{ "cite": { "publisher": "ETFIQ", "page": "https://etfiq.com/investment-committee/", "version": "1.4", "as_of": "2026-10-22", "license_text": "ETFIQ’s own method, free to use with attribution.", "disclosure": "No investor named is affiliated with or endorses ETFIQ. Not investment advice." }, "schema": 1, "version": "1.4", "date": "2026-10-22", "name": "The IQ Investment Committee", "page": "/investment-committee/", "disclosure": "No investor named is affiliated with or endorses ETFIQ. Not investment advice.", "lensLine": "Lenses apply publicly known investing principles to ETFIQ data.", "states": [ { "id": "supports", "label": "Supports", "colour": "#74DEB0", "means": "The seat's criteria, read on ETFIQ data, point the same way as the investor's published principles." }, { "id": "mixed", "label": "Mixed", "colour": "#CCCAC3", "means": "Some criteria point each way, or the figures sit between the seat's two thresholds." }, { "id": "challenges", "label": "Challenges", "colour": "#F8C660", "means": "The seat's criteria, read on ETFIQ data, run against the investor's published principles." }, { "id": "not_enough_data", "label": "Not enough data", "colour": "#A09E96", "means": "Too little of the seat can be measured for this subject." }, { "id": "not_applicable", "label": "Does not apply", "colour": "#A09E96", "means": "The subject is outside the seat's scope (a T-bill fund on the trend seat, a bond fund on Templeton's); the seat gives no reading." } ], "aggregation": { "points": { "supports": 1, "mixed": 0, "challenges": -1 }, "minCoverage": 0.5, "supportsAt": 0.5, "challengesAt": -0.5, "compare": "In compare mode each seat orders the funds by its state first (Supports, then Mixed, then Challenges, then Not enough data) and by its score within a state, highest first; a tie is broken by the seat's tie-break measure. A fund the seat Challenges never ranks above one it Supports. A line marked like for like that one fund in a comparison cannot read is read on none of them." }, "seats": [ { "id": "low-cost", "kind": "investor", "name": "Bogle-style Low Cost", "short": "Low Cost", "tradition": "John Bogle", "byline": "in the tradition of John Bogle", "question": "What does this really cost you to own?", "page": "/investment-committee/john-bogle/", "slug": "john-bogle", "philosophySlug": "low-cost", "redirectIfObjected": "/investment-committee/low-cost/", "title": "John Bogle's philosophy, applied to ETFs", "person": "John Bogle", "profile": "docs/committee/profiles/john-bogle.md", "config": { "schema": 1, "seat": "low-cost", "version": "2.0", "date": "2026-10-22", "strength": "strong", "strengthNote": "Bogle's own books and his own journal article. His cost figures are used as thresholds where he gave them.", "sourcedTo": "John Bogle's own books and article", "scope": { "appliesTo": null, "note": "Every ETF with a published fee." }, "works": [ { "id": "little-book-2017", "kind": "book", "author": "John C. Bogle", "title": "The Little Book of Common Sense Investing", "publisher": "Wiley", "edition": "10th anniversary edition, updated and revised", "year": 2017, "url": "https://www.wiley.com/en-us/The+Little+Book+of+Common+Sense+Investing%3A+The+Only+Way+to+Guarantee+Your+Fair+Share+of+Stock+Market+Returns%2C+10th+Anniversary+Edition-p-9781119404507", "provides": "Owning the lowest-cost funds (chapter 5, with the all-in costs of active funds in Exhibit 5.1) and the contrast between broad index funds held for the long term and specialised ETFs used for trading (chapter 15, Exhibit 15.1); his case against specialised and narrow ETFs (chapter 15, pp. 180-191) and against betting on sectors (chapter 13, p. 164); his case against smart-beta and factor index funds (chapter 16, pp. 195-205)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Wiley's product page (ISBN 978-1-119-40450-7); full-text search of the archive.org scan littlebookofcomm0000bogl_o5f9: chapter 5 'Focus on the Lowest-Cost Funds' (p. 53) with Exhibit 5.1, all-in costs from 0.9 percent of assets in the lowest-cost quartile of active equity funds to 2.3 percent in the highest; chapter 15 'The Exchange-Traded Fund (ETF)' with Exhibit 15.1. Chapter 15 from p. 179: far less diversification and more risk (p. 180), Exhibit 15.1 broad index funds against specialized ones (p. 181), 950 concentrated, speculative, inverse and leveraged ETFs (p. 184), investors in narrow ETFs likely to fall behind (p. 187), sector ETFs and trading (p. 191); chapter 13, betting on one sector and then another (p. 164). Chapter 16, \"Index Funds That Promise to Beat the Market\": factor funds as active strategies claiming to be indexes (p. 199), scepticism about smart beta (pp. 200-201), the fundamental and dividend-weighted funds proving essentially nothing (p. 203), market-cap-weighted index funds and the market's return (p. 205). Read again on 2026-10-22 through the archive.org viewer's search inside and Google Books' preview (Sharpe's line on p. 206 in both, so the pages agree): p. 199, \"active strategies claiming to be indexes\" and the single factors, size among them; p. 180, \"far less diversification and commensurately more risk\"." }, { "id": "common-sense-2009", "kind": "book", "author": "John C. Bogle", "title": "Common Sense on Mutual Funds", "publisher": "Wiley", "edition": "fully updated 10th anniversary edition", "year": 2009, "url": "https://www.wiley.com/en-us/Common+Sense+on+Mutual+Funds%2C+Fully+Updated+10th+Anniversary+Edition-p-9780470138137", "provides": "The illustration at the close of chapter 3 that sets a low-cost fund's expense ratio at 0.2%, against 1.5% for the average and 2.2% for a high-cost fund; broad diversification over narrow concentration (\"On Indexing\", p. 187)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Wiley's product page (Dec 2009, ISBN 978-0-470-13813-7; the scan and Open Library date it 2010); full-text search of the archive.org scan commonsenseonmut0000bogl: the expense-ratio illustration closing chapter 3, 'On Asset Allocation'. \"On Indexing\", p. 187: broad diversification better than narrow concentration." }, { "id": "faj-2005", "kind": "article", "author": "John C. Bogle", "title": "The Relentless Rules of Humble Arithmetic", "publisher": "Financial Analysts Journal 61(6), 22-35", "edition": "DOI 10.2469/faj.v61.n6.2769", "year": 2005, "url": "https://ideas.repec.org/a/taf/ufajxx/v61y2005i6p22-35.html", "provides": "The cost matters hypothesis by that name: investors as a group earn the market's return less the costs they pay", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The article's abstract on RePEc names the 'cost matters hypothesis' (CMH). The two books state the idea in plain words ('Cost matters') but not by that name." }, { "id": "bogle-on-investing-2001", "kind": "book", "author": "John C. Bogle", "title": "John Bogle on Investing: The First 50 Years", "publisher": "McGraw-Hill", "edition": "first edition", "year": 2001, "url": null, "provides": "Real estate and gold as \"specialty asset classes\" that his simple stock, bond and cash examples ignore, adding that they \"might usefully be considered as ancillary asset classes\" (p. 72): he did not rule them out", "verified": true, "verifiedOn": "2026-10-22", "evidence": "archive.org full-text search of the 2001 McGraw-Hill scan (johnbogleoninves00john_0) and the 2015 Wiley reissue (johnbogleoninves0000bogl), 2026-10-22: \"I have ignored specialty asset classes\", \"such as real estate and gold\", \"which might usefully be considered as ancillary asset classes\", closing his list of what the simplified 50/30/20 examples leave out. The running head places it on p. 72; the original sets the middle phrase between dashes, which the site does not print." }, { "id": "bogle-on-mutual-funds-1994", "kind": "book", "author": "John C. Bogle", "title": "Bogle on Mutual