Small Cap Value heads Rejoice !!!

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Re: Small Cap Value heads Rejoice !!!

Post by Alex Frakt » Tue May 19, 2020 12:40 am

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Re: Small Cap Value heads Rejoice !!!

Post by Alex Frakt » Tue May 19, 2020 9:05 pm

Thread is open again.

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mjuszczak
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Re: Small Cap Value heads Rejoice !!!

Post by mjuszczak » Wed May 20, 2020 12:28 am

So I see many replacing SLYV with AVDV and DLS with AVUV. What about DGS allocations?

Day9
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Re: Small Cap Value heads Rejoice !!!

Post by Day9 » Wed May 20, 2020 3:03 am

mjuszczak wrote:
Wed May 20, 2020 12:28 am
So I see many replacing SLYV with AVDV and DLS with AVUV. What about DGS allocations?
Avantis offers an emerging market ETF "AVEM". I have not looked into it since I have a retirement plan with access to DFA Emerging Markets Value fund which I use for my emerging market allocation.

Larry Swedroe tweeted about "3 new Avantis ETFs" but only linked to AVUV. I wonder if he meant AVUV, AVDV, and AVEM. If you would like to tweet a reply to him let us know if you get a response: https://twitter.com/larryswedroe/status ... 2723604482
I'm just a fan of the person I got my user name from

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Wed May 20, 2020 10:06 am

Triple digit golfer wrote:
Sat May 16, 2020 6:48 pm
rkhusky wrote:
Sat May 16, 2020 5:38 pm
RussellWilson wrote:
Sat May 16, 2020 11:49 am
This is just for fun as I doubt anyone would actually go all in on SCV, but Ben Felix recently mentioned that using 4% withdrawals in 30 year periods going back to 1926, 70% US SCV with 30% 5 year treasuries had no failures. It also has a thrilling max drawdown of 77%. This was an aside in a discussion more focused on analyzing allocations in a bond bear market.

The 70% remark is at 42:30 and the discussion leading to it starts at 31.

https://youtu.be/eVlqOid4GAI
Actually, there are those that recommend 100% small value, while also lowering the total amount of stock held in an effort to equalize risk. Search for "Larry Portfolio".
I think that strategy is nuts. If it underperforms the broad market, not only will the investor underperform, but he will hold less equity than he otherwise would have, and lower performing bonds than he would have.

I could see a small tilt (maybe even up to a third of equities) in small value, although it's not for me. I cannot see why anybody would take such a huge risk with 100% of equities in a very small subset of the market.
If you believe in the Fama-French analysis and believe that factor loadings won’t change much in the future, then you will also believe that a long SV fund will have a full loading on the market. And therefore you aren’t really comparing SV versus the market, but value versus growth and small versus big, both of which are only small corrections to the market return.

Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.

acegolfer
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Re: Small Cap Value heads Rejoice !!!

Post by acegolfer » Wed May 20, 2020 10:34 am

rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Wed May 20, 2020 7:28 pm

acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.

SanjiWatsuki
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Re: Small Cap Value heads Rejoice !!!

Post by SanjiWatsuki » Wed May 20, 2020 7:46 pm

rkhusky wrote:
Wed May 20, 2020 7:28 pm
acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.
Here's a link to save folks time. I went into PV and tried stdev matching by hand.

~60/40 TSM/bond seems to hold up to ~50/50 SV/bond in a 1972 to Apr 2020 if you swap out Total Bond Market for Intermediate Term Treasury.

acegolfer
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Re: Small Cap Value heads Rejoice !!!

Post by acegolfer » Wed May 20, 2020 7:56 pm

rkhusky wrote:
Wed May 20, 2020 7:28 pm
acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.
If you believe in the Fama-French analysis, you should know that having the same stdev doesn't mean equivalent risk.

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Wed May 20, 2020 8:29 pm

SanjiWatsuki wrote:
Wed May 20, 2020 7:46 pm
rkhusky wrote:
Wed May 20, 2020 7:28 pm
acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.
Here's a link to save folks time. I went into PV and tried stdev matching by hand.

