Small Cap Value heads Rejoice !!!
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Re: Small Cap Value heads Rejoice !!!
I decided to split my VTWAX holdings into VTSAX and VTIAX for tax benefits. As such, I'm now tracking domestic vs. international allocation (currently about 60/40).
Prior to this, I had split AVUS and AVDV 40%/40%, and AVEM made up the remaining 20%. However, could it make sense to apply the same formula to AVUV, AVDV, and AVEM such that the tilts are market weighted? So 60% AVUV, 30% AVDV, and 10% AVEM? I realize AVEM isn't exactly a small value fund, but it does slightly tilt that way.
Prior to this, I had split AVUS and AVDV 40%/40%, and AVEM made up the remaining 20%. However, could it make sense to apply the same formula to AVUV, AVDV, and AVEM such that the tilts are market weighted? So 60% AVUV, 30% AVDV, and 10% AVEM? I realize AVEM isn't exactly a small value fund, but it does slightly tilt that way.
Re: Small Cap Value heads Rejoice !!!
SMLF targets the exact same factors. Size, Value, Momentum, and Quality. I use AVUV and AVDV, but if you do like the explicit momentum focus you could do SMLF and ISCF.
Re: Small Cap Value heads Rejoice !!!
Curious if anyone has enough insight/knowledge to compare QSMLX, SMLF, and VFMF (obviously VFMF targets size a little differently).
I'm a big fan of VFMF. I currently use the international versions of SMLF (INTF, ISCF, and EMGF) to target international in the absence of Vanguard international multi-factor, and if VFMF ever closes (I would be really really bummed out if this happens...) would probably move to LRGF/SMLF for US exposure too. The funds seem to have very similar factor targets, I'm not knowledgeable enough to really compare implementation quality though, hoping someone else can.
Re: Small Cap Value heads Rejoice !!!
Another great day for IJS/VIOV
Re: Small Cap Value heads Rejoice !!!
AVUV has now outperformed VOO over the last year (starting 1/13/2020)
Size premium has been huge over the last 6 months
Size premium has been huge over the last 6 months
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Re: Small Cap Value heads Rejoice !!!
How do people split their AVUV/AVDV/AVEM holdings?
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Re: Small Cap Value heads Rejoice !!!
Your 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
Re: Small Cap Value heads Rejoice !!!
Or just all in on URTY (I don't think there's a 3x LETF of SCV) and let it ride
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Re: Small Cap Value heads Rejoice !!!
You caught me!MotoTrojan wrote: ↑Tue Jan 12, 2021 5:58 pmYour 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
The only other reason I'm asking is that my main holding is VT. Since that is market weighted across domestic, international, and emerging markets, I've been thinking of applying the same to AVUV/AVDV/AVEM, such that I hold about 60/30/10 of each vs the 40/40/20. Otherwise I'm essentially overweighting emerging markets instead of just tilting. Especially since I have such a large SCV tilt.
Agree on not tinkering again and again
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Re: Small Cap Value heads Rejoice !!!
It is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.manlymatt83 wrote: ↑Tue Jan 12, 2021 6:19 pmYou caught me!MotoTrojan wrote: ↑Tue Jan 12, 2021 5:58 pmYour 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
The only other reason I'm asking is that my main holding is VT. Since that is market weighted across domestic, international, and emerging markets, I've been thinking of applying the same to AVUV/AVDV/AVEM, such that I hold about 60/30/10 of each vs the 40/40/20. Otherwise I'm essentially overweighting emerging markets instead of just tilting.
Agree on not tinkering
AVUV/AVDV/AVEM themselves aren't even market-cap weighted and use weighting based on expected return (explains stronger tilt than a market-cap weighted value index).
Like I said, your allocation feels about right to me and balances diversification with simplicity/costs. If you anchor to global market-cap weighting, that also opens you up to the pull to adjust that allocation as the global market-cap weight shifts around... yuck!
