Aha~ boglehead thread in lowyat forum.

Btw, does anyone here implement factor investing in their portfolio?

My portfolio is the exact opposite of yours.
Not only is my portfolio heavily skewed toward size, value, and momentum, but I'm also underweight US stock and overweight ex-US stocks. Yes, I sin a lot
I only hold 15% of VWRA, 33% small value ETF (AVUV 10%, AVDV 10%, AVES 13%), 22% momentum ETF (11% QMOM, 11% IMOM), the remaining 30% are bonds.

This is definitely not a portfolio Boglehead recommends, but I think my decisions on these allocations is kinda reasonable. FFirst, there's plenty of evidence that the US is by far the most expensive stock market, and ex-US are dirt cheap. Given the current valuation of the US market, I think it makes more sense to overweight ex-US market rather than ‘blindly’’ following the market-cap weights.

Besides, many studies have found out that size, value and momentum are able to increase return over the long run (20-30 years). I do acknowledge that the factor investing might leads to decades of underperforming market returns (such as the poor performance of value stocks in the past decade), but for someone with an investment horizon of over 30 years, this shouldn't be a big deal.

If you want a small-cap ETF in emerging markets, you might consider DGS. However, DGS has high expense ratio of 0.63%, and the high dividend payout strategy is not friendly to non-US investors like us.

Another emerging market value ETF is AVES, but it is more skewed towards mid-cap and large-cap companies.