Hi Level5, In response to your question.
Within my fixed income sleeve CTFAX makes up about 12% of it's investment sleeve which consist of twelve funds. Currently, my fixed income sleeve makes up about 18% of my portfolio.

Copied and pasted from the Big Bang Investing Board.
This briefing is for the week ending December 24, 2021.
The Index Review
For the week the major equity indices finished up as Santa arrives. The Dow Jones Industrial Average gained +0.15%. the S&P 500 Stock Index rose +1.22%, the Nasdaq Composite climbed +3.12%, while the Russell 2000 Small Cap Index was up +4.14%. The three best performing major equity sectors for the week were XLY (Consumer Discretionary) +3.47%, XLK (Technology) +2.56% and XLC (Communication Services) +1.97%. The widely followed S&P 500 Index ETF SPY closed the week with a dividend yield of 1.24% and is up year to date +27.48%; and, it is off its 52 week high by -0.62%. The widely followed US Aggregate Bond ETF (AGG) was listed with a yield of 1.81% and for the week lost -0.24%. Year to date AGG has had a negative total returned of -1.75% and is off its 52 week high by -3.42%.
Global Equity Compass: For the week my three best performers in my global equity compass were GSP (Commodities) +2.69%, IEV (Europe) +1.72% and VTI (US Total Stock Market) +1.71%.
Income Compass: For the week my three best performers in my fixed income compass were CWB (Convertibles) +2.67%, PFF (Preferreds) +0.62% and HYG (Corporate High Yield) +0.52%.
Currency Compass: For the week my three best performers in my currency compass were FXA (Austialian Dollar) +0.94%, FXB (British Pound) +0.68% and FXF (Swiss Franc) +0.12%.
Old_Skeet's Soap Box ... Since I take all my mutual fund distributions in cash this has now increased the size of my cash area from about 20% to 25% due to strong year end mutual fund distributions received thus far in December. When January arrives I will review my portfolio's asset allocation mix and decide where to invest this recently received cash ... if anywhere. For now ... though ... I sit and I watch. This is mostly due to extended stock and bond market valuations and the current investment climate. One of the hardest things for me to do as a retail investor has been to just (plain old) sit and do nothing. But, I have learned, through the years, that sometimes this turns out to be one of the best things to do. My top producers (this quarter) have come from the growth & income area of my portfolio. Most likely when I start to buy it will be in the G&I area as it holds the value and the equity income parts of my portfolio. However, for now, Old_Skeet is thinking that a stock market swoon is on the horizon. I'm also thinking that a good ten percenter might not be far off. Perhaps so ... Perhaps not. But, when the swoon does come (and in time it will) I will have some extra cash to spend with a buying plan in place.
Again ... for now ... I sit, remaining invested within the confines of my asset allocation of 20/40/40 (cash/bonds/stocks) while I ponder what to do with recently received cash (if anything) which now has me cash heavy by about 5% from my neutral weighting of 20%.. An option ... Short term, I could target cash at 25% and do nothing.
Of Investment Interest
Due to most investment and news sites now requiring sign in passage to read their articles and with it getting harder to find good content that can be linked without sign in requirements the Articles of Investment Interest Area is no more. I am pondering some ideas; but, as I write I have not yet decided what the content will be. This space may become a floating feature area with something of good investment interest posted each week.
For Starters ... This week feature keys on Consuelo Mack's Wealth Track Site
Great Value Investor Bill Miller Discusses His Core Holdings Winners And Recent Promising Additions (Part 1)
https://wealthtrack.com/
Old_Skeet's Favored Reference Links
Stock Proxy S&P 500 Index ETF (SPY)
SPY Short Volume ... https://nakedshortreport.com/company/SPY
SPY Breadth Reading ... https://stockcharts.com/h-sc/ui?s=$SPXA50R&p=D&b=5&g=0&id=p25768973625
SPY Yield Chart ... https://stockcharts.com/h-sc/ui?s=!YLDSPX&p=D&b=5&g=0&id=p75520805591
SPY Price Chart (Elder Ray System) ... https://stockcharts.com/h-sc/ui?s=SPY&p=D&b=5&g=0&id=p20881173280
SPY T/A Opinion ... https://www.barchart.com/etfs-funds/quotes/SPY/opinion
Bond Proxy Aggregate Bond ETF (AGG)
AGG Short Volume ... https://nakedshortreport.com/company/AGG
AGG Yield Chart ... https://ycharts.com/companies/AGG/dividend_yield
AGG Price Chart (Elder Ray System) ... https://stockcharts.com/h-sc/ui?s=AGG&p=D&b=5&g=0&id=p07044822535
AGG T/A Opinion ... https://www.barchart.com/etfs-funds/quotes/AGG/opinion
Wishing You a Christmas Season Filled with Warm Moments and Cherished Memories.
Old_Skeet

