I don't know what analyses may be used to inform Mr. Merriman's portfolio design process, but I've never seen any evidence that Mr. Merriman designs his recommended portfolios by looking at portfolio factor exposures. (Perhaps he nonetheless does that). But if you use VBR, you would hold a higher allocation to it relative to VIOV to achieve a given magnitude size and value tilt. You can hold enough to achieve the same exposure to SCV stocks as if VIOV were used in a portfolio. Examples:Paul Merriman has recommended VIOV (expense ratio .15%) as his Vanguard choice because it is more small and more value than VBR.
75% VTI / 25% VIOV
https://www.portfoliovisualizer.com/fac ... OV06boFKPq
60% VTI / 40% VBR:
https://www.portfoliovisualizer.com/fac ... JEO7Bn8Klp
Both set to start 1/1/2013 to be a consistent regression time period, and to use the current makeup of VBR tracking CRSP indices. Both have the same weightings for the size factor in this regression, but you get a greater value tilt with the portfolio with VBR because it will also implement a value tilt for midcaps, while holding a similar exposure to SCV.
I'm using these as examples, not making a portfolio recommendation. As this was a period of value underperformance, the portfolio with VIOV performed better than the one with VBR, given the latter's greater value exposure, but not by much:
https://www.portfoliovisualizer.com/bac ... hZFfu7JlP8
Statistics: Posted by Northern Flicker — Tue Dec 26, 2023 1:24 am — Replies 17 — Views 1170
