For those of you who have a factor diversified portfolio, what is yours?

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hdas
Posts: 944
Joined: Thu Jun 11, 2015 8:24 am

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by hdas » Sat Jun 22, 2019 7:16 am

YRT70 wrote:
Sat Jun 22, 2019 3:15 am

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way.
What I care is to have significant exposure to all factors for very low cost. I challenge you to find another portfolio with this feature. :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

Topic Author
YRT70
Posts: 187
Joined: Sat Apr 27, 2019 8:51 am

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by YRT70 » Sat Jun 22, 2019 10:03 am

hdas wrote:
Sat Jun 22, 2019 7:16 am
YRT70 wrote:
Sat Jun 22, 2019 3:15 am

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way.
What I care is to have significant exposure to all factors for very low cost. I challenge you to find another portfolio with this feature. :greedy
How did I do? :)

Image

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hdas
Posts: 944
Joined: Thu Jun 11, 2015 8:24 am

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by hdas » Sat Jun 22, 2019 3:57 pm

YRT70 wrote:
Sat Jun 22, 2019 10:03 am
hdas wrote:
Sat Jun 22, 2019 7:16 am
YRT70 wrote:
Sat Jun 22, 2019 3:15 am

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way.
What I care is to have significant exposure to all factors for very low cost. I challenge you to find another portfolio with this feature. :greedy
How did I do? :)

Image
Missing Low Beta. :(
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

Gemini
Posts: 953
Joined: Sun May 20, 2012 8:10 am

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by Gemini » Thu Jul 11, 2019 4:44 pm

hdas wrote:
Wed Jun 19, 2019 1:29 pm
YRT70 wrote:
Sat Jun 15, 2019 11:18 am
If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one?

I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs.

For those of you that have chosen the regular market weighted portfolio: I respect your choices but that's not what I'm looking for in this thread.
See this. :greedy
hdas this appears to be for US only. What about intl?

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Sandtrap
Posts: 7461
Joined: Sat Nov 26, 2016 6:32 pm

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by Sandtrap » Thu Jul 11, 2019 5:15 pm

I have been following this thread, and many others like it for quite some time.

Like this one going one now:
Why Factor Investing Is Not Working
viewtopic.php?f=10&t=284989&start=250

Whether or not I have a "factor diversified portfolio", I'm not sure.
But, it seems to do okay.

Basic "Bogle Portfolio", Total Stock, Total Bond, Etc. 50/50

Add Vanguard REIT Index to taste.

Add Intermediate Term Corporate Bond Index to taste.

Stir.

j :happy
Wiki Bogleheads Wiki: Everything You Need to Know

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hdas
Posts: 944
Joined: Thu Jun 11, 2015 8:24 am

Re: For those of you who have a factor diversified portfolio, what is yours?

Post by hdas » Thu Jul 11, 2019 11:13 pm

Gemini wrote:
Thu Jul 11, 2019 4:44 pm
hdas wrote:
Wed Jun 19, 2019 1:29 pm
YRT70 wrote:
Sat Jun 15, 2019 11:18 am
If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one?

I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs.

For those of you that have chosen the regular market weighted portfolio: I respect your choices but that's not what I'm looking for in this thread.
See this. :greedy
hdas this appears to be for US only. What about intl?
In equities I have some VWO, VEA and a good amount of ISCF. In fixed income I have VEGBX and VWOB. Cheers :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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