Ex DFA CIO launches competitor which will also have ETFs

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ScubaHogg
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by ScubaHogg » Mon Sep 30, 2019 9:54 am

nedsaid wrote:
Mon Sep 16, 2019 10:24 am
comeinvest wrote:
Mon Sep 16, 2019 1:42 am
nedsaid wrote:
Sun Sep 15, 2019 10:07 am

Note that Morningstar rates the Global X products as 3 star, the iShares product as 4 star, and the Wisdom Tree products as 4 star.
Thanks. But Morningstar ratings are absolute and total garbage. Recent performance based, zero significance.
Gosh, I took a lot of time responding to your post, researching, and providing additional information. The only response was a rant against Morningstar ratings. I certainly wouldn't buy funds based on Morningstar ratings but it does give an indication of performance, no one says, including Morningstar that the ratings are infallible indicators of future performance.

I took time to attach names to the ticker symbols you provided, add expense ratios, look up Morningstar ratings and provide comparison to the new Avantis products. You made a nice contribution of making me aware of products that I and probably others were not aware of. Took time to expand upon your post. Got a snarky response back. Sometimes I wonder why I bother to post here.
Because folks like me often read, rarely respond, and always appreciate thoughtful posts.

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jhfenton
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Mon Sep 30, 2019 10:01 am

vineviz wrote:
Fri Sep 27, 2019 2:10 pm
stan1 wrote:
Fri Sep 27, 2019 1:41 pm
Would it be fair to say at least from the looks of it now (with just a few days to observe) they have at least the new US Equity ETF set up to scale to $10-20B in assets without having to tweak their methodology? Vanguard took a different approach: their factor ETFs select securities like a low AUM portfolio now but if any of their factor funds had $10B AUM it would look like a closet index fund too.
I suspect the capacity of the Vanguard funds is significantly higher than that (they already manage nearly $60billion in dedicated SCV and MCV funds, for instance, with no signs of impairment) but yes, the Avantis funds would undoubtedly have more capacity because of the more limited tilt.
I agree. I did some math early in the life of the factor funds:
jhfenton wrote:
Mon Mar 12, 2018 7:20 am
fennewaldaj wrote:
Sun Mar 11, 2018 6:12 pm
I would think that these funds could get pretty big as is. Current small cap value fund has ~ 30 billion. This value factor fund has a similar amount of names and a larger average market cap.
I also see no reason they couldn't scale the VFVA portfolio up from $8 Million to $8 Billion. Positions 601-785 range from $5,302 to $2,820 currently. Multiply that by 1,000 and you have $2.8MM to $5.3MM positions. The $2.8 MM would be 1.1% of Cloudpeak ($245 MM market cap). The $5.3 MM would be 0.7% of Comtech Telecom ($724 MM market cap). The outlier would be Vitamine Shoppe with a market cap of $95 MM and a current position size of $4,383. That would translate into the $8 Billion fund owning 4.5% of Vitamin Shoppe. Almost everything else would be under 2%.

At $30 Billion, owning the fund's current smallest positions in their current proportions would be problematic. They would own 7.5% of a lot of the smaller companies and 16.9% of Vitamin Shoppe (definitely an outlier).
So $10 billion would be achievable while maintaining the characteristics of the portfolio. $30 billion would be problematic. It helps that they are not entirely small cap. The 1/3 large and 1/3 mid cap can absorb a lot of assets.

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jhfenton
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Mon Sep 30, 2019 10:26 am

I couldn't find a source yet for the country weightings in AVEM, so I downloaded the portfolio holdings--which did include country data for each holding--and did a quick pivot table in Excel:

Code: Select all

CHINA			29.6%
TAIWAN			14.1%
SOUTH KOREA		13.7%
BRAZIL			9.3%
SOUTH AFRICA		6.3%
INDIA			5.8%
THAILAND		3.6%
RUSSIA			3.2%
MEXICO			3.0%
INDONESIA		2.5%
MALAYSIA		2.4%
PHILIPPINES		1.2%
CHILE			1.1%
POLAND			1.1%
TURKEY			0.7%
COLOMBIA		0.5%
GREECE			0.4%
PERU			0.4%
HUNGARY			0.3%
UNITED STATES		0.2%
CZECH REPUBLIC		0.2%
EGYPT			0.1%
I'm a bit disappointed that they aren't imposing a country cap like DFEVX/DFA Emerging Markets Value (capped at 17.5%). To be honest, the portfolio looks pretty vanilla compared to a fund like EYLD/Cambria Emerging Shareholder Yield which has pronounced small-cap and value tilts (but has an ER of 0.66%) and is only 14.8% China (because of the rampant shareholder dilution in that market).

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Leif
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Leif » Mon Sep 30, 2019 11:24 am

I was just watching a Morningstar podcast this weekend. In the podcast they mentioned that they are downgrading several DFA funds from Silver to Bronze. They said the reason is that they think DFA should be reducing their expense ratios like others. Perhaps these new ETFs prompted that look into DFA and ERs. Unlike their star rating, which is backward looking, their medalist rating is forward looking.

