Small Cap Value heads Rejoice !!!

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gtwhitegold
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

livesoft wrote: Fri May 27, 2022 3:11 pm
vp89 wrote: Fri May 27, 2022 3:10 pm
livesoft wrote: Fri May 27, 2022 2:42 pm Enough rejoicing for this week already. Limit order to sell AVUV submitted. May switch to market order in the next 18 minutes.
What are you buying instead?
I am just rebalancing my AA back to what it should be, so bond ETFs. The 8%+ gain in a few days was enough to hit a rebalancing trigger per my IPS. Now it is just sit back and wait for another RBD.

How about yourself?
I rebalanced out of QSPNX - AQR Style Premia this week to buy more FEMS - First Trust AlphaDEX Emerging Markets Small Cap ETF. I will also be selling out of the TSP EAFE I Fund to buy DEMSX - DFA Emerging Markets Small Caps next month once the mutual fund window is available. (Assuming that DEMSX is available.)

I won't be buying any US SCV before I retire from service, but I possibly will be buying some AVDV depending on how my other holdings perform.
Maximum_Profit
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Re: Small Cap Value heads Rejoice !!!

Post by Maximum_Profit »

Anyone got any thoughts on the HUGE increase in volume and almost 2X jump in AUM on AVUV since this Jan? Institutional investors and the shift from growth to value on funds with extremely good past performance?

I’ve always had a weird Buffett fear(?) that this good fund gets too big and popular for its own good and can no longer buy as much of the good factor exposure it’s used to and has to start buying bigger and less value to be able to spread new capital effectively. Obviously we’re extremely far off from that with 3.6B AUM, but if I’m investing in this in a taxable for the next 50 years…

https://ycharts.com/companies/AVUV/tota ... management

https://ycharts.com/companies/AVUV/average_volume_30
Phyneas
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Re: Small Cap Value heads Rejoice !!!

Post by Phyneas »

Maximum_Profit wrote: Thu Jun 09, 2022 2:08 am Anyone got any thoughts on the HUGE increase in volume and almost 2X jump in AUM on AVUV since this Jan? Institutional investors and the shift from growth to value on funds with extremely good past performance?

I’ve always had a weird Buffett fear(?) that this good fund gets too big and popular for its own good and can no longer buy as much of the good factor exposure it’s used to and has to start buying bigger and less value to be able to spread new capital effectively. Obviously we’re extremely far off from that with 3.6B AUM, but if I’m investing in this in a taxable for the next 50 years…

https://ycharts.com/companies/AVUV/tota ... management

https://ycharts.com/companies/AVUV/average_volume_30
I just ran some quick numbers, AVUV has 658 holdings (plus USD), and its top 10 holdings make up 9% of its weight, while its top 100 holdings make up 52% of its weight. The parallel numbers for VOO are 27% and 68% respectively. So AVUV is pretty diversified and not too top heavy. When you compare its holdings by weight to small cap funds in general, there is anywhere from 15-30% overlap by weight. For instance, IJR, which has like 66 billion AUM, has 30% of the same weight as AVUV. So the other small cap funds, which make up far larger AUMs than AVUV, are already buying significant amounts of the same stocks that AVUV is, and making them a significant portion of their overall weighting.

That being said, SCV can certainly become a crowded trade for a number of reasons (and maybe already is), but AVUV isn't specialising in 30-50 stocks like the ARK funds are and pumping their values up to the point where they no longer represent value and become difficult to offload if necessary. The quality aspect may be more difficult to discern depending on how they, and we, define quality.

I don't think AVUV is going to continue to out-perform the way that it has thus far (8-9% per year) vs ETFs like IJS and VBR. If you look at VBR/VISVX and DFSVX going back to 1999, the difference is like 1% a year. But who knows, maybe Avantis is the golden goose ...

EDIT: I'd also add that AVDE and DISVX has similarly out-performed something like SCZ or DLS over the last 3 years, but over a longer period of time, the performance gap narrows as well, so it may just be a good few years for Avantis/DFA.
donaldfair71
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Re: Small Cap Value heads Rejoice !!!

Post by donaldfair71 »

2pedals wrote: Wed Jun 05, 2019 9:18 am
rascott wrote: Tue Jun 04, 2019 1:50 pm :dollar
klaus14 wrote: Tue Jun 04, 2019 12:49 pm
azanon wrote: Tue Jun 04, 2019 12:33 pm I regret using the word "popular" there at the end - sorry. My issue with market-cap weighting though was clearly stated, and it has nothing to do with it being more popular. Again, sorry for the distraction.
no worries.
still, EMH applies. if a stock goes up it doesn't automatically mean it's now overvalued. if a stock goes down, it doesn't mean it's now undervalued.

it's all about prices and no one here can say they are pricing things better than the market.
What you can argue is that right price for you is different than average investor because your risk profile is different than average.

