Last year Vanguard Quantitative Equity Group launched their set of factor funds VFVA, VFMO, VFQY, VFMV, VFLQ (13bps) and multifactor fund VFMF/VFMFX (18bps, doesn't include low-liquidity) in the US. They decided to take a rules-based but unindexed approach with the "aim to offer the transparency of index-based factor products with the potential advantages of active flexibility to maintain more targeted and consistent exposures to desired factors".
Consistent with that goal, a regression (PortfolioVisuializer, AQR factors, daily returns since Feb 16 2018) over the past year shows that they achieve significantly higher factor exposures than any of their competitors.
(Additional regressions: unconstrained time periods, Fama French factors)
The funds still have low AUM/liquidity compared to others (VFMF has $900k avg volume) as expected given the large field and their late arrival but I expect that to gradually improve given their strong exposures and low costs.
Submitted February 15, 2019 at 10:40AM by kiwimancy http://bit.ly/2EaCZpi
