Hi, guys.
Sorry for the long absence. I think the Semper + Brentview launch was a sort of "kindred souls" thing. I spoke at length to the guys involved and they seemed very much united in their view of each other and their relations with the investor community. Not sure that it's part of any larger plan, fyi.
Three things.
(1) on younger / more aggressive investors: you'd want to separate the monthly issue from the board discussions and, within the monthly issue, the commentary pieces from the fund profiles. My commentaries generally do have a fair risk-consciousness but a bunch of the profiled funds at nearly 100% equities and often in higher risk / higher return segments (EM value or microcaps). Even within those spaces, I tend to have more respect for managers who'd prefer not to impoverish you, since some people react poorly to losing 60% of the their money.
I did, by the way, try to arrange an alliance with a site dedicated to younger investors. They reached out to us, I responded and didn't hear back, then responded again and experienced more silence.
I anticipate two profiles for the aggressive in September: North Star Microcap and Baillie Gifford Long Term Global Growth. The former keeps popping at a top MCV fund and we're investing in the latter for Will's Roth IRA: he turns 21 next week and the Roth should have a 45+ year window. Dan Wiener, aka Dan the Vanguard Man, made a strong pitch for BG and has almost all of his clients invested in it.
(2) on August: at most we'll post the four pieces that are already essentially ready (an Elevator Talk with attorneys specializing in ESG disclosure issues, the T Rowe Price Retirement Blend series launch, Corbett Road Opportunity ETF and StandPoint Multi-Asset), perhaps with a short wine review as my monthly letter.
I read a really disheartening news story that makes me dislike VC and bitcoin even more: a VC fund is running a gas-fueled power station that (a) is providing power for bitcoin mining and (b) is dramatically warming Seneca Lake. They're response to "you're destroying the most iconic of the Finger Lakes" is "hey, we got the permits to do it!"
(3) on celebrating you: we have some of the MFO coffee mugs left and I'd happily share with you. Just drop a note to my david at MFO email and I'll take care of it as soon as I can.
Buying a 2018 Camry today after a failed search for an inexpensive but reliable used car for my son, Will. (10 cars, 10 test drives, three full mechanical reviews = 10 disasters waiting to happen. So I'm "selling" my Kia to Will and upgrading.) Chip and I head to Pittsburgh Monday, we visit my family Tuesday, head northward Wednesday to be with her family for her son's wedding ... then onto the Wine Trail! Thanks for the leads!
David

I recently inquired about Vanguard's Personal Advisor Services. I ran their suggested "aggressively allocated" portfolio through PV and then using it as a benchmark I compared their portfolio performance to a few of my present portfolio AA funds.
I compared their portfolio to stand alone asset allocation funds (PRWCX, VWELX, and VWINX). Two of the three funds (PRWCX & VWELX) out performed with less risk. You can substitute your choices. Here's the link
PV Link

>> The Ulcer Index is about half of the S&P 500 meaning half as risky.
Is that what UI means / is supposed to mean?

IMHO the answers are: no (it doesn't mean this) and yes (it is supposed to mean this).
Leaving aside what "risk" even means, I've never been a fan of using second moments (roughly, squares) to compute numeric values that supposedly quantify risk. (For anyone who has taken Physics I and forgotten second moments, here's a refresher on moment of inertia.)
Why square the drawdowns (retracements) before summing? The original writing defining ulcer index gives this explanation:

A better method [than merely summing] is to add the squares of the retracements, in order to penalize large retracements proportionately more than small ones.

If drawdown A is twice that of drawdown B, it is already being penalized twice as much by simply using its magnitude. Squaring that figure distorts this. And what is magical about squaring, as opposed to, say cubing, or taking the retracements to the 1.5 power? (These are all positive numbers we're using.) Why is squaring the appropriate "penalty"?
Over a four month period, consider a fund that loses 10% in the first month, but immediately recovers in month 2 and is flat for the remaining two months. Compare that with a fund that loses 5% in the first month, but stays down 5% over the full four month period.
These funds have the same ulcer index, but do they have the same "risk"?

