DFSVX
U.S. SMALL CAP VALUE PORTFOLIO U.S. SMALL CAP VALUE PORTFOLIO - INSTITUTIONAL CLASS
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Why is there a discrepency between performance charts from different sources?
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Over the last 30 years, small-cap value (AVUV/DFSVX) outperformed SPY by 1-2% per year. Nasdaq-100 did the best, but you’d be hard-pressed to find a significant sample of the population that held through the dot-com drawdown to get the returns from that 30-year period. Not many with a 15-year horizon are going to realize that kind of equity growth if they are in the median of shifting to capital preservation rather than growth in those last years before retirement. International (VXUS) has done the worst over the longer timeframe as well. It’s a changing landscape, will be interesting to see if ex-US sees greater returns from here. But the longer horizon is still not favorable yet.
Loot as small cap value vs large cap blend following march 2000, DFSVX vs S&P500 9.19% CAGR vs 0.16% CAGR over the next decade.
Yikes, look up DFSVX vs SPY since inception and you'll see that SPY is still on the catch up. If the AI stuff doesn't work out and we have another correction, then that will have been growth's last chance to ever catch up to value
Make sure you test DFSVX vs SPY as well as DISVX vs VEA. Surprise, SCV outperformed
There are some factual inaccuracies here. The relevant comparison for DFAS is VTWO, which DFAS has consistently beaten. Also, calling DFA an active management firm is semi-accurate at best. They’re factor based which falls somewhere between active management and passive management. Finally, VTV is a large cap value fund, not a small cap value fund. Vanguard’s small cap value fund (VTWV) has underperformed DFA’s Targeted Value fund and Small Cap Value fund over the last 10 years (DFAT and DFSVX). Vanguard’s VBR has done better than the dimensional offerings but it leans more into mid caps than the others and mid caps have outperformed small caps over the last 10 years.
AVUV is basically the ETF version of DFSVX which has returned 11.55% since inception in 1993. Source: https://www.dimensional.com/us-en/funds/dfsvx/us-small-cap-value-portfolio-i
Which “market” did it beat? It has underperformed the s&p500. https://finance.yahoo.com/chart/DFSVX?showOptin=1#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
DFSVX beat the market since inception. And it dumps winners.
Its a bet that smaller companies have larger discount rates on their future cashflows, implying higher expected returns. If they get churned out of the index, who cares? Systemically, exposure to small cap value stocks through time has beaten the market over 30 years since dimensional implemented that research into their small cap value fund DFSVX
Well, 50/10/40 is going to slightly underweight mid and small caps, since VTI is more like 15-20% VXF iirc. This suggests a teeny bit lower expected return long term and a teeny bit higher beta. I prefer to underweight one specific segment of the market: small cap unprofitable growth. This segment, in every market for all time, is a *dog*. Negative returns left and right. Think speculative biotech company that implodes 4/5 times due to failing a phase three drug trial. AVUV or DFSV are good options. They specifically target small cap, value (low price to book ratio), profitability (strong gross profitability) companies. Its inherently riskier (volatility, sequence risk, dispersion of outcomes) than just VXF as a blend approach, but it has higher expected returns. SPY returned like 10% CAGR since '93, but DFSVX (OG version of DFSV, very similar to AVUV, small cap value mutual fund) returned a bit over 11% cagr for those thirty some odd years. Largely due to ball busting outperformance in the early 2000s. These funds expressly avoid small cap unprofitable growth companies.
I'd say that's a very sensible way to go. I would offer an alternative for your Russel 2000 allocation. Two of the most sure signals of higher expected returns long term (even out of sample after academic discovery) is the reinvestment effect and gross profitability. Companies that reinvest aggressively into asset growth (think small cap growth companies) tend to do awfully long term in terms of stock returns. Companies with high gross profitability also come with higher expected long term returns. Combine that with low book to market price (cheap / "valuey" stocks) in your small cap allocation and you get much much better performance than the Russel 2000 in aggregate. Consider looking at funds that target these equity characteristics. The seemingly best in class is from Avantis, it's called AVUV. Throw up a chart of AVUV vs VTWO and you'll see the difference. If you want to judge long term historical returns, the only similar fund that's existed for a long time is DFSVX, from dimensional fund advisors and it's a small cap value fund. Dimensional employees are the ones who founded avantis, so a lot of the methodology and knowhow are similar.
