Jag funderar också på faktor-investering, som jag förstått det så är de faktorerna som oftast rekommenderas value och small cap. Jag funderar på att köra runt 10-15 % av min totala aktieportfölj i ZPRV/ZPRX. Problemet jag har med dessa är att fonderna är ganska små, och då har man helt plötsligt en ny risk med eventuell likvidiering i framtiden.
Det finns en väldigt lång tråd på rational reminders forum med tusentals inlägg om faktor-investering för européer.
@janbolmeson hade varit intressant att ta in någon som arbetar med dimensional att prata om faktor-investering!
Jag klistrar in sammanfattningen nedan;
There are many Factor ETFs available for UCITS investors. A lot of them do not really offer a good factor exposure, but there are some which are worth it. In order to summarize those I believe are worth considerations, the analysis below is conducted.
ZPRV - SPDR MSCI USA Small Cap Value Weighted UCITS ETF
Goal of the fund - To track MSCI USA Small-Cap value weighted index, which emphasizes value stocks (sales, book value, earnings and cash earnings) in the USA Small-cap stock universe. The fund tracks the index well.
Regression values (1997-2020):
+ High and consistent SMB loading (in line with the methodology)
+ Moderate and consistent HML loading (in line with the methodology)
+ Very diversified (~1450 holdings) across small-cap value stock universe
+ Consistent and significant RMW (see here)
— Moderate and consistently negative MOM loading (expected but not great)
— Low Assets under management (AUM) introduces a small risk of closure
Rating: 4.5 (Very good)
ZPRX - SPDR MSCI Europe Small Cap Value Weighted UCITS ETF
Goal of the fund - To track MSCI Europe Small-Cap value weighted index, which emphasizes value stocks (sales, book value, earnings and cash earnings) in the Europe small-cap stock universe.The fund tracks the index well.
Regression values (1997-2020):
+ High and consistent SMB loading (in line with the methodology)
+ Moderate and consistent HML loading (in line with the methodology)
+ Very diversified (~750 holdings) across small-cap value stock universe
+ Consistent and significant RMW (see here)
— Moderate and consistently negative MOM loading (expected but not great)
— Low Assets under management (AUM) introduces a small risk of closure
Rating: 4.5 (Very good)
IS3S - iShares Edge MSCI World Value Factor UCITS ETF
Goal of the fund - To track MSCI World Enhanced Value index, which emphasizes value stocks (Price-to-Book Value, Price-to-Forward Earnings and Enterprise Value to-Cash flow from Operations) in the MSCI World stocks universe.The fund tracks the index well.
Regression values (1997-2020):
+ High and consistent HML loading (in line with the methodology)
+ Only slightly negative in terms of MOM, unlike ZPRV/X
+ Very high AUM
± Moderately diversified (~400 holdings) across mid-large cap global value stock universe
— Overall neutral RMV exposure, but can be very negative (see 2015)
Rating: 4 (Very good)
IWMO - iShares Edge MSCI World Momentum Factor UCITS ETF
Goal of the fund - To track MSCI World Momentum Index, which emphasizes high price-momentum stocks adjusted by volatility, in the MSCI World stocks universe.The fund tracks the index well.
Regression values (1997-2020):
+ High and consistent MOM loading (in line with the methodology)
+ Moderate and mostly in positive RMW loading (in line with low-vol weighting in the methodology, which is somewhat inconsistent way to get RMW)
± Moderately diversified (~350 holdings) across mid-large cap global stock universe
± It’s more on the positive than negative side of HML but the negative can be very high (see 2015)
— It’s mostly in the large-mega caps
Rating: 3.5 (Good)
IEMO - iShares Edge MSCI Europe Momentum Factor UCITS ETF
Goal of the fund - To track MSCI Europe Momentum Index, which emphasizes high price-momentum stocks adjusted by volatility, in the MSCI Europe stocks universe.The fund tracks the index well.