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whodidntante
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Mon Sep 30, 2019 12:12 pm

guyinlaw wrote:
Mon Sep 30, 2019 8:35 am
whodidntante wrote:
Mon Sep 30, 2019 7:06 am


I do keep less assets at Merrill Edge due to this heavy handed and completely nonsensical policy. I won't leave entirely because I value platinum honors benefits. Firstrade and Chase are where I buy perfectly suitable investments for me commission free.
+1

Bank of America + Merrill Edge total assets - gets me the benefits- print free checks :beer . When I asked them if they would consider removing these blocks, they said i needed $10M+ assets with them before they even consider such a request.
Only 10 million to consider a request? I'm assuming you took their offer. :P

guyinlaw
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by guyinlaw » Mon Sep 30, 2019 2:17 pm

whodidntante wrote:
Mon Sep 30, 2019 12:12 pm
guyinlaw wrote:
Mon Sep 30, 2019 8:35 am
whodidntante wrote:
Mon Sep 30, 2019 7:06 am


I do keep less assets at Merrill Edge due to this heavy handed and completely nonsensical policy. I won't leave entirely because I value platinum honors benefits. Firstrade and Chase are where I buy perfectly suitable investments for me commission free.
+1

Bank of America + Merrill Edge total assets - gets me the benefits- print free checks :beer . When I asked them if they would consider removing these blocks, they said i needed $10M+ assets with them before they even consider such a request.
Only 10 million to consider a request? I'm assuming you took their offer. :P
I have started saving harder. 9.9 million more to go! :moneybag

snailderby
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by snailderby » Mon Sep 30, 2019 2:48 pm

Inspired by jhfenton, I did the same thing for AVDV:

Code: Select all

JAPAN		28.00%
UNITED KINGDOM	15.99%
CANADA		9.57%
AUSTRALIA	7.16%
SWEDEN		5.57%
GERMANY		5.22%
SWITZERLAND	3.47%
ITALY		3.26%
FRANCE		2.97%
NETHERLANDS	2.59%
SPAIN		2.02%
NORWAY		1.91%
ISRAEL		1.68%
SINGAPORE	1.67%
DENMARK		1.65%
HONG KONG	1.65%
BELGIUM		1.37%
FINLAND		1.18%
NEW ZEALAND	1.02%
AUSTRIA		0.83%
IRELAND		0.43%

CRTR
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by CRTR » Mon Sep 30, 2019 7:25 pm

comeinvest wrote:
Sun Sep 15, 2019 6:00 am
Unfortunately, still no competition for DGS.

And fees of the international small value almost identical to that of the existing ISCF, SCID, SCIX, and others. What is a specific measure in which Avantis is better than those?
what about FEMS? Higher ER but better performance net of expenses . . . .

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whodidntante
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Mon Sep 30, 2019 7:42 pm

Leif wrote:
Mon Sep 30, 2019 11:24 am
I was just watching a Morningstar podcast this weekend. In the podcast they mentioned that they are downgrading several DFA funds from Silver to Bronze. They said the reason is that they think DFA should be reducing their expense ratios like others. Perhaps these new ETFs prompted that look into DFA and ERs. Unlike their star rating, which is backward looking, their medalist rating is forward looking.
I also think DFA should lower their expenses. They've been running live funds since 1981.
Their first-mover status has a bald spot and the world changed around them.

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Leif
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Leif » Mon Sep 30, 2019 8:09 pm

whodidntante wrote:
Mon Sep 30, 2019 7:42 pm
I also think DFA should lower their expenses. They've been running live funds since 1981.
Their first-mover status has a bald spot and the world changed around them.
Now they a getting real competition maybe they will. I've been replacing my DFA funds with others partly for that reason.

stan1
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by stan1 » Mon Sep 30, 2019 8:20 pm

jhfenton wrote:
Mon Sep 30, 2019 10:26 am
I couldn't find a source yet for the country weightings in AVEM, so I downloaded the portfolio holdings--which did include country data for each holding--and did a quick pivot table in Excel:

Code: Select all

CHINA			29.6%
TAIWAN			14.1%
SOUTH KOREA		13.7%
BRAZIL			9.3%
SOUTH AFRICA		6.3%
INDIA			5.8%
THAILAND		3.6%
RUSSIA			3.2%
MEXICO			3.0%
INDONESIA		2.5%
MALAYSIA		2.4%
PHILIPPINES		1.2%
CHILE			1.1%
POLAND			1.1%
TURKEY			0.7%
COLOMBIA		0.5%
GREECE			0.4%
PERU			0.4%
HUNGARY			0.3%
UNITED STATES		0.2%
CZECH REPUBLIC		0.2%
EGYPT			0.1%
I'm a bit disappointed that they aren't imposing a country cap like DFEVX/DFA Emerging Markets Value (capped at 17.5%). To be honest, the portfolio looks pretty vanilla compared to a fund like EYLD/Cambria Emerging Shareholder Yield which has pronounced small-cap and value tilts (but has an ER of 0.66%) and is only 14.8% China (because of the rampant shareholder dilution in that market).
Well that's a little less of a two-China ETF than Vanguard Emerging Markets. It is at 48.3% Chinas (PRC and ROC).