Funds: New Perspectives for the Intelligent Investor", "publisher": "Irwin Professional Publishing", "edition": "first edition", "year": 1994, "url": null, "provides": "His own definition of the funds he warns about: \"Concentrated specialty funds (183) invest in the stocks of a single industry, such as health care, public utilities, or gold mines\" (p. 68, by the book's index)", "verified": true, "verifiedOn": "2026-10-22", "evidence": "archive.org full-text search of the scan bogleonmutualfun0000bogl, 2026-10-22, read twice (two readers): the sentence quoted, followed by \"It is no mean task to decide in which of these five stock groups to invest\". The page is placed by the book's own index (gold funds, pp. 68 and 76); the page image was not viewed. The same chapter holds that some such funds \"may have a role\" and others will not (p. 76 by the index's entries for utility and technology funds). The book does not list real estate funds among them." } ], "published": [ { "text": "Investors as a group earn the market's return before costs, so what they keep is the market's return less what they pay.", "cites": [ "faj-2005" ] }, { "text": "His rule was to choose the lowest-cost funds. The all-in yearly cost of active equity funds runs from about 0.9% of assets in the cheapest quarter to 2.3% in the dearest.", "cites": [ "little-book-2017#chapter 5, p. 57 (Exhibit 5.1)" ] }, { "text": "A low-cost fund is one charging about 0.2% a year, against 1.5% for the average fund and 2.2% for a high-cost one.", "cites": [ "common-sense-2009#chapter 3, p. 104" ] }, { "text": "A broad index fund owned for the long term is the investment; a specialised ETF used for trading is something else, and the trading is a cost of its own.", "cites": [ "little-book-2017#chapter 15, p. 181 (Exhibit 15.1)" ] }, { "text": "Index funds that weight by something other than market value, or chase a single factor, are active strategies under an index's name; the market-weighted index fund is the one that earns the market's return.", "cites": [ "little-book-2017#chapter 16, pp. 199 and 205" ] } ], "criteria": [ { "id": "fee-vs-peers", "label": "Fee against the cheapest comparable fund", "measure": "fee_gap_cheapest_peer", "supports": { "m": "fee_gap_cheapest_peer", "op": "<=", "v": 0.05 }, "challenges": { "m": "fee_gap_cheapest_peer", "op": ">=", "v": 0.25 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "Bogle says to own the lowest-cost fund but gives no margin; within 0.05 points of the cheapest and 0.25 points above it are ETFIQ's. Where the peers track the same index, the seat Supports only where the fund is within 0.05 points of the cheapest: on one index, the cheapest fund is the one Bogle would own, and that is the case Elton, Gruber and Busse (2004) test. Peers are like for like, ETFIQ's rule (2026-10-22): a currency-hedged fund is compared only with currency-hedged funds, read from its index and its N-PORT, never its name, and where it has no such peer the gap is not measured rather than read against a plain fund. Where the peers are only the same segment, a fee 0.10 points or more above the segment's cheapest also keeps the seat from Supporting, ETFIQ's line: a broad fund on another index of the same companies does not escape a fee six times its neighbour's (the Russell Midcap at 0.18% beside the CRSP mid caps at 0.03%).", "weight": 0.2, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "little-book-2017#chapter 5, p. 57", "faj-2005" ], "explain": "Is there a cheaper fund on the same index? Where no other covered fund tracks the fund's index (an active fund, a one-of-a-kind index), the comparison is the cheapest fund in the same segment, and the page says which of the two it used. Only funds of the same construction are compared: a currency-hedged fund against currency-hedged funds.", "research": [ { "paper": "elton-gruber-busse-2004", "stance": "supports", "when": { "m": "fee_peer_set", "op": "==", "v": "same index" }, "note": "Where the peer set is the same index, the test this criterion runs: S&P 500 index funds own the same stocks, and choosing the lowest-cost one beat the funds investors chose." }, { "paper": "elton-gruber-busse-2004", "stance": "context", "when": { "m": "fee_peer_set", "op": "==", "v": "same segment" }, "note": "Where the peer set is a segment, the funds do not own the same index, so the paper is context." }, { "paper": "sharpe-1991", "stance": "supports", "note": "Funds holding the same index earn the same return before costs, so the fee gap between them is what one holder loses against the other.", "when": { "m": "fee_peer_set", "op": "==", "v": "same index" } }, { "paper": "carhart-1997", "stance": "context", "note": "Expenses predict returns after costs across mutual funds; the paper does not compare funds on one index, which is what this measure does where the peer set is the same index." } ], "printWith": [ "fee_peer_set", "fee_construction" ], "needsSupports": { "any": [ { "m": "fee_peer_set", "op": "==", "v": "same index" }, { "all": [ { "m": "fee_peer_set", "op": "==", "v": "same segment" }, { "m": "fee_gap_cheapest_peer", "op": ">=", "v": 0.1 } ] } ] } }, { "id": "fee-level", "label": "The fee against Bogle's cost figures", "measure": "fee", "supports": { "m": "fee", "op": "<=", "v": 0.2 }, "challenges": { "m": "fee", "op": ">=", "v": 0.9 }, "thresholdSource": "etfiq", "thresholdNote": "Both lines are ETFIQ's reading of Bogle's figures, not lines he drew. 0.2% is the low-cost fund in his chapter 3 illustration (Common Sense on Mutual Funds, p. 104), an example fund's fee; 0.9% is the all-in cost (expense ratio plus trading costs) of the cheapest quarter of active equity funds in his Exhibit 5.1, so a fund whose fee alone is 0.9% costs at least that much before it trades.", "weight": 0.2, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "common-sense-2009#chapter 3, p. 104", "little-book-2017#chapter 5, p. 57" ], "explain": "Is the yearly fee low, by Bogle's own low-cost figure?", "research": [ { "paper": "sharpe-1991", "stance": "supports", "note": "After costs the average active dollar trails the passive dollar by its extra cost, so a lower fee is a higher expected return against the same market." }, { "paper": "carhart-1997", "stance": "supports", "note": "Expenses persistently predict mutual fund returns after costs." }, { "paper": "french-2008", "stance": "context", "note": "The cost of active investing came to 0.67% of the market's value a year from 1980 to 2006: the scale of gap this measure reads, though the paper does not test fee levels against returns." } ], "thresholdCite": null }, { "id": "broad", "label": "A broad fund: how many positions it holds", "measure": "breadth", "supports": { "m": "breadth", "op": "==", "v": "broad" }, "challenges": { "m": "breadth", "op": "==", "v": "narrow" }, "thresholdSource": "etfiq", "thresholdNote": "300 positions for broad and under 50 for narrow are ETFIQ's lines; Bogle writes of broad diversification against narrow concentration (Common Sense on Mutual Funds, \"On Indexing\", p. 187) and gives no count. A bond fund's positions are its issues, not its issuers. The Dow's 30 companies (DIA) read narrow. The seat Supports only where the fund is broad: a fund of 50 or 200 of the largest companies is not the whole market Bogle wrote for, though it fails none of his lines.", "weight": 0.2, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "common-sense-2009#\"On Indexing\", p. 187", "little-book-2017#chapter 15, p. 180" ], "explain": "Does the fund own a broad market, or a few dozen positions?", "research": [ { "paper": "french-2008", "stance": "context", "note": "Holding the passive market portfolio instead of paying for active management would have raised the typical investor's return; the paper measures the cost of active investing, not a