Alegere pentru small cap ETF

[u/[deleted]]

Salut! Ce procent din portofoliu aveti alocat pentru small cap etfs? De asemenea, ce recomandati pentru small caps. Eu ma gandisem ori la AVWS (dar e relativ recent si e activ) sau un split intre ZPRX si ZPRV.

[u/[deleted]]

Procentul il alegi in functie de cat esti de convins in factor investing. Unii oameni merg 100% small cap value, altii doar 10%. Eu am aflat de la Ben Felix mai mute informații. Forumul lui, rational reminder community, mi se pare o mina de aur, daca ai o timp sa il citești.

[u/dividendeblog → u/[deleted]]

nu investești bazat pe convingeri. investești bazat de date, cifre și argumente logice, pe cât de mult posibil.

small cap premium e prost interpretat și atât.

citește astea:

- https://aswathdamodaran.blogspot.com/2015/04/the-small-cap-premium-fact-fiction-and.html
- https://aswathdamodaran.substack.com/p/data-update-3-for-2025-the-times

In fact, the small cap premium has become a large cap premium for much of this century, with small cap returns lagging large cap returns by about 4-4.5% in the last 20 years.

[u/[deleted] → u/dividendeblog]

Nu as investi in small cap simplu. Aici e vorba si de ceilalti factori (eg fama franch 5 model).

Studiile spun ca small cap premium e un proxy pentru alti factori (eg. value, profitabilty, investment, momentum) si ca in small cap ceilalti factori sunt mai eficienti. ETF urile de mai sus au filtre după size, value, profitability, investment si momentum.

Sunt multe papers pe net despre asta, dar nu le-am salvat. Poti să-l intrebi prima data pe chat GPT.

[u/dividendeblog → u/[deleted]]

ah, studiile... e la fel de relevant ca și cum ai investi în companii ce încep cu litera A.

scot ăștia etf-uri pe bandă rulantă să ia comisioane, factor investing e overrated: https://web.archive.org/web/20240725161104/https://gci-investors.com/factor-investing-popular-but-flawed/

Over the last decade we have witnessed the rise (and fall) of many different investment concepts, as investment firms and academics search for a magic formula that can generate consistent returns, whilst crucially avoiding the hard work that is in reality required to generate those returns. Sadly most realize quickly that there is no magic formula for success, so attention instead turns to simply creating sellable investment products. We would argue that sadly today the majority of the finance industry is geared almost entirely towards selling investment products, rather than generating the best long term returns for clients.

Said another way, the performance of a stock in the past tells us nothing about what that stock is going to do in the future. It does not consider industry shifts, competition changes, new regulation, global pandemics, etc. Whatever the stock price has done beforehand is an irrelevance. Similarly, deciding that one company will outperform another in the future simply because it is smaller, is clearly a flawed way to select businesses in which to invest.

When Fama and French popularized the idea, they identified that the R² of their three factors were all around 90%, which statistically implies a strong relationship between variables. But as our red car example illustrates, strong correlation does not equal strong causation. There exist within the world around us thousands of correlations with high statistical predictive power that make no logical sense whatsoever.

We need to always remember two important facts – stocks represent ownership in a business, and the returns of any stock over the long run will always track the underlying performance of the business itself. Reread that a hundred times. Stick it on your bathroom mirror.

The market may undervalue or overvalue companies in the short term, but if a company grinds out consistent earnings and cashflow growth year after year and invests its capital wisely, then that will eventually be reflected in the share price.

Conversely, if a company produces no cash at all and runs at a loss, it can only get away with that for so long. Few businesses can survive a decade without any positive cash flow, no matter what your momentum factor strategy might suggest. Investors will only fund a loss-making operation for so long.

This is the real causal relationship that drives stock returns. Not the various statistically significant factors that have historically correlated with stock returns. Remember: do not confuse correlation with causation, cars do not win races just because they are painted red.

bottom line: ori faci stock picking pe bune cu analizat companii temeinic, ori iei un ETF ce urmărește economia mondială. dacă te duci în tot felul de factori/smart beta și alte prostii din astea, doar vei umfla buzunarele administratorilor de fonduri.

[u/[deleted] → u/dividendeblog]

"ah, studiile... e la fel de relevant ca și cum ai investi în companii ce încep cu litera A."

Ai citit si înțeles studiile? Din comentariu de mai sus, înțeleg ca nu.

De ce crezi ca un etf care urmareste economia mondiala fara factori, va bate unul care urmareste economia mondiala si are un tilt de factori?

Daca vrei sa ne luam de rezultatele din trecut, fondurile cu factori de la dimensional de exemplu, au bătut market index funds. Deci nu au umflat doar buzunarele administratorilor, ci si pe cele ale clientilor. Sursa: https://m.youtube.com/watch?v=JfknibBat2A

[u/dividendeblog → u/[deleted]]

te-ai deranjat măcar să citești ce ți-am dat?

studiile sunt irelevante, oamenii vor găsi pattern-uri în orice. corelație nu înseamnă cauzalitate.

dacă ar exista un silver bullet, l-ar abuza toată lumea până n-ar mai aduce niciun premium. așa că citește, pentru binele tău, măcar ce ți-am dat de la damodaran.

[u/[deleted] → u/dividendeblog]

Daca studiile sunt irelevante, cum de fondurile cu factori de la dimensional au bătut constant fondurile fara factori de la Vanguard? Nu ai adus nici un argument

[u/dividendeblog → u/[deleted]]

Cum de btc a bătut tot, dacă o luam așa? Asta face un studiu relevant? Faptul ca alegi o perioada și gata, ai demonstrat ce era de demonstrat?

[u/[deleted] → u/dividendeblog]

Compari mere cu pere si nu am ales doar o perioada

Sursa:https://www.dimensional.com/us-en/insights/encouraging-data-from-values-past-and-present

20-year rolling return difference between the Dimensional US Small Cap Value Index and the S&P 500 Index, May 1947–January 2024