Ex DFA CIO launches competitor which will also have ETFs

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

Post by HippoSir » Sun Nov 03, 2019 12:51 am

nedsaid wrote:
Sat Nov 02, 2019 10:33 pm
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.
Larry is far more of an expert than me, so you should probably listen to him. I'll explain my thinking anyway though.

Quality is one of the "fuzzier" factors with a lot of different definitions and everybody seems to have their own mix of underlying metrics.

Vanguard's factor funds define quality as:
"For financials the Quality factor is measured by return on equity and share issuance. For non-financials the Quality factor is measured by return on equity, gross profitability, change in net operating assets, and leverage."

MSCI/iShares factor funds define quality as:
"The quality score for each security is currently based on all quality factors, Profitability,
Investment Quality, Earnings Quality, Leverage and Earnings Variability, from the relevant
Barra Equity Model (currently GEMLTL). A sector-relative score is derived from the combined
score by standardizing the latter within each sector and winsorizing at +/- 3.
Quality = (0.2) ∗ Profitability + (0.2) ∗ Investment Quality + (0.2) ∗ Earnings Quality
+ (−1) ∗ (0.2) ∗ Earnings Variability + (−1) ∗ (0.2) ∗ Leverage"

Not all of these are available from morningstar (although perhaps there is a better online source?), but what is available:

DLS/AVDV
Long-Term Earnings % 9.1/9.55
Historical Earnings % -5.67/2.04
Sales Growth % 4.16/-52.95
Cash-Flow Growth % -3.76/-26.39
Book-Value Growth % 4.77/-1.15

So AVDV does have higher earnings % (which would match the quoted methodology) but higher variability and negative growth. It really depends on how you define "quality".

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

Post by nedsaid » Sun Nov 03, 2019 9:30 am

HippoSir wrote:
Sun Nov 03, 2019 12:51 am
nedsaid wrote:
Sat Nov 02, 2019 10:33 pm
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.
Larry is far more of an expert than me, so you should probably listen to him. I'll explain my thinking anyway though.

Quality is one of the "fuzzier" factors with a lot of different definitions and everybody seems to have their own mix of underlying metrics.

Vanguard's factor funds define quality as:
"For financials the Quality factor is measured by return on equity and share issuance. For non-financials the Quality factor is measured by return on equity, gross profitability, change in net operating assets, and leverage."

MSCI/iShares factor funds define quality as:
"The quality score for each security is currently based on all quality factors, Profitability,
Investment Quality, Earnings Quality, Leverage and Earnings Variability, from the relevant
Barra Equity Model (currently GEMLTL). A sector-relative score is derived from the combined
score by standardizing the latter within each sector and winsorizing at +/- 3.
Quality = (0.2) ∗ Profitability + (0.2) ∗ Investment Quality + (0.2) ∗ Earnings Quality
+ (−1) ∗ (0.2) ∗ Earnings Variability + (−1) ∗ (0.2) ∗ Leverage"

Not all of these are available from morningstar (although perhaps there is a better online source?), but what is available:

DLS/AVDV
Long-Term Earnings % 9.1/9.55
Historical Earnings % -5.67/2.04
Sales Growth % 4.16/-52.95
Cash-Flow Growth % -3.76/-26.39
Book-Value Growth % 4.77/-1.15

So AVDV does have higher earnings % (which would match the quoted methodology) but higher variability and negative growth. It really depends on how you define "quality".
Thank you for your response. This is the frustration of trying to implement factor investing, there is some variability in the definitions and also differences in the screening methods. I see what you mean by DLS loading more on Quality from the stats posted above. I think for now I will stick with DLS. Good enough is good enough and close enough is close enough.
A fool and his money are good for business.

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

Post by lazyday » Tue Nov 05, 2019 7:27 am

I don't think it's just about factor exposure and expense ratio. For international small cap and for EM, the biggest advantage of Avantis over other ETFs might be that it does not use an index. This might significantly reduce market impact costs.

Perhaps a fund like ISCF tries to use creation and redemption baskets instead of trading, but I doubt this can be done as often and as efficiently when bound to an index and a rebalancing policy. Couldn’t an Avantis fund avoid trading entirely by patiently using redemption baskets to get rid of stocks it no longer wants?

Even if a fund avoided all trading while following an index, there may still be hidden costs in the index itself because of front running.