count of positions." }, { "paper": "sharpe-1991", "stance": "context", "note": "The arithmetic holds for the whole market held in proportion; it says nothing directly about a fund of 300 positions against one of 50." } ], "needsSupports": true }, { "id": "not-specialised", "label": "Not a sector, country or specialised fund", "measure": "specialised", "supports": { "m": "specialised", "op": "==", "v": "no" }, "challenges": { "m": "specialised", "op": "==", "v": "yes" }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The warning is Bogle's own: specialised sector funds offer \"far less diversification and commensurately more risk\" (The Little Book of Common Sense Investing, chapter 15, p. 180), Exhibit 15.1 sets broad index funds against specialized ones (p. 181), investors in narrow ETFs will likely fall well behind (p. 187), and betting on one sector and then another is a loser's game (chapter 13, p. 164). His own definition of the funds he means: \"Concentrated specialty funds (183) invest in the stocks of a single industry, such as health care, public utilities, or gold mines\" (Bogle on Mutual Funds, 1994, p. 68, by the book's index). Health care and utilities are sectors, so the eleven standard sectors count; real estate, a sector of its own, counts by the same measure, and that is ETFIQ's mapping, not his list: his only words on real estate say his simple examples ignored it and gold, which \"might usefully be considered as ancillary asset classes\" (John Bogle on Investing, 2001, p. 72), so he did not rule them out. Single countries and regions, single commodities and currencies, and every fund on ETFIQ's specialised desks count too, ETFIQ's mapping as well. Read from what the fund holds: each holding is placed in the sector whose sector funds own it, and a fund with one sector at 80% of its placed weight, or two at 90%, is specialised (ETFIQ's lines); only where under 80% of its weight can be placed does its segment decide. It decides the seat alone.", "weight": 0.2, "required": true, "veto": true, "appliesTo": null, "sourceCites": [ "little-book-2017#chapter 15, pp. 180, 181 (Exhibit 15.1), 184, 187 and 191", "little-book-2017#chapter 13, p. 164", "bogle-on-mutual-funds-1994#p. 68", "bogle-on-investing-2001#p. 72" ], "explain": "Is the fund a narrow sector, country or specialised product, the kind Bogle wrote against?", "research": [ { "paper": "ben-david-franzoni-kim-moussawi-2023", "stance": "supports", "note": "Specialised ETFs, which track niche portfolios and charge higher fees, lost about 30% risk-adjusted over their first five years." } ] }, { "id": "market-weights", "label": "The market at market weights, not a factor or smart-beta index", "measure": "weighting", "supports": { "m": "weighting", "op": "==", "v": "market" }, "challenges": { "m": "weighting", "op": "==", "v": "tilt" }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The line is Bogle's: smart beta managers create their own indexes, which he calls not indexes in the traditional sense but \"active strategies claiming to be indexes\", weighted by dividends or a single factor rather than by market capitalization (The Little Book of Common Sense Investing, 2017, chapter 16, p. 199); the fundamental and dividend-weighted funds he tested had proven \"essentially nothing\" (p. 203), and market-weighted index funds \"guarantee that you will receive your fair share\" of the market's return (p. 205). How it is read is ETFIQ's, and only on positive evidence. For a US fund, market weights need two sources to agree. The fund's holdings: its own N-PORT gives each stock's value and the shares held, and each company's filings give its shares outstanding, so the fund is compared with a cap-weighted version of itself on one day. And its own words: a word in its name or its index's that says a factor, a style, ESG, a screen, an exclusion (\"ex\" before a name, such as ex S&P 100 or ex Top 20, where ex US and ex United States only name the region an international fund covers) or a trading rule (trend, tactical, adaptive, rotation, risk management, moving average), or a prospectus that says one, makes it a tilt whatever the holdings show. More than 2.5% of a fund's weight above 1.15 times its stocks' market values is another weighting; float, which holds a closely held company below its market value, lifts every other holding a little above its own, so where a fund's typical holding already sits above 1.10 times its market value an excess under 10% is not measured. A fund whose holdings reach the market's 20 largest companies but own under 95% of the market value in its range, or leave out a sector of it, screens. Bogle's books say nothing of screened or socially responsible funds beyond Vanguard's launching one (a full-text search of ten of them, 2026-10-22), so reading a screen as a tilt is ETFIQ's: a fund that leaves out part of its market does not own it. A fund of funds is read through its funds' own readings. A foreign or global fund, whose companies file no 10-K and so cannot all be priced, reads market on one source, its own prospectus, only where it says market capitalization and its name and index say no tilt. In a comparison, where one fund's weights cannot be read, the line is read on none of them. Every line is ETFIQ's. A tilt keeps the seat from Supporting and never decides it on its own, and so does a line that could not be read. ETFIQ reads a cap-weighted mid- or small-cap fund as market weights, although Bogle names size among the factors.", "weight": 0.2, "required": false, "veto": false, "capsAt": "mixed", "appliesTo": { "m": "category_key", "op": "==", "v": "stocks" }, "sourceCites": [ "little-book-2017#chapter 16, \"Index Funds That Promise to Beat the Market\", pp. 199, 203 and 205" ], "explain": "Does the fund own its market at market weights, or tilt it towards a factor, a style or another weighting?", "research": [], "capsUnread": true, "likeForLike": true } ], "rankBy": { "m": "fee", "order": "asc" }, "buildRule": "In each sleeve, the fund with the lowest fee among funds owning that sleeve's index or segment.", "cannotMeasure": [ "Portfolio turnover, which Bogle counts as a cost (his rule of thumb in chapter 5, p. 56: trading costs come to about 1% of the turnover rate, so 100% turnover costs about 1% of assets a year): ETFIQ does not yet carry each fund's turnover rate.", "Trading costs paid by the holder (spreads, commissions) and taxes, which are part of what Bogle means by all-in cost.", "How long the holder keeps the fund: the trading Bogle warns about is behaviour, not a property of the fund." ], "unverified": [ { "claim": "Index fund expense ratios 'as low as 0.04 percent' and all-in cost of 'just four basis points' in the 2017 Little Book.", "why": "Seen in the scan's search results but not tied to a chapter, so not used as a threshold." }, { "claim": "An adviser-fee line of 0.75% (0.5% above $5 million) in the 2017 Little Book.", "why": "Probably a quoted source in chapter 12; neither the chapter nor the speaker is confirmed. Not used." }, { "claim": "The cost matters hypothesis stated by name inside either book, or in Don't Count on It! (2011).", "why": "No hit in the full-text search of four scans; the 2011 book was not seen. The seat cites the 2005 article for the name." } ], "quote": { "chosen": true, "text": "Don't look for the needle in the haystack. Just buy the haystack!", "by": "John Bogle", "source": "The Little Book of Common Sense Investing, 10th anniversary edition (Wiley, 2017), chapter 10", "candidatesIn": "docs/committee/profiles/john-bogle.