In the calculation below, I dropped month 0 that established the maxprice for simplicity.
SQRT[(10^2 + 0 + 0 + 0)/4] = 5 = SQRT [ (5 ^ 2 + 5^ 2 + 5^2 + 5*2)/4]
The first fund had twice the drawdown, but for only 1/4 of the time. We can debate whether it presents exactly half the risk (twice as deep, 1/4 as wide). But ISTM that this fund presents less risk than the second fund, where you're sure to lose money no matter when you sell during this four month period. The amount at risk (i.e. risk of loss) is only half as much, so we do have to account for that as well.
Next, consider two funds, each of which recovers 1%/month. One has a 10% drawdown (so it takes 10 months to recover); the other has a 5% drawdown (taking 5 months to recover). The first fund plunges twice as deep and takes twice as long to recover.
My intuition or if you prefer, sense of risk, consequently says that the risk of the first fund is 4x the risk of the second. We can see this geometrically.
Think about it as triangles, where height is the drawdown and the horizontal axis is the month.

One triangle has a height of 10 (initial drawdown) and takes 10 months to decline to zero. The other triangle has a height of 5 (initial drawdown) and takes 5 months to decline to zero, after which the fund's performance is zero (flat).
I'm guessing that this is somewhat similar to what @lynnbolin2021 had in mind when writing:
The Ulcer Index measures the length and duration of the maximum drawdown over a period of time
But I could simply be projecting my own interpretation on top of this writing.
("Maximum" drawdown may have been a misstatement since UI uses actual drawdowns, not maximum. The original writing on UI offers this comment: "Some investors prefer to use the maximum retracement rather than an average. This reveals the worst experience over the test period, but it emphasizes a single event to the exclusion of all others.")
If one is familiar with the Gini coefficient, one is familiar with another metric that is calculated using area. Here, the cumulative amount of inequality is graphed. and the measure of societal inequality is taken as the area between perfect equality (the green line in the graph below) and the actual cumulative disparity (the blue line). Computationally similar to measuring the area of the triangles above - the area between the ideal (no drawdown) and the actual drawdown month by month.

Hi @davidmoran
Sure, I can provide some clarity to some of the risk metrics. There is a nice tab in MFO Premium with the definition of most metrics. Here is a summary of a few:
STANDARD DEVIATION indicates the typical percentage variation above or below average return a fund has experienced in a year’s time.
Where standard deviation has limited value is that it does not measure direction. For example, the S&P 500 (SPY) will have a standard deviation that is very close to the inverse S&P 500 (SH).
DOWNSIDE DEVIATION measures a fund’s return below the risk-free rate of return, which is the 90-day T-Bill rate (aka cash).
DOWNSIDE CAPTURE compares the negative return of a fund, comprised of its negative month ending returns, to one of four indexes, over evaluation period specified, measured in percentage. So, compared to SP500, a Downside Capture of 80% means the fund retuned or "captured" only 80% of downside that the SP500 over the evaluation period specified.
ULCER INDEX measures both magnitude and duration of drawdowns in value. A fund with high Ulcer Index means it has experienced deep or extended declines, or both. Ulcer Index for money market funds is typically zero. Here is a link to a a good description of the Ulcer Index which also explains the flaws with using standard deviation (volatility) to measure risk.
MINIMUM ONE YEAR ROLLING RETURN: One of the metrics that I use are the rolling averages, specifically one or three year rolling minimum returns over the period. What this provides is the minimum return earned during the rolling time period. It is useful for comparing how well a fund recovered from some event such as the 2020 bear market.
For more information, please see:
https://www.tangotools.com/ui/ui.htm
https://www.mutualfundobserver.com/2017/10/rolling-averages-finally/
https://www.mutualfundobserver.com/2013/01/a-look-at-risk-adjusted-returns/
I hope this helps.
Regards, Lynn

@Baseball_Fan.... To be nice, I'll mention that Hussman's Total Return fund (HSTRX) only had 2 down calendar years out of 18, with a +5% average return over the life of the fund.
Not sure which of his funds you dabble with. His newer Allocation fund (HSAFX) has done kinda ok so far.
But yeah, he missed the Fed boat completely, and he never corrected/adjusted appropriately. Stubborn.