I just wish Vanguard would offer ex-US funds like the US multifactor VFMF. It’s difficult to evaluate funds that don’t follow an index, but I trust Vanguard and would be quick to buy. If anyone hears rumors or spots an SEC filing, please share.

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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 » Tue Nov 05, 2019 5:57 pm

nedsaid wrote:
Sun Nov 03, 2019 9:30 am
This is the frustration of trying to implement factor investing, there is some variability in the definitions and also differences in the screening methods.
Yes, indeed. It probably wouldn't help their general marketing, but I don't understand why Avantis or other factor fund makers couldn't just state what factor loadings they're targeting. Internally they must have some number they're targeting. Say, based on Fama-French or AQR or someone's publicly available factor definitions, we expect value, size, and profitability/quality loadings to be 0.4--0.5 averaged over rolling 3 year periods; moreover, based on our estimate of costs of portfolio maintenance and paying ourselves, we expect a 3 year averaged annual alpha of -0.50%. And then report the numbers every 6 months, or every month on the fund's website. If they were transparent, like this, then at least it would be easy to see if they had done what they said they were going to do.

As no one, even Vanguard, does this, my guess is they don't do something transparent like this for two reasons. They think it will constrain them in some way. And because they think it suggests they are purveyors of commodity factors and that commodities are neither special, nor worth a profit margin.
Regards, | | Guy

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

Post by nedsaid » Tue Nov 05, 2019 11:37 pm

asset_chaos wrote:
Tue Nov 05, 2019 5:57 pm
nedsaid wrote:
Sun Nov 03, 2019 9:30 am
This is the frustration of trying to implement factor investing, there is some variability in the definitions and also differences in the screening methods.
Yes, indeed. It probably wouldn't help their general marketing, but I don't understand why Avantis or other factor fund makers couldn't just state what factor loadings they're targeting. Internally they must have some number they're targeting. Say, based on Fama-French or AQR or someone's publicly available factor definitions, we expect value, size, and profitability/quality loadings to be 0.4--0.5 averaged over rolling 3 year periods; moreover, based on our estimate of costs of portfolio maintenance and paying ourselves, we expect a 3 year averaged annual alpha of -0.50%. And then report the numbers every 6 months, or every month on the fund's website. If they were transparent, like this, then at least it would be easy to see if they had done what they said they were going to do.

As no one, even Vanguard, does this, my guess is they don't do something transparent like this for two reasons. They think it will constrain them in some way. And because they think it suggests they are purveyors of commodity factors and that commodities are neither special, nor worth a profit margin.
Reading the Avantis website, they are a bit coy about what they are doing. Partly, they are trying to protect their proprietary screening methods. They are factor investing but don't want to say they are factor investing. They are buying the stocks with the highest future expected returns using a combination of Value and Quality to achieve this. I think they also want to stay flexible in their approach.
A fool and his money are good for business.

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

Post by MotoTrojan » Mon Nov 11, 2019 10:47 am

So who is giving it a go? I have always wanted to tilt small-value Internationally and this thread has sprung me to start researching some of the offerings. DLS was intriguing but AVDV is as well due to the lower expense ratio. I would be holding this in a Roth IRA.

With these sorts of less liquid ETF classes what are some general rules of thumb? I assume marketable limit orders (never market order). What about automatic dividend reinvestment, is that a risky no-no?

z0r
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by z0r » Mon Nov 11, 2019 12:13 pm

these ETFs are perfectly liquid if you don't mind accepting the market maker's spread which isn't too bad, they have a good market maker. only difference from a more frequently traded etf is you're less likely to get another investor to meet you in the middle of the spread. imo same rules apply, use limit orders, don't trade near open/close, maybe check nav discount first, and don't use auto reinvest, I think those are good ideas for all ETFs

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

Post by MotoTrojan » Mon Nov 11, 2019 12:32 pm

z0r wrote:
Mon Nov 11, 2019 12:13 pm
these ETFs are perfectly liquid if you don't mind accepting the market maker's spread which isn't too bad, they have a good market maker. only difference from a more frequently traded etf is you're less likely to get another investor to meet you in the middle of the spread. imo same rules apply, use limit orders, don't trade near open/close, maybe check nav discount first, and don't use auto reinvest, I think those are good ideas for all ETFs
Thank you. I use auto reinvest on my broad holdings and S&P600 (VIOV, SLYV) but these would seem less liquid even further. Sounds like my approach would be A-okay though.