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "1.1", "date": "2026-10-21", "change": "The peer set is named per fund (same index, or same segment where no other fund tracks its index); the alternatives, prediction-market and sports-team desks count as specialised and breadth must be read before the seat can Support; 0.9% is labelled ETFIQ's reading of Bogle's all-in figure; Elton, Gruber and Busse (2004) and Ben-David, Franzoni, Kim and Moussawi (2023) added. Weights moved to 25% peer gap, 35% fee level, 40% breadth, so being the cheapest of a specialised segment no longer offsets a high fee and a narrow fund." }, { "version": "1.2", "date": "2026-10-21", "change": "Sector, country and specialised funds read as Bogle wrote of them, a line that decides the seat alone; breadth is counted in positions only; both fee lines are labelled ETFIQ's reading; the four criteria weigh a quarter each." }, { "version": "1.3", "date": "2026-10-22", "change": "Factor, smart-beta, dividend, equal-weight and style index funds read as Bogle wrote of them in chapter 16, a line that keeps the seat from Supporting; a single-commodity fund reads specialised; the five criteria weigh a fifth each." }, { "version": "1.4", "date": "2026-10-22", "change": "The specialised line is Bogle's own list, real estate among the sectors on his words; the smart-beta line is read from each fund's prospectus, index and holdings, against its own house's broad fund, and an unread line keeps the seat from Supporting." }, { "version": "1.5", "date": "2026-10-22", "change": "The smart-beta line is read from what each fund holds, against a cap-weighted version of itself from its own N-PORT, and a screen is read as a tilt (ETFIQ's line); the specialised line rests on Bogle's single-industry definition, with real estate counted by ETFIQ's mapping and his p. 72 words quoted as he wrote them." }, { "version": "1.6", "date": "2026-10-22", "change": "On positive evidence only: market weights need the holdings and the fund's own words to agree, a fund of funds is read through its funds, a foreign fund needs its prospectus, and an excess that float can explain is not measured; the specialised line is read from the holdings' sectors." }, { "version": "1.7", "date": "2026-10-22", "change": "Breadth must read Supports for the seat to Support; ex United States names a region; trend, tactical and risk-management indexes read as tilts; a fund filed in a sector or country segment stays specialised whatever its holdings vote; a foreign fund's market weights are said to rest on its prospectus alone; a comparison reads market weights on every fund or on none." }, { "version": "1.8", "date": "2026-10-22", "change": "Against peers on the same index, a fee more than 0.05 points above the cheapest keeps the seat from Supporting." }, { "version": "1.9", "date": "2026-10-22", "change": "Against peers in the same segment, a fee 0.10 points or more above the cheapest keeps the seat from Supporting." }, { "version": "2.0", "date": "2026-10-22", "change": "Fees are compared like for like: a currency-hedged fund only with currency-hedged funds, and not measured where it has no such peer." } ], "weightsNote": "Each criterion weighs a fifth: Bogle ranks none of his points above another, so ETFIQ weights them equally, and no weight was set to land a fund on a state. The specialised line decides the seat alone, and the smart-beta line keeps it from Supporting, because both are his own warnings." }, "cases": { "schema": 1, "seat": "low-cost", "cases": [ { "id": "index-fund-0.03", "kind": "fixture", "title": "A 0.03% S&P 500 index fund", "measures": { "category_key": "stocks", "fee": 0.03, "fee_gap_cheapest_peer": 0.0, "breadth": "broad", "specialised": "no", "weighting": "market" }, "expect": { "state": "supports", "criteria": { "fee-level": "supports", "broad": "supports", "not-specialised": "supports", "market-weights": "supports" } }, "why": "The textbook case: the whole market at the lowest fee on its index." }, { "id": "theme-fund-0.95", "kind": "fixture", "title": "A 0.95% thematic fund", "measures": { "category_key": "themes", "fee": 0.95, "fee_gap_cheapest_peer": 0.5, "breadth": "between", "specialised": "yes", "weighting": null }, "expect": { "state": "challenges", "criteria": { "fee-level": "challenges", "not-specialised": "challenges", "fee-vs-peers": "challenges" } }, "why": "Above Bogle's 0.9% figure, dearer than its peers, and a specialised slice." }, { "id": "segment-gap-0.10", "kind": "fixture", "title": "A broad fund at 0.25%, 0.10 points above the cheapest in its segment", "measures": { "category_key": "stocks", "fee_peer_set": "same segment", "breadth": "broad", "specialised": "no", "weighting": "market", "fee": 0.25, "fee_gap_cheapest_peer": 0.1 }, "expect": { "state": "mixed", "criteria": { "fee-vs-peers": "mixed", "fee-level": "mixed", "broad": "supports" } }, "why": "A fee 0.10 points or more above the cheapest in its segment keeps the seat from Supporting, the line included: a broad, market-weighted fund on another index of the same companies still costs more than its neighbour." }, { "id": "compare-sp500", "kind": "compare-fixture", "title": "Two S&P 500 funds, a Nasdaq-100 fund and a theme fund", "subjects": { "VOO": { "category_key": "stocks", "fee": 0.03, "fee_gap_cheapest_peer": 0.0, "breadth": "broad", "specialised": "no", "weighting": "market" }, "SPY": { "category_key": "stocks", "fee": 0.0945, "fee_gap_cheapest_peer": 0.0645, "breadth": "broad", "specialised": "no", "weighting": "market" }, "QQQ": { "category_key": "stocks", "fee": 0.18, "fee_gap_cheapest_peer": 0.03, "breadth": "between", "specialised": "no", "weighting": "market" }, "ARKK": { "category_key": "themes", "fee": 0.75, "fee_gap_cheapest_peer": 0.55, "breadth": "between", "specialised": "yes", "weighting": null } }, "expect": { "first": "VOO" }, "why": "The 0.03% index fund comes first." }, { "id": "segment-gap-0.08", "kind": "fixture", "title": "The same fund 0.08 points above the cheapest in its segment", "measures": { "category_key": "stocks", "fee_peer_set": "same segment", "breadth": "broad", "specialised": "no", "weighting": "market", "fee": 0.25, "fee_gap_cheapest_peer": 0.08 }, "expect": { "state": "supports", "criteria": { "fee-vs-peers": "mixed", "fee-level": "mixed" } }, "why": "Under 0.10 points above the cheapest in its segment, a fund on another index is not held back by the gap; on the same index the line is 0.05 points." }, { "id": "smart-beta", "kind": "fixture", "title": "A cheap, broad momentum index fund", "measures": { "category_key": "stocks", "fee": 0.15, "fee_gap_cheapest_peer": 0.0, "breadth": "broad", "specialised": "no", "weighting": "tilt" }, "expect": { "state": "mixed", "criteria": { "market-weights": "challenges" } }, "why": "Cheap and broad, but weighted by a factor: Bogle calls such funds active strategies claiming to be indexes (chapter 16, p. 199), so the seat cannot Support it, and nothing else in it Challenges." }, { "id": "sector-against-factor", "kind": "compare-fixture", "title": "A cheap sector fund against a factor fund", "subjects": { "VGT": { "category_key": "stocks", "fee": 0.09, "fee_gap_cheapest_peer": 0.01, "breadth": "broad", "specialised": "yes", "weighting": "market" }, "MTUM": { "category_key": "stocks", "fee": 0.15, "fee_gap_cheapest_peer": 0.0, "breadth": "between", "specialised": "no", "weighting": "tilt" } }, "expect": { "order": [ "MTUM", "VGT" ] }, "why": "The sector fund scores higher (0.6 against 0.4) but the seat Challenges it on Bogle's specialised line, so it ranks below the factor fund the seat reads as Mixed: state first, then score." }, { "id": "one-index-one-unread", "kind": "compare-fixture", "title": "Two funds on one developed-markets index, one of them unread", "subjects": { "DEVA": { "category_key": "stocks", "fee_gap_cheapest_peer": 0.0, "breadth": "broad", "specialised": "no", "fee": 0.05, "weighting": "market" }, "DEVB": { "category_key": "stocks", "fee_gap_cheapest_peer": 0.0, "breadth": "broad", "specialised": "no", "fee": 0.03, "weighting": null } }, "expect": { "first": "DEVB" }, "why": "The first fund's weights read as market weights and the second's cannot be read. Read on one fund only, the line would put the dearer fund first; read on neither, the cheaper fund comes first, as Bogle would have it." }, { "id": "live-specialised", "kind": "live-set", "title": "Specialised funds: TQQQ, SVOL, VGT and XLRE", "subjects": [ "TQQQ", "SVOL", "VGT", "XLRE", "IYC", "IXP" ], "expect": { "state": "challenges", "criteria": { "not-specialised": "challenges" } }, "why": "A 3x daily fund, a short-volatility futures fund, a technology fund of 302 positions and the real estate sector of the S&P 500: each one strategy or one sector, which ETFIQ counts as a single industry on Bogle's own definition of a concentrated specialty fund. IYC and IXP, a consumer and a communications sector fund, stay specialised though their holdings place part of their weight in technology: a fund filed in a sector is never cleared by its holdings.", "checkedOn": "2026-10-22", "whyTemplate": "A 3x daily fund, a short-volatility futures fund, a technology fund of {vgt} positions and the real estate sector of the S&P 500: each one strategy or one sector, which ETFIQ counts as a single industry on Bogle's own definition of a concentrated specialty fund. IYC and IXP, a consumer and a communications sector fund, stay specialised though their holdings place part of their weight in technology: a fund filed in a sector is never cleared by its holdings.", "figures": [ { "name": "vgt", "from": "lt:holdings", "fmt": "d", "fund": "VGT" } ], "measuresSeen": { "vgt": 302 } }, { "id": "live-tilts", "kind": "live-set", "title": "Earnings, factor, historical-weight, ESG, selection, exclusion and fund-of-funds tilts: EPS, FLQL, DSPY, ESGV, SHE, SPYX, VDG, QVMM, QVMS, XJH, XJR, CVMC, LDEM, EMXC, VEXC, QNXT and AVGE", "subjects": [ "EPS", "FLQL", "DSPY", "ESGV", "SHE", "SPYX", "VDG", "QVMM", "QVMS", "XJH", "XJR", "CVMC", "LDEM", "EMXC", "VEXC", "QNXT", "AVGE", "XOEF", "PTLC", "WAMA" ], "expect": { "not": "supports", "criteria": { "market-weights": "challenges" } }, "why": "For a US fund, market weights need two sources to agree, the holdings and the fund's own words. EPS, FLQL, DSPY and SHE carry 13.1% to 25.9% of their weight above 1.15 times their stocks' market values; ESGV and SPYX leave out part of their range. The rest say it of themselves: VDG a growth index, QVMM and QVMS multi-factor, XJH and XJR ESG screened, CVMC responsible, LDEM ESG leaders, EMXC and VEXC emerging markets ex China, QNXT the Nasdaq-100 ex its top 30. AVGE is a fund of funds whose funds read tilts (AVUS, AVLV). XOEF says \"ex S&P 100\" of itself; PTLC (Trendpilot) and WAMA (an adaptive moving average) follow a trading rule, which Bogle calls an active strategy claiming to be an index.", "checkedOn": "2026-10-22", "figures": [ { "name": "low", "from": "lt:marketWeights.overweight", "fmt": ".1f", "funds": [ "EPS", "FLQL", "DSPY", "SHE" ], "agg": "min" }, { "name": "high", "from": "lt:marketWeights.overweight", "fmt": ".1f", "funds": [ "EPS", "FLQL", "DSPY", "SHE" ], "agg": "max" } ], "whyTemplate": "For a US fund, market weights need two sources to agree, the holdings and the fund's own words. EPS, FLQL, DSPY and SHE carry {low}% to {high}% of their weight above 1.15 times their stocks' market values; ESGV and SPYX leave out part of their range. The rest say it of themselves: VDG a growth index, QVMM and QVMS multi-factor, XJH and XJR ESG screened, CVMC responsible, LDEM ESG leaders, EMXC and VEXC emerging markets ex China, QNXT the Nasdaq-100 ex its top 30. AVGE is a fund of funds whose funds read tilts (AVUS, AVLV). XOEF says \"ex S&P 100\" of itself; PTLC (Trendpilot) and WAMA (an adaptive moving average) follow a trading rule, which Bogle calls an active strategy claiming to be an index.", "measuresSeen": { "low": 13.1, "high": 25.9 } }, { "id": "live-market", "kind": "live-set", "title": "Cap-weighted funds of every size and house: VOO, VTI, ITOT, VO, IJH, IJR, IWM and VXUS, and HFXI, currency-hedged", "subjects": [ "VOO", "VTI", "ITOT", "IJH", "IJR", "VXUS", "VT", "BKIE", "HFXI" ], "expect": { "state": "supports", "criteria": { "market-weights": "supports" } }, "why": "The S&P 500, the total market at Vanguard and iShares and the S&P 400 and 600, each with at most 0.07% of its weight above 1.15 times its stocks' market values in its own N-PORT, whatever its house prints in its daily file, and nothing in its name or index to say otherwise; and total international stocks, whose prospectus alone says market capitalization. Each is cheap and broad as well, so each Supports. VT and BKIE, whose companies are mostly outside the US, read market weights on their own prospectus alone, which says market capitalization, with nothing in their name or index to say otherwise; BKIE's index is \"ex United States\", a region, not an exclusion. HFXI, half its currency hedged, is compared only with the currency-hedged funds in its segment, like for like, and it is the cheapest of them (0.20% against DBEF's 0.35% and DBAW's 0.40%), so it Supports too.", "checkedOn": "2026-10-22", "figures": [ { "name": "top", "from": "lt:marketWeights.overweight", "fmt": ".2f", "funds": [ "VOO", "VTI", "ITOT", "IJH", "IJR" ], "agg": "max" }, { "name": "hfxiGap", "from": "live:fee_gap_cheapest_peer", "fmt": "g", "fund": "HFXI" }, { "name": "hfxiFee", "from": "live:fee", "fmt": ".2f", "fund": "HFXI" }, { "name": "dbefFee", "from": "live:fee", "fmt": ".2f", "fund": "DBEF" }, { "name": "dbawFee", "from": "live:fee", "fmt": ".2f", "fund": "DBAW" } ], "whyTemplate": "The S&P 500, the total market at Vanguard and iShares and the S&P 400 and 600, each with at most {top}% of its weight above 1.15 times its stocks' market values in its own N-PORT, whatever its house prints in its daily file, and nothing in its name or index to say otherwise; and total international stocks, whose prospectus alone says market capitalization. Each is cheap and broad as well, so each Supports. VT and BKIE, whose companies are mostly outside the US, read market weights on their own prospectus alone, which says market capitalization, with nothing in their name or index to say otherwise; BKIE's index is \"ex United States\", a region, not an exclusion. HFXI, half its currency hedged, is compared only with the currency-hedged funds in its segment, like for like: at {hfxiFee}%, against DBEF's {dbefFee}% and DBAW's {dbawFee}%, its fee sits {hfxiGap} points above the cheapest of them, so it Supports too.", "measuresSeen": { "top": 0.07, "hfxiGap": 0.0, "hfxiFee": 0.2, "dbefFee": 0.35, "dbawFee": 0.4 }, "whyTemplateWhen": [ { "if": { "m": "hfxiGap", "op": "==", "v": 0 }, "template": "The S&P 500, the total market at Vanguard and iShares and the S&P 400 and 600, each with at most {top}% of its weight above 1.15 times its stocks' market values in its own N-PORT, whatever its house prints in its daily file, and nothing in its name or index to say otherwise; and total international stocks, whose prospectus alone says market capitalization. Each is cheap and broad as well, so each Supports. VT and BKIE, whose companies are mostly outside the US, read market weights on their own prospectus alone, which says market capitalization, with nothing in their name or index to say otherwise; BKIE's index is \"ex United States\", a region, not an exclusion. HFXI, half its currency hedged, is compared only with the currency-hedged funds in its segment, like for like, and it is the cheapest of them ({hfxiFee}% against DBEF's {dbefFee}% and DBAW's {dbawFee}%), so it Supports too." } ] }, { "id": "live-held-back", "kind": "live-set", "subjects": [ "IWC", "XLG", "IWL", "VO", "IWM", "IWR", "STXK" ], "expect": { "not": "supports" }, "why": "Each kept from Supporting by a line it could not clear, never by a guess. IWC, the