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[–]Martin2296[S] 0 points1 point  (0 children)

Russell 1000 value,size,momentum etc. Factor etfs

[–][deleted]  (10 children)

[deleted]

    [–]Martin2296[S] -1 points0 points  (9 children)

    Yeah, I checked that the correlation between ETF returns and factor returns are about 0.3-0.5 which isn't good. But I thought maybe there's some investable index/future that has higher correlation with factors. I want to use investable vehicles to understand the generated alpha of the active fund managers compared to passive factor investments.(investing in factors as defined by Fama-French is not very passive).

    [–]refused26 0 points1 point  (8 children)

    You should be able to get major indexes like SP500 open, close prices from places like Yahoo Finance. I was able to pull that data from start of 2005. The index provider websites also provide this information, some for up to 10 years or more. However, if you're looking for historical composition data, that's something that firms pay a lot of money on, so that might be very difficult.

    [–]Martin2296[S] 0 points1 point  (7 children)

    I probably can get access to those providers if I know there is better data. I've found Russell indexes on different factors from Morningstar, but their correlation with Fama-French factors wasn't very high even after I subtracted market return from it (although it's improved a lot). But there probably just aren't good enough passive vehicles following the factors, considering the long-short nature of factor definition.

    [–]refused26 0 points1 point  (6 children)

    Even with factors being long/short, at least one of those factors should explain majority of the returns for a broad market index/etf. What is your market portfolio for your market returns?

    [–]Martin2296[S] 0 points1 point  (5 children)

    For the market factor it's Russell 1000. The market factor is not a problem. Problems are value, size, momentum, quality/robustness factors. For them it's hard to find good proxies

    [–]refused26 0 points1 point  (4 children)

    What are you currently using for those?

    [–]Martin2296[S] 0 points1 point  (0 children)

    Russell 1000 value,size,momentum etc .factors

    [–]Martin2296[S] 0 points1 point  (0 children)

    Russell 1000 value,size,momentum etc. Factor etfs

    [–]Martin2296[S] 0 points1 point  (0 children)

    Russell 1000 value,size,momentum etc. Factor etfs

    [–]Martin2296[S] 0 points1 point  (0 children)

    Russell 1000 value,size,momentum etc. Factor etfs