Smart, Strategic Beta & Multi-Factor ETFs

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optionable68
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Smart, Strategic Beta & Multi-Factor ETFs

Post by optionable68 »

Anyone here at FWF hold any quantitative factor-based ETFs instead of plain vanilla market beta ETFs?

Are there any good ones worth the extra 30-80 bps in fees?

While I am a bug fan on price, I can see something as simple as singe factor / equal-weighted appearing to offer some value for some indices, and I plan on doing some exploratory work but wanted to get a sense from the cerebral-minded here first.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by DenisD »

Fundamental index ETFs first came out more than 10 years ago. At the time, there was a fair bit of discussion about them on FWF. But now, they're nothing special.

I've owned and/or followed several of them since they were introduced: CRQ, PRF, PRFZ, CIE, PXF, PDN, PXH. For some comments and a link to a spreadsheet with returns, see: http://www.financialwisdomforum.org/for ... 71#p589971
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by Peculiar_Investor »

Not here. I only want low cost ETFs that benchmark to broad-based indices.

FWIW, Google turned up An evaluation of smart beta and other rules-based active strategies | Vanguard Group that concludes:
Vanguard wrote:To the extent that an index is a group of securities chosen to represent an unbiased view of the risk and reward attributes of a market or a portion of a market, Vanguard believes that indexes should be constructed according to the market cap of the underlying constituents, as determined by all the available market information. By definition, alternatives to market-cap-weighted indexes, such as smart-beta strategies, should be considered active strategies, because their rules-based methodologies tend to generate meaningful securitylevel deviations, or tracking error, versus a broad market-cap index.

This paper’s analysis has shown that the “excess return” of such strategies can be partly (and in some cases largely) explained by time-varying exposures to certain risk factors, such as size and style. Consequently, the relative performance of smart-beta strategies versus the broad market has deviated meaningfully over time (and can be expected to continue to do so), given (1) the relative performance of certain equity market factors versus the broad market, and (2) the inconsistent or dynamic exposures to such risk factors based on certain rules-based strategies. We found little evidence that such smart-beta strategies have been able to capture any security-level mispricings in a systematic or meaningful way.

The debate regarding the long-term performance of active versus indexed strategies continues, but Vanguard believes that reweighting traditional market-cap-based indexes represents neither a “new paradigm” of index investing nor a ”smarter” way to invest.
and also Pioneer of smart-beta investing warns strategy is being abused - MarketWatch. The fact that the one of the pioneers is flashing a warning sign should at a minimum suggest to proceed with caution and read everything you can about actual performance vs. theory.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by DenisD »

Yabbut, IIRC, the warning sign didn't apply to FTSE/RAFI funds. :)
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by ghariton »

In the past, I have placed some of my play money in VTV and RPV in the U.S. markets. They seemed to be not much better, but not much worse, than VTI, my workhorse ETF. So in the name of simplification I am sticking to VTI.

I still follow SPLV, and compare its performance from time to time with SPY. I started doing this after NormR wrote a series of articles on low-volatility investing. Again, the differences are not that big. Sometimes the one does better, sometimes the other. (I track in real time, rather than historical back-testing, because I want to see the impacts on my emotions.) So I don't invest in SPLV either.

As I said, I'm very happy with VTI.

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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by Peculiar_Investor »

DenisD wrote:Yabbut, IIRC, the warning sign didn't apply to FTSE/RAFI funds. :)
As I posted,
Peculiar_Investor wrote:Not here. I only want low cost ETFs that benchmark to broad-based indices.
I then turned to Google for further insight that might help others. Further down the Google search results I got was another article from research affiliates (RAFI) How Can “Smart Beta” Go Horribly Wrong?. They suggest it's about a 35-40 minute read, I'm just getting started. Their key points have peaked my interest to read on.
research affiliates wrote:
  • Factor returns, net of changes in valuation levels, are much lower than recent performance suggests.
  • Value-add can be structural, and thus reliably repeatable, or situational—a product of rising valuations—likely neither sustainable nor repeatable.
  • Many investors are performance chasers who in pushing prices higher create valuation levels that inflate past performance, reduce potential future performance, and amplify the risk of mean reversion to historical valuation norms.
  • We foresee the reasonable probability of a smart beta crash as a consequence of the soaring popularity of factor-tilt strategies.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by optionable68 »

I agree that there are many "dumb" smart beta strategies out there but also suspect that Vanguard has a wee bit of vested interest in cap-weighted indexing preference - and has much to lose if evidence supports that certain competing smart beta strategies are better than their traditional cap-weighted. (Full disclosure: My RRSP currently utilizes low-cost cap-weighted products)

There are some credible contrarian views to Vanguard. As an example, DFA (owned and operated primarily by academics) has five of the seven members of the DFA funds' Board of Directors are Finance/Economics professors at major universities and four current or former board members (Eugene Fama, Myron Scholes, Merton Miller, and Robert Merton) are winners of the Nobel Memorial Prize in Economics. For several decades, they have been providing compelling evidence to suggest there may be a better way. I am still not sold that factor-based indexing can win, and I have not yet considered DFA as a personal investment (mostly based on cost). That said, I cannot ignore academic evidence which suggests in some (infrequent) cases, low fees should not be the only consideration. This doesn't mean I endorse DFA. It just means I am willing to explore a factor-based approach a bit.