Hello CecilJK - I recall briefly discussing this fund with you some time back. Again, I like the idea behind it’s strategy and why I have a very modest exploratory investment with it.
You, as well as another poster/author I highly regard (Charles Lynn Bolin), write highly of COTZX. Still my portfolio is mostly risk-off now with a 33-36% allocation to stocks (VDADX, VDIGX, VTSAX), 23% in a stable-value fund (TIAA-Trad earning, so far a guaranteed 3%) and the rest in bond funds/cash. I still have COTZX, but it’s far less than a 5% position, which in my opinion needs to be the minimum threshold for a fund to have a meaningful impact on a portfolio. What is the percentage of COTZX that you hold?

Hi Level5, I have held the A share class of the Thermostat Fund for more than ten years and I hold it within my fixed income sleeve since it is currently 90% fixed and 10% equity. I look at it as a risk-off (risk-on) type fund that adjust it's equity holdings based up price/earning metrics for the S&P 500 Index. So, when equities falter and fall in price it automatically loads equities and sells down bonds. Thus, it is designed to play stock market swoons without me having to do much of anything. When it's time to sit (which is hard for many retail investors to do) it plays the bond market. And, when it is time to engage and ramp up equities it plays the stock market. For me, it's a keeper and currently held within the fixed income sleeve of my portfolio.
In review of its performance I am finding that its average total return over the past five years has been better than ten percent. Not bad for a fund that often just sits in risk-off mode.

GLIFX is institutional. Appears to have a low minimum initial investment of $10,000.
GLFOX (open shares) was recommended to me 6-7 months back by a board member. I substituted it in my real assets sleeve for a commodities fund I felt was getting too expensive. Yes - it is largely outside the U.S. That’s one reason I like it, as I’ve been consciously trying to diversify away from U.S. equities.
As the snippet from Lipper shows, the fund has some moderate exposure to the energy sector. As @KHaw24 notes, the Lazard funds are invested largely (about 75%) outside the U.S. So they aren’t the best choice if you’re trying to play the U.S. infrastructure package. Also - higher than normal expenses might deter some.
GLFOX HOLDINGS - Lipper*
46% Utilities
24% Industrials
8% Oil & Gas
22% Remainder
* http://www.funds.reuters.wallst.com/US/funds/holdings.asp?YYY622_4YK/sRXYOuCHME0X/pCQzhuZTH3KwZb8EX/lL+8rQLdjCHFyfBxMJiSgAFiqzNOF

As a disclaimer, I currently have a very moderate position in COTZX and appreciate the clear mechanics of adjusting to market conditions based on S&P levels. Still, I am challenged to add to it for the following reasons and considering selling it, so maybe someone could talk me off the roof.
First, it doesn’t anticipate market moves but responds after the fact - I do that on my own.
Second, six of the funds 13 funds are invested in 1.56% or less. So the impact from these funds is either offset by each, negligible, or cumulatively indexing (I have no issue with indexing. I like index funds for core investing).
Third, don’t know if the er’s are cumulative or only the reported 0.65%
Fourth, the treasury index is a 31.29% holding with a 6.83 duration. Maybe I’m off here but if we’re going into 2022 expecting rate hikes then how will COTZX adjust its bond holdings.
Fifth, if all of my perceived obstacles from the above were removed, I think I’d need to be invested much more deeply than I am at present - but as you could tell, just not ready
Again I really like the idea behind COTZX but as I’ve looked closer, it may not be for me.