In the interest of petty accuracy and little else, according to his CV Horstmeyer is a full professor (as of February), and was a co-founder of the GMU Student Managed Investment Fund.
https://www.filesusr.com/ugd/3d3433_7004625502e5427fa5fb144f5abc2845.pdf

https://finance.yahoo.com/news/3-big-charts-from-the-june-jobs-report-morning-brief-090813859.html
OJ is correct - the link is to each individual's email. I suspect that if Derf logged out of Yahoo and then followed the link, the system would prompt for a login.

Interesting analysis. If you want a contrary opinion, you’ve got it here. Rosenberg is a former chief economist at Merrill Lynch. (Bio) Excerpted judiciously. Here’s a link to the Article
“It is a good time for growth stocks, Treasury bonds, and rate-sensitive parts of the market”
The consensus is that U.S. equities will deliver strong performance as the economy recovers, and that higher inflation will drive rising interest rates. All of that is wrong, according to David Rosenberg. The Toronto-based Rosenberg started his own economic consulting firm in January 2020, Rosenberg Research & Associates, after working a decade as chief economist and strategist at Gluskin Sheff & Associates.
The “fiscal juice” from stimulus checks and the re-opening of the economy are outstripping supply, creating temporary inflation. Supply will catch up when demand subsides as the effect from the stimulus wanes, according to Rosenberg. That will happen before the end of the year.When the effect of stimulus checks expired last year, GDP declined by 2.5%. We will see a repeat of that this year, according to Rosenberg.
We don’t and won’t have a trend of inflation, Rosenberg said. Fed Chairperson Jay Powell will be right that inflation will be transitory, he said, just as deflation was a year ago when the pandemic began. Rosenberg recalled one of Bob Farrell’s classic market rules: When all the experts and forecasts agree, something else is going to happen. The consensus has never been more lopsided, he said, and that is reflected in asset allocations that heavily weight stocks relative to bonds. We are not going have a redux of the prior century’s “roaring 20s,” despite the covers of many business magazines. Rosenberg said that era had nothing in common with today; the debt-to-GDP in 1920s was 10%, which allowed for declines in personal tax rates, which will not happen in the 2020s.
When you strip out the government transfers, real personal spending is on a downward trend. The share of personal income from government spending is 28%; it has never been that high, according to Rosenberg. That is today’s “soup line,” he said, and it is temporary, based on borrowed money. Approximately 10% of the labor force is receiving government support. Economic growth has been four parts stimulus and one part reopening, according to Rosenberg.
-
Here’s a recent piece by Rosenberg …
“How to play commodities, semiconductors, COVID, tapering and the reflation trade”
Link

The writer is a monthly columnist for the WSJ. I can find no corresponding working paper through the writer's website.
Unannounced to their investors, mutual-fund managers will often lend the shares they hold ...
Unannounced?

Securities lending is a well-established practice whereby U.S. registered funds, such as mutual funds, make loans of securities to seek an incremental increase in returns for fund shareholders. This paper explains the basics of securities lending, outlines the benefits and risks for investors, and describes BlackRock’s leading approach to securities lending.

BlackRock Securities Lending, Blackrock, January 2021

Vanguard’s securities-lending program—which lends equities under the same philosophy and approach today as it has since well before the global financial crisis—is unique in its exclusive focus on benefiting our investors and not our bottom line. We adhere strictly to a "value-lending" philosophy, managing our counterparty credit limits and collateral pool internally through [Vanguard Fixed Income Group] FIG.

