{"id":2699,"date":"2021-05-12T19:13:39","date_gmt":"2021-05-12T19:13:39","guid":{"rendered":"http:\/\/blog.valuengine.com\/?p=2699"},"modified":"2021-05-12T19:17:20","modified_gmt":"2021-05-12T19:17:20","slug":"inside-value-etfs","status":"publish","type":"post","link":"http:\/\/blog.valuengine.com\/index.php\/inside-value-etfs\/","title":{"rendered":"Inside Value ETFs"},"content":{"rendered":"

The market has been in a value phase the past 6 months which has been well documented by others.\u00a0 The regime change was heartily welcomed by almost all managers of value funds, both active and passive. This is because the previous 13 years have been relentlessly difficult for value managers in terms of relative performance to growth management.<\/span><\/p>\n

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Since 2008 traditional value has underperformed significantly as illustrated in the chart below. ETF Trends reflect shifts and cyclicality between 1993 and 2008, but runaway outperformance by growth stocks over value stocks until the regime shift last autumn.<\/span><\/p>\n

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The six-month hook at the end of the chart was shown as a sign of hope and validation that the market may cycle back to value investing for the long-term.\u00a0 The belief in value investing is well-steeped in both academic and practitioner literature and is supported by the ratio of value-to-growth performance since 1926. On a cumulative basis, although the relative outperformance by value has declined precipitously from its overall high of greater than 1200 in 2008, it still maintains a significant advantage.\u00a0<\/span><\/p>\n

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If the market is now indeed in a value cycle that still has a long way to run, which value ETFs should an investor consider?\u00a0 This article compares 3 popular Value ETFs:\u00a0<\/span><\/p>\n

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  1. VOOV<\/strong>, S&P 500 Value ETF by Vanguard<\/span><\/li>\n
  2. IUSV<\/strong>, iShares Core S&P Value ETF by BlackRock<\/span><\/li>\n
  3. FVAL<\/strong>, Fidelity Large Cap Value Factor ETF by Fidelity Investments<\/span><\/li>\n<\/ol>\n

    All ETF reports updated and available: Click HERE<\/a><\/p>\n

    There are some subtle and important differences in each of the three for the time period ending 3\/31\/2021:<\/span><\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
    <\/td>\nVOOV<\/b><\/td>\nIUSV<\/b><\/td>\nFVAL<\/b><\/td>\nVOO<\/b><\/td>\n<\/tr>\n
    YTD Return<\/b><\/td>\n10.73%<\/span><\/td>\n11.19%<\/b><\/td>\n10.88%<\/span><\/td>\n6.17%<\/span><\/td>\n<\/tr>\n
    1-Yr Return\u00a0<\/b><\/td>\n50.24%<\/span><\/td>\n52.59%<\/span><\/td>\n61.48%<\/b><\/td>\n56.33%<\/span><\/td>\n<\/tr>\n
    3-Yr Return<\/b><\/td>\n11.71%<\/span><\/td>\n11.85%<\/span><\/td>\n14.06%<\/b><\/td>\n16.75%<\/span><\/td>\n<\/tr>\n
    5-Yr Return<\/b><\/td>\n12.17%<\/span><\/td>\n12.58%<\/b><\/td>\nN\/A<\/span><\/td>\n16.35%<\/span><\/td>\n<\/tr>\n
    10-Yr Return<\/b><\/td>\n11.00%<\/span><\/td>\n11.17%<\/b><\/td>\nN\/A<\/span><\/td>\n13.87%<\/span><\/td>\n<\/tr>\n
    Std. Deviation<\/b><\/td>\n19.62%<\/b><\/td>\n20.01%<\/span><\/td>\n20.70%<\/span><\/td>\n18.41%<\/span><\/td>\n<\/tr>\n
    Sharpe Ratio (3-Year)<\/b><\/td>\n0.57<\/span><\/td>\n0.59<\/span><\/td>\n0.61<\/b><\/td>\n0.90<\/span><\/td>\n<\/tr>\n
    # of Stocks<\/b><\/td>\n438<\/span><\/td>\n744<\/span><\/td>\n128<\/span><\/td>\n500<\/span><\/td>\n<\/tr>\n
    P\/E Ratio<\/b><\/td>\n23.4x<\/b><\/td>\n23.9x<\/span><\/td>\n25.0x<\/span><\/td>\n29.5x<\/span><\/td>\n<\/tr>\n
    P\/B Ratio<\/b><\/td>\n2.6x<\/b><\/td>\n2.6x<\/span><\/td>\n3.0x<\/span><\/td>\n4.2x<\/span><\/td>\n<\/tr>\n
    Div. Yield<\/b><\/td>\n2.2%<\/b><\/td>\n2.1%<\/span><\/td>\n1.6%<\/span><\/td>\n1.4%<\/span><\/td>\n<\/tr>\n
    Expense Ratio<\/b><\/td>\n0.10%<\/span><\/td>\n0.04%<\/b><\/td>\n0.29%<\/span><\/td>\n0.03%<\/span><\/td>\n<\/tr>\n
    Target Index<\/b><\/td>\nS&P 500 Value<\/span><\/td>\nS&P<\/span> 900<\/span> Value\u00a0<\/span><\/td>\nFidelity US Value Factor\u00a0<\/span><\/td>\nS&P 500<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

    VOO, (Vanguard S&P 500 Index fund) is provided in the rightmost column for comparison.\u00a0 As a quant, the first thing I notice in this table is that the three core value ETFs look much more similar to each other in the performance characteristics than any of them do to the S&P 500 ETF.\u00a0 That is somewhat reassuring, indicating to me that all three of these are measuring value in a generally similar way.\u00a0\u00a0<\/span><\/p>\n

    How similar do they measure value?\u00a0 FVAL uses an optimized approach based on exposures to four value factors:\u00a0<\/span><\/p>\n