I invest in multifactor funds (VFMF) because
- it underweights tech, i need less tech exposure because i am already working in tech sector.
- i won't need to spend my investments for a long time so my risk tolerance is different than average investor.

for similar reasons, i overweight international stocks. But i don't argue that international stocks are mispriced.


I think there is something to the fact that prices are more efficient for large caps.

There are something like 6300+ small cap firms around the world. Most have less than 5 analysts that even cover them....and there are hundreds of firms that have no analysts covering them at all. That seems a recipe for companies to kind of be forgotten for long periods of time.

That certainly isn't happening in the large/mega cap space where pricing is very efficient.
For the different active vs. passive funds fund categories you would think if the market is less efficient you would see more active funds in the small cap arena beating their bench marks but .....

https://www.ifa.com/articles/despite_br ... _-_works/

over the last 15 years 92% of active large cap core funds under performed their benchmark
over the last 15 years 97% of active small cap core funds under performed their benchmark

Where is the market gains that market discovery should produce?
Good point.

I would keep in mind, however, that even that benchmark is established by a committee, and those stocks that fall within that benchmark are actively selected. One simply cannot get away from active management.

What one can get away from is overpaying for that management. That something like VBR (Vanguard Small Value Index) is rules-based helps a lot, but it is not unique in any way. VBR gets the benefit of being "passive" while something like AVUV gets labeled "active", while both are rules-based with human input on those rules at some point.

If/when the Small/Value/Profitability premiums persist, AVUV will outperform because the inputs define holdings as being intentionally smaller, more value-y, and more profitable. The debate really comes down to whether those premiums will persist.
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
gtwhitegold
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

drumboy256 wrote: Sat Jun 11, 2022 11:03 am For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
I looked at that one several years ago. That and WisdomTree's EES seemed like two of the better options at the time. I ultimately decided against both however since I wanted to focus more on my international portfolio since my TSP account didn't have any foreign small cap funds. If I was going to choose again as something uncorrelated with AVUV, I would lean towards SMLF since it targets more factors than RWJ, but I don't feel like RWJ is a bad choice overall. Good luck!
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

gtwhitegold wrote: Sat Jun 11, 2022 1:55 pm
drumboy256 wrote: Sat Jun 11, 2022 11:03 am For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
I looked at that one several years ago. That and WisdomTree's EES seemed like two of the better options at the time. I ultimately decided against both however since I wanted to focus more on my international portfolio since my TSP account didn't have any foreign small cap funds. If I was going to choose again as something uncorrelated with AVUV, I would lean towards SMLF since it targets more factors than RWJ, but I don't feel like RWJ is a bad choice overall. Good luck!
Yeah I looked at similar funds to SMLF but they were too heavy on mid-cap and/or blended based on the index it was tracking. SMLF overlaps a tad higher with AVUV but it seems eligible as the main factor is the sectors they weight differently. What I love though is that SCV folks (like ourselves) can see the value (pun intended! :) ) of choosing what you want in terms of risk/market exposure and ITS OK!! 8-)
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
gtwhitegold
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

drumboy256 wrote: Sat Jun 11, 2022 2:23 pm
gtwhitegold wrote: Sat Jun 11, 2022 1:55 pm
drumboy256 wrote: Sat Jun 11, 2022 11:03 am For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
I looked at that one several years ago. That and WisdomTree's EES seemed like two of the better options at the time. I ultimately decided against both however since I wanted to focus more on my international portfolio since my TSP account didn't have any foreign small cap funds. If I was going to choose again as something uncorrelated with AVUV, I would lean towards SMLF since it targets more factors than RWJ, but I don't feel like RWJ is a bad choice overall. Good luck!
Yeah I looked at similar funds to SMLF but they were too heavy on mid-cap and/or blended based on the index it was tracking. SMLF overlaps a tad higher with AVUV but it seems eligible as the main factor is the sectors they weight differently. What I love though is that SCV folks (like ourselves) can see the value (pun intended! :) ) of choosing what you want in terms of risk/market exposure and ITS OK!! 8-)
I haven't held SMLF or ISCF, but I've been looking at both. iShares recent change of index on LRGF and INTF has made me wary of using either for a fear of doing the same with their small cap funds. I'm probably going to go with DFA as a trading partner with Avantis because of this.
freyj6
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Re: Small Cap Value heads Rejoice !!!

Post by freyj6 »

drumboy256 wrote: Sat Jun 11, 2022 11:03 am For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
It's not clear to me why RWJ has performed as well as it has recently. On paper it looks quite a bit like RZV.

