Factor Exposures for MSCI Value Momentum Blend Indexes

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thedeadlybishop
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Joined: Wed Sep 17, 2014 1:44 am

Factor Exposures for MSCI Value Momentum Blend Indexes

Post by thedeadlybishop » Fri Sep 14, 2018 9:46 am

I was really excited to see some value and momentum blend ETFs come out via USAA with some reasonable expense ratios (currently offered at a 5bps discount). Especially since the MSCI marketing materials showed a factor exposure of ~0.3 for Value and ~0.25 for Momentum for the USA index https://www.msci.com/documents/1296102 ... ddedaab2bc

List of ETFs on offer
USAA MSCI USA Value Mom Blend Index ETF (ULVM) (ER 0.2%)
USAA MSCI USA Small Cap Select Value Momentum Blend Index (USVM) (ER 0.25%)
USAA MSCI World ex USA Select Value Momentum Blend Index (UIVM) (ER 0.35%)
USAA MSCI Emerging Markets Value Momentum Blend Index ETF (UEVM) (ER 0.45%)

However, when I ran the factor regressions on the backtested (from 1999 for the large cap and 2008 for the small cap) data I got a markedly lower Momentum factor exposure for both and not much of a value factor for the small cap. Data can be downloaded here: https://app2.msci.com/eqb/select_value_ ... 0.all.html
Note the data seems to only be available for the USA ones so could not test the ex-US ETF.

Image

I wanted to see if others are getting the same result (I dont think I am running the regression wrong but I am hoping I am :D ).
Would love to combine these two factors in a single ETF but doesnt seem like MSCI Indexes are doing what they advertise.

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whodidntante
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Joined: Thu Jan 21, 2016 11:11 pm

Re: Factor Exposures for MSCI Value Momentum Blend Indexes

Post by whodidntante » Fri Sep 14, 2018 12:34 pm

I ran a factor regression in portfolio visualizer and I was not impressed. I bought vfmf then. MSCI seems to reintroduce price because they fear being too different than the market.

fennewaldaj
Posts: 296
Joined: Sun Oct 22, 2017 11:30 pm

Re: Factor Exposures for MSCI Value Momentum Blend Indexes

Post by fennewaldaj » Fri Sep 14, 2018 3:57 pm

The international ones look moderately interesting due to lack of as many other compelling options in that space.

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