~60/40 TSM/bond seems to hold up to ~50/50 SV/bond in a 1972 to Apr 2020 if you swap out Total Bond Market for Intermediate Term Treasury.
I probably used real funds, most likely DFA SV.

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Wed May 20, 2020 8:31 pm

acegolfer wrote:
Wed May 20, 2020 7:56 pm
rkhusky wrote:
Wed May 20, 2020 7:28 pm
acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.
If you believe in the Fama-French analysis, you should know that having the same stdev doesn't mean equivalent risk.
OK. I compared based on equivalent SD.

And actually, risk is not used in the computation of the loadings, so the definition of “risk” doesn’t really matter. Only mention of risk is in the selection of the risk-free investment, and perhaps the jargon of “risk factors”.

SanjiWatsuki
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Re: Small Cap Value heads Rejoice !!!

Post by SanjiWatsuki » Wed May 20, 2020 9:34 pm

rkhusky wrote:
Wed May 20, 2020 8:29 pm
SanjiWatsuki wrote:
Wed May 20, 2020 7:46 pm
rkhusky wrote:
Wed May 20, 2020 7:28 pm
acegolfer wrote:
Wed May 20, 2020 10:34 am
rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
How did you measure/compare the risks between the 2 portfolios?
Standard deviation. Easy to do with Portfolio Visualizer.
Here's a link to save folks time. I went into PV and tried stdev matching by hand.

~60/40 TSM/bond seems to hold up to ~50/50 SV/bond in a 1972 to Apr 2020 if you swap out Total Bond Market for Intermediate Term Treasury.
I probably used real funds, most likely DFA SV.
Fair enough -- DFA SV does appear to hold at 45/55.

wawoodjr
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Re: "Fool me once your fault. Fool me twice my fault."

Post by wawoodjr » Wed May 20, 2020 10:08 pm

rkhusky wrote:
Tue May 12, 2020 8:28 pm
wawoodjr wrote:
Tue May 12, 2020 8:18 pm

Then as I understand it, Taylor's idea of portfolio management is to dump the losers and pile it into what's doing best. What could go wrong there? No wonder I find myself coming back here less often...this is the "noise" my IPS warns me to ignore. :oops:
You have no idea what you are talking about.
What I do recognize is the hypocrisy of some here. Bogleheads taught me many years ago to develop a diversified portfolio that fit my needs, then stick with it and rebalance as necessary. What I don't need is to be constantly admonished because my portfolio has a modest tilt to SCV.

Elysium
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Re: Small Cap Value heads Rejoice !!!

Post by Elysium » Thu May 21, 2020 9:34 am

rkhusky wrote:
Wed May 20, 2020 10:06 am
Seems like when I last made a comparison, a 60/40 TSM/TBM was equivalent to a 45/55 SV/TBM portfolio in terms of risk. The latter doesn’t seem so outrageous, although things might have changed in the last few months.
The trouble with this allocation is that it was built on a premise that SCV will not underperform market beta for prolonged period because if beta up then it should result in SCV getting rewarded as well. Unfortunately in a low return environment this wouldn't hold up, as happened in last 6+ years.

See here comparison for the above allocations for 2014-Present.

One can call this tracking error, but it would require someone to not care about their money not even keeping up with inflation for prolonged periods, as happened in last 6 years and counting. Unless this reverses very quickly for SCV to make up the lost ground, the investor who did this extreme version is in serious trouble.

The last time such extreme happened with SCV vs LCG was from 1995-1999, however this was only for 5 years which corrected quickly in the subsequent Tech crash, and no one cares too much about tracking error when they are still earning double digit returns, as happened with SCV back then, See here

The issue then is the presumptions about this extreme value allocation has not held up since it was recommended as a strategy about 10 years or so. It was based on past data when SCV never had a serious underperformance compared to market beta, and it didn't happen in a low return environment.

Time will tell. So, far it is looking like a strategy no one should take with 100% of their portfolio unless their marginal utility of wealth is very low.

caklim00
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 » Thu May 21, 2020 10:22 am

If you abandoned your tilt a month ago you have to be kicking yourself right now (1 month returns below)
AVUV +13.75%
SPY +6.33%
MTUM +6.03%

Time will tell if it continues like this or if LCG continues to outperform.

theorist
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Re: Small Cap Value heads Rejoice !!!