I’ll have to think a bit more on AVDV vs the others but it seems like a reasonable option to start deploying some Roth/HSA space towards. Suppose it couldn’t hurt to split the position with DLS, FNDC, etc...

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

Post by nedsaid » Sun Nov 24, 2019 12:49 am

I am thinking about buying some Avantis U.S. Small Cap Value ETF. Let's compare to other U.S. Small/Value products that I own.

Vanguard Small Cap Value Index ETF (VBR) Morningstar 5 STAR
Expense Ratio 0.07%
Price/Earnings 13.97%
Price/Book 1.59
Price/Sales 0.88
Price/Cash Flow 5.42
Dividend Yield 2.50%
Large-Cap 0.48%
Mid-Cap 53.29%
Small-Cap 43.08%
Micro-Cap 1.56%
Average Market Cap $3.75 Billion

iShares S&P 600 Small Cap Value ETF (IJS) Morningstar 5 STAR
Expense Ratio 0.25%
Price/Earnings 14.69
Price/Book 1.35
Price/Sales 0.60
Price/Cash Flow 5.49
Dividend Yield 2.08%
Mid-Cap 1.72%
Small-Cap 86.55%
Micro-Cap 11.49%
Average Market Cap $1.50 Billion

American Century Small Cap Value Y (ASVYX) Morningstar 5 STAR
Expense Ratio 0.90%
Price/Earnings 14.71
Price/Book 1.4
Price/Sales 0.73
Price/Cash Flow 6.35
Dividend Yield 2.50%
Mid-Cap 18.34%
Small-Cap 67.88%
Micro-Cap 10.53%
Average Market Cap $2.08 Billion

Avantis U.S. Small Cap Value ETF (AVUV) Morningstar No Rating
Expense Ratio 0.25%
Price/Earnings 11.9
Price/Book 1.21
Price/Sales 0.57
Price/Cash Flow 3.86
Dividend Yield 1.89%
Mid-Cap 7.86%
Small-Cap 77.44%
Micro-Cap 14.60%
Average Market Cap $1.62 Billion

Comments: VBR looks more like a Mid-Cap Fund than a Small-Cap Fund but it is cheap and it has performed quite well. AVUV and IJS load the best on Size and AVUV loads best on Value particularly when you look at Price/Book and Price/Cash Flow. I tell you, the Avantis U.S. Small Cap Value ETF looks awfully good and shows a lot of promise but is so new there just isn't much performance information.
A fool and his money are good for business.

james22
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by james22 » Sun Nov 24, 2019 1:53 am

lazyday wrote:
Tue Nov 05, 2019 7:27 am
I just wish Vanguard would offer ex-US funds like the US multifactor VFMF. It’s difficult to evaluate funds that don’t follow an index, but I trust Vanguard and would be quick to buy. If anyone hears rumors or spots an SEC filing, please share.
Nine months ago:
AlexisAtEasternState wrote:
Tue Feb 19, 2019 10:57 pm
Based on this job description perhaps they are launching international factor funds soon: https://www.vanguardjobs.com/job/900478 ... alvern-pa/
Hopefully we'll see something soon.

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

Post by lazyday » Sun Nov 24, 2019 3:49 am

james22 wrote:
Sun Nov 24, 2019 1:53 am
Nine months ago:
AlexisAtEasternState wrote:
Tue Feb 19, 2019 10:57 pm
Based on this job description perhaps they are launching international factor funds soon: https://www.vanguardjobs.com/job/900478 ... alvern-pa/
Thanks. The link is dead (or it fails without sign in) but the url gives a strong hint:
senior-portfolio-manager-non-u-s-equity-quantitative-equity-group
Maybe I'll wait longer to try to get that factor box page to work for me, hoping someone will post when it works for these funds. I probably wouldn't rely on Morningstar data for a fund that screens or weights on factors other than size and value.

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

Post by stan1 » Sun Nov 24, 2019 9:05 am

nedsaid wrote:
Sun Nov 24, 2019 12:49 am
I am thinking about buying some Avantis U.S. Small Cap Value ETF. Let's compare to other U.S. Small/Value products that I own.