There are different types of risk. Gambling at a casino. There's larger upside, but the expectation value is negative because the house has an edge in every game. The house wins on roulette since one square is allocated to the house, stuff like that. There's uncompensated risks in investing like concentration. You can go all in on a single company, and that much higher volatility may allow you to gain or lose substantially more than you would in a short amount of time as you could with a market cap index. There's *compensated* risks, as defined in the 5-factor capital asset pricing model, that suggest that overweighting value, small caps, profitability, and conservative reinvesting companies compared to market cap weights leads to higher expected returns long term. These higher expected returns come at a cost: more risk. That risk is often measured by volatility, standard deviation, sequence risk, stuff like that. If you have a long time horizon and an iron stomach, these risks are perfect for investors seeking better returns. The best example is DFSVX, the dimensional small cap value mutual fund founded in 1993 that outperforms the S&P for the last 31 years by over a percent per year CAGR. There's also leverage. That's certainly more risky, and it isn't a compensated risk premium. Leverage costs money. It will, at a minimjm, cost the risk free rate plus counterparty risk, and levered funds have higher expense ratios too. But, many studies on the effects of leverage on retirement outcome (various mediums like long date ITM calls, LETFs, margin), show that risk taken via leverage (using diversified bogleheady approaches like leveraged stocks/bonds to hedge drawback risk) actually makes your expectation value *safer*, not less safe. Leverage may be right for you, especially if you have a long time horizon, low/no debt, and a solid job. That's what I do.
Biiiig AVUV guy here. Much newer than DFSVX (isn’t DFSV the new ETF version of DFSVX?) and they’re functionally very, very, nearly the same.
Why would you buy *and then* ask? Want people to reassure you? Dump VIG, JEPI, I whatever it is, SCHD can stay cause it's a large cap value fund (coincidentally), and there's no tax drag in an IRA. I like VOO, I also prefer small cap value to large cap value with extremely reputable long term outperformwrs like DFSV (refer to DFSVX for past performance, 31 years of over 11% CAGR which is huge vs the s&p) or AVUV.
The financial world fundamentally changed after the 2008 global financial crisis so I would be looking at trends starting from there in my opinion. I'm a big believer in Raoul Pal's thesis on this. The S&P500 outperforms DFSVX by a little bit, Nasdaq beats them both by nearly twice as much, and Bitcoin crushes them all. Unless something underlying fundamentally changes the game again big tech and crypto are setup to just keep winning for the near to mid future by a large margin. Predicting out further than that seems silly and the portfolio should be reevaluated to make sure your core thesis still holds at least once a year.
You don’t seem to understand what that disclaimer is. Mutual funds that trade less liquid assets like small-value will occasionally buy/sell equity futures to handle in/outflows overnight before they can patiently deploy them into the actual equities. This is NOT a form of leverage and given than SCV/DFSVX outperformed the market (or Russell 2K) then yes, temporarily holding equity futures instead of small-value did hurt, if anything.
From their yahoo fund summary, under holdings: [Yahoo! DFSVX](https://finance.yahoo.com/quote/DFSVX/holdings/) "The fund normally will invest at least 80% of its net assets in securities of small cap U.S. companies. It may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to increase or decrease equity market exposure based on actual or expected cash inflows to or outflows from the Portfolio."
DFSVX is an equity fund, no managed-futures there. This is live fund data, expenses are included. Today you can get even cheaper and more tax efficient exposure with many well designed ETFs (AVUV, AVDV, AVES). We are talking longterm (10y) rolling return averages that are 3%+ higher. That’s huge.