As good as the last year looks, I think I'd be worried about performance chasing with this one.
gtwhitegold
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

freyj6 wrote: Sun Jun 12, 2022 1:13 pm
drumboy256 wrote: Sat Jun 11, 2022 11:03 am For those value junkies out there... I just added RWJ (INVESCO S&P SMALLCAP 600 REVENUE ETF) to my portfolio as a "AVUV Completion" fund. Why? Well, I wanted more micro-cap / small cap exposure as well as slices of Consumer Discretionary, Energy, Industrials and Consumer Staples.

My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).

Why add a "completion" fund to AVUV that seems to be on a tear--- two reasons:
1) Wanted the exposure of revenue value of higher Consumer Dis., Energy without getting individual funds
2) While there is overlap of the funds by about 40% AVUV to RWJ, the overweight piece of the sectors is appealing
3) I didn't want to go down the rabbit hole of buying a solely energy ETF fund (although I'm a fan of PSCE (INVESCO S&P SMALLCAP ENERGY ETF) of which has had a great run up, I couldn't bring myself to focus on a commodity so I took the road lesser traveled.

My portfolio is now > 82% value of which the only funds I'm buying outside of my workplace 401k are value minded. Enjoying the ride! :sharebeer
It's not clear to me why RWJ has performed as well as it has recently. On paper it looks quite a bit like RZV.

As good as the last year looks, I think I'd be worried about performance chasing with this one.
From an initial glance, I would agree, but it does look like RWJ has considerably less negative alpha than RZV. RWJ also has a different factor profile than RZV which also explains the difference.

https://www.portfoliovisualizer.com/fac ... sion=false
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imak
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Re: Small Cap Value heads Rejoice !!!

Post by imak »

drumboy256 wrote: Sat Jun 11, 2022 11:03 am
My biggest back and forth was active vs. passive of which since the ETF follows the revenue adjusted index (S&P SmallCap 600® Revenue-Weighted Index.), the factor part was "good enough" to not be active even though it carries a 0.39% ER (higher than AVUV).
For the same expense ratio of 0.39% ER, you may also consider Invesco FTSE RAFI US Mid-Small Company ETF - PRFZ
https://www.morningstar.com/etfs/xnas/prfz/portfolio

It is more diversified in terms of fundamentals (4 metrics vs only revenue for RWJ), has lower turnover, almost 3x the number of holdings and less concentration in top holdings.

On a related note, the massive outperformance of RWJ ETF in Q1 2021 was likely related to GME holding. In that time period, specifically Jan 2021, an ETF with even a slightly higher exposure to GME resulted in large divergence in performance (relative to SCV category average).
"Take a simple idea and take it seriously" ~ Charlie Munger
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Ketawa
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

I plan to use the new TSP Mutual Fund Window (MFW) to increase my tilts. My portfolio construction is currently:

90% equities/10% alternatives (QSPIX)
domestic/developed/emerging at market cap weight

multifactor AQR funds in IRA - value, momentum, quality
- domestic small cap = QSMLX
- developed markets large cap = QICLX
- emerging markets large cap = QTELX

market cap funds in TSP
- domestic mid/small cap = S Fund
- developed markets large cap = I Fund

The MFW has some idiosyncratic options, but I would prefer to stick with one fund provider within the MFW for simplicity and because it will reduce transaction costs. The AQR funds are available, but I'm leaning towards DFA to diversify my fund providers. Here is what I'm considering with notable differences highlighted for each category.


Domestic

DFA US Small Cap Value (DFSVX): my current top pick.

DFA US Targeted Value (DFFVX): more similar to DFSVX than I would have thought. Not as small as DFSVX, slightly lower value tilts, more explicit targeting of profitability.

Vanguard U.S. Multifactor Fund Admiral Shares (VFMFX) and Vanguard Small-Cap Value Index Fund Admiral Shares (VSIAX) are available, but I would prefer DFA's deeper value and size tilts, even though VFMFX has a more explicit focus on momentum and quality. I would also prefer using only one fund provider in the MFW.


Intl Developed Markets

DFA International Small Cap Value (DISVX): my current top pick.

DFA World ex US Targeted Value (DWUSX): not as small as DISVX, slightly lower value tilts, more explicit target of profitability. It combines developed and emerging markets and I already need a separate emerging markets fund due to the I Fund, so there would be some overlap that would complicate rebalancing.

Avantis International Small Cap Value Fund (AVDVX): this is the only Avantis fund in the MFW. It seems similar to DISVX, with a more explicit target of profitability.


Emerging Markets

DFA Emerging Markets Targeted Value (DEMGX): this seems like the obvious choice, preferable to the other DFA options. It is small/mid cap with explicit targets of value and profitability.

DFA Emerging Markets Value (DFEVX): much larger than DEMGX with slightly higher value weights, no primary focus on profitability (may emphasize).

DFA Emerging Markets Small Cap (DEMSX): smaller than DEMGX, no primary focus on value & profitability (may emphasize).


