Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.
Support MFO
Donate through PayPal
Vanguard: Equity Factor-Based Investing: A Practitioner’s Guide
FYI: This paper builds on the foundation described in Factor-Based Investing. It is a practical guide to the suitability and key portfolio construction considerations relevant for those interested in equity factor-based investments. Regards, Ted http://ritholtz.com/2017/09/equity-factor-based-investing-practitioners-guide/
And if you'd like to perform factor regressions - to see (for example) what accounts for the performance of your fund, or how to 'replicate' a fund with ETFs - you can uses Portfolio Visualizer:
Thank you for the examples. Question is how to assess funds with short record such as Seafarer Oversea Growth & Income, SIGIX and including his old record when he was managing Matthews Asian Growth & Income, MASCX?
Good question. Using just web-based freebies, I might proceed this way.
SIGIX has been around since 2012, so you can attempt to explain its returns using ETFs that have ability to invest in same or similar markets.
The issue is that the factors used to construct benchmarks - from the PortfolioVisualizer site - in this case, are domestic, not global.
But if you follow a returns matching rule, the weights that result from ETFs are somewhat similar to SIGIX's own portfolio, yet returns from the 'ETF match' trail those of SIGIX. See [P/V] links above for 2 examples.
This "better than expected" conclusion would appear to be 'confirmed' by M* portfolio/risk analysis. See above.
Comments
Thanks! Also available here:
https://americas.vanguard.com/docs/literature/equity-factors-guide.pdf
http://tinyurl.com/PV-ValueFunds
http://tinyurl.com/Attempt-clone-TRVLX
http://tinyurl.com/match-sigix-returns
OR
http://tinyurl.com/sigix-returns-match
MORNINGSTAR
http://portfolios.morningstar.com/fund/summary?t=SIGIX
http://performance.morningstar.com/fund/ratings-risk.action?t=SIGIX
Sven:
Good question. Using just web-based freebies, I might proceed this way.
SIGIX has been around since 2012, so you can attempt to explain its returns using ETFs that have ability to invest in same or similar markets.
The issue is that the factors used to construct benchmarks - from the PortfolioVisualizer site - in this case, are domestic, not global.
But if you follow a returns matching rule, the weights that result from ETFs are somewhat similar to SIGIX's own portfolio, yet returns from the 'ETF match' trail those of SIGIX. See [P/V] links above for 2 examples.
This "better than expected" conclusion would appear to be 'confirmed' by M* portfolio/risk analysis. See above.