RE: futures, you already get that as 20% of your DFSVX. That's why it performed so well in 2021 compared to others. Re-run your scenario against SPY, add in expense ratios, and adjust for inflation. I think you'll find DFSVX eeks out only by a little. Or try it since inception against VOO, which has an even lower expense ratio. Sure, the performance of DFSVX is great, but they're taking a fair bit off the top. The end isn't all that different, and the S&P is less volatile. Not that I'm saying I wouldn't put any money in the other. Just not the bulk of my retirement.
DFSVX hasn't outperformed the Russell 2k in all of the last 10 years, and while it has returned something like 370% since inception, the S&P index has returned well over 1000% in the same time period; consistently returning over DFSVX since 2006, and generally returning above it since the 90s. Unless I'm charting wrong - please correct me. [Yahoo! Finance - DFSVX vs S&P](https://imgur.com/eOCONua)
DFSVX (small value) has beat the S&P500 since inception in 1993. All the US outperformance occurred post 2010. If it’s so obvious it’ll win forever why isn’t that priced in? As I said, it’ll bite you eventually.
Yes? DFSVX is up 152% total return QQQ is up 600% since then
If you want to use history, you want small value. Compare DFSVX total return to QQQ since inception.
It's much easier than you think, a small cap value ETF like DFSVX or now AVUV has beaten and is expected to beat the SP500 out of the water.
Using portfolio visualizer a portfolio with annual contributions into QQQ and DFSVX, QQQ has a cagr or 25 and DFSVX has 21%
"Factor investing is a theory. It’s also massively underperformed for about 30 years now." I proved this wrong, both in the US using DFSVX, and globally (just shy of 30 years but close) using DFSVX, DISVX, and DFEVX. "I never said VTI has a value load… I literally said the opposite." Well, then what did you say here? "lol. look at the current weight of VTI and tell me it isn’t large cap growth with a straight face." Sure sounds like you are implying it has a negative value loading (what most folks call growth)... You've clearly got a lot you could learn from me and others in this space. I've given you way more time than you deserve so I will not be responding anymore. Good luck!
Rabbit hole time! What you're looking for is *risk factors*. Efficient markets only systematically compensate risks that investors cannot diversify. These priced risks have been defined in the 5-factor capital asset pricing model by Fama and French. The factors are equity, value, size, reinvestment, and profitability. Equity risk premium is the expected return in excess of the risk free rate (tbills or bonds or whatever is the best yielding risk free asset at the time). You get the equity risk premium exposure in your portfolio by simply holding stocks at market cap weights, like VTI in the USA or VT for global markets. Other priced risks are small caps, value stocks, and then especially value stocks with robust profitability or value stocks that reinvest conservatively (this means small cap value instead of small cap growth). Value in essence means that investors are demanding a greater discount on future cash flows (aka larger *expected* returns) because they precieve some risk in that company. Diversifying among risky companies like this leads to higher expected returns, so your portfolio grows faster/larger. Small cap value has outperformed the market since 1993 when the first true small cap value fund was deployed by Dimensional Fund Advisors, DFSVX. This fund returned like 11.18% CAGR when the s&p500 returned 9.95%. that's 30 years of over a percent per year outperformance, enormous implications for compound growth. We now have multiple great products in the small cap value space. AVUV (Avantis small cap value, very similar to DFSVX) and DFSV (ETF version of DFSVX released 2021). In a different vein, some small value funds have focused on free cash flows and future cash flows and lean into raw profitability like CALF and RWJ. AVUV/DFSV focus on low price to book companies with robust operating profitability so they have a financial focus, CALF and RWJ are focused on raw cashflows so they lean into consumer discretionary. I personally have 30% of my portfolio between AVUV, AVDV, and AVES. AVDV is international small cap value. AVES is emerging markets value.