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nedsaid
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by nedsaid » Mon Sep 30, 2019 9:54 pm

jhfenton wrote:
Mon Sep 30, 2019 10:26 am
I couldn't find a source yet for the country weightings in AVEM, so I downloaded the portfolio holdings--which did include country data for each holding--and did a quick pivot table in Excel:

Code: Select all

CHINA			29.6%
TAIWAN			14.1%
SOUTH KOREA		13.7%
BRAZIL			9.3%
SOUTH AFRICA		6.3%
INDIA			5.8%
THAILAND		3.6%
RUSSIA			3.2%
MEXICO			3.0%
INDONESIA		2.5%
MALAYSIA		2.4%
PHILIPPINES		1.2%
CHILE			1.1%
POLAND			1.1%
TURKEY			0.7%
COLOMBIA		0.5%
GREECE			0.4%
PERU			0.4%
HUNGARY			0.3%
UNITED STATES		0.2%
CZECH REPUBLIC		0.2%
EGYPT			0.1%
I'm a bit disappointed that they aren't imposing a country cap like DFEVX/DFA Emerging Markets Value (capped at 17.5%). To be honest, the portfolio looks pretty vanilla compared to a fund like EYLD/Cambria Emerging Shareholder Yield which has pronounced small-cap and value tilts (but has an ER of 0.66%) and is only 14.8% China (because of the rampant shareholder dilution in that market).
Thank you for doing the research. Not too excited about China, I would rather that an Emerging Markets fund be not so China top heavy. For one thing, with Chinese Companies you really wonder if you own anything as their government has stakes in these firms. Also concerned about transparency and the accounting. Not sure I would trust the numbers.
A fool and his money are good for business.

fennewaldaj
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by fennewaldaj » Mon Sep 30, 2019 10:11 pm

nedsaid wrote:
Mon Sep 30, 2019 9:54 pm
jhfenton wrote:
Mon Sep 30, 2019 10:26 am
I couldn't find a source yet for the country weightings in AVEM, so I downloaded the portfolio holdings--which did include country data for each holding--and did a quick pivot table in Excel:

Code: Select all

CHINA			29.6%
TAIWAN			14.1%
SOUTH KOREA		13.7%
BRAZIL			9.3%
SOUTH AFRICA		6.3%
INDIA			5.8%
THAILAND		3.6%
RUSSIA			3.2%
MEXICO			3.0%
INDONESIA		2.5%
MALAYSIA		2.4%
PHILIPPINES		1.2%
CHILE			1.1%
POLAND			1.1%
TURKEY			0.7%
COLOMBIA		0.5%
GREECE			0.4%
PERU			0.4%
HUNGARY			0.3%
UNITED STATES		0.2%
CZECH REPUBLIC		0.2%
EGYPT			0.1%
I'm a bit disappointed that they aren't imposing a country cap like DFEVX/DFA Emerging Markets Value (capped at 17.5%). To be honest, the portfolio looks pretty vanilla compared to a fund like EYLD/Cambria Emerging Shareholder Yield which has pronounced small-cap and value tilts (but has an ER of 0.66%) and is only 14.8% China (because of the rampant shareholder dilution in that market).
Thank you for doing the research. Not too excited about China, I would rather that an Emerging Markets fund be not so China top heavy. For one thing, with Chinese Companies you really wonder if you own anything as their government has stakes in these firms. Also concerned about transparency and the accounting. Not sure I would trust the numbers.
There are some options to get exposure to emerging markets with less China. Unfortunately they are DFA or have a high ER. I have some money in Eaton Vance Parametric Emerging Markets. It is an index like fund that underweight large markets and over weights small ones

https://funds.eatonvance.com/media/2652.pdf

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whodidntante
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Mon Sep 30, 2019 10:26 pm

One could short a China ETF, or sell China A50 futures, if one wanted less exposure to China. You can cancel China exposure if you like.

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jhfenton
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Tue Oct 01, 2019 8:29 am

stan1 wrote:
Mon Sep 30, 2019 8:20 pm
Well that's a little less of a two-China ETF than Vanguard Emerging Markets. It is at 48.3% Chinas (PRC and ROC).
It's a tad lower, but not enough to matter. And I don't lump Taiwan in with the PRC anyway. I have no reason to pretend that China's One-China Policy reflects reality. I trust the accounting and oversight far more in Taiwan. Taiwan actually meets many criteria for a developed market. They took developed economy status in the WTO a year ago. M* classifies them as developed. FTSE and MSCI have had them under consideration for "promotion" at various times.

I'm actually not negative on the PRC. I just don't think it's optimal that one country has such a large share of an EM fund. I'd prefer to get my China exposure in a separate fund. In an ideal world, you'd have equally low-cost EM ex-China funds, the way you had Asis ex-Japan funds in the 80's. And we'll probably see that become more common if the PRC tops 50% in standard EM funds.

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whodidntante
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Wed Oct 02, 2019 7:00 pm

Now that Fidelity is the only major discount broker who thinks they can charge commissions, we have more choices on where to pick these up commission free.

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nedsaid
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by nedsaid » Wed Oct 02, 2019 10:38 pm

whodidntante wrote:
Wed Oct 02, 2019 7:00 pm
Now that Fidelity is the only major discount broker who thinks they can charge commissions, we have more choices on where to pick these up commission free.
Yep. That $4.95 a trade just nearly broke me!
A fool and his money are good for business.

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jhfenton
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Thu Oct 03, 2019 8:23 am

nedsaid wrote:
Wed Oct 02, 2019 10:38 pm
whodidntante wrote:
Wed Oct 02, 2019 7:00 pm
Now that Fidelity is the only major discount broker who thinks they can charge commissions, we have more choices on where to pick these up commission free.
Yep. That $4.95 a trade just nearly broke me!
It is an issue in my Fidelity HSA, which by the nature of being an HSA sees recurring small purchases. That has ruled out any fund that wasn't commission-free.