This article from Forbes suggests the S&P500 is a beatable index using equal-weighted approach provided your investment time period exceeds 10 years.. Of course past performance is no indication of future performance. Any notable flaws to the Forbes conclusion?
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by twa2w »

I am not an expert by any means but here are 2 theories why some folks think an equal weighted index may out perform.
1)
A cap weighted index, by it's nature will tend to buy more of overvalued companies and less of undervalued companies. Whereas an equal weighted index will buy less of the overvalued company and more of the undervalued company.
Thus when companies revert to fair value, the equal weighted will win. So an equal weighted index is a value play.
2)
A cap weighted index by it's nature will tend to buy more of larger companies and less of smaller companies.
An equal weight company will buy less of the larger companies and more of the smaller companies.
Smaller companies tend to do better in the long run so hence over time, the equal weight index will work better.
Thus an equal weight index is a tilt toward smaller companies.( mid in case of s&p500)

Some backtesting indicates for the s&p 500, about a 2% annual differential over 20 years before fees but you need at least a 10 year horizon.

You pay more fees for equal weight so some folks say to add a lower cost midcap value etf to get the same out performance at a lower price.
I do see some outperformance by equal weighted etfs after fees but most have not been around long and it is not consistent.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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twa2w wrote:A cap weighted index, by it's nature will tend to buy more of overvalued companies and less of undervalued companies. Whereas an equal weighted index will buy less of the overvalued company and more of the undervalued company.
Thus when companies revert to fair value, the equal weighted will win. So an equal weighted index is a value play.
Perhaps. I haven't looked at the companies that have higher weights in the equal weights ETFs. Maybe market-weighted ETFs could be seen as a momentum strategy, if large companies have gotten that way through recent growth. But I haven't checked that either.

FWIW I tend to see equal-weighted ETFs as a contrarian play, as in, let's buy stuff that other people are avoiding.

Unfortunately, contrarian strategies (and other non-market-weight strategies) work until other investors notice that they work. Then they pile in, driving valuations up to the point that expected returns fall to the market average (and even below). That's what I see Rob Arnott and his co-authors saying. If this is true, then back-testing is not of much value.

Or rather, back-testing might be useful in a contrarian way. Look at recent history to see which factors (value, small cap, etc.) have worked in the last few years. and then bet against them, on the reasoning that those products have been "chased" by investors, and are now truly over-valued.

Just wondering...

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Re: Smart, Strategic Beta & Multi-Factor ETFs

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twa2w wrote:I am not an expert by any means but here are 2 theories why some folks think an equal weighted index may out perform.
1)
A cap weighted index, by it's nature will tend to buy more of overvalued companies and less of undervalued companies. Whereas an equal weighted index will buy less of the overvalued company and more of the undervalued company.
Thus when companies revert to fair value, the equal weighted will win. So an equal weighted index is a value play.
2)
A cap weighted index by it's nature will tend to buy more of larger companies and less of smaller companies.
An equal weight company will buy less of the larger companies and more of the smaller companies.
Smaller companies tend to do better in the long run so hence over time, the equal weight index will work better.
Thus an equal weight index is a tilt toward smaller companies.( mid in case of s&p500)
I never have understood this logic. A cap weighted index buys in proportion to the index, they buy more of the larger cap stocks, less of the smaller cap stocks. The logic would lead to the conclusion that larger cap stocks = over valued and smaller cap = under valued. I don't see that as being true.

I can see some validity in the second point, but to what extent is that offset by the fact that one is potentially taking on more risk by allocating to small caps stocks.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by twa2w »

dwarren wrote:
twa2w wrote:I am not an expert by any means but here are 2 theories why some folks think an equal weighted index may out perform.
1)
A cap weighted index, by it's nature will tend to buy more of overvalued companies and less of undervalued companies. Whereas an equal weighted index will buy less of the overvalued company and more of the undervalued company.
Thus when companies revert to fair value, the equal weighted will win. So an equal weighted index is a value play.
2)
A cap weighted index by it's nature will tend to buy more of larger companies and less of smaller companies.
An equal weight company will buy less of the larger companies and more of the smaller companies.
Smaller companies tend to do better in the long run so hence over time, the equal weight index will work better.
Thus an equal weight index is a tilt toward smaller companies.( mid in case of s&p500)
I never have understood this logic. A cap weighted index buys in proportion to the index, they buy more of the larger cap stocks, less of the smaller cap stocks. The logic would lead to the conclusion that larger cap stocks = over valued and smaller cap = under valued. I don't see that as being true.