Yes, you should be risky. However, you should only take compensated risks. That's how you build wealth. Watch "5-factor investing with ETFs" by Ben Felix on YouTube. It's a great primer for understanding why financial markets reward certain risks. You should have a portfolio based on market cap weighted equities. After than, you will overweight certain priced risk factors like value, size, profitability, reinvestment, as defined in the 5-factor capital asset pricing model. The theory has held up for 40 years, and the realized outperformance has been over a percent in excess of the market when dimensional deployed their small cap value fund in 1993 (DFSVX). Compounding with an extra percent per year is *enormous* for growth of your portfolio. Check out that YouTube video. Some favorites for accessing the value and size and profitability premia are DFSV and AVUV for US small cap value. There's also CALF and RWJ, they focus more on raw cashflow and cashflows growth mainly in consumer discretionary companies, whereas AVUV and DFSV focus on financials and low price to book companies with robust operating profitability. These different approaches to the value and profitability premia will perform differently in different market conditions. As lending rates go down, financials in small caps do better since mortgage lending is pegged to the 10-yr rate. Covid revenge spending has really benefited consumer discretionary. Stuff like that. Diversification is great.
IWM and VTWO are small cap index funds. AVUV is a factor fund, it focuses on small cap *value* stocks, with additional screening by momentum and quality factors. AVUV is run by people who formerly managed Dimensional's small-cap value mutual fund DFSVX, which has outperformed the S&P 500 since its inception in 1994.
Just use DFSVX It's almost the exact same methodology and where the avantis people came from.
Now compare to a proper value fund like DFSVX which has beaten the S&P500 since inception in 1993, but also came with more risk. And this is in the US where the value premium has been negative in the last decade. Ex-US examples outperformed even more so. Your understanding of growth vs. value is frankly just wrong. Growth companies have higher growth, and also higher valuations. Value companies have lower growth, but also lower valuations. Value is not the safer bet, and growth is not the better option if you seek growth in your portfolio balance... that isn't the type of "growth" the word is referring to.
See Dimensional Fund Advisor's DFSVX (mutual fund not ETF). They also have indices based on Fama & French's research that go back decades. I prefer Avantis though.
There probably aren't because ETFs have only been around for very long, and large cap growth outperformed over the past decade and a half. The first ETF was created in the 1990s and they didn't attain their current popularity until the 2010s. Of the three ETFs you listed, only VTI is 20 years old. Historically, small cap value has outperformed the market in the long term, but it typically goes through cycles of underperforming the market for a decade before surging ahead during several years of over performance. The past 20 years include one of the longest recorded periods of sustained underperformance by small cap value. You can, however, find examples if you include mutual funds. Since it's inception in 1993, DFA US Small Cap Value I (DFSVX) had an average annual return of 10.78% whereas Vanguard Total Stock Market Index Inv (VTSMX) had an annual average return of 9.76% over that period.
Ok, since you only want real funds and don't care about historical indexes, here you go: Since inception 23 years ago, QQQ (Large cap growth) has returned 6.94%, DFLVX (Large cap value) has returned 8.1%, and DFSVX (Small cap value) has returned 9.98%.
Is there a stock ticker for DFSVX on Robinhood? I can’t seem to find it
You can beat the market long term. Small Cap Value and Mid Cap Value have beat the S&P for the 30 year run and longer. Research long term asset class returns on [portfoliovisualizer.com](https://portfoliovisualizer.com) or just google it. More volatility, but higher returns since 1926. You just have to have patience and look at a longer term horizon than the 10 year, etc... I agree 100% on the index funds, but SPY is so heavily weighted with the top 10 mega caps that you are not getting exposure to the other 3800 stocks in the market. Mega caps have pretty bad PEG ratios right now where small cap value is oversold. I would have used VBR for small cap, but it doesn't go back 30 years like SPY. PortfolioVisualizer has a tool to back test asset classes as a whole. It is a great tool. Good luck mate! 10k invested in 1993 to now. SPY $10,000 $157,775 9.72% DFSVX $10,000 $207,049 10.72% SPY/DFSVX 50/50 $10,000 $182,412 10.25%