Russell Microcap: 3.72% of its weight above 1.15 times its market values cannot be told from float, so its weights are not measured. XLG, IWL and VO own 52, 201 and 273 companies at market weights: under the 300 that read broad, so the seat, which needs breadth to Support, reads Mixed. IWM, the Russell 2000, costs 0.19%, 0.13 points above the cheapest fund on its index, and the seat Supports only the cheapest on one index or within 0.05 points of it. IWR, the Russell Midcap, costs 0.18%, 0.15 points above the cheapest fund in its segment, and STXK 0.15 points above, and the seat Supports a fund on another index only within 0.10 points of its segment's cheapest.", "checkedOn": "2026-10-22", "figures": [ { "name": "iwcOver", "from": "lt:marketWeights.overweight", "fmt": ".2f", "fund": "IWC" }, { "name": "xlg", "from": "lt:holdings", "fmt": "d", "fund": "XLG" }, { "name": "iwl", "from": "lt:holdings", "fmt": "d", "fund": "IWL" }, { "name": "vo", "from": "lt:holdings", "fmt": "d", "fund": "VO" }, { "name": "iwmFee", "from": "live:fee", "fmt": "g", "fund": "IWM" }, { "name": "iwmGap", "from": "live:fee_gap_cheapest_peer", "fmt": "g", "fund": "IWM" }, { "name": "iwrFee", "from": "live:fee", "fmt": "g", "fund": "IWR" }, { "name": "iwrGap", "from": "live:fee_gap_cheapest_peer", "fmt": "g", "fund": "IWR" }, { "name": "stxkGap", "from": "live:fee_gap_cheapest_peer", "fmt": "g", "fund": "STXK" } ], "whyTemplate": "Each kept from Supporting by a line it could not clear, never by a guess. IWC, the Russell Microcap: {iwcOver}% of its weight above 1.15 times its market values cannot be told from float, so its weights are not measured. XLG, IWL and VO own {xlg}, {iwl} and {vo} companies at market weights: under the 300 that read broad, so the seat, which needs breadth to Support, reads Mixed. IWM, the Russell 2000, costs {iwmFee}%, {iwmGap} points above the cheapest fund on its index, and the seat Supports only the cheapest on one index or within 0.05 points of it. IWR, the Russell Midcap, costs {iwrFee}%, {iwrGap} points above the cheapest fund in its segment, and STXK {stxkGap} points above, and the seat Supports a fund on another index only within 0.10 points of its segment's cheapest.", "measuresSeen": { "iwcOver": 3.72, "xlg": 52, "iwl": 201, "vo": 273, "iwmFee": 0.19, "iwmGap": 0.13, "iwrFee": 0.18, "iwrGap": 0.15, "stxkGap": 0.15 } } ] } }, { "id": "margin-of-safety", "kind": "investor", "name": "Graham-style Margin of Safety", "short": "Margin of Safety", "tradition": "Benjamin Graham", "byline": "in the tradition of Benjamin Graham", "question": "Are you paying less than the holdings are worth?", "page": "/investment-committee/benjamin-graham/", "slug": "benjamin-graham", "philosophySlug": "margin-of-safety", "redirectIfObjected": "/investment-committee/margin-of-safety/", "title": "Benjamin Graham's philosophy, applied to ETFs", "person": "Benjamin Graham", "profile": "docs/committee/profiles/benjamin-graham.md", "config": { "schema": 1, "seat": "margin-of-safety", "version": "1.0", "date": "2026-10-22", "strength": "strong", "strengthNote": "Graham's own book. His seven tests and his outer price limit carry his own numbers; reading them on a fund as one company is how he read the Dow, and the parts of that reading he states only in words are ETFIQ's, labelled.", "sourcedTo": "Benjamin Graham's own book, The Intelligent Investor", "aggregation": "every-test", "aggregationNote": "The seven tests are read on the fund as one company, and the state follows Graham, who asked for all seven: a price test beyond its band Challenges; a price test that cannot be read leaves the seat Not enough data; a test read and failed, or a price within its band, makes it Mixed, since no reading of the rest could change that; a test that applies still unread then leaves it Not enough data; all that apply met Supports. Financial condition does not apply to a fund half or more in financial companies, which Graham sets no such test.", "scope": { "appliesTo": { "m": "lt_holdings", "op": ">=", "v": 10 }, "note": "A fund of ten holdings or more, read as one company: Graham asked the defensive investor for at least ten issues (ch. 5, p. 114). A fund with no look-through has no group to read." }, "works": [ { "id": "intelligent-investor-2003", "kind": "book", "author": "Benjamin Graham", "title": "The Intelligent Investor", "publisher": "HarperBusiness", "edition": "revised edition, updated with new commentary by Jason Zweig, 2003; its chapter text is Graham's 1973 fourth revised edition, and pages are cited from it", "year": 2003, "url": "https://openlibrary.org/books/OL5907461M", "provides": "The defensive investor's four rules for the stock portfolio, among them at least ten issues and an outer limit on price (ch. 5, pp. 114-115); the seven tests of size, financial condition, earnings stability, dividend record, earnings growth and price (ch. 14, pp. 348-349) and their reading on the Dow Jones Industrial Average as a group at the end of 1970 (ch. 14, p. 350); the margin of safety (ch. 20)", "verified": true, "verifiedOn": "2026-10-22", "evidence": "Read on 2026-10-22 in a scanned copy of the 2003 revised edition, by its printed page numbers: ch. 5, rules 1 and 4 (pp. 114-115: a minimum of ten issues; a price limit of 25 times average earnings of the past seven years and 20 times those of the last twelve months); ch. 14, pp. 348-350 (the seven tests in his words, and the Dow at the end of 1970). Chapters 1, 4, 5, 8 and 20 were checked against scanned copies on 2026-10-21 (docs/committee/profiles/benjamin-graham.md)." } ], "published": [ { "text": "Pay well below what a business is worth, so that mistakes and bad luck still leave you whole.", "cites": [ "intelligent-investor-2003#ch. 20, p. 512" ] }, { "text": "The defensive investor owns ten to about thirty large, prominent, conservatively financed companies.", "cites": [ "intelligent-investor-2003#ch. 5, p. 114" ] }, { "text": "Set an outer limit on price: 25 times average earnings of the past seven years, and 20 times the last twelve months'.", "cites": [ "intelligent-investor-2003#ch. 5, rule 4, p. 115" ] }, { "text": "Seven tests for each company: size, financial condition, earnings stability, dividend record, earnings growth, and a moderate price against earnings and against assets.", "cites": [ "intelligent-investor-2003#ch. 14, pp. 348-349" ] }, { "text": "He read the seven tests on the Dow as a whole at the end of 1970, which met them all, two of them only just.", "cites": [ "intelligent-investor-2003#ch. 14, p. 350" ] } ], "criteria": [ { "id": "moderate-pe", "label": "Price against three years' earnings", "measure": "lt_graham_pe3y", "supports": { "all": [ { "m": "lt_graham_pe3y", "op": "<=", "v": 15.0, "line": "graham.pe3y", "edge": "investor" }, { "m": "lt_graham_eps3y_positive", "op": "==", "v": true } ] }, "challenges": { "all": [ { "any": [ { "m": "lt_graham_pe3y", "op": ">", "v": 15.0, "line": "graham.pe3y", "edge": "investor" }, { "m": "lt_graham_eps3y_positive", "op": "==", "v": false } ] }, { "any": [ { "m": "lt_graham_pe7y", "op": ">", "v": 25.0, "line": "graham.pe3y", "edge": "pe7y" }, { "m": "lt_graham_eps7y_positive", "op": "==", "v": false }, { "m": "lt_graham_pe_ttm", "op": ">", "v": 20.0, "line": "graham.pe3y", "edge": "peTtm" }, { "m": "lt_graham_eps_ttm_positive", "op": "==", "v": false } ] } ] }, "thresholdSource": "investor", "thresholdCite": [ "intelligent-investor-2003#ch. 14, p. 349", "intelligent-investor-2003#ch. 5, rule 4, p. 115" ], "thresholdNote": "Both lines are Graham's own, each written for one company; reading them on the fund as one company is ETFIQ's, as for all seven tests. The seat Supports only at 15 times average earnings of the last three years or less (ch. 14). Above it, the group reads Mixed while it stays within his outer limit for the