Post by theorist » Thu May 21, 2020 10:26 am

Ben Carlson has an interesting little blog post about the relative spread between typical stocks in the S&P 500 and the small and mid cap value stocks:

https://awealthofcommonsense.com/2020/0 ... vervalued/

Takeaway from his Cliff Asness quote: the ratio of price to book values for growth vs value stocks is “...the highest we’ve ever seen.”

Joelioli
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Re: Small Cap Value heads Rejoice !!!

Post by Joelioli » Thu May 21, 2020 3:12 pm

rkhusky wrote:
Fri May 15, 2020 3:07 pm
garlandwhizzer wrote:
Fri May 15, 2020 1:28 pm
RZV is deep value microcap, maximally loaded with small and value factors and it has paid the price for that faith.
I wonder how soon after one of RZV's loser stocks starts to do well that they sell it because it is not small enough or valuey enough? Seems like in order to profit off small value that you would want to let the few lottery picks run for a while before selling, at least until they reach the blend category, if not into the growth region.
So basically what you are talking about is seeking to capture the momentum risk factor in conjunction with value. Once a stock/company is no longer considered undervalued, there is no value premium to expect from it so it doesn't make sense to hold from a value perspective.

Certain value funds have a period of delay before buying and selling funds. This helps to capture the momentum premium, or at least avoid a negative momentum loading. For example, if I remember correctly Avantis value funds such as AVUV delays buying and selling stocks for 6 months, and by doing so, theoretically should be able to avoid the negative momentum loading associated with many value index ETFs.

Vanguard's Multifactor ETF (VFMF) sacrifices a bit in Value in order to load more on quality and momentum factors. This is along the same lines as above.

One of the main problems with multifactor approaches however, is most multifactor funds cost a lot and fail to significantly track the factors they are targeting, at least when you run a factor regression.

Even VFMF fails to reach statistical significance for Value, Profitability, and Investment factors on a 5-factor regression.

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Re: Small Cap Value heads Rejoice !!!

Post by deltaneutral83 » Thu May 21, 2020 3:23 pm

caklim00 wrote:
Thu May 21, 2020 10:22 am
If you abandoned your tilt a month ago you have to be kicking yourself right now (1 month returns below)
AVUV +13.75%
SPY +6.33%
MTUM +6.03%

Time will tell if it continues like this or if LCG continues to outperform.
I'll wait to pop the champagne when we get back to August 2018 levels

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Re: Small Cap Value heads Rejoice !!!

Post by Forester » Thu May 21, 2020 4:50 pm

SCV total return is still at 2014 levels :?

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Thu May 21, 2020 5:00 pm

Joelioli wrote:
Thu May 21, 2020 3:12 pm
rkhusky wrote:
Fri May 15, 2020 3:07 pm
garlandwhizzer wrote:
Fri May 15, 2020 1:28 pm
RZV is deep value microcap, maximally loaded with small and value factors and it has paid the price for that faith.
I wonder how soon after one of RZV's loser stocks starts to do well that they sell it because it is not small enough or valuey enough? Seems like in order to profit off small value that you would want to let the few lottery picks run for a while before selling, at least until they reach the blend category, if not into the growth region.
So basically what you are talking about is seeking to capture the momentum risk factor in conjunction with value. Once a stock/company is no longer considered undervalued, there is no value premium to expect from it so it doesn't make sense to hold from a value perspective.
Does the momentum risk factor look for low momentum or negative momentum? Seems like positive momentum would not be a risk and that stocks with positive momentum would be less risky and therefore have lower expected returns.

Deep value funds presumably sell companies that are still value, but not valuey enough. Micro-cap funds presumably sell companies that are still small, but not small enough. For example, if a deep value fund only invested in the lowest decile of P/B, they would sell any stocks that reached the 2nd decile (with the lowest 5 deciles making up the value universe).

Someone posted that RZV rebalances once a year, which would seem to imply that value stocks that have turned things around have 6 months on average to reap their rewards before RZV sells them.

