71.7609],
['Switzerland',1.5806],
['Brazil',0.4315],
['France',1.4277],
['United Arab Emirates',0.0014],
['Spain',0.4208],
['Pakistan',0.0019],
['Saudi Arabia',0.0123],
['Thailand',0.1845],
['Malaysia',0.1704],
['Luxembourg',0.0105],
['Indonesia',0.1575],
['Czech Republic',0.0094],
['Canada',1.6746],
['Poland',0.0667],
['New Zealand',0.1006],
['Australia',1.1583],
['Germany',1.4108],
['Egypt',0.0177],
['Japan',4.8383],
['Cyprus',0.0004],
['Iraq',0.0004],
['Laos',0.0003],
['Ukraine',0.0017],
['Singapore',0.2937],
['Papua New Guinea',0.0046],
['Monaco',0.0016],
['Puerto Rico',0.0553],
['Taiwan',1.2423],
['Marshall Islands',0.0104],
['Hungary',0.0206],
['Zimbabwe',0.0001],
['Austria',0.0989],
['Norway',0.1376],
['Kuwait',0.004],
['Gabon',0.0001],
['Vietnam',0.0024],
['Malta',0.0034],
['Italy',0.4483],
['Philippines',0.0729],
['Greece',0.0193],
['Mexico',0.1628],
['Denmark',0.3806],
['Hong Kong',0.4988],
['United Kingdom',2.8788],
['Belgium',0.2423],
['South Korea',0.9595],
['Burkina Faso',0.0035],
['India',0.849],
['Bermuda',0.0094],
['Russia',0.0994],
['South Africa',0.3197],
['Chile',0.064],
['Peru',0.0084],
['Macao',0.0121],
['Cayman Islands',0.0001]


Could see that...
Emerging Markets is 4.9%
North America: 72.7%
Europe: 14.7%
Developed Asia Pacific: 7.7%

4.9+72.7+14.7+7.7=100%

If I will imitate DFA with Vanguard ETF per asset allocation:
VWO Vanguard FTSE Emerging Markets
VUN U.S. Total Market Index
VGK Vanguard FTSE Europe
VPL Vanguard FTSE Pacific

What do you think?
MotoTrojan
Posts: 10708
Joined: Wed Feb 01, 2017 8:39 pm

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by MotoTrojan »

flash_os wrote: Tue Sep 22, 2020 11:21 am

Could see that...
Emerging Markets is 4.9%
North America: 72.7%
Europe: 14.7%
Developed Asia Pacific: 7.7%

4.9+72.7+14.7+7.7=100%

If I will imitate DFA with Vanguard ETF per asset allocation:
VWO Vanguard FTSE Emerging Markets
VUN U.S. Total Market Index
VGK Vanguard FTSE Europe
VPL Vanguard FTSE Pacific

What do you think?
Are you a US investor? I don't recognize VUN doesn't look like a US ETF; VTI would be US Total Market.

If you just want to hold the global weight you can buy VT and get similar to what you have here (you are tilted a bit to US) far more efficiently than buying these 4 individually.

DFA Global Equity Portfolio has some factor tilts though I presume, as that is what DFA is known for (value, quality/profitability, size); thus what you have here is not really replicating the DFA portfolio, but it sounds like factor tilts aren't actually that important to you.

If you just want global equity exposure VT is the way to go. If you want to tune in your US a bit further you can split it into VTI (US) and VXUS (ex-US, including developed and emerging markets at market weight) and hold that at 70/30 or whatever you are comfortable with.

If you want factor tilts, there are many options, but again it doesn't sound like you are interested or were even aware that is what DFA is doing.
Topic Author
flash_os
Posts: 6
Joined: Mon Sep 21, 2020 9:53 pm

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by flash_os »

Canadian.
But looked to simplify the idea.
RNJ
Posts: 843
Joined: Mon Apr 08, 2013 9:06 am

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by RNJ »

See this great series of posts by Robert T: viewtopic.php?f=10&t=7353
manlymatt83
Posts: 200
Joined: Tue Jan 30, 2018 8:23 am

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by manlymatt83 »

MotoTrojan wrote: Tue Sep 22, 2020 10:00 am
snailderby wrote: Tue Sep 22, 2020 9:48 am Welcome to the forum! Are you looking for a global equity portfolio with a small-cap/value tilt? If so, here are a few ways to get there with ETFs:

1. Use VT (Vanguard Total World Stock Index Fund ETF) as a starting point and add VBR (Vanguard Small-Cap Value Index Fund ETF), SLYV (SPDR S&P 600 Small Cap Value ETF), or AVUV (Avantis U.S. Small Cap Value ETF); AVDV (Avantis International Small Cap Value ETF); and AVEM (Avantis Emerging Markets Equity ETF) to taste.