You are of course entitled to your opinion, and I acknowledge the post-GFC decade saw SCV lose to SPY. I checked the backtest, btw, going from January 2008 to today ([link](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=2008&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=DISVX&allocation2_2=100)), and SCV did 8.28% compared to 9.47% for SPY. So it lost, but it wasn't a lost decade. If I change it to 2009 till today, then the figures are same (1% difference). International looked a lot rougher... Anyway, I was actually discussing this with someone else, but AQR put out a really nice article about 'value stocks' and some common myths/facts about it. If you get some time this weekend, [do check it out](https://www.aqr.com/Insights/Research/Journal-Article/Fact-Fiction-and-Factor-Investing). It might answer your more qualitative questions about why SCV, without just spitting out numbers. My short counter is that large caps have *always* had natural barriers to entry and resistance to downturns. In past decades, in countries across the world. The academics who study SCV show the premium is robust to all of these. E.g., Larry Swedroe showed the value premium / small cap value premium existing in other countries after 2008. The premium has persisted from the time of Roaring 20s, world wars, Cuban missile crises, etc. Second, everything you're saying about large caps having better moats / financials, that belief (which is true) is part of the reason there is a premium at all. If nobody was scared of small cap value volatility, much of the premium would likely disappear. So the bull case for value stocks is in part investors gravitating away from them. It's the same thing about ESG: it often has perverse impacts, by creating a discount on fossil fuel or tobacco stocks. This discount then creates opportunities to buy in 'cheap' and ultimately profit from the large cash flows relative to the price paid. I'll stop there, and I'm glad I had this exchange so I could refresh myself on some of this data. If I can agree with you on one thing, being long on stock markets is always a good thing, we simply disagree on what flavor of long is best for the next 20 years.
To respond to your other comments, okay this is more fair. Declaring small cap value premiums dead is un-empirical and ahistorical). But it is absolutely fair to question whether everyone should hold it. [Let's return to the Dimensional vs. SPY comparison](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=DISVX&allocation2_2=100) since January 1995. You see the standard deviation of 20.82% for SCV vs. 15.28% for SPY. Is that so bad? Well guess which one had the bigger max drawdown? It was SPY: -37.02%, versus Dimensional's -36.79%. So why is the standard deviation so high? Well Dimensional's best year saw 59.40% while SPY 37.45%. Volatility skewed to the upside, that sounds pretty cool doesn't it? You have a valid point though, but nobody is declaring that investors should go 100% SCV. That's irresponsible. All I would say is an investor would do well by taking say 20% SCV to complement a globally diversified market-weighted index funds. You'd barely increase the total standard deviation and get a hedge against lost decades for the S&P 500, for instance.
Yes, as I always repeat, if you literally look at the past decade, you'd conclude you'd only invest in big US tech companies. Here's Larry Swedroe [in an article you should read](https://www.morningstar.com/portfolios/its-too-soon-say-value-premium-is-dead): > We heard the same argument about the death of the value premium in 2000. From 1994 to 1999, the S&P 500 returned 23.6%, annually outperforming the Fama-French small-value research portfolio by 7.2 percentage points. However, the declaration of the death of the value premium was premature. From 2000 to 2007, while the S&P 500 returned 1.7%, the Fama-French small-value research portfolio returned 16.2%, outperforming by 14.5 percentage points annually. Such performance should be a cautionary tale for those declaring the death of value. > If the underperformance of the value premium in U.S. stocks since 2008 was a sign that value was dead, we should see similar underperformance outside the U.S. From 2008 through July 2023, the MSCI EAFE Index returned 3.2%, but the Dimensional International Small Cap Value Index returned 5.2%, outperforming by 2.0 percentage points annually. In emerging markets, while the MSCI Emerging Markets Index returned 1.7%, the Dimensional Emerging Markets Targeted Value Index returned 4.1%, outperforming by 2.4 percentage points. Thus, outside the U.S., investors who diversified their portfolios to include small-value stocks benefited. (I won't include the rest but there are other juicy stats in the article) Second, if you do insist on playing a short-term game, going back to January 2020 (as far back as I can due to short-term inception date), AVUV has 13.34% CAGR vs S&P 500's 11.17% CAGR. [Source from Portfolio Backtest](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=AVUV&allocation1_1=100&symbol2=AVDV&allocation2_2=100). That's too short, you say. Okay fine, let's take Dimensionals small cap value mutual fund (which does go back longer and uses a similar methodology to Avantis). From Jan 1995 - Aug 2023, 11.27% CAGR for Dimensional's DFSVX vs. 10.24% for the S&P 500. [Link to Portfolio Backtest](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=DISVX&allocation2_2=100). You can keep on repeating that small cap value has sucked in 2023 or since the GFC in the most unprecedented period of ZIRP. Or you can look beyond to longer historical periods or to well-implemented small cap value ETFs that have done quite well in the last 5 years.