Any input would be appreciated.
Nathan Drake
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

Ketawa wrote: Mon Jun 13, 2022 9:24 pm I plan to use the new TSP Mutual Fund Window (MFW) to increase my tilts. My portfolio construction is currently:

90% equities/10% alternatives (QSPIX)
domestic/developed/emerging at market cap weight

multifactor AQR funds in IRA - value, momentum, quality
- domestic small cap = QSMLX
- developed markets large cap = QICLX
- emerging markets large cap = QTELX

market cap funds in TSP
- domestic mid/small cap = S Fund
- developed markets large cap = I Fund

The MFW has some idiosyncratic options, but I would prefer to stick with one fund provider within the MFW for simplicity and because it will reduce transaction costs. The AQR funds are available, but I'm leaning towards DFA to diversify my fund providers. Here is what I'm considering with notable differences highlighted for each category.


Domestic

DFA US Small Cap Value (DFSVX): my current top pick.

DFA US Targeted Value (DFFVX): more similar to DFSVX than I would have thought. Not as small as DFSVX, slightly lower value tilts, more explicit targeting of profitability.

Vanguard U.S. Multifactor Fund Admiral Shares (VFMFX) and Vanguard Small-Cap Value Index Fund Admiral Shares (VSIAX) are available, but I would prefer DFA's deeper value and size tilts, even though VFMFX has a more explicit focus on momentum and quality. I would also prefer using only one fund provider in the MFW.


Intl Developed Markets

DFA International Small Cap Value (DISVX): my current top pick.

DFA World ex US Targeted Value (DWUSX): not as small as DISVX, slightly lower value tilts, more explicit target of profitability. It combines developed and emerging markets and I already need a separate emerging markets fund due to the I Fund, so there would be some overlap that would complicate rebalancing.

Avantis International Small Cap Value Fund (AVDVX): this is the only Avantis fund in the MFW. It seems similar to DISVX, with a more explicit target of profitability.


Emerging Markets

DFA Emerging Markets Targeted Value (DEMGX): this seems like the obvious choice, preferable to the other DFA options. It is small/mid cap with explicit targets of value and profitability.

DFA Emerging Markets Value (DFEVX): much larger than DEMGX with slightly higher value weights, no primary focus on profitability (may emphasize).

DFA Emerging Markets Small Cap (DEMSX): smaller than DEMGX, no primary focus on value & profitability (may emphasize).


Any input would be appreciated.
Seems reasonable, what is your exact allocation?
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
gtwhitegold
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Re: Small Cap Value heads Rejoice !!!

Post by gtwhitegold »

Ketawa wrote: Mon Jun 13, 2022 9:24 pm I plan to use the new TSP Mutual Fund Window (MFW) to increase my tilts. My portfolio construction is currently:

90% equities/10% alternatives (QSPIX)
domestic/developed/emerging at market cap weight

multifactor AQR funds in IRA - value, momentum, quality
- domestic small cap = QSMLX
- developed markets large cap = QICLX
- emerging markets large cap = QTELX

market cap funds in TSP
- domestic mid/small cap = S Fund
- developed markets large cap = I Fund

The MFW has some idiosyncratic options, but I would prefer to stick with one fund provider within the MFW for simplicity and because it will reduce transaction costs. The AQR funds are available, but I'm leaning towards DFA to diversify my fund providers. Here is what I'm considering with notable differences highlighted for each category.


Domestic

DFA US Small Cap Value (DFSVX): my current top pick.

DFA US Targeted Value (DFFVX): more similar to DFSVX than I would have thought. Not as small as DFSVX, slightly lower value tilts, more explicit targeting of profitability.

Vanguard U.S. Multifactor Fund Admiral Shares (VFMFX) and Vanguard Small-Cap Value Index Fund Admiral Shares (VSIAX) are available, but I would prefer DFA's deeper value and size tilts, even though VFMFX has a more explicit focus on momentum and quality. I would also prefer using only one fund provider in the MFW.


Intl Developed Markets

DFA International Small Cap Value (DISVX): my current top pick.

DFA World ex US Targeted Value (DWUSX): not as small as DISVX, slightly lower value tilts, more explicit target of profitability. It combines developed and emerging markets and I already need a separate emerging markets fund due to the I Fund, so there would be some overlap that would complicate rebalancing.

Avantis International Small Cap Value Fund (AVDVX): this is the only Avantis fund in the MFW. It seems similar to DISVX, with a more explicit target of profitability.


Emerging Markets

DFA Emerging Markets Targeted Value (DEMGX): this seems like the obvious choice, preferable to the other DFA options. It is small/mid cap with explicit targets of value and profitability.

DFA Emerging Markets Value (DFEVX): much larger than DEMGX with slightly higher value weights, no primary focus on profitability (may emphasize).

DFA Emerging Markets Small Cap (DEMSX): smaller than DEMGX, no primary focus on value & profitability (may emphasize).