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Ketawa
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa » Fri May 22, 2020 10:49 am

rkhusky wrote:
Thu May 21, 2020 5:00 pm
Does the momentum risk factor look for low momentum or negative momentum? Seems like positive momentum would not be a risk and that stocks with positive momentum would be less risky and therefore have lower expected returns.

Deep value funds presumably sell companies that are still value, but not valuey enough. Micro-cap funds presumably sell companies that are still small, but not small enough. For example, if a deep value fund only invested in the lowest decile of P/B, they would sell any stocks that reached the 2nd decile (with the lowest 5 deciles making up the value universe).

Someone posted that RZV rebalances once a year, which would seem to imply that value stocks that have turned things around have 6 months on average to reap their rewards before RZV sells them.
Funds targeting the momentum factor load on positive momentum. Broadly, there are two types of momentum defined in academic literature, with the factors calculated as follows:

1. Cross-Sectional/Relative Momentum - long assets that have done better in the recent past than other similar assets, short the opposite.
2. Time-Series/Absolute Momentum - long assets that have done better in the recent past than their own past performance, short the opposite.

The time frame observed is usually performance over the last 2-12 months. Funds like VFMF, QSMLX, and QSPIX load on cross-sectional momentum. A fund like QMHIX attempts to load on time-series momentum.

A long only fund (VFMF, QSMLX) will hold assets with positive momentum. A long-short fund (QSPIX, QMHIX) will use options and derivatives to gain exposure to both sides of the momentum factor while eliminating exposure to market beta.

Both implementations of momentum factors have been found to be pervasive across asset classes (stocks, bonds, commodities, currencies, etc) and regions. Both have been observed for very long times. They are not typically considered risk factors because there is no reason for them to exist going forward for risk reasons, but there may be many behavioral reasons that the returns to momentum factors could be positive in the future due to things like limits on arbitrage.

FWIW, I hold QSMLX and QSPIX in my IRA.

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Nicolas Perrault
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Re: Small Cap Value heads Rejoice !!!

Post by Nicolas Perrault » Fri May 22, 2020 11:51 am

Forester wrote:
Thu May 21, 2020 4:50 pm
SCV total return is still at 2014 levels :?
And European total real returns are still at 2006 levels.
And Pacific total real returns are still at 1993 levels.

2014 ain’t that bad 😏

james22
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Re: Small Cap Value heads Rejoice !!!

Post by james22 » Sat May 23, 2020 9:52 am

theorist wrote:
Thu May 21, 2020 10:26 am
Ben Carlson has an interesting little blog post about the relative spread between typical stocks in the S&P 500 and the small and mid cap value stocks:

https://awealthofcommonsense.com/2020/0 ... vervalued/

Takeaway from his Cliff Asness quote: the ratio of price to book values for growth vs value stocks is “...the highest we’ve ever seen.”
Nice, thanks.

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nedsaid
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Re: Small Cap Value heads Rejoice !!!

Post by nedsaid » Sun May 24, 2020 11:24 pm

caklim00 wrote:
Thu May 21, 2020 10:22 am
If you abandoned your tilt a month ago you have to be kicking yourself right now (1 month returns below)
AVUV +13.75%
SPY +6.33%
MTUM +6.03%

Time will tell if it continues like this or if LCG continues to outperform.
I have not sold any of my Small/Mid-Value investments and this is why. You never know when Small Value will spurt upwards like this, as they say you need to be on the train when it leaves the station. I don't go overboard on Value tilts as Value, particularly Small Value can be pretty volatile. Not surprising that this happened as part of the economy just shut down.
A fool and his money are good for business.

index245
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Re: Small Cap Value heads Rejoice !!!

Post by index245 » Mon May 25, 2020 12:23 am

Nicolas Perrault wrote:
Fri May 22, 2020 11:51 am
Forester wrote:
Thu May 21, 2020 4:50 pm
SCV total return is still at 2014 levels :?
And European total real returns are still at 2006 levels.
And Pacific total real returns are still at 1993 levels.

2014 ain’t that bad 😏
Exactly. If you've been in SCV since 2011 or so, you've done just fine overall. Not as good as the FAANG-driven S&P500, but still pretty good. Much better than international.