[Snip]

Comments: VBR looks more like a Mid-Cap Fund than a Small-Cap Fund but it is cheap and it has performed quite well. AVUV and IJS load the best on Size and AVUV loads best on Value particularly when you look at Price/Book and Price/Cash Flow. I tell you, the Avantis U.S. Small Cap Value ETF looks awfully good and shows a lot of promise but is so new there just isn't much performance information.
Vanguard has announced that VIOV expense ratio is dropping to 0.15% (same as SLYV) so 10 basis points less than IJS at 0.25% if that helps in your decision. It probably just makes the waters more muddy, though.

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

Post by caklim00 » Sun Nov 24, 2019 9:23 am

james22 wrote:
Sun Nov 24, 2019 1:53 am
lazyday wrote:
Tue Nov 05, 2019 7:27 am
I just wish Vanguard would offer ex-US funds like the US multifactor VFMF. It’s difficult to evaluate funds that don’t follow an index, but I trust Vanguard and would be quick to buy. If anyone hears rumors or spots an SEC filing, please share.
Nine months ago:
AlexisAtEasternState wrote:
Tue Feb 19, 2019 10:57 pm
Based on this job description perhaps they are launching international factor funds soon: https://www.vanguardjobs.com/job/900478 ... alvern-pa/
Hopefully we'll see something soon.
I think we need to have some evaluations of VFMF. I'm an owner but haven't been impressed so far.

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

Post by stan1 » Sun Nov 24, 2019 9:37 am

caklim00 wrote:
Sun Nov 24, 2019 9:23 am
james22 wrote:
Sun Nov 24, 2019 1:53 am
lazyday wrote:
Tue Nov 05, 2019 7:27 am
I just wish Vanguard would offer ex-US funds like the US multifactor VFMF. It’s difficult to evaluate funds that don’t follow an index, but I trust Vanguard and would be quick to buy. If anyone hears rumors or spots an SEC filing, please share.
Nine months ago:
AlexisAtEasternState wrote:
Tue Feb 19, 2019 10:57 pm
Based on this job description perhaps they are launching international factor funds soon: https://www.vanguardjobs.com/job/900478 ... alvern-pa/
Hopefully we'll see something soon.
I think we need to have some evaluations of VFMF. I'm an owner but haven't been impressed so far.
Impressed when compared to what? I'm may be too pragmatic and jump to implementation too quickly but at the end of the day that is what matters. There are thousands of ETFs out there now saturating the market and free trades so I think that's a fair starting question. That's been my first hurdle with it.

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

Post by MotoTrojan » Sun Nov 24, 2019 11:43 am

nedsaid wrote:
Sun Nov 24, 2019 12:49 am
I am thinking about buying some Avantis U.S. Small Cap Value ETF. Let's compare to other U.S. Small/Value products that I own.

Vanguard Small Cap Value Index ETF (VBR) Morningstar 5 STAR
Expense Ratio 0.07%
Price/Earnings 13.97%
Price/Book 1.59
Price/Sales 0.88
Price/Cash Flow 5.42
Dividend Yield 2.50%
Large-Cap 0.48%
Mid-Cap 53.29%
Small-Cap 43.08%
Micro-Cap 1.56%
Average Market Cap $3.75 Billion

iShares S&P 600 Small Cap Value ETF (IJS) Morningstar 5 STAR
Expense Ratio 0.25%
Price/Earnings 14.69
Price/Book 1.35
Price/Sales 0.60
Price/Cash Flow 5.49
Dividend Yield 2.08%
Mid-Cap 1.72%
Small-Cap 86.55%
Micro-Cap 11.49%
Average Market Cap $1.50 Billion

American Century Small Cap Value Y (ASVYX) Morningstar 5 STAR
Expense Ratio 0.90%
Price/Earnings 14.71
Price/Book 1.4
Price/Sales 0.73
Price/Cash Flow 6.35
Dividend Yield 2.50%
Mid-Cap 18.34%
Small-Cap 67.88%
Micro-Cap 10.53%
Average Market Cap $2.08 Billion

Avantis U.S. Small Cap Value ETF (AVUV) Morningstar No Rating
Expense Ratio 0.25%
Price/Earnings 11.9
Price/Book 1.21
Price/Sales 0.57
Price/Cash Flow 3.86
Dividend Yield 1.89%
Mid-Cap 7.86%
Small-Cap 77.44%
Micro-Cap 14.60%
Average Market Cap $1.62 Billion

Comments: VBR looks more like a Mid-Cap Fund than a Small-Cap Fund but it is cheap and it has performed quite well. AVUV and IJS load the best on Size and AVUV loads best on Value particularly when you look at Price/Book and Price/Cash Flow. I tell you, the Avantis U.S. Small Cap Value ETF looks awfully good and shows a lot of promise but is so new there just isn't much performance information.
I had never heard of the American Century fund, which clearly lags the others in a number of categories; do you hold this in a 401k? If not, why do you hold any at all?