Any input would be appreciated.
I chose DEMSX over DEMGX since it has loaded higher on size and profitability than DEMGX. I didn't even really consider DFEVX since I am trying for small cap funds that also consider other factors. All are good options, but I would just stick with one.

I personally prefer Avantis' methodology over AQR's, so I've moved all of my money out of AQR's equity funds, but I do still keep money in QSPNX.

In order to minimize transaction fees, I decided to only take a single position in the MFW (which is DEMSX). If you have over half a million dollars in the TSP, then it may make sense to have more than one, but I don't. Doing this puts me within a few thousand dollars of my desired allocation to Emerging Markets.

I use my IRA accounts, Solo 401k, and taxable accounts to balance out my overall portfolio. I also put a higher priority bonds and international in other accounts over US since I feel that the S Fund is the best option in the TSP. I have continued to contribute to my TSP, but my wife and I have prioritized her employer's plan since it has more fund options.

If you were willing to make a change in your IRA account, I would consider moving from the AQR funds to AVUV and AVDV and if you want to use more than one fund in your TSP MFW, then I would use one DFA EM fund and AVDVX, but I still think that using as few funds as possible in the MFW will reduce transactions and fees overall.
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Ketawa
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

Nathan Drake wrote: Mon Jun 13, 2022 10:25 pm Seems reasonable, what is your exact allocation?
Currently:

Domestic
10% QSMLX
44% S Fund

Intl Developed
5% QICLX
20% I Fund

Intl Emerging
11% QTELX

Alternatives
10% QSPIX
gtwhitegold wrote: Mon Jun 13, 2022 11:19 pm I chose DEMSX over DEMGX since it has loaded higher on size and profitability than DEMGX. I didn't even really consider DFEVX since I am trying for small cap funds that also consider other factors. All are good options, but I would just stick with one.
I see some regressions indicating that DEMSX has higher profitability loadings than DEMGX. That is surprising to me since DEMGX is explicitly trying to invest in profitability. I also believe in value more than small and profitability, so I think I will go with DEMGX.
gtwhitegold wrote: Mon Jun 13, 2022 11:19 pm I personally prefer Avantis' methodology over AQR's, so I've moved all of my money out of AQR's equity funds, but I do still keep money in QSPNX.
What do you prefer about Avantis' methodology? The major differences I see comparing the AQR options to the Avantis options:
- As a whole, it seems like AQR has higher weights on momentum, while Avantis has higher value weights.
- AVDV is small cap while QICLX is large cap.
- Avantis is cheaper.
gtwhitegold wrote: Mon Jun 13, 2022 11:19 pm In order to minimize transaction fees, I decided to only take a single position in the MFW (which is DEMSX). If you have over half a million dollars in the TSP, then it may make sense to have more than one, but I don't. Doing this puts me within a few thousand dollars of my desired allocation to Emerging Markets.
I'm more inclined to spread my funds around in each account rather than minimize the number of $28.75 transaction fees I will pay and limit myself to fewer funds. I will probably pay the transaction fee only a few times per year.
gtwhitegold wrote: Mon Jun 13, 2022 11:19 pm I use my IRA accounts, Solo 401k, and taxable accounts to balance out my overall portfolio. I also put a higher priority bonds and international in other accounts over US since I feel that the S Fund is the best option in the TSP. I have continued to contribute to my TSP, but my wife and I have prioritized her employer's plan since it has more fund options.
I only have my TSP and IRA and my TSP is almost 2x larger, so I'm stuck using both the S Fund and the I Fund. If my TSP was only the S Fund, I'd have very little room for domestic factor funds without compromising my market weight allocations across regions.
gtwhitegold wrote: Mon Jun 13, 2022 11:19 pm If you were willing to make a change in your IRA account, I would consider moving from the AQR funds to AVUV and AVDV and if you want to use more than one fund in your TSP MFW, then I would use one DFA EM fund and AVDVX, but I still think that using as few funds as possible in the MFW will reduce transactions and fees overall.
I might be convinced to switch to Avantis in my IRA, but I'm on the fence about it. It would mean I have less momentum overall in my portfolio, more value, and more intl developed small cap. It would also cause more complexity to rebalance between a mutual fund (QSPIX) and ETFs.