Fama and French factor investing worked in real life. Anyone who has held on to DFSVX actually knows.
DFSVX has outperformed since inception by a little less than 1% so it's a perfectly good strategy. I think it will perform incredibly well coming out of a speculative bubble and bust, as it will capture the cheapest stocks of the entire market. Some of value's best decades appear to correlate with that. And you're right, we don't agree on what drives stock returns in the long run. I do appreciate your insights though. Here is mine, I'll just include a link because Mckinsey explains it way better than me: https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/which-metrics-really-drive-total-returns-to-shareholders
>I'm just going off of what the data is telling me All the data on valuations and expected returns would seem to suggest that higher valuations typically lead to lower returns. Even setting aside the value factor, markets with a relatively higher P/E generally (not always) provide lower future returns than markets with a relatively lower P/E. If we disagree on this, then we may disagree on what drives stock returns in general. In my opinion, the best companies don't always make the best stocks, purely because of their valuations. I understand you disagree on this point, and that's fine because we have no clue what will happen going forward, but looking at the \*data\*, it would appear that \*historically\* what I have said tends to be correct. It is perfectly reasonable to not have faith in the factors going forward. But you cannot cite data as the reason, as most data points towards the opposite. If you are genuine in asking about a factor fund that outperforms the market, DFSVX.
Was simply pointing out that your cited reasoning of "unstable developing areas and vulnerable small caps" is pretty ridiculous and shows a lack of understanding of where returns come from (risk). If you want to talk performance, though, we can. Obviously 5 and 10 year returns are just noise and mean nothing, so I'm sorry you took the time to list those. That has little to do with "historically." [Here's nearly a century.](https://www.ifa.com/charts/154h) Live fund data, you say? [Here are some small cap value funds from around the globe.](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=dfevx&allocation1_1=100&symbol2=DFSVX&allocation2_2=100&symbol3=DISVX&allocation3_3=100). Unfortunately they only go back about 25 years. Even for US small cap *blend,* [here's roughly a half century](https://www.portfoliovisualizer.com/backtest-asset-class-allocation?s=y&mode=1&timePeriod=4&startYear=1972&firstMonth=1&endYear=2023&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&asset1=SmallCapBlend&allocation1_1=100) for that one. Cheers, mate. Best of luck out there.
With such little overlap between the holdings they may not perform the same. AVUV has been doing something right and has been outperforming other small cap value funds, like SLYV, VBR, DFSVX, FISVX, since its inception in 2019.
Yeah, no telling if the recent outperformance will continue. I am hoping that it does since I use AVUV for my US SCV exposure. It is interesting that the active DFA small cap value fund (DFSVX) slightly outperformed SLYV with a CAGR of 10.13% vs 9.62% since 2001.
Very true, DFSVX should be very similar to AVUV overall. I almost included it in my original comment, but wanted to limit it to securities the average retail investor can purchase. Unless you have a financial advisor or a really nice 401k plan, you likely can't purchase DFSVX directly. That being said, for benchmarking purposes it's very good.
To add to this, if someone wants to look at AVUV over a longer time period, DFSVX is a closer comparison (its modern ETF counterpart is DFSV, which AVUV aims to improve upon)
> I have been buying and selling stocks to the point where I am exhausted. $AVUV is a fund that has a few stocks I already own like Goodyear and Aloca so I think I might just be best served to buy that fund when I invest more cash into the market next month. The risk is very high in individual stocks in the small cap value category, especially in comparison to well-known, reliable performers like WM or MSFT. That's why I like AVUV, for instance. It's diversified yet not bogged down with garbage like S&P small cap funds. And you're picking down companies that are objectively undervalued and profitable--no TSLA or Zoom. A fully passive approach would fail for small cap stocks, and that's why a little bit of screening helps out. This screening is even more important in the international AVDV fund, which has heavy weight in the UK and Japan, for instance. The fund history is short, but Avantis funds are derived from a much older class of funds from Dimensional Fund Advisors. [The same people made Avantis funds and they use the same methodologies more or less] See ticker $DFSVX if you want the equivalent of AVUV and $DISVX for that of $AVDV.
