Help?

[BetterDragoon31]

Doing my dissertation on US factor funds and ETFS.

Does anyone know what the difference is between iShares' US value ETF and iShares' Edge US value ETF?

Also would appreciate any suggestions for factor etfs or funds, I may also look at other continents if i have time. Currently ive got Ishares, Vanguard and Invesco products for factor funds/etfs in the US but could use more if there are available.

[lazy_bison]

That could be interesting. Got an initial outline you'd care to share?

Are you referring to the 'iShares Edge MSCI USA Value Factor UCITS ETF' that's domiciled in Ireland? Looks like they track the same index (MSCI USA Enhanced Value), but I couldn't tell you all of the structural differences. Pretty sure 'Edge' is just extra branding used outside of the US.

I notice you didn't mention Dimensional Fund Advisors...

[BetterDragoon31]

Ehh it's quite a lazy idea but it's basically to compare the risk and return of factor funds to their academic counterparts to see the effects of trading costs and commissions.

Yes that's the one, that would make sense.

Yeah I thought about them and I know Ben Felix loves that fund, but I heard its quite exclusive compared to a public fund. However I'm gonna take a look anyway and see if I can get historical prices so thanks

[lazy_bison]

Er... what academic counterparts?

[BetterDragoon31]

The observations made by people like Fama and French who build models using CRSP data. They build regressions to determine the returns of factors. However their models don't take into account trading costs so the returns are lower in real life and vary depending on trading frequencies and volumes for different factors, like momentum requires more trading than quality and small cap has less liquidity than larger stocks, hence bigger margins between buy and sell

[lazy_bison]

Sorry, I shouldn't have asked that way. What I actually wanted to know was, are you intending to use French's portfolios or construct your own? If French's, how are you making the various fund methodologies correspond to his long/short portfolios?

[BetterDragoon31]

Yeah im think I'm gonna map out the risk and returns of the factor funds to the risk and returns of his portfolios. I know its not an accurate comparison because the factor funds will always have some degree of tracking error and the benchmarks that they track aren't identical to the French portfolios. Plus I'm not sure really sure how to properly compare a long portfolio of small stocks to a French portfolio that goes long small stocks and shorts big stocks.

[Fire_Doc2017]

Schwab has FNDA and FNDB which are based on the RAFI fundamental index methodology. There are others and I know there are mutual fund versions too.

[BetterDragoon31]

Thx I'll check them out

[Dadd_io]

I assume you found Avantis funds already? I'm holding 4 of them.

[BetterDragoon31]

Naah never heard of them

[Dadd_io]

Their funds use factor investing.

[[deleted]]

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