Using both AVDVX and a DFA fund will increase fees for rebalancing, since $28.75 is charged on both sale and purchase across fund families. If transacting within one fund family, the fee is charged only once. DISVX and AVDV/AVDVX seem to be basically the same to me.
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willthrill81
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
“Good and ill have not changed since yesteryear; nor are they one thing among Elves and Dwarves and another among Men.” J.R.R. Tolkien, The Lord of the Rings
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

willthrill81 wrote: Tue Jun 14, 2022 10:34 am YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
I would agree. The funny thing is on my Fidelity watch lists... only AVUV and RWJ are the real winners with even the equal weight SP500 struggling. Who knows tho, maybe the traditional BH will continue to beat the drum that they're bad for your health. :twisted:
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
HippoSir
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

willthrill81 wrote: Tue Jun 14, 2022 10:34 am YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
It's amusing/sad how many of the "I'm dropping my SCV allocation for all these reasons that are definitely NOT performance" posts (that were encouraged by the usual suspects) basically exactly ticked the bottom.
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Ketawa
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Re: Small Cap Value heads Rejoice !!!

Post by Ketawa »

If I proceed with my current plan, my portfolio will end up like:

Domestic
16% QSMLX (+6%)
5% DFSVX (+5%)
33% S Fund (-11%)

Intl Developed
7% QICLX (+2%)
2% DISVX (+2%)
15% I Fund (-5%)

Intl Emerging
3% QTELX (-8%)
8% DEMGX (+8%)

Alternatives
10% QSPIX (no change)

(this adds up to 99% due to rounding)

For the sake of simplicity, I could get rid of DISVX and bump up the allocation to DFSVX. I would make a corresponding shift from QSMLX to QICLX. It doesn't make things that much more simple for me, though; it's just another row on my spreadsheet that I've already built out.
Massdriver
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

YTD, 1 day interval, SCV and market from yahoo finance:

AVUV: -9.2%
DFFVX (DFA Targeted value): -10.2%
SLYV: -13.8%
VBR: -15.3%
SPY: -21.6%
VTI: -22.9%
jjj_22
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Re: Small Cap Value heads Rejoice !!!

Post by jjj_22 »

willthrill81 wrote: Tue Jun 14, 2022 10:34 am YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
Yeah, I mean, I'm not exactly rejoicing, but I'm almost definitely less bummed than the VTI-or-get-out crowd.
SafeBonds
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

Massdriver wrote: Tue Jun 14, 2022 2:02 pm YTD, 1 day interval, SCV and market from yahoo finance:

AVUV: -9.2%
DFFVX (DFA Targeted value): -10.2%
SLYV: -13.8%
VBR: -15.3%
SPY: -21.6%
VTI: -22.9%
QQQ (Nasdaq): -31.3%
VUG (Vanguard Large Growth): -32.4%
ARKK (Ark Innovation ETF): -61.9%

Like jjj_22 said. I'm not rejoicing. But my US stock portfolio is less down than others'. On the other hand, I own a lot of long term treasuries and EDV (Vanguard Extended Duration Treasury) is down 30.7% YTD
Nathan Drake
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Re: Small Cap Value heads Rejoice !!!

Post by Nathan Drake »

HippoSir wrote: Tue Jun 14, 2022 11:09 am
willthrill81 wrote: Tue Jun 14, 2022 10:34 am YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
It's amusing/sad how many of the "I'm dropping my SCV allocation for all these reasons that are definitely NOT performance" posts (that were encouraged by the usual suspects) basically exactly ticked the bottom.
When these posts start happening for VTI, it’s time to buy more again :)
20% VOO | 20% VXUS | 20% AVUV | 20% AVDV | 20% AVES
jjj_22
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Re: Small Cap Value heads Rejoice !!!

Post by jjj_22 »

SafeBonds wrote: Tue Jun 14, 2022 3:50 pm
Massdriver wrote: Tue Jun 14, 2022 2:02 pm YTD, 1 day interval, SCV and market from yahoo finance:

AVUV: -9.2%
DFFVX (DFA Targeted value): -10.2%
SLYV: -13.8%
VBR: -15.3%
SPY: -21.6%
VTI: -22.9%
QQQ (Nasdaq): -31.3%
VUG (Vanguard Large Growth): -32.4%
ARKK (Ark Innovation ETF): -61.9%

Like jjj_22 said. I'm not rejoicing. But my US stock portfolio is less down than others'. On the other hand, I own a lot of long term treasuries and EDV (Vanguard Extended Duration Treasury) is down 30.7% YTD
So are you going to rebalance your not-down-as-much SCV into those long bonds?
SafeBonds
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

jjj_22 wrote: Tue Jun 14, 2022 6:53 pm
SafeBonds wrote: Tue Jun 14, 2022 3:50 pm
Massdriver wrote: Tue Jun 14, 2022 2:02 pm YTD, 1 day interval, SCV and market from yahoo finance:

AVUV: -9.2%
DFFVX (DFA Targeted value): -10.2%
SLYV: -13.8%
VBR: -15.3%
SPY: -21.6%
VTI: -22.9%
QQQ (Nasdaq): -31.3%
VUG (Vanguard Large Growth): -32.4%
ARKK (Ark Innovation ETF): -61.9%

Like jjj_22 said. I'm not rejoicing. But my US stock portfolio is less down than others'. On the other hand, I own a lot of long term treasuries and EDV (Vanguard Extended Duration Treasury) is down 30.7% YTD
So are you going to rebalance your not-down-as-much SCV into those long bonds?
Yes my rebalancing bands are 5/25 meaning a rebalance is triggered when an investment class is off by 5% absolute or 25% relative to its target weight, whichever happens first. I have a bond barbell with a target duration equal to the number of years between now and the midpoint of (my target retirement date and age 70).
RXfiles
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Re: Small Cap Value heads Rejoice !!!