Chrono Triggered
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Re: Small Cap Value heads Rejoice !!!

Post by Chrono Triggered » Tue May 26, 2020 11:51 am

Another solid day for SCV so far.

Massdriver
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver » Tue May 26, 2020 7:40 pm

Some of that beat up SLYV I bought in March is looking very good right now. If there isn't a second wave, which I find doubtful, I believe small and value are going to rocket up.

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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester » Wed May 27, 2020 12:04 pm

April 1st was the "value bottom".

I strongly advise people staying the course with written investment plans, to tear those plans up and panic buy IJS, VIOV, ZIG etc etc :sharebeer

HippoSir
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir » Wed May 27, 2020 2:07 pm

Forester wrote:
Wed May 27, 2020 12:04 pm
April 1st was the "value bottom".

I strongly advise people staying the course with written investment plans, to tear those plans up and panic buy IJS, VIOV, ZIG etc etc :sharebeer
When this all crashes tomorrow I'm blaming you. :D

garlandwhizzer
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Re: Small Cap Value heads Rejoice !!!

Post by garlandwhizzer » Wed May 27, 2020 2:26 pm

SCV contains a lot of cyclical market segments (financials, consumer cyclicals, industrials, etc.,) that will do very well if the economy goes from its current severe dysfunction rather quickly into a robust and persistent economic growth cycle. It's selling at very cheap levels and poised to jump in price if that happens and it is sustainable. SCV's recent losses were magnified in this recent sudden severe economic collapse by the very same thing, heavy exposure to cyclical market segments which collapsed along with economy. We are staring to see the first green shoots of an economic turn around--mortgage applications up, businesses starting to reopen, etc.

Questions remain however. How sustainable and how vigorous will the recovery be? Will it take 6 months or 2+ years to get us back to corporate profit levels we had at the end of 2019? Will a fall resurgence of COVID-19 force another economic shutdown? When will a effective vaccine and effective treatment show up? What about a potential trade war with China from the increasing verbal conflict now again between us and them? It is important to remember that we now have a globally synchronized severe recession everywhere in the DM world and that these things don't typically turn around quickly.

In short there are a lot of unknowns about the future even though a few green shoots are now appearing. Personally I don't fully trust the vigorous market rally we've had off the March 23 bottom. We now have the widest gulf between the market which is very optimistic for a V shaped recovery, and the economy which is in the depths of massive unemployment and a deep recession that I can recall. I hope the optimism gets rewarded but I suspect that it will take a lot longer than many think for this much economic damage to be repaired.

Garland Whizzer

rascott
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Re: Small Cap Value heads Rejoice !!!

Post by rascott » Wed May 27, 2020 3:34 pm

SCV is the frenetic, over- caffeinated cousin of the large cap indexes. Glad I not only held, but gently rebalanced into some more SCV when the spreads were really peaking. It's exceedingly difficult to sell the stuff that's been doing relatively well, to buy the beaten down stinker.

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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester » Fri May 29, 2020 9:07 am

rascott wrote:
Wed May 27, 2020 3:34 pm
SCV is the frenetic, over- caffeinated cousin of the large cap indexes. Glad I not only held, but gently rebalanced into some more SCV when the spreads were really peaking. It's exceedingly difficult to sell the stuff that's been doing relatively well, to buy the beaten down stinker.
I think we arrive at a point where value has a boring unremarkable decade of 6% returns, while FAANGTESLA etc etc flatlines as they grow into their 2020 valuation.

Robot Monster
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Re: Small Cap Value heads Rejoice !!!

Post by Robot Monster » Fri May 29, 2020 9:35 am

"For one of the starker examples of how much recovery-obsessed investors are willing to stomach lately, compare this week’s surge in small caps with first-quarter results the companies just finished reporting. Weighted to service-oriented companies particularly hard hit by stay-at-home orders, the Russell 2000 saw per-share profits fall 90% from a year ago, several times more than members of the S&P 500, according to Goldman Sachs data. Meantime, before a hiccup on Thursday, the Russell 2000 Index had risen on eight of nine days in a rally exceeding 16%."
https://www.bloomberg.com/amp/news/arti ... ssion=true

(I applied the boldface.)

silent_john
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Re: Small Cap Value heads Rejoice !!!