I can see some validity in the second point, but to what extent is that offset by the fact that one is potentially taking on more risk by allocating to small caps stocks.
I think that in, say the S&P 500, there are a number of large companies and the balance are mid cap.
If you just look at the large caps for example, you likely have a number thst are comparable in sales, profits, assets etc. At any given time a few of these may be overvalued or undervalued depending on the sentiments of the market. in a rational market, in theory, they would be roughly equally valued. The equal weight index would buy more of the under value and less of the overvalued stocks.
It may make more sense if you think about it in a smaller index of more equal companies. The Dow 30. Or the Cdn bank index.

I agree the cap weighted skews to momentum in a way.
I also agree that it works until enough people realize it works then everyone piles in. Then it doesn't work and everyone leaves, then it works again. Hence the 20+ year holding. Sort of like the dogs of the Dow theory. It worked until everyone piled into it then it didn't work for a while until everyone left, then it started to work again. Also nothing works in all market cycles so whether or not it is everyone piling in or not, a srategy will have moments it doesn't do well and other times it does.
The challenge is to determine if the strategy you follow is a winner in the long run and having the courage to stick to it long term so it comes into favour again.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by GreatLaker »

Canadian Couch Potato did a 9-part series on smart beta and factor investing.
Here's the intro: http://canadiancouchpotato.com/2016/08/ ... ete-guide/
And the summary: http://canadiancouchpotato.com/2016/10/ ... it-all-up/
Canadian Couch Potato wrote:So, no, I haven’t abandoned the Couch Potato: on the contrary, the more deeply I look into smart beta and other alternative strategies, the more convinced I become that simple is still the best solution. If you skipped this series because you found it boring or irrelevant, that’s fine: there’s nothing wrong with staying within your comfort zone. If you slogged through all 10 posts, I hope you came away with a nuanced understanding of these strategies, which will become more widespread in the coming years.

Either way, I’ll leave the last word to Benjamin Graham, who wasn’t talking about smart beta, but could have been: “To achieve satisfactory investment results is easier than most people realize; to achieve superior results is harder than it looks.”
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by DenisD »

For DFA fans, John Hancock in the US started some multifactor ETFs about a year and a half ago using DFA designed indexes. They now have US and ex-US Developed ETFs. Reaction was lukewarm at best at Bogleheads: https://www.bogleheads.org/forum/viewtopic.php?t=169439
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by DenisD »

Looks like PIMCO will soon be offering some superduper multifactor ETFs. They've got everything: value, low volatility, quality, momentum, size and, last but not least, factor timing!

PIMCO Plans Factor Funds With A Twist
•PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM)
•PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX)
•PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS)

The multifactor indexes' methodologies combine multiple factors and use recent and historical metrics to tilt the portfolios toward the factors expected to outperform, according to the prospectus.
RAFI Multi-Factor
For investors seeking a rules-based, transparent multi-factor strategy, RAFI Multi-Factor is designed to offer the following benefits:
•Combines theoretically sound and empirically robust single-factor strategies—value, low volatility, quality, momentum, and size—that allow for straightforward performance measurement and governance.
•Diversifies exposures to factors expected to produce long-term positive excess returns.
•Offers a dynamic allocation process that can potentially improve excess returns.
Wondering if I should switch my obsolete RAFI Fundamental Index ETFs for these shiny new state-of-the-art ones. 8) :wink:
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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Here is an article about factor etfs. I would assume due to the low fees they would determine which companies met the factors in a rather automated approach. It appears you could get quite a different mix of stocks depending on the source of their information.
Getting a P/E ratio is easy as opening up a web browser and typing in a search. But if you’ve ever compared P/E ratios from multiple sources, you can get a variety different numbers for the same company. For example, take a look at Allergan (NYSE: AGN). As of January 12, 2017, Yahoo! Finance gave AGN a P/E of 6.06. But Google Finance gave it 15.84. And if you have access to a Bloomberg terminal, Bloomberg cranked up AGN’s P/E to a whopping 734. Meanwhile, FactSet doesn’t even have P/E ratios in its database. Given all the latter nuances, you might feel like you’re stuck in Segal’s Law: “A man with a watch knows what time it is. A man with two watches is never sure.”3