I agree that AVUV looks like a nice improvement on the S&P600 SCV index for deeper value, but my main hesitancy would be holding it in a taxable account. Also as noted the expense ratio for S&P600 funds such as SLYV and VIOV are now only 0.15%, almost half of that of AVUV. I would love to hear more about AVUV's quality screens as well; I like the fact that the S&P600 has quarterly earnings screens.

It is obvious that VBR is an outlier though, specifically with regards to it's mid-cap tilt. Unfortunately (well I am sure there are worse options...) my 401k holds all of my domestic small-value exposure now in it's mutual fund alternative, VSIAX; but this is only due to me transitioning available Roth/HSA space to AVDV to get international small-value exposure :). I plan to start replacing the VSIAX with SLYV/VIOV in the future.

z0r
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by z0r » Sun Nov 24, 2019 2:23 pm

I moved a bunch into their ISV and EMV funds a few weeks ago, basically swapping from VSS/VWO. I didn't do the level of due diligence most in this thread are looking to achieve; this will be my little sin for 2019. The expense ratios and spreads are low enough plus free trades at vanguard that I don't think it's a huge sin.

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

Post by MotoTrojan » Sun Nov 24, 2019 2:56 pm

z0r wrote:
Sun Nov 24, 2019 2:23 pm
I moved a bunch into their ISV and EMV funds a few weeks ago, basically swapping from VSS/VWO. I didn't do the level of due diligence most in this thread are looking to achieve; this will be my little sin for 2019. The expense ratios and spreads are low enough plus free trades at vanguard that I don't think it's a huge sin.
I agree this isn’t a big sin. My only EM holdings are in Total Int, which I’m diluting with Avantis ISV (AVDV); dedicated EM will have to be a sin for another day.

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

Post by caklim00 » Sun Nov 24, 2019 4:36 pm

stan1 wrote:
Sun Nov 24, 2019 9:37 am
caklim00 wrote:
Sun Nov 24, 2019 9:23 am
james22 wrote:
Sun Nov 24, 2019 1:53 am
lazyday wrote:
Tue Nov 05, 2019 7:27 am
I just wish Vanguard would offer ex-US funds like the US multifactor VFMF. It’s difficult to evaluate funds that don’t follow an index, but I trust Vanguard and would be quick to buy. If anyone hears rumors or spots an SEC filing, please share.
Nine months ago:
AlexisAtEasternState wrote:
Tue Feb 19, 2019 10:57 pm
Based on this job description perhaps they are launching international factor funds soon: https://www.vanguardjobs.com/job/900478 ... alvern-pa/
Hopefully we'll see something soon.
I think we need to have some evaluations of VFMF. I'm an owner but haven't been impressed so far.
Impressed when compared to what? I'm may be too pragmatic and jump to implementation too quickly but at the end of the day that is what matters. There are thousands of ETFs out there now saturating the market and free trades so I think that's a fair starting question. That's been my first hurdle with it.
Year to date results er M*
VFMF +1,554.88 | +15.55%
SLYV +1,584.56 | +15.85%
MTUM +2,270.99 | +22.71%
VTI +2,380.80 | +23.81%
VFVA +1,511.97 | +15.12% ×

Shouldn't VFMF be some where in the middle? MTUM and VTI have both done well. So larger cap and possibly momentum has beaten smaller and value. Why does VFMF look like a SCV fund?

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

Post by lazyday » Sun Nov 24, 2019 5:14 pm

caklim00 wrote:
Sun Nov 24, 2019 4:36 pm
Shouldn't VFMF be some where in the middle? MTUM and VTI have both done well. So larger cap and possibly momentum has beaten smaller and value. Why does VFMF look like a SCV fund?
Is a total return comparison over such a short time frame meaningful?

VFMF is a little odd in being something like 1/3 each small mid and large. Also I would expect a multifactor fund to invest a little differently than a mix of single factor funds. It wouldn't surprise me if 10 years wasn't long enough to make a comparison like this useful, but honestly I don't know.