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Re: Small Cap Value heads Rejoice !!!
Got it. And good points. I will keep the 40/40/20MotoTrojan wrote: ↑Tue Jan 12, 2021 6:24 pmIt is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.manlymatt83 wrote: ↑Tue Jan 12, 2021 6:19 pmYou caught me!MotoTrojan wrote: ↑Tue Jan 12, 2021 5:58 pmYour 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
The only other reason I'm asking is that my main holding is VT. Since that is market weighted across domestic, international, and emerging markets, I've been thinking of applying the same to AVUV/AVDV/AVEM, such that I hold about 60/30/10 of each vs the 40/40/20. Otherwise I'm essentially overweighting emerging markets instead of just tilting.
Agree on not tinkering
AVUV/AVDV/AVEM themselves aren't even market-cap weighted and use weighting based on expected return (explains stronger tilt than a market-cap weighted value index).
Like I said, your allocation feels about right to me and balances diversification with simplicity/costs. If you anchor to global market-cap weighting, that also opens you up to the pull to adjust that allocation as the global market-cap weight shifts around... yuck!
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Re: Small Cap Value heads Rejoice !!!
Glad to keep you from stepping over that ledge .
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Re: Small Cap Value heads Rejoice !!!
Looking forward to the SCV meetup!
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Re: Small Cap Value heads Rejoice !!!
I’m an advocate for a little more complexity. If a potential portfolio addition is expected to make a marginal improvement to the portfolio, even if it’s a small one, then I say go for it. The additional portfolio maintenance work is minimal. The shift from active to passive is a revolutionary change to a portfolio. Once one enters the passive realm, serial improvements are evolutionary, not revolutionary. They are small incremental changes mostly at the edges. In my own case, I have a roughly 10 fund portfolio with 3 funds having small allocations of 4.5%.MotoTrojan wrote: ↑Tue Jan 12, 2021 6:24 pm It is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.
Dave
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Re: Small Cap Value heads Rejoice !!!
Now if only I could convince myself to sell the four individual (large cap) stocks I own and stick only to these four ETFs (SCV + $VT), I'd be golden!Random Walker wrote: ↑Tue Jan 12, 2021 9:56 pmI’m an advocate for a little more complexity. If a potential portfolio addition is expected to make a marginal improvement to the portfolio, even if it’s a small one, then I say go for it. The additional portfolio maintenance work is minimal. The shift from active to passive is a revolutionary change to a portfolio. Once one enters the passive realm, serial improvements are evolutionary, not revolutionary. They are small incremental changes mostly at the edges. In my own case, I have a roughly 10 fund portfolio with 3 funds having small allocations of 4.5%.MotoTrojan wrote: ↑Tue Jan 12, 2021 6:24 pm It is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.
Dave
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Re: Small Cap Value heads Rejoice !!!
I've mostly been holding total market index funds (VTSAX, VTIAX)....
But I'm considering adding a small tilt to value stocks (domestic and international).
I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives? Is it prudent to start adding a small tilt to Small Cap or Value?
But I'm considering adding a small tilt to value stocks (domestic and international).
I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives? Is it prudent to start adding a small tilt to Small Cap or Value?
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
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Re: Small Cap Value heads Rejoice !!!
This thread is mostly about small cap value. Funds like SLYV or AVUV/AVDV are popular choices for such a tilt.Nathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've mostly been holding total market index funds (VTSAX, VTIAX)....
But I'm considering adding a small tilt to value stocks (domestic and international).
I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives? Is it prudent to start adding a small tilt to Small Cap or Value?
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Re: Small Cap Value heads Rejoice !!!
manlymatt83 wrote: ↑Tue Jan 12, 2021 10:27 pmThis thread is mostly about small cap value. Funds like SLYV or AVUV/AVDV are popular choices for such a tilt.Nathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've mostly been holding total market index funds (VTSAX, VTIAX)....
But I'm considering adding a small tilt to value stocks (domestic and international).