These discrepancies happen because there are many different ways to put together a P/E ratio. One way could use earnings per share divided by the price of the stock. If so, should “basic” or “diluted” EPS be used? There’s a difference if you switch to the LTM Net Income divided by the total Market Cap of the company, as shares can change over a given quarter. But the reason for Allergan’s different ratios is that some financial information providers use bottom-line earnings while others take Income before Extraordinaries and Discontinued Operations. In August 2016, Teva (NYSE: TEVA) acquired Allergan’s generics business “Actavis Generics” for $33.4 billion in cash plus 100 million Teva shares, generating earnings of $16 billion from Discontinued Operations. After unwinding this, the company actually lost $1.7 billion in 3Q16 — hence no P/E ratio. Depending on whether or not an adjustment is made on this, Allergan would be positioned either as a cheapest percentile stock based on its Earnings Yield (inverse of the P/E ratio) or all the way down into the 94th percentile.
http://www.osam.com/blog.aspx
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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twa2w wrote:It appears you could get quite a different mix of stocks depending on the source of their information.
Probably a good idea to use the same provider for backtests and live portfolios.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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DenisD wrote:
twa2w wrote:It appears you could get quite a different mix of stocks depending on the source of their information.
Probably a good idea to use the same provider for backtests and live portfolios.
You mean so that I can be consistently wrong? :wink:

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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by ig17 »

An overview of the history and the current state of the academic factor research:

Factor Investing is More Art, and Less Science
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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I use VBR (small/value) for 15-20% of my US portfolio. At this proportion it does not distort my overall sector distribution too much. The cost is low (0.09% MER) and I hold VBR in a registered account, so there is no tax impact from the higher turnover.

Obviously it has done amazingly well in the last few months, but underperformed prior to November 2016. Either way, this does not change the weather one way or another and is as far as I am prepared to go with "active" strategies.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by DenisD »

ghariton wrote:You mean so that I can be consistently wrong? :wink:
If only I could find something that's consistently wrong. I could change it into something that's consistently right!
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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Mordko wrote:I hold VBR in a registered account, so there is no tax impact from the higher turnover.
It's rare for US listed ETFs to have any tax impact from high turnover other than possibly in their first few years of existence. VBR hasn't had a capital gain distribution since 2002(see table 2) despite a +350% NAV appreciation since hitting a low in March of '09.

The higher tax impact in comparison to VB is in the form of higher dividends which aren't materially different from a total market ETF like VTI.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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gsp_ wrote:
Mordko wrote:I hold VBR in a registered account, so there is no tax impact from the higher turnover.
It's rare for US listed ETFs to have any tax impact from high turnover other than possibly in their first few years of existence. VBR hasn't had a capital gain distribution since 2002(see table 2) despite a +350% NAV appreciation since hitting a low in March of '09.

The higher tax impact in comparison to VB is in the form of higher dividends which aren't materially different from a total market ETF like VTI.
True, but if you look at the turnover, its at around 30%. Presumably when VBR has to sell stock when they no longer meet it's value/size criteria. The proceeds aren't distributed as cash but reinvested. Shouldn't that trigger reinvested capital gains, which will lower ACB in a taxable account?

Compare that to VTI which has 0% turnover.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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Mordko wrote:True, but if you look at the turnover, its at around 30%. Presumably when VBR has to sell stock when they no longer meet it's value/size criteria. The proceeds aren't distributed as cash but reinvested. Shouldn't that trigger reinvested capital gains, which will lower ACB in a taxable account?
US tax rules allow a fund to have lower distributions than as per Canadian rules. It has to do with "specific lots" and redemptions by non-taxable investors who get allocated the largest capital gains possible, leaving ordinary unitholders with little to no tax liability.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

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Mordko wrote:The proceeds aren't distributed as cash but reinvested. Shouldn't that trigger reinvested capital gains, which will lower ACB in a taxable account?
Reinvested CGs increase ACB. All distributions from US ETFs are treated as foreign income for Canadians.

CG distributions haven't happened since 2002 and unlikely to ever again. That's the beauty of US listed ETFs and their tremendous tax efficiency. Through the creation and redemption of in-kind units and the ability to pick tax lots, capital gains just disappear(see table 3's "in-kind redemption gains" in link provided earlier). Only in the first few years of an ETF's creation in a rising market do we ever see CG distributions as investors pile in and not enough in-kind redemptions occur to wipe out gains combined with no accumulated loss carryforward.

In 2011 VBR(or more appropriately its underlying fund) had realized CGs of 1.1 billion on assets of 6.4 billions yet it never had to distribute any of them! +350% price appreciation in under 8 years and no CG distribution of any kind, meanwhile here we've seen ETFs with cash and reinvested CGs in losing years. The US listed ETF is simply a better mousetrap and one need not worry about CGs in established ETFs with similar turnover.


To bring this back to the subject of this thread, which smart beta strategies are so active that they overwhelm the tax efficiency of US listed ETFs in unregistered? I've stayed away from value due to higher distributions but are momentum or other strategies also off limits due to their high turnover rates?

Edit: cross posted with Adrian.
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Re: Smart, Strategic Beta & Multi-Factor ETFs

Post by Mordko »

Adrian, gsp - many thanks!
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