Post by RXfiles »

Jaw dropping day for small caps. RIP boys
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

RXfiles wrote: Thu Jun 16, 2022 1:57 pm Jaw dropping day for small caps. RIP boys
It's quite the event that's for sure.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
robertfromtx
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Re: Small Cap Value heads Rejoice !!!

Post by robertfromtx »

Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
Abalyon
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Re: Small Cap Value heads Rejoice !!!

Post by Abalyon »

robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
km91
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Re: Small Cap Value heads Rejoice !!!

Post by km91 »

Abalyon wrote: Thu Jun 16, 2022 2:41 pm
robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
But SCV underperformed the SPY by 3-4 % annually for the last 15 years...
Abalyon
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Re: Small Cap Value heads Rejoice !!!

Post by Abalyon »

km91 wrote: Thu Jun 16, 2022 2:51 pm
Abalyon wrote: Thu Jun 16, 2022 2:41 pm
robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
But SCV underperformed the SPY by 3-4 % annually for the last 15 years...
Yup, that's the risk and why if anyone believes in SCV, they should allocate a portion of their portfolio. But if zoom further out, say 20 years, if you go by the S&P600 Value Index, then it outperforms. It's even better if you were lucky back then and able to get Dimensional's SCV Fund.
BabaWawa
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Re: Small Cap Value heads Rejoice !!!

Post by BabaWawa »

km91 wrote: Thu Jun 16, 2022 2:51 pm
Abalyon wrote: Thu Jun 16, 2022 2:41 pm
robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
But SCV underperformed the SPY by 3-4 % annually for the last 15 years...
Wow, we must be looking at different charts. IJS outperformed SPY from 2000-2018, then short term under-performance after that. SCV back to outperforming again.
donaldfair71
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Re: Small Cap Value heads Rejoice !!!

Post by donaldfair71 »

BabaWawa wrote: Thu Jun 16, 2022 8:56 pm
km91 wrote: Thu Jun 16, 2022 2:51 pm
Abalyon wrote: Thu Jun 16, 2022 2:41 pm
robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
But SCV underperformed the SPY by 3-4 % annually for the last 15 years...
Wow, we must be looking at different charts. IJS outperformed SPY from 2000-2018, then short term under-performance after that. SCV back to outperforming again.
You are looking at different charts. He’s looking at last 15 years and you’re looking at 2000-18.
BabaWawa
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Re: Small Cap Value heads Rejoice !!!

Post by BabaWawa »

donaldfair71 wrote: Fri Jun 17, 2022 7:00 am
BabaWawa wrote: Thu Jun 16, 2022 8:56 pm
km91 wrote: Thu Jun 16, 2022 2:51 pm
Abalyon wrote: Thu Jun 16, 2022 2:41 pm
robertfromtx wrote: Thu Jun 16, 2022 2:09 pm Only 9 days ago AVUV was flat for the year. Now down 15%. Amazing how quickly things change.
I know this is very short-term, but AVUV is still beating the S&P500 since inception, 1Y, YTD, and basically everything else greater than two weeks. Might no longer be the case if we actually go into recession, but shows the value of holding SCV.
But SCV underperformed the SPY by 3-4 % annually for the last 15 years...
Wow, we must be looking at different charts. IJS outperformed SPY from 2000-2018, then short term under-performance after that. SCV back to outperforming again.
You are looking at different charts. He’s looking at last 15 years and you’re looking at 2000-18.
Of course 3 recent years of under-performance will be reflected in the average 3, 5, and 10 year past performance numbers, doesn't mean SCV under-perperformed in each of those years. It did not. And is outperforming SPY by 5% YTD 2022 (although on the negative side). And don't discount the advantage of rebalancing an underperforming asset allocation during the 2018-2021 time period.
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willthrill81
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Re: Small Cap Value heads Rejoice !!!

Post by willthrill81 »

HippoSir wrote: Tue Jun 14, 2022 11:09 am
willthrill81 wrote: Tue Jun 14, 2022 10:34 am YTD, SPY is down -21.7% while AVUV is down -9.8%.