I'm not planning to change anything. My HSA is currently 98.4% FPADX/Fidelity EM Index Fund at 7.5 bp and 1.6% FXNAX/Fidelity Total Bond at 2.5 bp. But I could consider other options for my EM if Fidelity went commission-free.

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asset_chaos
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by asset_chaos » Thu Oct 03, 2019 6:09 pm

M* has filled in some portfolio numbers at least for ADVD international small value (the only Avantis fund I'm interested in right now). For what it's worth here are various size and valuation metrics compared to those for DFA World ex US Targeted Value and WisdomTree International Small Cap.

Code: Select all

Name					ticker	market cap	P/E	P/B	P/Cash flow	P/Sales	ER
Avantis International Small Cap Value	ADVD	1412.46		 9.79	1.00	4.35		0.55	0.36
DFA World ex US Targeted Value		DWUSX	1668.59		10.25	0.78	3.45		0.46	0.66
WisdomTree International Small Cap	DLS	1303.44		11.39	1.07	5.25		0.57	0.58
Size and valuation metrics are similar, with the lower cost of ADVD also apparent. That's initially encouraging that ADVD may deliver factor exposure at a noticeably lower cost. However, I will still wait at least another quarter before selling some DLS to buy ADVD.
Regards, | | Guy

caklim00
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Wed Oct 16, 2019 9:30 am

Any idea how tax efficient these funds are going to be? It would be nice if they excluded REITs or other non-tax efficient holdings. Interesting to see that as of 10:30am AVUV (US SCV) has had more trades than VFMF today (which isn't actually saying much though).

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by vineviz » Wed Oct 16, 2019 9:42 am

caklim00 wrote:
Wed Oct 16, 2019 9:30 am
Any idea how tax efficient these funds are going to be? It would be nice if they excluded REITs or other non-tax efficient holdings. Interesting to see that as of 10:30am AVUV (US SCV) has had more trades than VFMF today (which isn't actually saying much though).
There's no way to know for sure, but we have plenty of historical examples of ETFs needing a year or two to get their tax-efficiency under control. Especially ones that don't faithfully track an established index.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch

caklim00
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Wed Oct 16, 2019 2:42 pm

Have periodically checked on the spreads for the 2 SCV funds and the EM fund today. Both SCV funds have been hovering around .09 and EM was around .15 last time I checked. Not too bad for 2 super new SCV funds. If it could get to roughly half that spread I'd be fine with buying.

caklim00
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Thu Oct 17, 2019 10:38 am

According to Schwab's "Report Card" AVDV (Intl SCV) has 11.8M in assets right now. Not sure how old that data is.

palaheel
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by palaheel » Thu Oct 17, 2019 12:11 pm

nedsaid wrote:
Mon Sep 30, 2019 9:54 pm
jhfenton wrote:
Mon Sep 30, 2019 10:26 am
I couldn't find a source yet for the country weightings in AVEM, so I downloaded the portfolio holdings--which did include country data for each holding--and did a quick pivot table in Excel:

Code: Select all

CHINA			29.6%
TAIWAN			14.1%
SOUTH KOREA		13.7%
BRAZIL			9.3%
SOUTH AFRICA		6.3%
INDIA			5.8%
THAILAND		3.6%
RUSSIA			3.2%
MEXICO			3.0%
INDONESIA		2.5%
MALAYSIA		2.4%
PHILIPPINES		1.2%
CHILE			1.1%
POLAND			1.1%
TURKEY			0.7%
COLOMBIA		0.5%
GREECE			0.4%
PERU			0.4%
HUNGARY			0.3%
UNITED STATES		0.2%
CZECH REPUBLIC		0.2%
EGYPT			0.1%
I'm a bit disappointed that they aren't imposing a country cap like DFEVX/DFA Emerging Markets Value (capped at 17.5%). To be honest, the portfolio looks pretty vanilla compared to a fund like EYLD/Cambria Emerging Shareholder Yield which has pronounced small-cap and value tilts (but has an ER of 0.66%) and is only 14.8% China (because of the rampant shareholder dilution in that market).
Thank you for doing the research. Not too excited about China, I would rather that an Emerging Markets fund be not so China top heavy. For one thing, with Chinese Companies you really wonder if you own anything as their government has stakes in these firms. Also concerned about transparency and the accounting. Not sure I would trust the numbers.

From the Fund Analysis tab at https://www.morningstar.com/funds/xnas/dfevx/portfolio, Morningstar is putting DFA EM funds under review because they're lifting their cap on single country investments.
On Oct. 1, 2019, Dimensional announced that it was removing the country cap that had been in place on its emerging-markets strategies, effective immediately. The cap helped promote diversification by limiting each country’s weighting to 17.5% in these portfolios. For several years, Chinese stocks in Dimensional’s emerging-markets portfolios have been at or near this 17.5% limit, while they accounted for roughly 30% of the MSCI Emerging Markets Index. While the cap limited exposure to Chinese stocks, it also caused Dimensional’s portfolios to overweight stocks from relatively smaller emerging markets like India and South Africa. Adhering to this cap has forced Dimensional to regularly trim its positions in Chinese stocks. The firm’s decision to remove it is aimed at reducing the associated turnover and transaction costs that have resulted from this regular pruning. Dimensional plans to implement this new policy over the next several months. The firm’s portfolio managers and traders will make the necessary changes over time, primarily with new cash flows to limit the affect of trading costs that the impacted funds will incur. Each portfolio’s country composition is expected to more closely resemble that of the MSCI Emerging Markets Index sometime in the second quarter of 2020. This is a significant change to Dimensional’s emerging-markets strategies, so the related funds are under review.
I'm not real excited about China, either.
Markets crash. Markets recover. Inflation takes your money FOREVER.