I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives? Is it prudent to start adding a small tilt to Small Cap or Value?
Thanks, again, I'm a little out of the loop. I've heard the theory of SCV for a long time, but now with large caps being what they are, I think it's prudent for me to take on a little more risk (but also potential for more return) with some value funds.
What sort of tilt does everyone have? I was going to start with 10% SCV US and 10% SCV ex-US. Gradually build up over time.
Are these Avantis funds pretty new? What's their history
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Re: Small Cap Value heads Rejoice !!!
+1manlymatt83 wrote: ↑Tue Jan 12, 2021 6:31 pmGot it. And good points. I will keep the 40/40/20MotoTrojan wrote: ↑Tue Jan 12, 2021 6:24 pmIt is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.manlymatt83 wrote: ↑Tue Jan 12, 2021 6:19 pmYou caught me!MotoTrojan wrote: ↑Tue Jan 12, 2021 5:58 pmYour 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
The only other reason I'm asking is that my main holding is VT. Since that is market weighted across domestic, international, and emerging markets, I've been thinking of applying the same to AVUV/AVDV/AVEM, such that I hold about 60/30/10 of each vs the 40/40/20. Otherwise I'm essentially overweighting emerging markets instead of just tilting.
Agree on not tinkering
AVUV/AVDV/AVEM themselves aren't even market-cap weighted and use weighting based on expected return (explains stronger tilt than a market-cap weighted value index).
Like I said, your allocation feels about right to me and balances diversification with simplicity/costs. If you anchor to global market-cap weighting, that also opens you up to the pull to adjust that allocation as the global market-cap weight shifts around... yuck!
40/40/20 seems like a completely reasonable approach to me. Now you just have to convince yourself that it’s not only “reasonable”, but that it’s actually the most elegantly crafted portfolio on the planet. Whatever it takes to fight the tinker temptation. PS I’m right alongside you fighting the same urge.
Re: Small Cap Value heads Rejoice !!!
I have become more sceptical on this premium. The issue is that the tests for this like "t-stat" or "t-value" that I mentioned before are valid assuming a Normal Distribution when in reality stock returns don't follow a normal distribution. I would recommend anyone even if they are a fanatic on this to limit exposure of SCV to 50% of Equities due to this uncertainty. I am not sure how good the results for this premium be if there were tests done on it that don't have the fantasy assumption of normal distribution for stock returns.
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Re: Small Cap Value heads Rejoice !!!
By this logic you should be skeptical of the market premium too.Anon9001 wrote: ↑Wed Jan 13, 2021 6:58 am I have become more sceptical on this premium. The issue is that the tests for this like "t-stat" or "t-value" that I mentioned before are valid assuming a Normal Distribution when in reality stock returns don't follow a normal distribution. I would recommend anyone even if they are a fanatic on this to limit exposure of SCV to 50% of Equities due to this uncertainty. I am not sure how good the results for this premium be if there were tests done on it that don't have the fantasy assumption of normal distribution for stock returns.
There is a lot more to it than just a high t-stat. A high t-stat is really just a preliminary requirement for even considering the usefulness of a factor in the first place. There are hundreds of notable "factors" in the data with high t-stats. Many of these factors do not hold up out of sample or are just redundant. Only a handful of factors are actually useful when creating a robust model that has explanatory powers for the cross section of stock returns.
Re: Small Cap Value heads Rejoice !!!
Avantis is run by ex employees of DFA. Here's a good explanation of why AVUV and AVDV are good factor funds https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdfNathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives?
Re: Small Cap Value heads Rejoice !!!
Yes that should tell you the useless-ness of the t-stat if even a high t-stat does not guarantee a factor working. I have not seen any research showing that the Value premium is statistically significant without assuming a normal distribution ie not using t-stat or t-value or any measure that assumes the distribution is normal.kolder wrote: ↑Wed Jan 13, 2021 7:33 am By this logic you should be skeptical of the market premium too.