Post by silent_john » Fri May 29, 2020 12:55 pm

My IRA is still RIPville holding SCV along with ex-US small cap and emerging markets (balancing out my significantly larger 401k with only S&P500).

I'm not selling, but it's hard to get excited about a couple great days in SCV.

MotoTrojan
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan » Sat May 30, 2020 8:32 am

Forester wrote:
Fri May 29, 2020 9:07 am
rascott wrote:
Wed May 27, 2020 3:34 pm
SCV is the frenetic, over- caffeinated cousin of the large cap indexes. Glad I not only held, but gently rebalanced into some more SCV when the spreads were really peaking. It's exceedingly difficult to sell the stuff that's been doing relatively well, to buy the beaten down stinker.
I think we arrive at a point where value has a boring unremarkable decade of 6% returns, while FAANGTESLA etc etc flatlines as they grow into their 2020 valuation.
What about juiced up value like QVAL :twisted:? 9%? Sounds great to me.

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nedsaid
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Re: Small Cap Value heads Rejoice !!!

Post by nedsaid » Sat May 30, 2020 2:57 pm

garlandwhizzer wrote:
Wed May 27, 2020 2:26 pm
SCV contains a lot of cyclical market segments (financials, consumer cyclicals, industrials, etc.,) that will do very well if the economy goes from its current severe dysfunction rather quickly into a robust and persistent economic growth cycle. It's selling at very cheap levels and poised to jump in price if that happens and it is sustainable. SCV's recent losses were magnified in this recent sudden severe economic collapse by the very same thing, heavy exposure to cyclical market segments which collapsed along with economy. We are staring to see the first green shoots of an economic turn around--mortgage applications up, businesses starting to reopen, etc.

Questions remain however. How sustainable and how vigorous will the recovery be? Will it take 6 months or 2+ years to get us back to corporate profit levels we had at the end of 2019? Will a fall resurgence of COVID-19 force another economic shutdown? When will a effective vaccine and effective treatment show up? What about a potential trade war with China from the increasing verbal conflict now again between us and them? It is important to remember that we now have a globally synchronized severe recession everywhere in the DM world and that these things don't typically turn around quickly.

In short there are a lot of unknowns about the future even though a few green shoots are now appearing. Personally I don't fully trust the vigorous market rally we've had off the March 23 bottom. We now have the widest gulf between the market which is very optimistic for a V shaped recovery, and the economy which is in the depths of massive unemployment and a deep recession that I can recall. I hope the optimism gets rewarded but I suspect that it will take a lot longer than many think for this much economic damage to be repaired.

Garland Whizzer
Hey Garland, I think you and I are the only folks around anymore who talk about economically sensitive stocks or the so-called cyclical stocks. I remember cyclicals being discussed a lot during the 1980's and the 1990's but I don't hear that word used much anymore. It must be a sign of getting older. But yes, I agree with your observations though I am a bit more optimistic.
A fool and his money are good for business.

caklim00
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Re: Small Cap Value heads Rejoice !!!

Post by caklim00 » Sat May 30, 2020 7:23 pm

AVUV up to 246.3 Mil in assets.

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nedsaid
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Re: Small Cap Value heads Rejoice !!!

Post by nedsaid » Sat May 30, 2020 7:32 pm

caklim00 wrote:
Sat May 30, 2020 7:23 pm
AVUV up to 246.3 Mil in assets.
Very good news. I have been rooting for Avantis to succeed. I have wanted DFA investments that I could purchase on my own without an advisor. Their ETF products can be purchased individually, their mutual funds require an Advisor to access. So far, I have not purchased any Avantis products. What I had have been good enough so far.
A fool and his money are good for business.

JimmyJammy
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Re: Small Cap Value heads Rejoice !!!

Post by JimmyJammy » Sat May 30, 2020 9:25 pm

I have 4% of my portfolio in SCV (vs 35% in VTI). I'm not liking it these days obviously. Meanwhile the big techs I own (MSFT, AMZN, GOOGL - 7% of my total portfolio) have simply blown everything else away performance-wise. But I just don't see those techs falling out of favor (unless the new government regime goes after them really hard with regulations at which point I think that will actually be a "buy the dip" moment on tech).