Regression values (1997-2020):
+ Moderate and consistent MOM loading (in line with the methodology)
+ Decent and mostly in positive RMW loading (in line with low-vol weighting in the methodology which is somewhat inconsistent way to get RMW)
± Decently diversified (~125 holdings) across mid-large cap EU stock universe
— HML loading is mostly neutral, but can have high negative values (see 2015)
— It’s mostly in the large caps
Rating: 3.5 (Good)
IS3Q - iShares Edge MSCI World Qual Factor UCITS ETF
Goal of the fund - To track MSCI World Sector Neutral Quality Index, which emphasizes stocks with high Return-on-Equity (ROE), low leverage and low earnings variability, in the MSCI World stocks universe.
The fund tracks the index well.
Regression values (1997-2020):
± Low to moderate and consistent RMW loading (in line with the methodology which is not great)
± Neutral on MOM
± Moderately diversified (~300 holdings) across mid-large cap global stock universe
— Slightly negative HML loading most of the time
Rating: 2.5 (Average)
MVOL - iShares Edge MSCI World Minimum Volatility UCITS ETF
Goal of the fund – To track MSCI World Minimum Volatility Index, which emphasizes stocks with low volatility in the MSCI World stocks universe.
The fund tracks the index well.
Regression values (1997-2020):
+ Overall moderate to high RMW loading, but inconsistent (in line with the methodology, low-vol is an inconsistent way to get RMW)
± Neutral on MOM
± Moderately diversified (~300 holdings) across mid-large cap global stock universe
± Beta lower than 1 (good for drawdown risk hedging and balancing of factors)
± Can be positive or negative on HML, inconsistent (in line with the methodology)
Rating: 3 (OK)
MVEU - iShares Edge MSCI Europe Min Vol UCITS ETF
Goal of the fund - To track MSCI Europe Minimum Volatility Index, which emphasizes stocks with low volatility in the MSCI Europe stocks universe.
The fund tracks the index well.
Regression values (1997-2020):
+ Overall moderate RMW loading, but inconsistent (in line with the methodology, low-vol is an inconsistent way to get RMW)
± Neutral on MOM
± Decently diversified (~173 holdings) across mid-large cap EU stock universe
± Beta lower than 1 (good for drawdown risk hedging and balancing of factors)
± Can be positive or negative on HML, inconsistent (in line with the methodology)
Rating: 3 (OK)
JPGL - J.P. Morgan - Global Equity Multi-Factor ETF
Goal of the fund - To track JP Morgan Diversified Factor Global Developed (Region Aware) Equity Index, which emphasizes stocks with high multi-factor exposure (value, profitability, momentum) and applies more equal weighting across stocks and sectors.
Regression values ( December 2018-November 2020 )
By using Newey-West estimator for extra precision (thanks @Apeirox ):
± Overall moderate exposure to most of the factors simultaneously in a single fund ( questionable though due to the short history )
+ Multifactor approach allows for a higher premium capturing versus single-fund combos (if done well)
+ Good methodology, moderately diversified (~525 holding), with capped 0.5% allocation per holding (useful vs TSLA-like companies) plus equal-sector weighting (useful versus sector “bubbles”)
— Limited historical data to confirm its performance and factor exposure
± Only mid- and large-cap holdings
± If we trust JPMorgan reconstructed data and if they deliver their methodology well, It’s a great fund.
Image details in this topic. 20
Rating: 4.5 (Very good, perhaps the best)
har nog mycket goda chanser att slå marknaden långsiktigt, årlig rebalansering.
Frågan är om man kan komma åt värdefaktorn billigare genom att köpa de billigaste aktierna (globalt univers) på ev/ebit eller valuecomposite och hålla i ett år. Sedan om jag inte minns helt fel så har man historiskt fått bättre resultat genom att kombinera faktorer såsom värde och momentum i samma portfölj, någon mer kunning kanske kan bekräfta ifall detta stämmer