How well did your asset manager weather the market storm? Vanguard, Sept. 2020
Moving on:
- Do US growth, US value, US large cap, int'l, and EM really encompass all funds? ("I looked at the full sample of actively managed equity mutual funds"). What defines these categories and where do small cap blend funds or global funds fall?
- Is "average" unweighted, dollar weighted, or median: "The average percent lent out by active funds was 0.80%." An unweighted average would be propped up by a few funds lending over 20% of assets (see next item).
- "we see over 2% of funds ... lending out an average of more than 20% of their underlying holdings each year—coming close to SEC guidelines." Coming close?
From Barron's (see cite below): "Legally, exchange-traded and mutual funds can lend out as much as 50% of their unlevered securities’ portfolios to borrowers who pay them interest."
I can offer another possible explanation for his figures. It is well known (read: find sources on your own) that high ER funds tend to be more aggressive hence more volatile, in attempting to overcome their higher costs. If these funds also are more aggressive in their lending, then one would see what he is reporting: higher rates of security lending correlating with poorer performance (due to higher ERs) and higher volatility.
Related to covering costs is the question of how much of the lending revenue goes back into the fund vs. how much lines the pockets of the fund company? You can pretty well guess what Vanguard does. Other companies are less considerate of their investors. The writer did not attempt to correct for this factor. Nor did he attempt to control for ERs, e.g. by looking at gross rather than net returns.
There's an excellent piece in Barron's (by some guy going by the name of @LewisBraham) discussing this and more, albeit in the context of index funds and ETFs.
ETFs’ Hidden Source of Return—Securities Lending, Barron's April 7, 2018.

I assume Index funds (which don't pick stocks) may also lend stocks that can be shorted. Behemoth index funds would have lots of share to lend at or below the 1 % level.
Let's look at VFINX (VOO). HD is 0.97% of the fund which equates to 22 million shares of HD it could lend and which is 2% of HD shares.
A fund like FSHOX, HD is 15% of the fund, but because of its small size it could only lend 280K shares. This equates to 0.03% of HD shares.

Author: Derek Horstmeyer (with assistant Pamy Arora
“Unannounced to their investors, mutual-fund managers will often lend the shares they hold to short sellers who bet against particular stocks.By doing so, a fund manager can earn a little extra money (on the interest charged) and reduce the overall costs to operate the mutual fund—hopefully passing on the cost savings in the form of a lower expense ratio to the investor. But the flip side is that if the manager is lending out a good amount of the fund’s holdings, this means there is a lot of demand by other investors to bet against the exact holdings the fund manager has in the mutual fund.
“When all is said and done, if your fund manager is lending out a good amount of the underlying portfolio, is this a negative sign for future returns? The answer is a resounding yes: Active fund managers who lend out more than 1% of their holdings on average during the year underperform their fellow mutual-fund managers by an average of 0.62 percentage point a year across multiple asset classes …
“In the U.S. large-cap arena, we can see that if a fund manager is lending out shares, it isn’t a good sign for the fun fund performance. Active large-cap fund managers who lent out more than 1% of their shares averaged a return of 12.93% a year over the past 10 years. Active large-cap fund managers who lent out less than 1% of the shares averaged a return of 13.29 a year over the past 10 years. This amounts to a 0.36 percentage point difference in returns a year. … When we look at mutual fund managers who have lent out more than 2% of their portfolio on average, the results look even worse for lenders …“
WSJ July 6, 2022
Interesting Article - However, “total return” doesn’t tell the whole story. Article doesn’t address impact on fund volatility or downside performance. My (uninformed) guess is that the lenders perform better on those scores, even while generating lower overall returns.

The Ulcer Index measures the length and duration of the maximum drawdown over a period of time which in this case was three years including the 2020 bear market.
Each bear market is unique, but I believe that it is a great relative risk indicator. Over the past three years the S&P 500 had an UI of 5.2.

>> The Ulcer Index is about half of the S&P 500 meaning half as risky.
Is that what UI means / is supposed to mean?

