One of the many reasons I believe in factor diversification more than plain country diversification. No world/acwi for me, mostly factors.
Now, watch me underperforming the broad market for the next 10 years because I’m value tilted 😂
Now, watch me underperforming the broad market for the next 10 years because I’m value tilted 😂
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@deodorhunter why the value tilt tho? I can’t become friend with the size factor (at least without value or quality tilt). But I love the opportunity of the momentum and quality. I am build my portfolio with the world as Center and some strongly growing factor etfs with those three equally distributed
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•@SchlaubiSchlumpf philosophy, but mainly the tilt is based on the huge spread the value factor possesses in this historical period. Or to be more precise, since the end of the so called “lost decade” (2008 -2017ish), when quality took over after years of underperformance. We know markets are cyclical, I believe HmL (value) will rear its head again. Hopefully while I’m still alive and can take advantage of that 😅.
When value comes back, I also get free momentum boost, as the two are, counterintuitively, quite correlated.
That said, I tilt, so the other factors are still very present in my overall plan. But I have to juggle a bit, actively rebalance and stay on the ball, and I really don’t mind it, it’s stimulating.
For example, my momentum exposure right now will come from semis, in the most concentrated but not stupidly so manner, because momentum has the most premium in concentration.
This means I have to be able to handle the certain decline at some point in the future, rebalance and relocate to the next concentrated momentum, or switch to a broader one.
For quality, I have S&P, which is expensive yes, but has quality under a lot of metrics even if it’s not a “factor product”, and some good consistent historical momentum.
My soon to be core (building it up), $JPGL , is actually an equal weighted, equally weighted sector product based on FTSE Developed, with good profitability, value and min vol exposure, while also being deeply LCV (Large Cap Value).
You’re perfectly spot on on the size factor when you say that it needs a companion: size only has premium with value. Sadly, in the UCITS universe, that means getting a lot of negative momentum exposure. But size is the factor with the most expected return premium, so SCV needs a place too (Small Cap Value).
Em is value too with quality screen for me, cheap + cheap sounds fine by me.
Market is market, once you own a share you are exposed to market factor.
Some sprinkles of off-risk too, will vary based on market phase (bull/bear)
I also target investment and moat, but those are more complicated and this comment is already too long 😅. At least I hope it will be an interesting one 😂
When value comes back, I also get free momentum boost, as the two are, counterintuitively, quite correlated.
That said, I tilt, so the other factors are still very present in my overall plan. But I have to juggle a bit, actively rebalance and stay on the ball, and I really don’t mind it, it’s stimulating.
For example, my momentum exposure right now will come from semis, in the most concentrated but not stupidly so manner, because momentum has the most premium in concentration.
This means I have to be able to handle the certain decline at some point in the future, rebalance and relocate to the next concentrated momentum, or switch to a broader one.
For quality, I have S&P, which is expensive yes, but has quality under a lot of metrics even if it’s not a “factor product”, and some good consistent historical momentum.
My soon to be core (building it up), $JPGL , is actually an equal weighted, equally weighted sector product based on FTSE Developed, with good profitability, value and min vol exposure, while also being deeply LCV (Large Cap Value).
You’re perfectly spot on on the size factor when you say that it needs a companion: size only has premium with value. Sadly, in the UCITS universe, that means getting a lot of negative momentum exposure. But size is the factor with the most expected return premium, so SCV needs a place too (Small Cap Value).
Em is value too with quality screen for me, cheap + cheap sounds fine by me.
Market is market, once you own a share you are exposed to market factor.
Some sprinkles of off-risk too, will vary based on market phase (bull/bear)
I also target investment and moat, but those are more complicated and this comment is already too long 😅. At least I hope it will be an interesting one 😂
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•@deodorhunter that’s dann cool. I follow the principle that value quality and co are mostly randomised. Mostly bc I don’t know better. Anyways rebalancing is what I aim to do top. Mostly by new invests. Do you know a good etf for sc value?
I go EM Value and quality too. I do like 7,5% EM and 7.5 factored EM. 3.75 quality and 3.75 value. At least I am going to. Just recently began to invest into factors and science I am not going to sell me msci world due to taxes I have to save a while until I have the balance I aim to have.
I go EM Value and quality too. I do like 7,5% EM and 7.5 factored EM. 3.75 quality and 3.75 value. At least I am going to. Just recently began to invest into factors and science I am not going to sell me msci world due to taxes I have to save a while until I have the balance I aim to have.
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@deodorhunter SC would be ok with value. Didn’t find those on my German platforms though…
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@SchlaubiSchlumpf I do know an etf like that! Actually, four! But only three make the cut for me personally considering tracking difference, ter and actual fund and transaction costs compared to performance/risk. $ZPRV and/or $USML for us SCV, and $ZPRX for europe SCV. The fourth is $DGSD, it’s more of a proxy (dividend yield used as a metric for value, also exposed to profitability, a metric of quality) and targets em. Expensive tho: one, underlying assets of fund are bloody expensive to trade and with a lot of dividend leakage due to value methodology and two, em is actually hard to rein in a SCV framework compared to developed.
All should be tradable on German exchanges, I see them on XETRA at my broker, and save into 2 of them.
A famous us fund in the factor investing universe is coming to UCITS ETF landscape soonish, with a Developed World SCV, but it’s gonna be actively managed most likely.
Which per se isn’t the end of the world, but little is known other than the headline. Need to see costs, methodology and adoption (fund AUM growth) first though
For easy comparison, the upcoming etf should be a mix of $AVDV and $AVUV (40/60ish I would expect)
All should be tradable on German exchanges, I see them on XETRA at my broker, and save into 2 of them.
A famous us fund in the factor investing universe is coming to UCITS ETF landscape soonish, with a Developed World SCV, but it’s gonna be actively managed most likely.
Which per se isn’t the end of the world, but little is known other than the headline. Need to see costs, methodology and adoption (fund AUM growth) first though
For easy comparison, the upcoming etf should be a mix of $AVDV and $AVUV (40/60ish I would expect)
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@deodorhunter ok $USML doesnt have the value tilt, does it? The $ZPRX and $ZPRV could be a combination for me.
I don’t expect much from an actively managed Fund.
a) i expect to much cost from an actively managed Fund and
b) it’s always a question of how the Fund is managed. If the manager is very transparent, it could be a thing. But why not take a passively managed then?
Anyhow it seems to be worth, keeping an eye on.
I don’t expect much from an actively managed Fund.
a) i expect to much cost from an actively managed Fund and
b) it’s always a question of how the Fund is managed. If the manager is very transparent, it could be a thing. But why not take a passively managed then?
Anyhow it seems to be worth, keeping an eye on.
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@SchlaubiSchlumpf It actually has a value exposure, not in the name of the product but you can see the loadings with regressions. I can't post the regression graph, but I'll give you a nice tool to use and see for yourself :)
https://f4ratk.web.app/tickers/USML.L:US
Disclaimer: be sure to always use the USD version of the funds, and the Reuters RIC /iNAV Reuters ticker. You can find them on justetf under the section "Listings". The data used for calculating the regressions comes from Yahoo Finance, so it's not gonna be perfect.
https://f4ratk.web.app/tickers/USML.L:US
Disclaimer: be sure to always use the USD version of the funds, and the Reuters RIC /iNAV Reuters ticker. You can find them on justetf under the section "Listings". The data used for calculating the regressions comes from Yahoo Finance, so it's not gonna be perfect.
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