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FF Factor based Quant ETFs

Posted: Tue Oct 06, 2020 7:51 am
by nirajn123
Bit of a theoretical question but if Dimensional or Avantis ETFs were to be available in the Europe in future, would you switch to those? Anyone has any thoughts on when EU version of these is likely to be available?

Re: FF Factor based Quant ETFs

Posted: Tue Oct 06, 2020 9:55 am
by typical.investor
nirajn123 wrote: Tue Oct 06, 2020 7:51 am Bit of a theoretical question but if Dimensional or Avantis ETFs were to be available in the Europe in future, would you switch to those? Anyone has any thoughts on when EU version of these is likely to be available?
Luxembourg has:

PIMCO RAFI Dynamic Multi-Factor U.S. Equity Fund - IE00BFZ89D93 - GIS

PIMCO RAFI Dynamic Multi-Factor Europe Equity Fund - IE00BFZ89395 - GIS

PIMCO RAFI Dynamic Multi-Factor Global Developed Equity Fund - IE00BFZ89H32 - GIS

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity Fund - IE00BFZ89510 - GIS

Re: FF Factor based Quant ETFs

Posted: Tue Oct 06, 2020 11:37 am
by nirajn123
Thanks, I am UK based and I don't see those being available here - certainly not with my broker. If one is after multi-factor, there is London listed JPGL & HWWA - I do need to look at them in more details. For this post though, I was specifically looking to see if we have the filtered Small cap value type products from Aventis or Dimensional or similar.

Re: FF Factor based Quant ETFs

Posted: Sat Oct 17, 2020 8:55 am
by mucgoo
JPGL looks to have great construction. Third each of value, momentum and quality scores composited. Geography constraints (by region) and industry weighted by inverse volatility. Stock weighing is by factor score with liquidity constraints.

https://research.ftserussell.com/produc ... yfWNLwqHZi
PDF link

HWWA is a black box.

Re: FF Factor based Quant ETFs

Posted: Sun Oct 18, 2020 7:32 am
by c-strong
I did a factor regression on HWWA a while back. I don’t remember the details but it’s basically a quality/large cap blend fund masquerading as a multi-factor fund. JPLG looks good but isn’t available with my broker (HL).

I think DFA funds are available but only through advisers. This has been the case for a long time so is unlikely to change.

For small cap value though, take a look at USSC and EUSV (there isn’t a global fund). EUSV includes the UK. There isn’t a small cap value EM fund, but DGSE is a small cap divi fund with good value metrics.