https://www.morningstar.com/articles/1073226/infrastructure-funds-take-their-turn-in-the-spotlight?utm_source=eloqua&utm_medium=email&utm_campaign=newsletter_fundspy&utm_content=33453
The differences between GLIFX and PAVE are enough to consider pairing these two to take advantage of the big spend coming our way. Although GLIFX is 75% Non-US currently.

?
yes, that is what I was referring to. Is ORP related to
https://www.newretirement.com/retirement/5-steps-for-defining-your-retirement-drawdown-strategy/
?
ah, I see that PoF thread has ref to Kitces and thence to ORP; is that what you are referring to?

Recent activities? I been watching capital gains distributions and its' been a wild ride in the markets as well. I put 10% of my 401k into ASDVX for near term yield instead of earning 'zilch' in a Money Market Fund. Recently purchased TRAIX as part of the new TRP Summit Program...put 10% of my Rollover in that fund. I have added DSCPX to my small cap allocation...
Other moves I'm considering and would like some feedback on...May sell LBSAX and buy SCHD. .90 bps difference in ER and SCHD has beaten LBSAX on YTD, 1, 3, 5, and 10 year time periods. I also like Schwab's new offering, SCHY, because not many investors allocate to Int'l Value or they don't speak about that style often. The style has been challenged long term as has US Value (until recently)

@rono stated:
Recall the Elder Baron Rothschild's advice that to protect your wealth, you wanted 1/3 in securities, 1/3 in real estate and 1/3 in rare art. It's this last category that can be tricky. It includes gold and bitcoin, and many other assets. It doesn't include cabbage patch kids, nor Beanie babies.
My comments below:
Kind of like Nancy Pelosi and her husband's investments...as of a few year ago, $65MM in real estate, $50MM in stocks and $25MM in private investments...I imagine they are double digits higher now....maybe Liz Warren will ask her to pay more taxes and try to publically shame her...maybe not?
Hmm, might this suggest ...that the best investments advice would be to follow the Pelosi's investments....I would think she would know what the fed and central banks are thinking, strategizing etc, no?
Best,
Baseball Fan

@Derf...point taken...that is why I selected the Total Stock Market Fund as a wash-sale choice...obviously one would bone up on these rules and select appropriate wash-sale securities or just wait 30 days...

If you sold an S&P 500-indexed ETF to realize losses, purchasing an ETF that tracks the Dow Jones or Russell 1000 would maintain your market exposure while decreasing the chances that you trigger a wash sale.

https://fidelity.com/learning-center/personal-finance/wash-sales-rules-tax

I wonder if this might be a potential strategy regarding capital tax losses and Roth conversions.
Let say I want to manage Roth conversions during market sell offs (think back to March 2020).
the-case-for-roth-conversions-in-market-downturns
Let's say I have two accounts, A T-IRA and a taxable brokerage account. They are both invested in the S&P 500 On Jan 1. 2020. Each has $10K as a starting balance. By Mar 31, 2020 they are both worth $8,037.
I take the following actions:
I convert the T-IRA to a Roth and lock in the March 31, 2020 value of $8037. On April 1, 2020 the T-IRA is now in Roth Status (conversion competed) and New Roth account continues to be invested in the S&P500. By years end the Roth value is $11,825. In April of 2021, I will owe taxes on the conversion ($8037 * my tax bracket)
In the 12% bracket I will owe $964.44
In the 22% bracket I will owe $1768.14
In the 24% bracket I will owe $1928.88
In a separate taxable account, I sell the very same investment on the same day I completed the Roth conversion and book a $1963 tax loss on that sale. On Apr 1, 2020, I re-invest back into the Total Stock Market (or appropriate wash-sale security). My $8037 by years end grows to $1287. Obviously this works perfect in hindsight. Equity markets can endure long stretches of under performance.
In April of 2021, I have a tax loss of $1963 that I can apply to my 2020 tax year or carry forward to future tax years...future Roth conversions.
tax-loss-carryforward
If I had I done nothing , both accounts would have lost and subsequently regained their losses. But by timing both a Roth conversion in the T-IRA and harvesting a tax loss in a taxable account at a pull back in the market", I have used a tax loss to "pay for" a Roth conversion.