There is a lot more to it than just a high t-stat. A high t-stat is really just a preliminary requirement for even considering the usefulness of a factor in the first place. There are hundreds of notable "factors" in the data with high t-stats. Many of these factors do not hold up out of sample or are just redundant. Only a handful of factors are actually useful when creating a robust model that has explanatory powers for the cross section of stock returns.
Last edited by Anon9001 on Wed Jan 13, 2021 9:53 am, edited 1 time in total.
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Re: Small Cap Value heads Rejoice !!!
Thanks, since this a new fund...is fund closure a risk I should be worried about?YRT70 wrote: ↑Wed Jan 13, 2021 7:34 amAvantis is run by ex employees of DFA. Here's a good explanation of why AVUV and AVDV are good factor funds https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdfNathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives?
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Re: Small Cap Value heads Rejoice !!!
In another thread, the concentration of the S&P 500 was being discussed, and it seemed to me that the more concentrated the S&P 500 has historically been, the greater the outperformance of SCV. vineviz subsequently examined this in the post I'm quoting below. It should be very interesting to those who hold SCV.
vineviz wrote: ↑Wed Jan 13, 2021 9:14 amI was in the mood.willthrill81 wrote: ↑Tue Jan 12, 2021 11:57 am Looking at the first chart in the OP, it seems to me that the performance of SCV relative to TSM has probably moved inversely to the S&P 500's concentration (i.e., when the S&P 500 is more highly concentrated, SCV is more likely to outperform TSM, and vice versa). I don't know if that actually happened though and am not in the mood right now to bother testing it.
Since 1979, when the market cap of the top 25 stocks added up to more than about 37% of the total S&P 500 it has NEVER been true that the S&P 500 outperformed small cap value over the next five years.
Right now the top 25 stocks add up to 41% of the S&P 500. This isn't unprecedented, but it's about 2 standard deviations above the mean level of concentration from 1979 to 2020.If the past relationship holds that would suggest an annualized outperformance of about 9% per year for small cap value for the next five years.
Looking at the concentration in the top 10 stocks reveals a similar picture.
Here the level of concentration IS unprecedented: the current concentration of 29% is literally "off the chart" at over 3 standard deviations above the mean.
Two takeaways, IMHO:
1) Investors who are already tilting towards small cap, mid cap, and/or value stocks can take some encouragement that their recent pain may indeed finally pay off.
2) Investors who have been convinced by the the two-fund "you only need the S&P 500" arguments should probably either lower their expectations for future returns or prepare for disappointment.
For the timid, the fact is that just about ANY strategy which reduces the exposure of the portfolio to the top 10 or top 25 stocks in the market is likely to help improve their portfolio's returns and/or reduce their portfolio's volatility.
Mel Lindauer wrote: ↑Sun Apr 20, 2014 9:43 am Looks like the investing world is finally realizing what I started saying back in 1999 about mid-caps. Because of my ongoing posts promoting mid-caps, they became known as "Mel's Unloved Mid-Caps".
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Re: Small Cap Value heads Rejoice !!!
Probably just data-mining. Would not take any decision on this unless you assume past is equal to future.
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Re: Small Cap Value heads Rejoice !!!
If the relationship was weak, I would be more inclined to think that it was merely a 'historic artifact'. But the relationship has been very strong and is therefore unlikely to be random.
I agree that the charts alone should not be used as the sole factors in any investment decision.
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Re: Small Cap Value heads Rejoice !!!
https://www.researchaffiliates.com/en_u ... sting.html
This should be read by any person who wants to tilt to Factors. 71-83% of the time the magnitude of draw-downs are higher than what would be expected if returns are normally distributed. Even a multi-factor fund will not protect you against decades long under-performance and severe draw-downs. Do not tilt to factors unless you want to take higher risk and have a possibly higher return.