2. Use AVUS (Avantis U.S. Equity ETF), AVDE (Avantis International Equity ETF), and AVEM (Avantis Emerging Markets Equity ETF).

3. Use Dimensional's new ETFs when they come out later this year. See https://www.dimensional.com/us-en/insig ... -structure.
Good advice. Personally I would avoid the DFA ETFs as they are the more diluted factor tilt core funds so not a lot of bang-for-your-buck. I don't know the exact make-up of the global equity portfolio but I would go with your #1 here and use a core position in VT for low-cost total-world beta exposure, and then hold AVUV, AVDE, and AVEM at say 50/30/20 or similar proportion close to total world make-up, diluted down to however much tilt you want to small value. AVUV could be replaced with VBR as noted above to get the expense ratio down a bit further, but you'd need to hold a bit more of it to get the same factor tilt; if you are already using AVDE/AVEM, might as well go all-in with Avantis and just use AVUV.
Did you mean AVUV, AVDV, and AVEM here?, or AVUS, AVDE, and AVEM? Otherwise, isn't what you mentioned a US SCV tilt with just more of what would already be in VT's international alocation?
MotoTrojan
Posts: 10708
Joined: Wed Feb 01, 2017 8:39 pm

Re: How to imitate DFA Global Equity Portfolio with ETF?

Post by MotoTrojan »

manlymatt83 wrote: Fri Sep 25, 2020 12:36 pm
MotoTrojan wrote: Tue Sep 22, 2020 10:00 am
snailderby wrote: Tue Sep 22, 2020 9:48 am Welcome to the forum! Are you looking for a global equity portfolio with a small-cap/value tilt? If so, here are a few ways to get there with ETFs:

1. Use VT (Vanguard Total World Stock Index Fund ETF) as a starting point and add VBR (Vanguard Small-Cap Value Index Fund ETF), SLYV (SPDR S&P 600 Small Cap Value ETF), or AVUV (Avantis U.S. Small Cap Value ETF); AVDV (Avantis International Small Cap Value ETF); and AVEM (Avantis Emerging Markets Equity ETF) to taste.

2. Use AVUS (Avantis U.S. Equity ETF), AVDE (Avantis International Equity ETF), and AVEM (Avantis Emerging Markets Equity ETF).

3. Use Dimensional's new ETFs when they come out later this year. See https://www.dimensional.com/us-en/insig ... -structure.
Good advice. Personally I would avoid the DFA ETFs as they are the more diluted factor tilt core funds so not a lot of bang-for-your-buck. I don't know the exact make-up of the global equity portfolio but I would go with your #1 here and use a core position in VT for low-cost total-world beta exposure, and then hold AVUV, AVDE, and AVEM at say 50/30/20 or similar proportion close to total world make-up, diluted down to however much tilt you want to small value. AVUV could be replaced with VBR as noted above to get the expense ratio down a bit further, but you'd need to hold a bit more of it to get the same factor tilt; if you are already using AVDE/AVEM, might as well go all-in with Avantis and just use AVUV.
Did you mean AVUV, AVDV, and AVEM here?, or AVUS, AVDE, and AVEM? Otherwise, isn't what you mentioned a US SCV tilt with just more of what would already be in VT's international alocation?
VT gets you lowcost global beta/market factor exposure, then you use those other three to tilt to value, size, and profitability. AVUV isn't as concentrated as AVUS for example so you'd need to hold a lot more of it to get whatever your target tilt is. By using the core low-cost VT holding and smaller amounts of concentrated SCV funds (I know AVEM isn't small) you can reduce overall expenses and boost efficiency while hitting the same target.

EDIT: Ah I see I typed AVDE... yes I meant AVDV but left the above reply for context.
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