defensive investor, 25 times average earnings of the last seven years and 20 times the last twelve months' (ch. 5), and Challenges beyond either. Within the limit is never a pass, and where either outer figure is unread a group above 15 is Not enough data.", "weight": 0.2, "required": true, "veto": true, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 349", "intelligent-investor-2003#ch. 5, rule 4, p. 115" ], "printWith": [ "lt_graham_pe7y", "lt_graham_pe_ttm" ], "explain": "Is the fund, read as one company, priced at a moderate multiple of its earnings?", "research": [ { "paper": "oppenheimer-1984", "stance": "context", "note": "Tests the earnings-yield and debt screen from Graham's last interviews, not the seven defensive tests." }, { "paper": "kartikasari-2016", "stance": "weakens", "note": "The one study of the defensive tests themselves: held strictly, they leave almost nothing to own." } ] }, { "id": "moderate-price-to-assets", "label": "Price against book value", "measure": "lt_graham_pb", "supports": { "any": [ { "m": "lt_graham_pb", "op": "<=", "v": 1.5, "line": "graham.pb", "edge": "investor" }, { "all": [ { "m": "lt_graham_pe_x_pb_read", "op": "==", "v": true }, { "m": "lt_graham_pe_x_pb", "op": "<=", "v": 22.5, "line": "graham.peXpb", "edge": "investor" } ] } ] }, "challenges": { "all": [ { "m": "lt_graham_pb", "op": ">", "v": 1.5750000000000002, "line": "graham.pb", "edge": "band" }, { "any": [ { "m": "lt_graham_pe_x_pb_read", "op": "==", "v": false }, { "m": "lt_graham_pe_x_pb", "op": ">", "v": 23.625, "line": "graham.peXpb", "edge": "band" } ] } ] }, "thresholdSource": "split", "thresholdBySide": { "supports": { "source": "investor", "cite": [ "intelligent-investor-2003#ch. 14, p. 349" ] }, "challenges": { "source": "etfiq", "cite": [] } }, "thresholdNote": "Graham's line is 1.5 times book value, or a P/E times P/B of 22.5, and the seat Supports only within it. The product is the group's own P/E times its own P/B. Graham gave no looser line, so the band is ETFIQ's and narrow: 5% of each line, for the months between the book value filed and the price. Beyond both bands the seat Challenges.", "weight": 0.2, "required": true, "veto": true, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 349" ], "printWith": [ "lt_graham_pe_x_pb" ], "explain": "Is the fund, read as one company, priced at a moderate multiple of its book value?", "research": [ { "paper": "oppenheimer-1986", "stance": "context", "note": "Tests net current asset value, not this test." }, { "paper": "vu-1988", "stance": "context", "note": "Tests net current asset value, not this test." }, { "paper": "xiao-arnold-2008", "stance": "context", "note": "Tests net current asset value, not this test." } ] }, { "id": "adequate-size", "label": "Adequate size", "measure": "lt_graham_size", "supports": { "m": "lt_graham_size", "op": "==", "v": true }, "challenges": { "m": "lt_graham_size", "op": "==", "v": false }, "thresholdSource": "etfiq", "thresholdNote": "Graham's $100 million of annual sales in 1972 is $750 million in 2024 dollars by the CPI-U, ETFIQ's conversion; reading it on the weighted median holding is ETFIQ's reading of a test he states company by company.", "weight": 0.12, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 348" ], "explain": "Are the companies large enough to have weathered bad years?", "research": [] }, { "id": "financial-condition", "label": "Strong financial condition", "measure": "lt_graham_financial_condition", "supports": { "m": "lt_graham_financial_condition", "op": "==", "v": true }, "challenges": { "m": "lt_graham_financial_condition", "op": "==", "v": false }, "thresholdSource": "etfiq", "thresholdNote": "Graham's company lines are his: current assets at least twice current liabilities and long-term debt within net current assets for an industrial company, debt within twice equity for a utility. Reading them as a number on the group is ETFIQ's, where he judged the Dow's condition adequate in the aggregate in words (p. 350). Financial companies are left out, as he sets them no such test, the soundness he calls more relevant there being assured, he writes, by regulation and supervision (pp. 360-361), and where they carry half the fund's weight or more the test does not apply to the fund at all (ETFIQ's line): the other tests decide.", "weight": 0.12, "required": false, "veto": false, "appliesTo": { "m": "lt_graham_financials_share", "op": "<", "v": 50.0 }, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 348", "intelligent-investor-2003#ch. 14, p. 360" ], "explain": "Do the companies, taken together, carry more short-term assets than short-term debts, and little long-term debt?", "research": [ { "paper": "piotroski-2000", "stance": "context", "note": "Tests the F-score, not this test." } ] }, { "id": "earnings-stability", "label": "Earnings stability", "measure": "lt_graham_earnings_stability", "supports": { "m": "lt_graham_earnings_stability", "op": "==", "v": true }, "challenges": { "m": "lt_graham_earnings_stability", "op": "==", "v": false }, "thresholdSource": "investor", "thresholdCite": [ "intelligent-investor-2003#ch. 14, p. 348" ], "thresholdNote": "Some earnings in each of the past ten years, Graham's own, read on the group's earnings.", "weight": 0.12, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 348" ], "explain": "Did the companies, taken together, earn a profit in every one of the last ten years?", "research": [] }, { "id": "dividend-record", "label": "Dividend record", "measure": "lt_graham_dividend_record", "supports": { "m": "lt_graham_dividend_record", "op": "==", "v": true }, "challenges": { "m": "lt_graham_dividend_record", "op": "==", "v": false }, "thresholdSource": "etfiq", "thresholdNote": "Uninterrupted dividends for at least 20 years is Graham's line for a company. Reading it on the fund as the share of weight with twenty years against the share with a year without one, half the weight deciding, is ETFIQ's; a record that simply ends is neither.", "weight": 0.12, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 348" ], "explain": "Have the companies paid a dividend every year for twenty years?", "research": [] }, { "id": "earnings-growth", "label": "Earnings growth", "measure": "lt_graham_earnings_growth", "supports": { "m": "lt_graham_earnings_growth", "op": "==", "v": true }, "challenges": { "m": "lt_graham_earnings_growth", "op": "==", "v": false }, "thresholdSource": "investor", "thresholdCite": [ "intelligent-investor-2003#ch. 14, p. 348" ], "thresholdNote": "Earnings per share up by at least a third over ten years, on three-year averages at each end, Graham's own, read on the group.", "weight": 0.12, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "intelligent-investor-2003#ch. 14, p. 348" ], "explain": "Did the companies, taken together, grow their earnings by a third over ten years?", "research": [] } ], "rankBy": { "m": "lt_graham_pe3y", "order": "asc" }, "buildRule": "In each sleeve, the fund with the lowest group price against three years' earnings, among funds that meet the most of the seven tests.", "cannotMeasure": [ "The intrinsic value Graham's margin is measured from: the seven tests stand in for it.", "A utility on his own size line ($50 million of total assets): a utility is read on sales.", "Holdings without SEC filings, and foreign companies, are not measured, and the share measured is printed." ], "unverified": [ { "claim": "The line that in the short run the market is a voting machine and in the long run a weighing machine.", "why": "It is Buffett's rendering of Graham; the wording was not found in Graham's text of The Intelligent Investor. Not used." } ], "changes": [ { "version": "1.0", "date": "2026-10-22", "change": "First version: the seven tests on the fund read as one company; above his 15 times earnings, Graham's own outer limit reads Mixed, and a narrow band for measurement on price to book." } ], "quote": { "chosen": true, "text": "Confronted with a like challenge to distill the secret of sound investment into three words, we venture the motto, MARGIN OF SAFETY.", "by": "Benjamin Graham", "source": "The Intelligent Investor, chapter 20, \"'Margin of Safety' as the Central Concept of Investment,\" opening paragraph; p. 512 of the 2003 HarperBusiness revised edition", "candidatesIn": "docs/committee/profiles/benjamin-graham.