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)