This should be read by any person who wants to tilt to Factors. 71-83% of the time the magnitude of draw-downs are higher than what would be expected if returns are normally distributed. Even a multi-factor fund will not protect you against decades long under-performance and severe draw-downs. Do not tilt to factors unless you want to take higher risk and have a possibly higher return.
Last edited by Anon9001 on Wed Jan 13, 2021 11:39 am, edited 3 times in total.
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Re: Small Cap Value heads Rejoice !!!
Yeah, I mean what I created is just a scatterplot. There is a whole array of statistical tests I could have run but didn't.willthrill81 wrote: ↑Wed Jan 13, 2021 9:54 amIf the relationship was weak, I would be more inclined to think that it was merely a 'historic artifact'. But the relationship has been very strong and is therefore unlikely to be random.
I agree that the charts alone should not be used as the sole factors in any investment decision.
That said, you're much more likely to get hit by a truck if you're standing in the middle of the freeway than if you're standing on the sidewalk. Some people prefer to ignore the evidence that they are currently standing in the middle of the freeway and that object on the horizon looks an awful lot like an oncoming truck.
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Re: Small Cap Value heads Rejoice !!!
Thanks for the validation! I will be a 40/40/20 fan for life then! With a 50% tilt, will add bonds as I go.... :absolute zero wrote: ↑Tue Jan 12, 2021 10:58 pm+1manlymatt83 wrote: ↑Tue Jan 12, 2021 6:31 pmGot it. And good points. I will keep the 40/40/20MotoTrojan wrote: ↑Tue Jan 12, 2021 6:24 pmIt is hard for me to justify any single holding <10%, so if you have 10% AVEM for 1/2 of your portfolio, you just aren't getting enough diversification to really justify the complexity.manlymatt83 wrote: ↑Tue Jan 12, 2021 6:19 pmYou caught me!MotoTrojan wrote: ↑Tue Jan 12, 2021 5:58 pm
Your 40/40/20 approach seemed prudent to me. I would avoid the habit of tinkering with these things; I can tell you from experience it is hard to stop once you start .
The only other reason I'm asking is that my main holding is VT. Since that is market weighted across domestic, international, and emerging markets, I've been thinking of applying the same to AVUV/AVDV/AVEM, such that I hold about 60/30/10 of each vs the 40/40/20. Otherwise I'm essentially overweighting emerging markets instead of just tilting.
Agree on not tinkering
AVUV/AVDV/AVEM themselves aren't even market-cap weighted and use weighting based on expected return (explains stronger tilt than a market-cap weighted value index).
Like I said, your allocation feels about right to me and balances diversification with simplicity/costs. If you anchor to global market-cap weighting, that also opens you up to the pull to adjust that allocation as the global market-cap weight shifts around... yuck!
40/40/20 seems like a completely reasonable approach to me. Now you just have to convince yourself that it’s not only “reasonable”, but that it’s actually the most elegantly crafted portfolio on the planet. Whatever it takes to fight the tinker temptation. PS I’m right alongside you fighting the same urge.
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Re: Small Cap Value heads Rejoice !!!
I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
Re: Small Cap Value heads Rejoice !!!
Aren't these the same thing?manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
Edit: Got it, I read too quickly
Last edited by muffins14 on Wed Jan 13, 2021 2:22 pm, edited 1 time in total.
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Re: Small Cap Value heads Rejoice !!!
Nope. One adds up to $130, the other adds up to $100.muffins14 wrote: ↑Wed Jan 13, 2021 1:21 pmAren't these the same thing?manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
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Re: Small Cap Value heads Rejoice !!!
The former is my understanding.manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
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Re: Small Cap Value heads Rejoice !!!
So in that case, if they owned $70 of VTWAX, they’d be expected to own $30 of AVUV if they were shooting for a 30% tilt?willthrill81 wrote: ↑Wed Jan 13, 2021 1:37 pmThe former is my understanding.manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
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Re: Small Cap Value heads Rejoice !!!