No wonder the 'SCV is bad' posts have pretty much stopped.
It's amusing/sad how many of the "I'm dropping my SCV allocation for all these reasons that are definitely NOT performance" posts (that were encouraged by the usual suspects) basically exactly ticked the bottom.
Something like 18-24 months ago, I said that all the 'SCV is trash' and 'I'm throwing in the towel on SCV' posts were likely indicative of SCV about to start outperforming.
“Good and ill have not changed since yesteryear; nor are they one thing among Elves and Dwarves and another among Men.” J.R.R. Tolkien, The Lord of the Rings
bigdog34
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Re: Small Cap Value heads Rejoice !!!

Post by bigdog34 »

Over just the past 2 weeks, AVUV has underperformed VTI by nearly 7%. Has to be one of the worst very short term stretches of underperformance since the inception of this fund. AVUV is still losing less YTD than VTI (-15% vs -22%). It's been interesting to follow.
HippoSir
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Re: Small Cap Value heads Rejoice !!!

Post by HippoSir »

bigdog34 wrote: Wed Jun 22, 2022 10:22 am Over just the past 2 weeks, AVUV has underperformed VTI by nearly 7%. Has to be one of the worst very short term stretches of underperformance since the inception of this fund. AVUV is still losing less YTD than VTI (-15% vs -22%). It's been interesting to follow.
In my very hazy crystal ball, this indicates we're hitting the point people are just dumping equities generally instead of only low profitability growth names. Could be the beginning of the end of the drawdown, or things could get a lot worse and SCV gets absolutely smashed... We shall see!
SafeBonds
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Re: Small Cap Value heads Rejoice !!!

Post by SafeBonds »

bigdog34 wrote: Wed Jun 22, 2022 10:22 am Over just the past 2 weeks, AVUV has underperformed VTI by nearly 7%. Has to be one of the worst very short term stretches of underperformance since the inception of this fund. AVUV is still losing less YTD than VTI (-15% vs -22%). It's been interesting to follow.
Similar caveats as HippoSir. I believe value does better than growth (relatively) during times of expected inflation. This could reflect the market's expectation of future inflation.
KyleAAA
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Re: Small Cap Value heads Rejoice !!!

Post by KyleAAA »

I too noticed the rapid reversal. It's probably nothing. But it could be something.
bigdog34
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Re: Small Cap Value heads Rejoice !!!

Post by bigdog34 »

Just looked on AVUV's website--- looks like the top 10 holdings include quite a few energy focused stocks which have been absolutely destroyed the past 2 weeks. That alone may account for the massive underperformance of AVUV the past few weeks. None of this info is actionable for me but sometimes it's nice to know what the heck causes short term massive up and down swings in SCV relative to total market.
geo99
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Re: Small Cap Value heads Rejoice !!!

Post by geo99 »

I’ve recently started DCAing into a few Avantis funds. AVUV in particular, even after the recent drop, is way above pre-pandemic levels. I wonder how it will fare if/when the price of oil drops further.

On a separate note, does anyone see the international Avantis funds as currency plays? The dollar is quite strong — will it continue to strengthen, or perhaps foreign equity offers better values now.
Startled Cat
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Re: Small Cap Value heads Rejoice !!!

Post by Startled Cat »

geo99 wrote: Fri Jun 24, 2022 7:04 am I’ve recently started DCAing into a few Avantis funds. AVUV in particular, even after the recent drop, is way above pre-pandemic levels. I wonder how it will fare if/when the price of oil drops further.
I have the same concern, though I've recently started dipping my toes in AVUV for the first time since 2020.
geo99 wrote: Fri Jun 24, 2022 7:04 am On a separate note, does anyone see the international Avantis funds as currency plays? The dollar is quite strong — will it continue to strengthen, or perhaps foreign equity offers better values now.
Yes, there's a big currency component, and while I have no idea how currencies will move over the short term, the theory of purchasing power parity kind of supports the argument for diversifying into "cheaper" currencies. My portfolio is very heavily weighted towards ex-US but to be frank, it's been a bit of a disaster for me so far.
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

My ex-US is only AVDV through small cap value. Why? IMO, it's the only metric amongst the factors that really move the needle. As to the currency hedge, I believe it can be, although the mechanism in which it does so is somewhat murky during the current market.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
Massdriver
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Re: Small Cap Value heads Rejoice !!!

Post by Massdriver »

AVDV paid quite a dividend this quarter! :moneybag :shock:

International will have its day. I just hope it's before I no longer exist! :D
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drumboy256
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Re: Small Cap Value heads Rejoice !!!

Post by drumboy256 »

Massdriver wrote: Fri Jun 24, 2022 1:30 pm AVDV paid quite a dividend this quarter! :moneybag :shock:

International will have its day. I just hope it's before I no longer exist! :D
Yup, it was a healthy chunk-- 4.83% yield I believe.
Promise is one thing. Fulfilling that promise is quite another. - Sir Alex Ferguson | // Merri-Bogle WW SCV + Chill
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