So I have a small SCV tilt and a small big tech tilt. At this point, I think I may just keep these allocations because I have no idea which is going to pop when, though I do see more pain coming for SCV in the short term.

I guess if I did sell SCV, I might switch the money into VXF (Extended Market, which is more diversified). What do you think?

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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan » Sat May 30, 2020 9:52 pm

JimmyJammy wrote:
Sat May 30, 2020 9:25 pm
I have 4% of my portfolio in SCV (vs 35% in VTI). I'm not liking it these days obviously. Meanwhile the big techs I own (MSFT, AMZN, GOOGL - 7% of my total portfolio) have simply blown everything else away performance-wise. But I just don't see those techs falling out of favor (unless the new government regime goes after them really hard with regulations at which point I think that will actually be a "buy the dip" moment on tech).

So I have a small SCV tilt and a small big tech tilt. At this point, I think I may just keep these allocations because I have no idea which is going to pop when, though I do see more pain coming for SCV in the short term.

I guess if I did sell SCV, I might switch the money into VXF (Extended Market, which is more diversified). What do you think?
I think small-value is a much better diversifier than extended market. I also think your portfolio sounds over complicated with small tilts that directly offset each other. In order to profit off a factor tilt you just have conviction.

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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan » Sat May 30, 2020 9:54 pm

caklim00 wrote:
Sat May 30, 2020 7:23 pm
AVUV up to 246.3 Mil in assets.
Quite happy that I swapped my SLYV for it awhile back.

JimmyJammy
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Re: Small Cap Value heads Rejoice !!!

Post by JimmyJammy » Sat May 30, 2020 10:08 pm

MotoTrojan wrote:
Sat May 30, 2020 9:52 pm
JimmyJammy wrote:
Sat May 30, 2020 9:25 pm
I have 4% of my portfolio in SCV (vs 35% in VTI). I'm not liking it these days obviously. Meanwhile the big techs I own (MSFT, AMZN, GOOGL - 7% of my total portfolio) have simply blown everything else away performance-wise. But I just don't see those techs falling out of favor (unless the new government regime goes after them really hard with regulations at which point I think that will actually be a "buy the dip" moment on tech).

So I have a small SCV tilt and a small big tech tilt. At this point, I think I may just keep these allocations because I have no idea which is going to pop when, though I do see more pain coming for SCV in the short term.

I guess if I did sell SCV, I might switch the money into VXF (Extended Market, which is more diversified). What do you think?
I think small-value is a much better diversifier than extended market. I also think your portfolio sounds over complicated with small tilts that directly offset each other. In order to profit off a factor tilt you just have conviction.
Yes, it is overcomplicated. But I guess I'm just not willing to make such a large tilt bet. So, I guess I'm not really a tilter.

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BroIceCream
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Re: Small Cap Value heads Rejoice !!!

Post by BroIceCream » Sat May 30, 2020 10:16 pm

JimmyJammy wrote:
Sat May 30, 2020 9:25 pm
I have 4% of my portfolio in SCV (vs 35% in VTI). I'm not liking it these days obviously.
I've actually been feeling quite happy about my SCV tilt (9% US+5% Intl-SC) over the last few months. Around late March, my IPS indicated I was way out of my band tolerances for my bond allocation.... I re-balanced a chunk in to my under-weighted SCV position, and have been pleased with the rebounding that followed. (up 32% just of that purchased SCV position, +26% for Intl-SC; compared w/ up 16% of SP500 in same timeframe).

Even over the last few years, I've been happy with my SCV positions. I like the extra diversity/granularity, especially when looking at the Callan Table. Hence, my avatar.
https://www.callan.com/periodic-table/

rkhusky
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Re: Small Cap Value heads Rejoice !!!

Post by rkhusky » Sun May 31, 2020 5:27 pm

BroIceCream wrote:
Sat May 30, 2020 10:16 pm
Even over the last few years, I've been happy with my SCV positions. I like the extra diversity/granularity, especially when looking at the Callan Table. Hence, my avatar.
https://www.callan.com/periodic-table/
I like my Total Stock Market when I look at the Callan Table because I own Small Growth, Large Growth, Small Value, and Large Value.