So far it has underperformed DFSVX by 4% after fees are taken from both. The oldest share class of the fund has underperformed DFSVX by 2% after fees. Using a FF5 factor regression on the oldest share class for a rough comparison : DFSVX has had a similar Value loading at 0.44 vs Nuveen's 0.42 This can be partially explained by the higher size loading DFA has of 0.86 vs Nuveen's 0.72 Nuveen has had a higher Profitability loading than DFSVX at 0.31 vs DFSVX's 0.13 DFA's factor loadings are significant at a 97.49% R-squared. Nuveen's factor loadings are significant at a 92.30% R-squared. Given the above, I would argue that Nuveen IS delivering a risk premium, however, the traditional active management is taking AWAY from their returns overtime and while the premium MAY survive costs, it is a roll of the dice whether it will or not over your own time horizon. They are allocating to a blend of Value across small, mid, and large. They include some Growth stocks too (likely where the higher Profitability loading comes from). If this was at an expense ratio closer to DFSVX's 0.33 I might even argue that it's worth maintaining a strong position towards this Nuveen fund. As it is, I would personally only maintain any allocation I already made to it and allocate new funds away from it. [Source: PortfolioVisualizer ](http://"Backtest Portfolio Asset Allocation" https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=true&factorModel=5&benchmark=VFINX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=FSCCX&allocation1_1=100&symbol2=DFSVX&allocation2_2=100)
They are former DFA guys so they have a fair amount of experience imo, you can look at how how [DFSVX vs VISVX vs SLYV](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=VISVX&allocation2_2=100&symbol3=SLYV&allocation3_3=100) has done historically. DFSVX is DFA scv fund , so you can use that as a pseudo substitute of how you think avuv will perform.
> How even when they underperform they are doing their job properly in capturing the factor returns they target. As a side note, I think it's a little bothering that the DFA fund had a [negative annual alpha of -1.33% in factor regressions](https://www.portfoliovisualizer.com/factor-analysis?s=y®ressionType=1&symbols=DFSVX+SLY+SLYV&sharedTimePeriod=true&factorDataSet=-1&marketArea=0&factorModel=3&useHMLDevFactor=false&includeQualityFactor=false&includeLowBetaFactor=false&fixedIncomeFactorModel=0&ffmkt=true&__checkbox_ffmkt=__checkbox_true&ffsmb=true&__checkbox_ffsmb=__checkbox_true&__checkbox_ffsmb5=__checkbox_true&ffhml=true&__checkbox_ffhml=__checkbox_true&__checkbox_ffmom=__checkbox_true&ffrmw=true&__checkbox_ffrmw=__checkbox_true&ffcma=true&__checkbox_ffcma=__checkbox_true&__checkbox_ffstrev=__checkbox_true&__checkbox_ffltrev=__checkbox_true&__checkbox_aqrmkt=__checkbox_true&__checkbox_aqrsmb=__checkbox_true&__checkbox_aqrhml=__checkbox_true&__checkbox_aqrhmldev=__checkbox_true&__checkbox_aqrmom=__checkbox_true&__checkbox_aqrqmj=__checkbox_true&__checkbox_aqrbab=__checkbox_true&__checkbox_aamkt=__checkbox_true&__checkbox_aasmb=__checkbox_true&__checkbox_aahml=__checkbox_true&__checkbox_aamom=__checkbox_true&__checkbox_aaqmj=__checkbox_true&__checkbox_qmkt=__checkbox_true&__checkbox_qme=__checkbox_true&__checkbox_qia=__checkbox_true&__checkbox_qroe=__checkbox_true&__checkbox_qeg=__checkbox_true&__checkbox_trm=__checkbox_true&__checkbox_cdt=__checkbox_true&timePeriod=2&rollPeriod=36&marketAssetType=1&robustRegression=false). This alpha was even significant at the 10% level.