Anon9001 wrote: ↑Wed Jan 13, 2021 11:24 am https://www.researchaffiliates.com/en_u ... sting.html
This should be read by any person who wants to tilt to Factors. 71-83% of the time the magnitude of draw-downs are higher than what would be expected if returns are normally distributed. Even a multi-factor fund will not protect you against decades long under-performance and severe draw-downs. Do not tilt to factors unless you want to take higher risk and have a possibly higher return.
Didn’t small cap value perform extremely well (roughly10% annualized zed) in 00 thru 09 compared to large cap which had a dead decade?
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Re: Small Cap Value heads Rejoice !!!
Yes.manlymatt83 wrote: ↑Wed Jan 13, 2021 1:39 pmSo in that case, if they owned $70 of VTWAX, they’d be expected to own $30 of AVUV if they were shooting for a 30% tilt?willthrill81 wrote: ↑Wed Jan 13, 2021 1:37 pmThe former is my understanding.manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
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Re: Small Cap Value heads Rejoice !!!
Thanks!willthrill81 wrote: ↑Wed Jan 13, 2021 1:57 pmYes.manlymatt83 wrote: ↑Wed Jan 13, 2021 1:39 pmSo in that case, if they owned $70 of VTWAX, they’d be expected to own $30 of AVUV if they were shooting for a 30% tilt?willthrill81 wrote: ↑Wed Jan 13, 2021 1:37 pmThe former is my understanding.manlymatt83 wrote: ↑Wed Jan 13, 2021 12:54 pm I have a funny question.
When people say they tilt 30% to small cap value, does that mean that 30% of their equity is in small cap value and 70% is in total market, or does that mean that they own $30 of small cap value for every $100 of total market?
Re: Small Cap Value heads Rejoice !!!
Given the way the AUM has been increasing I doubt it.Nathan Drake wrote: ↑Wed Jan 13, 2021 9:32 amThanks, since this a new fund...is fund closure a risk I should be worried about?YRT70 wrote: ↑Wed Jan 13, 2021 7:34 amAvantis is run by ex employees of DFA. Here's a good explanation of why AVUV and AVDV are good factor funds https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdfNathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives?
Re: Small Cap Value heads Rejoice !!!
Yes it did.Nathan Drake wrote: ↑Wed Jan 13, 2021 1:42 pmDidn’t small cap value perform extremely well (roughly10% annualized zed) in 00 thru 09 compared to large cap which had a dead decade?Anon9001 wrote: ↑Wed Jan 13, 2021 11:24 am https://www.researchaffiliates.com/en_u ... sting.html
This should be read by any person who wants to tilt to Factors. 71-83% of the time the magnitude of draw-downs are higher than what would be expected if returns are normally distributed. Even a multi-factor fund will not protect you against decades long under-performance and severe draw-downs. Do not tilt to factors unless you want to take higher risk and have a possibly higher return.
Source: https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdf
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Re: Small Cap Value heads Rejoice !!!
Keep on keeping on!
Re: Small Cap Value heads Rejoice !!!
Thank you for posting this! Ben Felix is one of my favorite finance gurus and I didn't know his reports are available to average people like us. I'm going to read this in the next few daysYRT70 wrote: ↑Wed Jan 13, 2021 7:34 amAvantis is run by ex employees of DFA. Here's a good explanation of why AVUV and AVDV are good factor funds https://www.pwlcapital.com/wp-content/u ... h-ETFs.pdfNathan Drake wrote: ↑Tue Jan 12, 2021 10:24 pm I've heard a lot of diverging thoughts on which funds to invest in. Some say you can only capture the Value premium through something like Dimensional Fund Advisors....but I do not have access to their funds.
Are there any good ETF alternatives?
AVUV | AVDV | FNDE | SCHP | LendingClub | Prosper
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Re: Small Cap Value heads Rejoice !!!
I just got access to more tax advantaged space for 2021 (SEP IRA).