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Leif
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Leif » Thu Oct 17, 2019 12:27 pm

palaheel wrote:
Thu Oct 17, 2019 12:11 pm
From the Fund Analysis tab at https://www.morningstar.com/funds/xnas/dfevx/portfolio, Morningstar is putting DFA EM funds under review because they're lifting their cap on single country investments.
On Oct. 1, 2019, Dimensional announced that it was removing the country cap that had been in place on its emerging-markets strategies, effective immediately. The cap helped promote diversification by limiting each country’s weighting to 17.5% in these portfolios. For several years, Chinese stocks in Dimensional’s emerging-markets portfolios have been at or near this 17.5% limit, while they accounted for roughly 30% of the MSCI Emerging Markets Index. While the cap limited exposure to Chinese stocks, it also caused Dimensional’s portfolios to overweight stocks from relatively smaller emerging markets like India and South Africa. Adhering to this cap has forced Dimensional to regularly trim its positions in Chinese stocks. The firm’s decision to remove it is aimed at reducing the associated turnover and transaction costs that have resulted from this regular pruning. Dimensional plans to implement this new policy over the next several months. The firm’s portfolio managers and traders will make the necessary changes over time, primarily with new cash flows to limit the affect of trading costs that the impacted funds will incur. Each portfolio’s country composition is expected to more closely resemble that of the MSCI Emerging Markets Index sometime in the second quarter of 2020. This is a significant change to Dimensional’s emerging-markets strategies, so the related funds are under review.
I'm not real excited about China, either.
Thanks for the info. It is getting hard to keep my DFEMV, taking away one of the reasons to continue to pay the 54 bps. Just the value tilt at this point.

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jhfenton
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Thu Oct 17, 2019 12:53 pm

Thanks for the info, palaheel. If I owned DFEMV or even had access to it, I would be disappointed in the change. M* is almost certainly going to downgrade DFA's EM funds a notch. M* has limited the grades on most other EM funds that have market-weight allocations to China.

caklim00
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Thu Oct 17, 2019 2:26 pm

Looks like M* just finally released the pages for each of the funds:
AVUV: https://www.morningstar.com/etfs/arcx/avuv/quote
AVDV: https://www.morningstar.com/etfs/arcx/avdv/quote

AVDV seems slighly more popular. I wonder why...

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Jebediah » Thu Oct 17, 2019 3:36 pm

asset_chaos wrote:
Thu Oct 03, 2019 6:09 pm
M* has filled in some portfolio numbers at least for ADVD international small value (the only Avantis fund I'm interested in right now). For what it's worth here are various size and valuation metrics compared to those for DFA World ex US Targeted Value and WisdomTree International Small Cap.

Code: Select all

Name					ticker	market cap	P/E	P/B	P/Cash flow	P/Sales	ER
Avantis International Small Cap Value	ADVD	1412.46		 9.79	1.00	4.35		0.55	0.36
DFA World ex US Targeted Value		DWUSX	1668.59		10.25	0.78	3.45		0.46	0.66
WisdomTree International Small Cap	DLS	1303.44		11.39	1.07	5.25		0.57	0.58
Size and valuation metrics are similar, with the lower cost of ADVD also apparent. That's initially encouraging that ADVD may deliver factor exposure at a noticeably lower cost. However, I will still wait at least another quarter before selling some DLS to buy ADVD.
DWUSX is ex-us, contains EM. Not apples to apples. Compare to DISVX instead.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by gtwhitegold » Thu Oct 17, 2019 4:12 pm

I'm interested in them, but I can wait. I'm curious what the factor loads will be on these ETFs. Their ISCV ETF, AVDV looks to be fairly low quality if you go by their sales growth, cash-flow growth, and book value growth on morningstar.com.

Their USSCV ETF, AVUV doesn't appear to be as junky, but I'm curious how the actual factor loads will compare to Xtrackers Russell 2000 Comprehensive Factor ETF, DESC. AVUV appears more valuey, but since it doesn't appear to have a momentum screen, it's difficult to decide which will be better in the long run.

Right now, I think that I will stick with DESC for USSC and ISCF for ISC since they are multi-factor funds.

https://www.morningstar.com/etfs/arcx/avdv/portfolio
https://www.morningstar.com/etfs/arcx/iscf/portfolio
https://www.morningstar.com/etfs/arcx/AVUV/portfolio
https://www.morningstar.com/etfs/arcx/DESC/portfolio

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Thu Oct 17, 2019 7:46 pm

I thought Larry said these were going to have mom screens, but in reading all the materials released by avantis I don't see anything. The volume on these ETFs are starting to pick up though.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by sunnywindy » Thu Oct 17, 2019 8:23 pm

Once we get better Avantis data (maybe after 2019 passes), I'd like to see how these ETFs compare to the overpriced John Hancock DFA ETFs.
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by lazyday » Fri Oct 18, 2019 7:17 am

I’m hoping for “MSCI FaCS and Factor Box” data sometime soon: viewtopic.php?t=288545

HippoSir was able to post charts for some funds, but I haven’t seen any on etf.com yet.