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

Post by caklim00 » Sun Nov 24, 2019 8:31 pm

lazyday wrote:
Sun Nov 24, 2019 5:14 pm
caklim00 wrote:
Sun Nov 24, 2019 4:36 pm
Shouldn't VFMF be some where in the middle? MTUM and VTI have both done well. So larger cap and possibly momentum has beaten smaller and value. Why does VFMF look like a SCV fund?
Is a total return comparison over such a short time frame meaningful?

VFMF is a little odd in being something like 1/3 each small mid and large. Also I would expect a multifactor fund to invest a little differently than a mix of single factor funds. It wouldn't surprise me if 10 years wasn't long enough to make a comparison like this useful, but honestly I don't know.
No clue, i just wish there was a good way to determine if the factor funds (VFMF specifically) were doing what they are supposed to be doing. While people moaned about ishares uisng less pure multifactor you can at least look back as SMLF and ISCF inlcuding the MSCI indexes.

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

Post by HippoSir » Sun Nov 24, 2019 8:49 pm

caklim00 wrote:
Sun Nov 24, 2019 4:36 pm
Shouldn't VFMF be some where in the middle? MTUM and VTI have both done well. So larger cap and possibly momentum has beaten smaller and value. Why does VFMF look like a SCV fund?
I think one of the disadvantages of these integrated funds is that it's not necessarily as simple as just averaging the various underlying factor exposures. Note too that VFMF is more value-y than momentum-y:

Image

I like to use the etf.com factor tool (above) as well as the Morningstar stats:

Price/Earnings 14.44
Price/Book 2.20
Price/Sales 1.09
Price/Cash Flow 5.27
Dividend Yield % 1.74
Long-Term Earnings % 9.30
Historical Earnings % 13.05
Sales Growth % 7.11
Cash-Flow Growth % 14.72
Book-Value Growth % 5.51

Finally, I also take a look at the full set of holdings, especially the top holdings, to make sure they're companies I would actually own (for example, I realize Sears is "value-y" but I wouldn't want to be caught holding it!).

I'm biased as I hold a fair bit of VFMF, but by the above metrics, I personally think VFMF is achieving its goal. It holds value-y, high quality companies, and based on my non-expert opinion of its holdings they are companies I would have no problem owning if I were inclined to pick stocks.

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

Post by whodidntante » Sun Nov 24, 2019 9:02 pm

caklim00 wrote:
Sun Nov 24, 2019 8:31 pm

No clue, i just wish there was a good way to determine if the factor funds (VFMF specifically) were doing what they are supposed to be doing. While people moaned about ishares uisng less pure multifactor you can at least look back as SMLF and ISCF inlcuding the MSCI indexes.
Factor funds are supposed to provide exposure to the promised factors. You can determine if they did so looking backward by using factor regressions, but IMO not for a young fund like VFMF.

batman2020
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Re: Ex DFA CIO launches competitor which will also have ETFs

Post by batman2020 » Tue Nov 26, 2019 9:26 am

MotoTrojan wrote:
Mon Nov 11, 2019 10:47 am
So who is giving it a go? I have always wanted to tilt small-value Internationally and this thread has sprung me to start researching some of the offerings. DLS was intriguing but AVDV is as well due to the lower expense ratio. I would be holding this in a Roth IRA.

With these sorts of less liquid ETF classes what are some general rules of thumb? I assume marketable limit orders (never market order). What about automatic dividend reinvestment, is that a risky no-no?
What not reinvest dividends? Is there a way to do this with Fidelity?

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

Post by MotoTrojan » Tue Nov 26, 2019 11:25 am

batman2020 wrote:
Tue Nov 26, 2019 9:26 am
MotoTrojan wrote:
Mon Nov 11, 2019 10:47 am
So who is giving it a go? I have always wanted to tilt small-value Internationally and this thread has sprung me to start researching some of the offerings. DLS was intriguing but AVDV is as well due to the lower expense ratio. I would be holding this in a Roth IRA.

With these sorts of less liquid ETF classes what are some general rules of thumb? I assume marketable limit orders (never market order). What about automatic dividend reinvestment, is that a risky no-no?
What not reinvest dividends? Is there a way to do this with Fidelity?
Yes there is but with less liquid assets it is generally advised to use marketable limit orders to ensure you get a good price, and also avoid beginning/end of the trading day when things may be less liquid (or in this case when International markets are closed). Thus manual dividend reinvestment may be advised.