For anyone considering recognizing more gain or doing more Roth conversions this year, I ran across a couple of quirks in the way gains may be taxed.
Suppose you have short term gains (say, $3000) and long term losses (say -$1000), so that you're net positive (+$2,000 short term). Not a common situation, but here added long term gains can get taxed at short term (ordinary income rates).
In this example, if you generate an extra $500 in long term gains, that reduces the LT loss by $500, thus increasing the net short term gains by $500: Net LT loss = $500, net gain (short term) = $3000 - $500 = $2500.
----
If your income is in the region where some but not all cap gains are taxed at 0%, then adding $1 of ordinary income can increase your taxes by 27¢, i.e. it's taxed at 27%. Kitces has an excellent piece on this; see examples 3 and 4.
https://www.kitces.com/blog/long-term-capital-gains-bump-zone-higher-marginal-tax-rate-phase-in-0-rate/
He discusses how in this situation it is preferable to generate long term gains (even if taxed at 15%) as opposed to doing Roth conversions (even if nominally taxed at 12%). Going further, if one doesn't have much in cap gains/qualified divs, ISTM that it can still make sense to convert all the way up to the next tax bracket. A small amount will get taxed at 27%, but with little in cap gains, most will get taxed "normally". But if one has lots of cap gains that would get pushed into the 27% bracket, it pays to defer converting.
This suggests a multiyear strategy for planning periodic sales of assets and Roth conversions. It can be advantageous to lump them into alternating years. One year you take two year's worth of gains (taxed at 0% or 15%). The next year you work to minimize your cap gains (so there are few gains to get taxed at 27%) and convert more retirement money. Even if those conversions push you into the 22% bracket, that's still better than having a lot of cap gains taxed at 27%.
One needs to look at how much in gains one expects to recognize (including fund distributions), how much one wants to convert, other ordinary income, to see if this lumping strategy helps.

Excellent reply @msf. Thanks.
The only fund of funds I ever considered buying was CTFAX (but did not buy). During my review, I called the fund and asked among other things about duplication of management fees and the rep who I spoke with said NONE. We can forgive him for a 10 bps error. I have found most reps are limited in their knowledge - may be they are over worked or may be they hold temporary jobs to invest their time! Talking to the managers / fund investment professional is the best but usually one has to be an RIA or a big investor in the fund before that access is given.
Good to know this year NICHX expenses have come under the cap - efficiencies of scale I suppose going from $550M AUM at Oct 2020 to $1.35B at Nov 2021. Nice of them not to use up the disclosed cap. (I used to work in professional services and my team never gave any part of the fee cap back to the clients!) Given the current year claw back was only 0.07% and the charged expenses were below the cap, is it reasonable to assume that all the previous waivers are now clawed back and no claw back of historic waiver would be needed in the future years? I am guessing yes, but thought I would ask in case you know the answer off hand.
More importantly, thank you for bringing to light Vanguard's clever way to charge fees (I am sure they disclosed!), considering how much chest thumping it does about fees. Thankfully, I never invest at Vanguard for their presumed low fees; high fees never stopped me from an investment, though I like to know / understand how much I am paying.