It looks like funds must report their holdings each quarter with a 60 day delay, so once etf.com starts displaying FaCS data, it might not take long to see it for the Avantis funds.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by gtwhitegold » Fri Oct 18, 2019 8:14 am

lazyday wrote:
Fri Oct 18, 2019 7:17 am
I’m hoping for “MSCI FaCS and Factor Box” data sometime soon: viewtopic.php?t=288545

HippoSir was able to post charts for some funds, but I haven’t seen any on etf.com yet.

It looks like funds must report their holdings each quarter with a 60 day delay, so once etf.com starts displaying FaCS data, it might not take long to see it for the Avantis funds.
I agree, but I'm not sure how long you need data for in order to generate the Factor Box outline. I'm guessing at least 1 year and probably 2 like you have with running factor regressions on https://www.portfoliovisualizer.com.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by lazyday » Fri Oct 18, 2019 2:31 pm

gtwhitegold wrote:
Fri Oct 18, 2019 8:14 am
I'm not sure how long you need data for in order to generate the Factor Box outline. I'm guessing at least 1 year and probably 2 like you have with running factor regressions on https://www.portfoliovisualizer.com.
I'm waiting until FaCS data is publicly available before I bother to read the methodology paper, but my guess is that it could be used instantly when the portfolio is known. The factsheet says
Holdings based approach that aggregates at the stock level to provide fund level factor exposures
Though it's possible they look at holdings over a year to make more accurate measurements with funds that have slow periodic rebalancing, or maybe they just have some strange way of using data over time. The methodology paper is available for anyone who wants to know now: google MSCI FaCS Methodology and the first link is a methodology PDF.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Fri Oct 25, 2019 9:01 am

Volume on AVUV was over 500K and AVDV over 400K yesterday. I hope this is indicative of how these funds are going to trade.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Quercus Palustris » Fri Oct 25, 2019 9:13 am

caklim00 wrote:
Fri Oct 25, 2019 9:01 am
Volume on AVUV was over 500K and AVDV over 400K yesterday. I hope this is indicative of how these funds are going to trade.
Did something happen? I was looking at AVUV last week and volume was well below 100K a day...

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Sat Oct 26, 2019 5:04 pm

It looks like AVEM attracted a big investment on Friday. Net flows were +74M on Friday.
AVUV also had +30M.
AVDV +19M

Someone likey.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by jhfenton » Sat Oct 26, 2019 6:21 pm

whodidntante wrote:
Sat Oct 26, 2019 5:04 pm
It looks like AVEM attracted a big investment on Friday. Net flows were +74M on Friday.
AVUV also had +30M.
AVDV +19M

Someone likey.
Yep. Someone threw in a lot of money. AVDE also pulled in a chunk. It is at $92.2 MM in assets.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by nedsaid » Sat Oct 26, 2019 6:33 pm

jhfenton wrote:
Sat Oct 26, 2019 6:21 pm
whodidntante wrote:
Sat Oct 26, 2019 5:04 pm
It looks like AVEM attracted a big investment on Friday. Net flows were +74M on Friday.
AVUV also had +30M.
AVDV +19M

Someone likey.
Yep. Someone threw in a lot of money. AVDE also pulled in a chunk. It is at $92.2 MM in assets.
Buckingham? I know Larry Swedroe has looked at these products pretty carefully. In fact, he started this thread.
A fool and his money are good for business.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by caklim00 » Sat Oct 26, 2019 10:34 pm

I wonder how funds like this manage going from 10M to 100M practically overnight.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by MotoTrojan » Sat Oct 26, 2019 11:02 pm

caklim00 wrote:
Sat Oct 26, 2019 10:34 pm
I wonder how funds like this manage going from 10M to 100M practically overnight.
I would think it’s fairly automated(?). Maybe pop some champagne.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by HippoSir » Sat Oct 26, 2019 11:15 pm

I'm looking at these funds as a potential alternative to the iShares multifactor products in the international space, so put together a little comparison of various attributes in the absence of a factor regression. Figured I'd share it in case it's useful to anyone else.

AVEM vs EMGF
Price/Earnings 10.85/10.83
Price/Book 1.21/1.19
Price/Sales 0.82/0.93
Price/Cash Flow 3.75/4.51
Dividend Yield % 3.94/4.69
Long-Term Earnings % 8.44/4.51
Historical Earnings % 7.53/21.03
Sales Growth % 4.66/6.89
Cash-Flow Growth % 9.05/37.89
Book-Value Growth % 4.33/9.95
Avg Market Cap 14.13 Bil/11.09 Bil

EMGF is smaller, has similar value exposure, and better quality exposure. For now I plan on sticking with EMGF.

AVDV vs ISCF
Price/Earnings 10.82/12.43
Price/Book 1.00/1.29
Price/Sales 0.54/0.72
Price/Cash Flow 4.34/5.73
Dividend Yield % 4.29/3.42
Long-Term Earnings % 9.44/9.87
Historical Earnings % 1.24/4.15
Sales Growth % -55.93/3.66
Cash-Flow Growth % -28.90/0.69
Book-Value Growth % -0.98/6.46
Avg Market Cap 1.42 Bil/1.40 Bil

ISCF is slightly smaller and has a much higher quality exposure, but is also less value-y. Not sure on this one.

