Comments on: Fama-French Factor Loadings for Popular ETFs

By: xml

xml — Sat, 30 Jan 2016 19:14:52 +0000

In reply to shabbychef. Why would you want to short the B to get the SMB? It's there, regardless of whether or not you short the B. Similarly, the ERP is there even if you don't short T-Bills.

By: Egor Ufimtsev

Egor Ufimtsev — Sun, 05 Apr 2015 04:41:07 +0000

There is very little difference in performance of IJS, IWN and VBR. However, the first two have ridiculous expense ratios of 0.25%, while VBR – only 0.09%.

By: Frankie Fann

Frankie Fann — Wed, 25 Jul 2012 05:54:34 +0000

Can you actually short Small Cap ETF and Long Large CAP ETFs to create a long-short portfolio that is similar to SMB for example?

By: wajid

wajid — Tue, 24 Jan 2012 19:24:09 +0000

i want to check the tilt toward value or growth factor in almost 30 mutual funds. please guide me how should i proceed it. should i perform separate analysis for each fund, and then compare its alphas and coefficients of SML and HML. or is there any method which can be used to find out the tilting effect here…

By: wajid

wajid — Tue, 24 Jan 2012 19:20:02 +0000

deat Vinay Datar please share your point with all of us

By: Vinay Datar

Vinay Datar — Fri, 07 Oct 2011 05:24:46 +0000

Please contact me when you can. I am a professor of Finance at Seattle University. Good work. Not sure Yahoo gives reliable dividend information, may be it does, or not. CRSP is a good audited source. I can tell you more. 206 236 6309

By: Investodon

Investodon — Mon, 05 Sep 2011 03:05:00 +0000

In reply to calcinv. Excellent. Thanks for the analysis.

By: calcinv

calcinv — Sun, 04 Sep 2011 00:53:45 +0000

In reply to Investodon.

Here is a comparison of IJS, MDY, and VBR over a recent 5-year period.

VBR is only slightly more tilted towards small stocks than MDY, but it has quite a bit more value tilt than MDY.

IJS:
Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -0.002252 0.001588 -1.418 0.162 rmrf 0.892569 0.032434 27.520 < 2e-16 *** smb 0.903898 0.072353 12.493 < 2e-16 *** hml 0.393902 0.059197 6.654 2.09e-08 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 0.01151 on 50 degrees of freedom (6 observations deleted due to missingness) Multiple R-squared: 0.9744, Adjusted R-squared: 0.9729 F-statistic: 635.4 on 3 and 50 DF, p-value: < 2.2e-16

MDY:
Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.0001175 0.0016186 0.073 0.942 rmrf 1.0094366 0.0330607 30.533 < 2e-16 *** smb 0.4871640 0.0737520 6.605 2.49e-08 *** hml -0.0622261 0.0603411 -1.031 0.307 --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.01174 on 50 degrees of freedom (6 observations deleted due to missingness) Multiple R-squared: 0.9672, Adjusted R-squared: 0.9653 F-statistic: 491.9 on 3 and 50 DF, p-value: < 2.2e-16

VBR:
Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -0.000903 0.001672 -0.540 0.592 rmrf 0.961907 0.034158 28.160 < 2e-16 *** smb 0.584734 0.076200 7.674 5.33e-10 *** hml 0.489201 0.062344 7.847 2.87e-10 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.01213 on 50 degrees of freedom (6 observations deleted due to missingness) Multiple R-squared: 0.9724, Adjusted R-squared: 0.9707 F-statistic: 587.3 on 3 and 50 DF, p-value: < 2.2e-16

By: Investodon

Investodon — Fri, 02 Sep 2011 18:57:25 +0000

VBR is one fund that tracks that index.

By: Investodon

Investodon — Fri, 02 Sep 2011 18:52:07 +0000

Another question, where would a fund tracking the MSCI U.S. Small Cap Value Index be placed on the size section of the graphs? The average weighted market cap for that index is 1.7 billion. The size is larger than IWN, IWM, IJS, and IJR but smaller than MDY.

I wonder if it would be in the middle, but leaning more towards the second smallest section.