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

Post by MotoTrojan » Wed Dec 04, 2019 9:47 pm

Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

https://www.prnewswire.com/news-release ... 68807.html

I wonder where these trade free?

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

Post by stan1 » Wed Dec 04, 2019 10:13 pm

MotoTrojan wrote:
Wed Dec 04, 2019 9:47 pm
Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

I wonder where these trade free?
401K plans?

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

Post by MotoTrojan » Wed Dec 04, 2019 10:27 pm

stan1 wrote:
Wed Dec 04, 2019 10:13 pm
MotoTrojan wrote:
Wed Dec 04, 2019 9:47 pm
Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

I wonder where these trade free?
401K plans?
I would certainly welcome that.

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

Post by HippoSir » Wed Dec 04, 2019 10:48 pm

MotoTrojan wrote:
Wed Dec 04, 2019 9:47 pm
Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

https://www.prnewswire.com/news-release ... 68807.html

I wonder where these trade free?
It really seems like they are going directly after DFA. Interesting.

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

Post by whodidntante » Wed Dec 04, 2019 10:50 pm

HippoSir wrote:
Wed Dec 04, 2019 10:48 pm
MotoTrojan wrote:
Wed Dec 04, 2019 9:47 pm
Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

https://www.prnewswire.com/news-release ... 68807.html

I wonder where these trade free?
It really seems like they are going directly after DFA. Interesting.
DFA needs to fall. They got complacent.

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

Post by schismal » Thu Dec 05, 2019 6:06 am

Well that's interesting. The mutual funds aren't listed by Fidelity yet.

I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.

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

Post by downtowngriff » Thu Dec 05, 2019 9:03 am

I may have missed this in a previous post but why are these etfs holding so much cash? Only one without cash as a top holding according to Fidelity is the U.S. Small cap.

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

Post by jhfenton » Thu Dec 05, 2019 9:31 am

downtowngriff wrote:
Thu Dec 05, 2019 9:03 am
I may have missed this in a previous post but why are these etfs holding so much cash? Only one without cash as a top holding according to Fidelity is the U.S. Small cap.
I don't think Fidelity's data is accurate. I looked at the holdings of AVEM on Avantis, M*, and ETF.com, and none of them show any significant cash. M* breaks down the holdings with Cash at 0.08%, "Other" at 0.06%, and Fixed Income at 0.01%. Avantis's own comprehensive holdings list shows US Dollar at 0.06% with some other truly tiny currency positions. Fidelity shows 17.19% cash, and I don't see any way to reconcile that number with the other data sources.

I initially thought that the funds might be holding some cash + futures as a cash-flow management strategy or some larger currency hedges, but that doesn't seem to be the case with AVEM.

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

Post by MotoTrojan » Thu Dec 05, 2019 10:09 am

schismal wrote:
Thu Dec 05, 2019 6:06 am
Well that's interesting. The mutual funds aren't listed by Fidelity yet.

I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.
I saw one on Fidelity. I was struggling to find where the purchase fee was but when trying to buy $9.80 worth in my Roth (my residual cash) it stated I didn’t have sufficient funds and needed $59.80, so seems to be a hefty fee. I’ll stick to the ETF.

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

Post by schismal » Thu Dec 05, 2019 10:15 am

MotoTrojan wrote:
Thu Dec 05, 2019 10:09 am
schismal wrote:
Thu Dec 05, 2019 6:06 am
Well that's interesting. The mutual funds aren't listed by Fidelity yet.

I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.
I saw one on Fidelity. I was struggling to find where the purchase fee was but when trying to buy $9.80 worth in my Roth (my residual cash) it stated I didn’t have sufficient funds and needed $59.80, so seems to be a hefty fee. I’ll stick to the ETF.
It might be alright for a 401k-type account if Fidelity abides by their standard rules (e.g. they charge you $50 to open a position, but subsequent automatic investments do not have a fee). I already have access to DFA in my 403b, but I'll keep an eye on this.

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

Post by MotoTrojan » Thu Dec 05, 2019 10:27 am

schismal wrote:
Thu Dec 05, 2019 10:15 am
MotoTrojan wrote:
Thu Dec 05, 2019 10:09 am
schismal wrote:
Thu Dec 05, 2019 6:06 am
Well that's interesting. The mutual funds aren't listed by Fidelity yet.