With my Total International I own Large Developed Growth, Large Developed Value, Small Developed Growth, Small Developed Value, plus all the Emerging Markets variations.

I think I have all the bases covered.

MotoTrojan
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Re: Small Cap Value heads Rejoice !!!

Post by MotoTrojan » Sun May 31, 2020 6:32 pm

Interesting analysis on P/E compression/expansion of different equal weight market sub-groups.

Overview is that the highest 50 in P/E are up significantly YTD even though earnings were downgraded heavily (their P/E’s expanded significantly) while the deepest value groups had significant P/E compression.

https://www.albertbridgecapital.com/post/bubblicious

17outs
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Re: Small Cap Value heads Rejoice !!!

Post by 17outs » Mon Jun 01, 2020 8:37 pm

MotoTrojan wrote:
Sat May 30, 2020 9:54 pm
caklim00 wrote:
Sat May 30, 2020 7:23 pm
AVUV up to 246.3 Mil in assets.
Quite happy that I swapped my SLYV for it awhile back.
As did I 99%. I did notice M1 doesn't have the option for the last 1%.

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whodidntante
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Re: Small Cap Value heads Rejoice !!!

Post by whodidntante » Mon Jun 01, 2020 9:13 pm

garlandwhizzer wrote:
Wed May 27, 2020 2:26 pm
Will it take 6 months or 2+ years to get us back to corporate profit levels we had at the end of 2019? Will a fall resurgence of COVID-19 force another economic shutdown? When will a effective vaccine and effective treatment show up?
All good points. On the other hand, the Fed is buying risk assets now and money printer go brrrr.

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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester » Tue Jun 02, 2020 9:08 am

About 2/3 thru the latest Market Huddle, one of the hosts remarked that tech might consolidate sideways for a while, as value/ex-US leads the next stage of the bullmarket. https://youtu.be/a1HtMcZzR78

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Re: Small Cap Value heads Rejoice !!!

Post by theorist » Tue Jun 02, 2020 10:40 am

I was just comparing the performance of my mid cap value fund (VMVAX) to my small cap value, most of which is in VSIAX. The mid cap value has been performing better than small value over a range of periods. I looked more into what Vanguard means by its cap sizes in these funds; the mid cap fund has average cap of $13 billion for the companies it holds, while the small cap fund is at $3 billion. Meanwhile, the Vanguard large cap index has an average market cap of $120 billion for its holdings.

This makes me wonder — the mid cap and small cap value firms seem a lot more similar in size than either is to the large caps. Is there as much research on a mid cap value premium as a small value premium? Could it be advantageous to hold the mid caps because they are a bit more robust due to their slightly larger size?

The long and short of it is, can someone point to research on mid cap value vs small cap value performance over long periods? Could mid cap value be a better bet? (I’ve seen the posts on “Mel’s unloved mid caps,” but didn’t really see this addressed in the ones I saw.)

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Forester
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Re: Small Cap Value heads Rejoice !!!

Post by Forester » Tue Jun 02, 2020 12:24 pm

theorist wrote:
Tue Jun 02, 2020 10:40 am
I was just comparing the performance of my mid cap value fund (VMVAX) to my small cap value, most of which is in VSIAX. The mid cap value has been performing better than small value over a range of periods. I looked more into what Vanguard means by its cap sizes in these funds; the mid cap fund has average cap of $13 billion for the companies it holds, while the small cap fund is at $3 billion. Meanwhile, the Vanguard large cap index has an average market cap of $120 billion for its holdings.

This makes me wonder — the mid cap and small cap value firms seem a lot more similar in size than either is to the large caps. Is there as much research on a mid cap value premium as a small value premium? Could it be advantageous to hold the mid caps because they are a bit more robust due to their slightly larger size?

The long and short of it is, can someone point to research on mid cap value vs small cap value performance over long periods? Could mid cap value be a better bet? (I’ve seen the posts on “Mel’s unloved mid caps,” but didn’t really see this addressed in the ones I saw.)
Google Hamtil midcap value he has looked at that.

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