“Retail investors keep pouring money into markets, even as many of their favorite meme stocks and cryptocurrencies have languished. In June, so-called retail investors bought nearly $28 billion of stocks and exchange-traded funds on a net basis, according to data from Vanda Research’s VandaTrack, the highest monthly amount deployed since at least 2014. That even trumped the amount retail traders spent in January during the first meme-stock frenzy.
“The activity underscores the enduring influence of ordinary investors in markets. When the Covid-19 pandemic ushered in a wave of first-time traders, many market observers suspected these investors would retreat when the economy reopened. Instead, individual investors have grown in number: More than 10 million new brokerage accounts are estimated to have been opened in the first half of this year, according to JMP Securities. That is around the total for all of 2020 …
“Retail investors’ enthusiasm is in contrast to professional money managers’ growing and ease about the market outlook. This has risen as markets on the surface appear placid but volatility has grown around individual stocks … (One) gage of retail traders’ sentiment currently shows that the group is nearly 70% confident that the US stocks will keep rising over the next three months. Meanwhile, professional traders are only about 44% confident that stocks will rally during that period.”
WSJ July 6, 2021

Thought the folks buying into commodities recently might find this article worthwhile. Most commodities have fallen over the past 4-6 weeks. Oil is a rare exception, although seems to be weakening as of late. Certainly appears to be a disconnect between the rally in the 10-year bond (near 1.3% now) on one hand and higher inflation expectations on the other.
Excerpt :
“Prices for U.S. grains are locked in a volatile pattern as growing areas of the country wait for rain. Following the long holiday weekend, grain futures trading on the Chicago Board of Trade have plummeted to start the week. Most-active corn futures closed Tuesday down by their limit of 40 cents a bushel, falling 6.9% to $5.40 a bushel. Soybean futures fell 6.7% to $13.05 a bushel, and wheat dropped 4.1% to $6.26 a bushel.
“Today’s move lower essentially erases upticks seen last week, when futures soared after the U.S. Department of Agriculture released two key reports detailing the outlook for grains supplies and demand. Last Wednesday, the most-active corn contract on the Chicago Board of Trade soared 7% to $5.88 per bushel, while soybeans climbed more than 6% to nearly $14 per bushel. Wheat rose more than 5% following the report’s release.
“Heading into the hottest days of the summer, above-average temperatures and dry conditions in the forecast may roil crop production in areas already in the grips of a drought. The volatility in agricultural futures is linked to the Uncertainty that growing regions will get the rain they need
WSJ July 7, 2021
Related - Lumber Prices Dive More Than 40% in June
CNBC
Added note : Oil continues to benefit the funds that have large concentrations in energy. In addition, both real estate and utilities have benefitted recently from falling rates; so to the extent a commodities / NR fund holds those, it has held up better.

BPTRX: 1st bought 1/9/20 at 72.57, close position 3/11/21 at 171.21. MSSMX: 1st bought 10/6/20 at 15.06, close position 3/11/21 at 23.23.

Lynn, thanks so much for sharing your thoughts, especially on GAVAX. I look forward to reading your commentary on non correlated assets. Your articles have really helped me, and I’m using MFO screeners more and more. I feel indebted.

Rick, Here is what I started doing. I divide my funds into three groups 1) Mixed Asset, 2) Uncorrelated, and 3) the tactical sleeve. The first two categories are buy and hold and as long as the quality of the fund is intact, I don't worry about performance. For the tactical funds, I track the previous month return, three month trend, and flows. If they are negative, I have to ask myself why? Is the fund peaking or is it blip.
On GAVIX/GAVAX, which is an uncorrelated fund, see below. The Ulcer Index is about half of the S&P 500 meaning half as risky. The average three year return is 7.4% which is good for a conservative fund. The Composite MFO Rating is 2 which is below average (3). It is not very consistent, which is not a major flaw, and it's capital preservation is good. The one month return is down as is the three month trend, and money is flowing out. The yield is 2.2%. What I like is that the correlation to the S&P 500 is only 0.58 which is low, and the downside capture is only 9.7 which is why it has a good capital preservation rating of 4.
APR 7.4
Ulcer Index 2.9
Martin Ratio 2.13
Composite Rating 2
Consistency 1
Preservation 4
1 Month -1.87
Trend -0.6
Flow -1.8
Yield 2.24
Correlation SP500 0.58
Down Cap S&P 500 9.7
The stats are good for GAVIX. I track 81 uncorrelated funds, and GAVIX rates 58. The composite rating of 2 is the only thing that I don't like. For my next MFO article, I identify six potential uncorrelated funds to own. These are COTZX, ARBIX, DEVDX, RLSIX, SPEDX, and SUBFX. I am still researching these, but already own COTZX and ARBIX.