CTFAX is an example of a fund that tacks a management fee (0.10%) on top of its expenses including its acquired fund expenses (0.40%). It has put a temporary cap of 0.50% on fees excluding the acquired fund fees. When you add back the acquired fund fees of 0.40% to the capped expenses of 0.50% (including 0.10% for the second layer of management), you get to 0.90%. That's the current ER.
Absent that cap, the fees (excluding acquired fund fees) would be 0.56% and the total ER would be 0.96%.

Columbia Thermostat Summary prospectus.
Extra management fees can be instead added surreptitiously by using an excessively costly share class of underlying funds. That's what Vanguard does with its funds of funds (e.g. STAR). Instead of utilizing Admiral or Institutional class shares, these funds purchase more expensive investor class shares of underlying funds. In fact, Vanguard eliminated the more expensive investor class shares of its index funds except for use in its funds of funds.
An expense cap usually reduces current expenses. In order to satisfy a cap, a fund's management company waives some of its fees. Later, the fund may operate more efficiently (e.g. economies of scale) or a cap may still be in place but with a higher expense limit. Either way, it can happen that actual expenses are below the stated cap. At that point, the cap appears to be moot.
But then the management is allowed to "claw back", i.e. recover, the fees that it originally waived. At least so long as the actual expenses plus the claw back don't exceed the current expense cap. Usually a claw back is limited to three years - management can only recover fees that it waived in the past three years.
Your question about how ERs work with caps is where the twist comes in. Total expenses of NICHX are 1.78% (per prospectus). Excluding the expenses that don't count toward the cap (such as acquired fund expenses) brings the ER well below 1.45%. So the management is allowed to claw back previously waived fees.
The annual report shows that the clawback for the year ending April 2021 amounted to 0.07%. That plus the prospectus' 1.78% ER (including underlying fund expenses) gets one to 1.85%.
Finally, it may be worth noting that the way NICHX handles fees of underlying funds that are affilitates is to disclose the conflict of interest rather than to adjust for double dipping. Again from the prospectus (Conflicts of Interest section):

The Fund may also invest ... in affiliated entities or accounts that may directly or indirectly benefit the Investment Manager or its affiliates, including Underlying Funds managed by affiliates of the Investment Manager.

Un-Intuitively, the fund did not lose until March 23, 2020 when both monetary and fiscal stimulus was announced. It lost about 1% TR Which it did not recover from until sometime in May 2020 - it was down for 2 months.
At inception, each manager invested between $5 and 15 million. Forms 4 are posted on the fund website. May be they started the fund to invest their own money and then must have attracted clients from their previous job where all three managers worked concurrently for a number of years. Manager bios are on the fund website - seems they have always been outsourcing managers, rather than being selectors of securities and trading them.

@msf, Fund of funds like CTFAX use funds from their own family and as such no duplication of fees. I have never studied fees calcs for funds that acquire external funds. Also, while every fund that waives fees mentions about potential claw backs, I have never seen before any fund apply claw back to understand how the mechanics work.
If you do not mind, perhaps, explain to us the ER again. If there is a cap of 1.45% plus acquired fund level ER of 0.57%, that is a total of 2.02%. How do I get to 1.85%?
How does the current waiver impact future ER, especially if the fund loses AUM?

Additional links can be found in the link I included below:

“The Chain”
As you’ll see in the P.S., we’re trying something new in the blogosphere. We’re “Building A Chain” of blog articles, where different bloggers are sharing their detailed Drawdown Strategy. To help keep track, I’ll edit this post as new “links” are added in the chain. Eventually, we’re planning on compiling these into an e-book, and donating all proceeds to charity. Thanks to the following bloggers who have joined “The Chain Gang”!!
Anchor: Physician On Fire: Our Drawdown Plan in Early Retirement
Link 1: The Retirement Manifesto: Our Retirement Investment Drawdown Strategy
Link 2: OthalaFehu: Retirement Master Plan
Link 3: Freedom Is Groovy: The Groovy Drawdown Strategy
Link 4: The Green Swan: The Nastiest, Hardest Problem In Finance: Decumulation
Link 5: My Curiosity Lab: Show Me The Money: My Retirement Drawdown Plan
Link 6: Cracking Retirement: Our Drawdown Strategy
Link 7: The Financial Journeyman: Early Retirement Portfolio & Plan
Link 8: Retire By 40: Our Unusual Early Retirement Withdrawal Strategy
Link 10: Early Retirement Now: The ERN Family Early Retirement Captial Preservation Plan
Link 11: 39 Months: Mr. 39 Months Drawdown Plan
Link 12: 7 Circles: Drawdown Strategy – Joining The Chain Gang
Link 13: Retirement Starts Today: What’s Your Retirement Withdrawal Strategy?
Link 14: Ms. Liz Money Matters: How I’ll Fund My Retirement
Link 15a: Dads Dollars Debts: DDD Drawdown Part 1: Living With A Pension
Link 15b: Dads Dollars Debts: DDD Drawdown Plan Part 2: Retire at 48?
Link 16: Penny & Rich: Rich’s Retirement Plan
Link 17: Atypical Life: Our Retirement Drawdown Strategy
Link 18: New Retirement: 5 Steps For Defining Your Retirement Drawdown Strategy
Link 19: Maximize Your Money: Practical Retirement Withdrawal Strategies Are Important
Link 20: ChooseFI: The Retirement Manifesto – Drawdown Strategy Podcast
Link 21: CoachCarson: My Rental Retirement Strategy
Link 22: Accidently Retired: How I Planned my Early Withdrawal Strategy
Link 23: Playtirement: Playtirement Preservation Stage

Find the above links within this link (found at the end of article):
our-retirement-investment-drawdown-strategy

Regarding the 1.85% fee - there's actually a cap in place of 1.45%. But this excludes the cost of acquired funds (0.57%). That's enough to drop the remaining expenses below the cap which in turn allows the fund to claw back previously waived fees. This is why on the fact sheet that Lewis linked to the gross ER is 1.78% while the net ER is higher, at 1.85%. (Usually net is lower than gross because of fee waivers.)
Regarding stale and stable prices - this likely goes a long way in explaining where the high Sharpe ratio comes from. Sort of like looking at a Madoff portfolio. I'm not suggesting anything improper here (unlike with Madoff), just agreeing with Lewis that the pricing can be misleading. It's doubly risky here because for the acquired funds, this fund relies on the acquired funds' managers to price their own illiquid investments and suggest their NAVs. From the prospectus:

The Fund bases its NAV on valuations of its interests in Underlying Funds provided by the managers of the Underlying Funds and/or their agents. These valuations involve significant judgment by the managers of the Underlying Funds and may differ from their actual realizable value. ... The Board, the Investment Manager and the Valuation Committee may have limited ability to assess the accuracy of these valuations.

It wasn't that many years ago when a number of posters were complaining about fair market valuations, which often meant valuing foreign securities with prices stale by hours, not days or weeks. Pricing here is much more uncertain.

It seems like an interesting fund, but the lack of liquidity and high fees--1.85% expense ratio on a debt fund--could prove problematic down the road. Often funds with illiquid assets mask hidden risks, as the prices of their portfolios seems very stable as the portfolio essentially doesn't trade with the rest of the market. In other words, the prices of these securities can be stale and not reflect sometimes the underlying reality of the portfolio or the external reality of the world. If there is a sudden liquidity crunch and investors start to withdraw money from such funds, those stale prices can suddenly become live in painful ways as managers are forced to sell and take significant markdowns on illiquid assets. We saw this happen with non-agency mortgage bonds last year. The interval structure can help deal with a flood of redemption requests in volatile markets but it can also facilitate the masking of stale prices. It is a bit of a double-edged sword in this particular case if you ask me.