AVDE vs INTF
Price/Earnings 13.40/11.69
Price/Book 1.38/1.21
Price/Sales 0.91/0.74
Price/Cash Flow 5.66/6.82
Dividend Yield % 3.54/3.72
Long-Term Earnings % 7.66/9.32
Historical Earnings % 5.78/6.70
Sales Growth % -44.89/3.93
Cash-Flow Growth % -13.42/4.63
Book-Value Growth % 2.34/6.35
Avg Market Cap 14.59 Bil/14.12 Bil

INTF is more value-y, higher quality, and smaller. Not sure why I'd choose AVDE.

In the absence of some magic outside these metrics, I'm not seeing anything particular attractive about these funds, other than ER (which does indeed make them very attractive!). Is there something I'm missing?

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by hdas » Sun Oct 27, 2019 11:06 am

HippoSir wrote:
Sat Oct 26, 2019 11:15 pm
I'm looking at these funds as a potential alternative to the iShares multifactor products in the international space, so put together a little comparison of various attributes in the absence of a factor regression. Figured I'd share it in case it's useful to anyone else.

AVEM vs EMGF
Price/Earnings 10.85/10.83
Price/Book 1.21/1.19
Price/Sales 0.82/0.93
Price/Cash Flow 3.75/4.51
Dividend Yield % 3.94/4.69
Long-Term Earnings % 8.44/4.51
Historical Earnings % 7.53/21.03
Sales Growth % 4.66/6.89
Cash-Flow Growth % 9.05/37.89
Book-Value Growth % 4.33/9.95
Avg Market Cap 14.13 Bil/11.09 Bil

EMGF is smaller, has similar value exposure, and better quality exposure. For now I plan on sticking with EMGF.

AVDV vs ISCF
Price/Earnings 10.82/12.43
Price/Book 1.00/1.29
Price/Sales 0.54/0.72
Price/Cash Flow 4.34/5.73
Dividend Yield % 4.29/3.42
Long-Term Earnings % 9.44/9.87
Historical Earnings % 1.24/4.15
Sales Growth % -55.93/3.66
Cash-Flow Growth % -28.90/0.69
Book-Value Growth % -0.98/6.46
Avg Market Cap 1.42 Bil/1.40 Bil

ISCF is slightly smaller and has a much higher quality exposure, but is also less value-y. Not sure on this one.

AVDE vs INTF
Price/Earnings 13.40/11.69
Price/Book 1.38/1.21
Price/Sales 0.91/0.74
Price/Cash Flow 5.66/6.82
Dividend Yield % 3.54/3.72
Long-Term Earnings % 7.66/9.32
Historical Earnings % 5.78/6.70
Sales Growth % -44.89/3.93
Cash-Flow Growth % -13.42/4.63
Book-Value Growth % 2.34/6.35
Avg Market Cap 14.59 Bil/14.12 Bil

INTF is more value-y, higher quality, and smaller. Not sure why I'd choose AVDE.

In the absence of some magic outside these metrics, I'm not seeing anything particular attractive about these funds, other than ER (which does indeed make them very attractive!). Is there something I'm missing?
Good info. Thanks. I hold ISCF, not in a rush to switch to AVDV. Perhaps good TLH partner. Cheers :greedy
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by whodidntante » Sun Oct 27, 2019 1:41 pm

caklim00 wrote:
Sat Oct 26, 2019 10:34 pm
I wonder how funds like this manage going from 10M to 100M practically overnight.
Somebody said "gimme." It wasn't just a single fund that received a big investment on Friday. For that kind of money, I would guess it's an institutional investor. Institutional investors also like these factor thingies. It would be hilarious if they unloaded more expensive DFA funds to get the cash. DFA needs to cut their expenses in half to maintain their dominant position IMO.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by Leif » Sun Oct 27, 2019 3:45 pm

whodidntante wrote:
Sun Oct 27, 2019 1:41 pm
DFA needs to cut their expenses in half to maintain their dominant position IMO.
I've been doing some selling of DFA funds in my tIRA and buying similar non-DFA funds in my taxable account. DFA ERs are not too bad for active, but are high compared to indexed. It is one of the reasons I'm making the change. In case you were wondering, no, the 90 million is not from me.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by columbia » Sun Oct 27, 2019 4:46 pm

whodidntante wrote:
Sun Oct 27, 2019 1:41 pm
caklim00 wrote:
Sat Oct 26, 2019 10:34 pm
I wonder how funds like this manage going from 10M to 100M practically overnight.
Somebody said "gimme." It wasn't just a single fund that received a big investment on Friday. For that kind of money, I would guess it's an institutional investor. Institutional investors also like these factor thingies. It would be hilarious if they unloaded more expensive DFA funds to get the cash. DFA needs to cut their expenses in half to maintain their dominant position IMO.
I guess it’s a thin line between boutique and passé.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by nedsaid » Sat Nov 02, 2019 3:29 pm

I wanted an International Small Value product and the Wisdom Tree International Small Cap Dividend (DLS) was the closest that I could get. Now that Avantis has an International Small Cap Value ETF (AVDV), I gave some thought to switching, particularly now that Fidelity has no commissions for stock or ETF trades. The main advantage to AVDV over DLS is the expense ratio, 0.36% vs. 0.58%. Just eyeballing the Morningstar StyleBox, DLS loads a bit better on both Size and Value.

