Join 924 investors who get actionable, evidenced-based wealth management insights delivered directly to their inbox.
Subscribe

How Much Are You Paying for Your Size and Value Tilt?

It’s becoming clear that the price for overall U.S. equity market exposure is close to zero. Many market-cap weighted index funds and exchange-traded funds from Vanguard and others are charging expense ratios of five basis points (bps) or less. An interesting, and more difficult, question to answer: How much are you paying to gain exposure to small-cap and value stocks across the funds in the marketplace? This is more difficult to answer because a fund that calls itself “small cap” may own stocks that are materially smaller than another fund that also has “small cap” in its title. The same is true for funds with the word “value” in their names.

I explore one methodology here by running Fama-French three-factor regressions for a large number of Vanguard and DFA funds and using the output to tease out how much additional expense ratio investors are paying on average for small-cap and value exposure, respectively. (Anyone who is interested in the exact methodology can email me. The details are too laborious to include in the blog post.)

Read the rest of the article on Multifactor World.

 

We want to hear from you!

Montgomery

866.676.2701
info@jt-am.com
200 Commerce Street
Suite 300
Montgomery, AL 36104
Map

Dothan

334.793.7001
info@jt-am.com
304 Jamestown Boulevard
Dothan, AL 36301
Map

Receive Our Newsletter

Close