TSP S-Fund: What sector is the DJW4500?

[AV8]

All,

I'm in the process of rebalancing my allocations and I've got a simple question. The objective of the TSP S-Fund is to match the performance of the DJ Wilshire 4500 and they describe it as a "Small Capitalization Stock Index Fund". Isn't the DJW4500 weighted more heavily toward the mid-caps? How would everyone on this board view the DJW4500 for asset allocation purposes? Covering both small and mid-caps?

Since I'm under-allocated in both small and mid-cap sectors I'm not sure it matters, but I'd like to know anyway. BTW, since it will be a large transfer from the C Fund (S&P 500) to the S Fund I plan on moving half now and DCA the other half as discussed in another thread somewhere.

Thanks.

AV8

 

[W2R]

Yes, the Wilshire 4500 includes both small- and mid-caps. I don't know the exact weighting of small-caps vs mid-caps in it, though. The Wilshire 4500 is composed of essentially the entire market minus the S&P 500 (which is represented by the TSP's C fund).

You can find some more info on the TSP funds at http://www.tsp.gov/rates/fundsheetpkg.pdf

(Hmm. When I click on that I just get the TSP webpage instead of the intended PDF. If that happens, then on the TSP webpage go to Civilian forms and publications, then publications, then Miscellaneous documents, then TSP Fund Information Sheets. )

Hope this helps!

 

[Nords]

Yes, the Wilshire 4500 includes both small- and mid-caps. I don't know the exact weighting of small-caps vs mid-caps in it, though. The Wilshire 4500 is composed of essentially the entire market minus the S&P 500 (which is represented by the TSP's C fund).

It's not just small-caps & mid-caps, it's the Dow Jones people taking potshots at the S&P500 by removing S&P500 stocks from the Wilshire 5000.

So the Wilshire 4500 includes all the large-cap companies that aren't in the S&P500, one W4500 notable of which is Berkshire Hathaway and is the top holding at 3%.

Depending on the cutoffs for market cap, it looks like it's about 55% large cap, 20% midcap, and 25% smallcap.

There's more info at the DJ website:
http://www.djindexes.com/wilshire/us/5000-4500/index.cfm?go=methodology
http://www.djindexes.com/mdsidx/downloads/fact_info/DJW4500_Facts.pdf
http://www.djindexes.com/wilshire/us/5000-4500/index.cfm?go=index-data
http://www.djindexes.com/mdsidx/downloads/wilshire/DJW_Fundamentals_Decile.PDF
http://www.djindexes.com/mdsidx/downloads/wilshire/DJW_Fundamentals_Top10.PDF

 

[AV8]

Thanks to you both, I'll do a bit more research. I've read the TSP fact sheet and it primarily just says it the fund mirrors the DJW 4500 with no real details as to what that means.

Depending on the cutoffs for market cap, it looks like it's about 55% large cap, 20% midcap, and 25% smallcap.

As I thought, I think calling it a "Small Capitalization Stock Index" is a bit of a misnomer. I guess I'll consider an additional way to get money into the mid and small-cap allocations.

Thanks again.

AV8

 

[LOL!]

You don't have to guess what asset class the DJW4500 is in. All you have to do is enter it in the Vanguard portfolio analysis tool or the Morningstar X-ray analysis tool or even both and see what it says. You can use the Vanguard Extended Market Index fund VEXMX as a proxy.

 

[ats5g]

FWIW, I ran some F&F 3 Factor regressions for the S fund, Vanguard Extended Market Index fund [VEXMX], Vanguard Small Cap Index Fund [NAESX], Vanguard Mid Cap Index Fund [VIMSX], Russell Mid cap Index, and R 2000 index.

VEXMX is an excellent proxy for the S fund if places like M* and Vanguard can't x-ray it.

VEXMX and the S fund had higher small cap loading factors [SMB] than the Mid cap index and fund, but lower factors than the small cap index and fund. So, VEXMX and the S fund are just mid caps + small caps [roughly half of each].

An easier way to see this is to go to M*'s Portfolio snapshot of each fund:

VEXMX

NAESX

VIMSX

You'll see that VEXMX has a lower Average market cap than VIMSX [mid cap], but higher than NAESX [small cap]. Hence, both small caps and mid caps.

- Alec

 

[AV8]

Excellent, and thanks for the methodology/though process you all are using. I haven't played with either the Vanguard portfolio analysis tool or the M* X-ray analysis tool. I'll take a look.

AV8