Here are some portfolio stats:
Price to Earnings DLS 12.08 AVDV 11.38
Price to Book DLS 1.10 AVDV 1.05
Price to Sales DLS 0.59 AVDV 0.58
Price to Cash Flow DLS 5.59 AVDV 4.44
Dividend Yield DLS 4.88% AVDV 4.10%

Market Cap
Mid-Cap DLS 30.41% AVDV 41.67%
Small-Cap DLS 56.70% AVDV 45.42%
Micro-Cap DLS 12.73% AVDV 11.87%

Just looking at Stats, AVDV loads better on Value and DLS loads better on SIze.

I think for right now that I will stick with the Wisdom Tree product over the brand new Avantis ETF. The difference in expense ratio isn't enough for me to switch.
A fool and his money are good for business.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by MotoTrojan » Sat Nov 02, 2019 5:21 pm

nedsaid wrote:
Sat Nov 02, 2019 3:29 pm
I wanted an International Small Value product and the Wisdom Tree International Small Cap Dividend (DLS) was the closest that I could get. Now that Avantis has an International Small Cap Value ETF (AVDV), I gave some thought to switching, particularly now that Fidelity has no commissions for stock or ETF trades. The main advantage to AVDV over DLS is the expense ratio, 0.36% vs. 0.58%. Just eyeballing the Morningstar StyleBox, DLS loads a bit better on both Size and Value.

Here are some portfolio stats:
Price to Earnings DLS 12.08 AVDV 11.38
Price to Book DLS 1.10 AVDV 1.05
Price to Sales DLS 0.59 AVDV 0.58
Price to Cash Flow DLS 5.59 AVDV 4.44
Dividend Yield DLS 4.88% AVDV 4.10%

Market Cap
Mid-Cap DLS 30.41% AVDV 41.67%
Small-Cap DLS 56.70% AVDV 45.42%
Micro-Cap DLS 12.73% AVDV 11.87%

Just looking at Stats, AVDV loads better on Value and DLS loads better on SIze.

I think for right now that I will stick with the Wisdom Tree product over the brand new Avantis ETF. The difference in expense ratio isn't enough for me to switch.
I’ll have to keep an eye on these. I tilt small-value domestically and have wanted to internationally. Core allocation is 55% Total US, 25% Total Int, 20% domestic SCV; I could see splitting that International into 10-15% SCV.

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by HippoSir » Sat Nov 02, 2019 8:57 pm

nedsaid wrote:
Sat Nov 02, 2019 3:29 pm
Just looking at Stats, AVDV loads better on Value and DLS loads better on SIze.
I'm too lazy to paste the mstar info, but note too that DLS seems to have a much higher quality tilt than AVDV.

For better or for worse, these Avantis funds seem to either ignore quality as a factor or only consider it very lightly. Personally I tend to prefer "value, but filter out the crap".

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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by nedsaid » Sat Nov 02, 2019 10:33 pm

HippoSir wrote:
Sat Nov 02, 2019 8:57 pm
nedsaid wrote:
Sat Nov 02, 2019 3:29 pm
Just looking at Stats, AVDV loads better on Value and DLS loads better on SIze.
I'm too lazy to paste the mstar info, but note too that DLS seems to have a much higher quality tilt than AVDV.

For better or for worse, these Avantis funds seem to either ignore quality as a factor or only consider it very lightly. Personally I tend to prefer "value, but filter out the crap".
Could you explain in more detail your comments regarding Avantis and Quality?

Larry told me in a personal message that Avantis screens for Profitability which is related to Quality. Avantis uses a combination of cash flow and earnings metrics and uses a modified book value.

Hopefully Larry can comment. I didn't quote from his message as most all of it came directly from Avantis but I can't point you to a particular source. I want other Bogleheads to be able to look things up themselves.

This did come from the Avantis website regarding US Small Value:
Invests in a broad set of U.S. small-cap companies and is designed to increase expected returns* by focusing on firms trading at what we believe are low valuations with higher profitability ratios**.

*Expected Returns: Valuation theory shows that the expected return of a security is a function of its current price, its book equity (assets minus liabilities) and expected future profits. We use information in current market prices and company financials to identify differences in expected returns among securities, seeking to overweight securities with higher expected returns based on this current market information. Actual returns may be different than expected returns, and there is no guarantee that the strategy will be successful.

**Profitability-to-Book: The profitability-to-book ratio is used to measure a company's profitability relative to its book value. A company's profitability is generally calculated by subtracting operating expenses from its gross profit. Book value is generally a firm's reported assets minus its liabilities on its balance sheet.
This from the Avantis US Small Value ETF summary prospectus:
The fund seeks securities of companies that it expects to have higher returns by placing an enhanced emphasis on securities of companies with smaller market capitalizations and securities of companies it defines as high profitability or value companies. Conversely, the fund seeks to underweight or exclude securities it expects to have lower returns, such as securities of large companies with lower levels of profitability and higher prices relative to their book values or other financial metrics. To identify small capitalization, high profitability, or value companies, the portfolio managers may use reported and estimated company financials and market data including, but not limited to, shares outstanding, book value and its components, cash flows, revenue, expenses, accruals and income. Value companies may be defined as those with lower price relative to book value ratio or other fundamental value. High profitability companies may be defined as those with higher cash based operating profitability.
A fool and his money are good for business.

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