I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.
I saw one on Fidelity. I was struggling to find where the purchase fee was but when trying to buy $9.80 worth in my Roth (my residual cash) it stated I didn’t have sufficient funds and needed $59.80, so seems to be a hefty fee. I’ll stick to the ETF.
It might be alright for a 401k-type account if Fidelity abides by their standard rules (e.g. they charge you $50 to open a position, but subsequent automatic investments do not have a fee). I already have access to DFA in my 403b, but I'll keep an eye on this.
My 401k has a single DFA fund; International Large Cap 1 at 0.25% ER. Have been considering using that over VG VTIAX but it’s a small position anyways: most International is now in FNDC and AVDV. Looks like the DFA fund modestly outperformed since inception (0.5% or so, with less drawdown).

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

Post by snailderby » Thu Dec 05, 2019 10:28 am

MotoTrojan wrote:
Wed Dec 04, 2019 9:47 pm
Big news, they came out with corresponding Mutual Funds that have the same expense ratio.

https://www.prnewswire.com/news-release ... 68807.html

I wonder where these trade free?
That's great. There's a 27-32 basis point difference between...

Avantis U.S. Small Cap Value (AVUVX): 0.25%
Avantis International Small Cap Value (AVDVX): 0.36%

and...

DFA US Small Cap Value (DFSVX): 0.52%
DFA International Small Cap Value (DISVX): 0.68%

And that's before factoring in the cost of an investment advisor, which is sometimes required to buy DFA funds.

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

Post by schismal » Thu Dec 05, 2019 11:27 am

schismal wrote:
Thu Dec 05, 2019 6:06 am
I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.
Just FYI, got a response in ~2 hours.
Hi schismal,

Thanks for reaching out to M1 Finance.

We have over 6,000+ stocks and ETFs that are listed on the NYSE and the NASDAQ exchanges. When a ticker isn't listed on M1's platform, it is most likely on a different stock market or it does not meet our volume requirements.

I requested these tickers to be added to M1's platform. If our finance team approves the security you will see them available in about 5 business days.

If we can help with anything else please let us know.

Thanks,
Bill
M1 Finance

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

Post by MotoTrojan » Thu Dec 05, 2019 11:35 am

schismal wrote:
Thu Dec 05, 2019 11:27 am
schismal wrote:
Thu Dec 05, 2019 6:06 am
I also looked up these Avantis ETFs on M1, and it doesn't look like they're available on that platform. I've emailed to see if this will change.
Just FYI, got a response in ~2 hours.
Hi schismal,

Thanks for reaching out to M1 Finance.

We have over 6,000+ stocks and ETFs that are listed on the NYSE and the NASDAQ exchanges. When a ticker isn't listed on M1's platform, it is most likely on a different stock market or it does not meet our volume requirements.

I requested these tickers to be added to M1's platform. If our finance team approves the security you will see them available in about 5 business days.

If we can help with anything else please let us know.

Thanks,
Bill
M1 Finance
I would personally be terrified trading ETFs this illiquid on M1. Limit orders are a must, I’m not even doing automatic dividend reinvestment. That’s why I liked the MF possibility.

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

Post by schismal » Thu Dec 05, 2019 11:54 am

MotoTrojan wrote:
Thu Dec 05, 2019 11:35 am
I would personally be terrified trading ETFs this illiquid on M1. Limit orders are a must, I’m not even doing automatic dividend reinvestment. That’s why I liked the MF possibility.
I didn't even realize that they screened ETFs by trading volume until that email (had just never thought about it honestly). It's a good precaution, and I'm curious how they answer.

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

Post by tryingmybest » Thu Dec 05, 2019 12:16 pm

I have a number of concerns in buying a new fund/ETF. Some of these are:

Does anyone else have any concerns?
Last edited by tryingmybest on Thu Dec 05, 2019 12:47 pm, edited 2 times in total.

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

Post by MotoTrojan » Thu Dec 05, 2019 12:34 pm

tryingmybest wrote:
Thu Dec 05, 2019 12:16 pm
I have a number of concerns in buying a new fund/ETF. Some of these are:

Does anyone else have any concerns?
Holding my AVDV in Roth which clears up some of these concerns.

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

Post by jhfenton » Thu Dec 05, 2019 12:38 pm

tryingmybest wrote:
Thu Dec 05, 2019 12:16 pm
Does anyone else have any concerns?
So far, AVEM looks too vanilla to be compelling to me. They appear to have fairly strict country and sector constraints that limit their ability to be very different from the market.

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