For now, all of my AVUV/AVDV/AVEM is in taxable. My only other major holding is VT, which makes up most of my traditional IRA (alongside some PSLDX).
Given that AVUV/AVDV/AVEM might have higher dividends than VT, would it make sense to put some (or all) of it in my tax advantaged space?
Or my preference: just hold all 4 tickers in both accounts. Have some VTI/VXUS/AVUV/AVDV/AVEM in taxable and VT/AVUV/AVDV/AVEM in tax advantaged. This way maybe rebalancing is easier long term and I have an option to sell some before retirement if I want to.
For now, all of my AVUV/AVDV/AVEM is in taxable. My only other major holding is VT, which makes up most of my traditional IRA (alongside some PSLDX).
Given that AVUV/AVDV/AVEM might have higher dividends than VT, would it make sense to put some (or all) of it in my tax advantaged space?
Or my preference: just hold all 4 tickers in both accounts. Have some VTI/VXUS/AVUV/AVDV/AVEM in taxable and VT/AVUV/AVDV/AVEM in tax advantaged. This way maybe rebalancing is easier long term and I have an option to sell some before retirement if I want to.
Re: Small Cap Value heads Rejoice !!!
Yet another good day for AVUV:
AVUV: +2.37%
VTI: -0.10%
QQQ: -0.53%
AVUV: +2.37%
VTI: -0.10%
QQQ: -0.53%
Re: Small Cap Value heads Rejoice !!!
Howard Marks published new memo this week, titled "Something of Value".
It is an excellent and insightful take on the (seemingly) contrasting approaches of growth versus value, portfolio rebalancing versus never selling, traditional value managers' irrational aversion to tech stocks, intrinsic assumptions of mean reversion in valuations, and related topics.
I think it is one of his best memos recently.
Full article PDF:
https://www.oaktreecapital.com/docs/def ... -value.pdf
It is an excellent and insightful take on the (seemingly) contrasting approaches of growth versus value, portfolio rebalancing versus never selling, traditional value managers' irrational aversion to tech stocks, intrinsic assumptions of mean reversion in valuations, and related topics.
I think it is one of his best memos recently.
Full article PDF:
https://www.oaktreecapital.com/docs/def ... -value.pdf
Re: Small Cap Value heads Rejoice !!!
Yep, it was great and quite thoroughly debunks the notion that value investing and growth investing are mutually exclusive, which was a fallacy that used to drive me crazy (because it seemed everyone, even well-respected investors were doing it). (For "SCV heads", be aware that the way people like Howard define value investing is very different from the way Fama-French and other academics do).imak wrote: ↑Thu Jan 14, 2021 7:54 pm Howard Marks published new memo this week, titled "Something of Value".
It is an excellent and insightful take on the (seemingly) contrasting approaches of growth versus value, portfolio rebalancing versus never selling, traditional value managers' irrational aversion to tech stocks, intrinsic assumptions of mean reversion in valuations, and related topics.
I think it is one of his best memos recently.
Full article PDF:
https://www.oaktreecapital.com/docs/def ... -value.pdf
It was pretty funny reading the memo though because my views were very similar to Andrew's (his son), even before reading the piece. But I was very impressed with how open to new ideas he is at 75, changing his investing philosophy in quite fundamental ways. I do wonder if Howard is an outlier in the way he's changed his thinking, or if most "value investors" have made a similar adjustment regarding how they view value/growth, tech etc.
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Re: Small Cap Value heads Rejoice !!!
I don't really like VT in taxable because you can't really harvest losses of the constituent pieces. Also, I personally try to avoid holding the same ETFs in taxable and tax advantaged accounts, so I don't need to worry about wash sale rules and complications with dividend reinvestment (but you can work around those issues if desired).manlymatt83 wrote: ↑Thu Jan 14, 2021 3:54 pm I just got access to more tax advantaged space for 2021 (SEP IRA).