Each month, I download hundreds of ETFS and generally require that they have at least three years of history, and at least $100M in assets before up loading them into my Ranking System. I maintain a list of funds that have at least $100M but aren't three years old. This is a short listing of the funds:
https://seekingalpha.com/article/4438107-infant-exchange-traded-funds-attracting-inflows
ESGV, BBAX, USSG, SUSL, IVOL, VSGX, EAGG, RPAR, VCMDX, PTBD, SWAN, DRSK, NTSX, NUSI, LDSF, XLSR, JCPB, PTIN, MUST
All but three of these funds have lower risk than the S&P 500 as measured by the Ulcer Index. These funds either have positive three-month trends or inflows. All but one fund have earned more than 6 percent annualized.

https://www.wsj.com/articles/top-mutual-fund-rose-140-in-a-year-11625519533
* Morgan Stanley mutual fund skippered by Dennis Lynch tops our quarterly survey of the best-performing stock-fund managers in the past 12 months*
You can incognito search article title for content
Couple interesting MF out there. Anyone bought these funds previously?
MSSGX
BPTRX
Brsvx
today winners maybe tomorrow poor looser

https://www.sec.gov/Archives/edgar/data/908802/000139834421014025/fp0066718_497.htm
497 1 fp0066718_497.htm
Filed pursuant to Rule 497(e) and Rule 497(k)
under the Securities Act of 1933, as amended
File Registration No.: 033-65632
SCHRODER SERIES TRUST
(the “Trust”)
Schroder Long Duration Investment-Grade Bond Fund
(the “Fund”)
Supplement dated July 6, 2021
to the Fund’s Summary Prospectus, Prospectus and
Statement of Additional Information (the “SAI”), each dated March 1, 2021, as supplemented
This supplement provides new and additional information beyond that contained in the Summary Prospectus, Prospectus and SAI, and should be read in conjunction with the Summary Prospectus, Prospectus and SAI.
The Board of Trustees of the Trust, at the recommendation of Schroder Investment Management North America Inc. (the “Adviser”), the investment adviser of the Fund, has approved a plan of liquidation providing for the liquidation of the Fund’s assets and the distribution of the net proceeds pro rata to the Fund’s shareholders. In connection therewith, the Fund is closed to new investments. The Fund is expected to cease operations and liquidate on or about September 30, 2021 (the “Liquidation Date”). The Liquidation Date may be changed without notice at the discretion of the Trust’s officers.
Prior to the Liquidation Date, shareholders may redeem (sell) their shares in the manner described in the “How to Sell Shares” section of the Prospectus. For those shareholders that do not redeem (sell) their shares prior to the Liquidation Date, the Fund will distribute to each such shareholder, on or promptly after the Liquidation Date, a liquidating cash distribution equal in value to the shareholder’s interest in the net assets of the Fund as of the Liquidation Date.
In anticipation of the liquidation of the Fund, the Adviser may manage the Fund in a manner intended to facilitate the Fund’s orderly liquidation, such as by holding cash or making investments in other highly liquid assets. As a result, during this time, all or a portion of the Fund may not be invested in a manner consistent with its stated investment strategies, which may prevent the Fund from achieving its investment objective.
The liquidation distribution amount will include any accrued income and capital gains, will be treated as a payment in exchange for shares and will generally be a taxable event for shareholders investing through taxable accounts. You should consult your personal tax advisor concerning your particular tax situation. Liquidation costs will be accrued on the date of this Supplement and shareholders remaining in the Fund on the Liquidation Date will not be charged any additional fees by the Fund associated with the liquidation. Shareholders will receive liquidation proceeds as soon as practicable after the Liquidation Date.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
SCH-SK-015-0100