DFSVX outperformed VBR, but underperformed VTI. Advisors convince you that small cap value has better returns overall and then to pay up for access to the best small cap value fund. The problem is that so many investors chase small cap value that everyone overpays for them.
Here's a comparison including Vanguard's worse VBR fund (using mutual fund version for the full lookback period). DFSVX made roughly 1% more than the Vanguard competitor fund over the full period that they both existed in. So if you had an advisor providing services at 1% cost you still outperformed if they helped you stick with it when you otherwise might not have. Not to mention any additional services they provided for charging ~1% (assumed). Finally, it has been possible to access DFA funds without paying for an advisor. This was generally limited to a child's 529 savings plan account as far as I know.
Indeed. Have to screen out the junk like DFSVX or AVUV rather than leaving it in like VBR
They have not underperformed for decades.... https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=VTSMX&allocation2_2=100
You mentioned that you prefer to gain higher return as well. For the perfect split you seem to be after you might look to the Two Funds for Life strategy that uses a factor fund alongside your target date fund. 90% Target Date Fund/ 10% factor fund. You can find more info about this on PaulMerriman.com . He focuses specifically on Small Cap Value but there are (depending on the investment account) other options, as noted below. This can be cap-agnostic Momentum like QMOM or cap-agnostic value like QVAL or simple small cap value like AVUV, VIOV, DFSVX, etc. Doesn't matter too much. The main idea is to have it there to help boost long-term returns. Would also provide a home bias at a time when Vanguard currently matches the 60/40 split of the stock market between US and International Ex-US.
From 1926 to 2020, the average 40-year return of a fund like DFSVX was 16% a year, while for S&P500 was 11% a year. The difference is much higher than the expense ratio of 0.3%.
Since it’s difficult to invest directly into an index, why not chart VFIAX vs DFSVX to account for expenses? I think the 0.3% expense ratio for DFSVX, while on the small side, would still bring the results a bit closer given VFIAX’s 0.04% expense ratio.
Definitely not enough data to really be able to tell. That said, I maintain my VTI/VXUS exposure, but tilt SCV and actively invest 50% of my international portfolio. I did this in a 401k with DFA but no longer are with that company so use Avantis in my other taxadvantaged accounts. For INTL, i do 50% VXUS, 40% Developed Intl Mutual Fund, 10% AVEM. For SCV I use AVUV. in 2017 when I began SCV investing I contemplated small cap value index from vanguard (VSIAX) or DFA's (DFSVX) in my 401k as I had access to both and decided on the DFA. its outperformed but its been basically negligible. (less than 1% a year)
Energy and some natural resources funds are positive YTD, so something like VDE or T. Rowe New Era. US large value and small value are both down only about 3% YTD (see AVUV, VTV). Microvalue is also down just about 4% (DFSVX, for example)
That *did* happen in the 2000s -- the US market had negative average returns from 2000-2009. But a diversified [portfolio](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=2000&firstMonth=1&endYear=2009&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&benchmark=-1&benchmarkSymbol=VTSMX&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&portfolioName3=Portfolio+3&symbol1=DFSVX&allocation1_1=100&symbol2=DFLVX&allocation2_2=100&symbol3=VEIEX&allocation3_3=100), including US small and large cap value as well as emerging markets would have performed fairly well during the 2000s. Of course, regardless of whether someone fears long periods of zero return, many people have a desire for higher returns. The question is whether most people have justification for believing they're the rare exceptions who can beat standard benchmarks over multi-decade periods, let alone on a risk-adjusted basis.
You're not looking back far enough if you believe small cap value has done worse than the S&P 500. DFSVX(DFA US small cap value) for example has outperformed VFINX( vanguard s&p 500) over its lifetime since 1993. And portfolio visualizer pegs US small cap value beating US large cap by significantly more since 1972. Take a look[portfolio visualizer](https://www.portfoliovisualizer.com/backtest-portfolio)