For now, all of my AVUV/AVDV/AVEM is in taxable. My only other major holding is VT, which makes up most of my traditional IRA (alongside some PSLDX).
Given that AVUV/AVDV/AVEM might have higher dividends than VT, would it make sense to put some (or all) of it in my tax advantaged space?
Or my preference: just hold all 4 tickers in both accounts. Have some VTI/VXUS/AVUV/AVDV/AVEM in taxable and VT/AVUV/AVDV/AVEM in tax advantaged. This way maybe rebalancing is easier long term and I have an option to sell some before retirement if I want to.
Re: Small Cap Value heads Rejoice !!!
Did the Morningstar "Style Box" start that or was it just a victim of the times?
From the Morningstar "Style Box" methodology document:
"The value score is subtracted from the growth score.
If the result is strongly negative, the stock’s style is value;
if the result is strongly positive, the stock is classified as
growth. If the scores for value and growth are not
substantially different, the stock is classified as “core.”"
I wish I could go back in time to understand what on earth they were thinking in defining value/growth in this way.
Not only does it mislead investors into thinking value/growth are opposites, there are entire funds designed around this methodology (the older value indexes come to mind)!
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Re: Small Cap Value heads Rejoice !!!
Hmm... So perhaps it makes sense to migrate my Avantis funds to my tax advantaged space + VT, and just keep VTI / VXUS in taxable.JamesDean44 wrote: ↑Thu Jan 14, 2021 8:40 pmI don't really like VT in taxable because you can't really harvest losses of the constituent pieces. Also, I personally try to avoid holding the same ETFs in taxable and tax advantaged accounts, so I don't need to worry about wash sale rules and complications with dividend reinvestment (but you can work around those issues if desired).manlymatt83 wrote: ↑Thu Jan 14, 2021 3:54 pm I just got access to more tax advantaged space for 2021 (SEP IRA).
For now, all of my AVUV/AVDV/AVEM is in taxable. My only other major holding is VT, which makes up most of my traditional IRA (alongside some PSLDX).
Given that AVUV/AVDV/AVEM might have higher dividends than VT, would it make sense to put some (or all) of it in my tax advantaged space?
Or my preference: just hold all 4 tickers in both accounts. Have some VTI/VXUS/AVUV/AVDV/AVEM in taxable and VT/AVUV/AVDV/AVEM in tax advantaged. This way maybe rebalancing is easier long term and I have an option to sell some before retirement if I want to.
Re: Small Cap Value heads Rejoice !!!
Yeah, I've come to think that the terms "value" and "growth" are horrible and result in a lot of confusion. As I said in my post above, these two terms are used differently by active management "value investors" a la Buffett and by academics like Fama.HippoSir wrote: ↑Thu Jan 14, 2021 8:43 pmDid the Morningstar "Style Box" start that or was it just a victim of the times?
From the Morningstar "Style Box" methodology document:
"The value score is subtracted from the growth score.
If the result is strongly negative, the stock’s style is value;
if the result is strongly positive, the stock is classified as
growth. If the scores for value and growth are not
substantially different, the stock is classified as “core.”"
I wish I could go back in time to understand what on earth they were thinking in defining value/growth in this way.
Not only does it mislead investors into thinking value/growth are opposites, there are entire funds designed around this methodology (the older value indexes come to mind)!
In the academic finance world, value and growth really are opposites because to first order, value is just defined as low P/E and growth is defined as high P/E. So it really is just sorting stocks along various different metrics and calling stocks on one end of the spectrum "value" and those on the other end of the spectrum "growth." I assume Morningstar is using the academic finance definition.
Historically, the kinds of stocks Buffett liked and that were "good value" to him were indeed value stocks by the academic definition. The confusion is that now stocks like Apple and Amazon can be considered "good value," but are not value stocks according to the academic criterion. When reading anything regarding value/growth, the first thing to do is to figure out whether the author is using the Buffett value investing lingo or the Fama academic finance lingo.