- Get better results by combining Value and Profitability factors (link). Summarize several candidate ETFs in the table below.
| ETF name | expense ratio | p/e ratio | p/b ratio | holdings | notes |
|---|---|---|---|---|---|
| Vanguard U.S. Multifactor ETF | 0.19% | 18.3 | 2.6 | 583 | strong recent performance, strong fundamentals, low prices relative to fundamentals |
| Vanguard U.S. Quality Factor ETF | 0.13% | 22.4 | 3.9 | 778 | |
| iShares MSCI Global Multifactor ETF | 0.35% | 18.01 | 2.39 | 469 | |
| iShares Edge MSCI World Quality Factor UCITS ETF | 0.30% | 27.44 | 5.41 | 301 | |
| iShares MSCI Intl Quality Factor ETF | 0.30% | 23.91 | 3.36 | 300 |
- Square發展與財報分析 (link)
- Book-to-market metric becomes a noise signal. The remedy is adjusting book value for investments (i.e., capitalizing expenditures) in intellectual and brand capital, and goodwill. (link)
- Virtu Financial (link)
- price corr ratio among VTI, VIRT
- between 2020/2/1 ~ 2020/3/31 is -0.675
- between 2020/4/1 ~ now is 0.749
- insider trading
- latest: sell at 28.85 on 2021/5/13
- recent "purchase" by CEO around 22 on 2020/8
- simple valuation
- 2020 FCF/EV = 15%
- 2021 1Q FCF/EV = 1.6%
- 20201 1Q EBIT/EV = 7.7%
- major risks
- diminish earning capability (never know when models will fail)
- highly concentrated customers and partners
- daily operation risks, especially black-swan events (by its nature - unpredictable)
- Regulatory and legal uncertainties
- qualitative
- better employee rating on glassdoor compared with Citadel(compensation win) and GTS(work/life balance win)
- 雲端比起本地部署更高價，科技公司若將工作負載撤回本地部署會更好 (link)
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