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "launchGate": "Not published until the ETF adaptation is signed off and the nightly look-through publishes for US funds, with the share of weight that meets each test.", "weightsNote": "The state does not weigh the tests. A price test beyond its band Challenges, and a price test that cannot be read leaves the seat Not enough data; any other test read and failed makes it Mixed, since Graham asked for all seven; it Supports only on all seven met. The weights, 20% for each price test and 12% for each of the other five, order funds within a state only." }, "cases": { "schema": 1, "seat": "margin-of-safety", "note": "Textbook fixtures on every rule the seat file holds, and live funds chosen by condition. If a live case fails, report the measured figures: a threshold is never moved to make a case pass.", "cases": [ { "id": "all-seven-met", "kind": "fixture", "title": "A group that meets all seven", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 12.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 14.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 13.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.2, "lt_graham_pe_x_pb": 14.4, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": true, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "supports" }, "why": "Priced at 12 times three years' earnings and 1.2 times book, large, sound, profitable every year, paying dividends for twenty and growing: the Dow at the end of 1970 as Graham read it." }, { "id": "within-outer-limit", "kind": "fixture", "title": "A bank fund above his 15, within his outer limit, its dividends unread", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 18.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 22.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 19.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.55, "lt_graham_pe_x_pb": 27.9, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": null, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": null, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 95.0 }, "expect": { "state": "mixed", "criteria": { "moderate-pe": "mixed", "moderate-price-to-assets": "mixed", "financial-condition": "not_applicable" } }, "why": "18 times three years' earnings is above Graham's 15, but within his outer limit for the defensive investor, 25 times seven years' and 20 times twelve months'; 1.55 times book sits within the narrow band for measurement. Mixed, never a pass, and nothing the dividend record could show would change it. The fund is nearly all banks, which Graham sets no financial-condition test, so that test does not apply." }, { "id": "bank-fund-meets", "kind": "fixture", "title": "A bank fund that meets every test that applies", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 12.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 13.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 11.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.1, "lt_graham_pe_x_pb": 13.2, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": null, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 95.0 }, "expect": { "state": "supports", "criteria": { "financial-condition": "not_applicable" } }, "why": "Priced at 12 times three years' earnings and 1.1 times book, large, profitable every year, paying dividends for twenty and growing. Graham sets banks no financial-condition test, so the six tests that apply decide, and all six are met." }, { "id": "beyond-outer-limit", "kind": "fixture", "title": "Beyond his outer limit", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 30.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 32.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 28.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 5.0, "lt_graham_pe_x_pb": 150.0, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": true, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "challenges", "criteria": { "moderate-pe": "challenges" } }, "why": "30 times three years' earnings, and beyond both of Graham's outer limits: no margin of safety in the price." }, { "id": "cheap-but-weak", "kind": "fixture", "title": "Cheap, with a weak balance sheet", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 12.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 14.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 13.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.2, "lt_graham_pe_x_pb": 14.4, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": false, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "mixed", "criteria": { "financial-condition": "challenges" } }, "why": "Both price tests met, but the companies together carry too little working capital: Graham asked for all seven." }, { "id": "outer-limit-unread", "kind": "fixture", "title": "Above 15, its seven years' earnings unread", "measures": { "lt_holdings": 30, "lt_graham_pe3y": 20.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": null, "lt_graham_eps7y_positive": null, "lt_graham_pe_ttm": 18.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.2, "lt_graham_pe_x_pb": 14.4, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": true, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "not_enough_data" }, "why": "Above Graham's 15, and with seven years' earnings unread it cannot be told whether it sits within his outer limit: a band never turns an unread figure into a reading." }, { "id": "no-earnings", "kind": "fixture", "title": "A group with no earnings to price", "measures": { "lt_holdings": 30, "lt_graham_pe3y": null, "lt_graham_eps3y_positive": false, "lt_graham_pe7y": null, "lt_graham_eps7y_positive": false, "lt_graham_pe_ttm": null, "lt_graham_eps_ttm_positive": false, "lt_graham_pb": 3.0, "lt_graham_pe_x_pb": null, "lt_graham_pe_x_pb_read": false, "lt_graham_size": true, "lt_graham_financial_condition": true, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "challenges", "criteria": { "moderate-pe": "challenges" } }, "why": "The group's earnings over three and seven years are not positive, so it has no P/E at all: no margin of safety." }, { "id": "nine-holdings", "kind": "fixture", "title": "A fund of nine holdings", "measures": { "lt_holdings": 9, "lt_graham_pe3y": 12.0, "lt_graham_eps3y_positive": true, "lt_graham_pe7y": 14.0, "lt_graham_eps7y_positive": true, "lt_graham_pe_ttm": 13.0, "lt_graham_eps_ttm_positive": true, "lt_graham_pb": 1.2, "lt_graham_pe_x_pb": 14.4, "lt_graham_pe_x_pb_read": true, "lt_graham_size": true, "lt_graham_financial_condition": true, "lt_graham_earnings_stability": true, "lt_graham_dividend_record": true, "lt_graham_earnings_growth": true, "lt_graham_financials_share": 10.0 }, "expect": { "state": "not_applicable" }, "why": "Under the ten issues Graham asked the defensive investor to own, so not read as a group." }, { "id": "deep-value-rpv", "kind": "live", "subject": { "ticker": "RPV" }, "expect": { "not": "supports" }, "why": "The S&P 500's cheapest stocks by its Pure Value rules. 54% of its weight can be priced on three years' earnings here, under the 70% the group reading needs, so it reads Not enough data rather than a guess.", "checkedOn": "2026-10-22", "figures": [ { "name": "pricedPct", "from": "lt:grahamGroup.pe3y.measured", "fmt": ".0f", "fund": "RPV" } ], "whyTemplate": "The S&P 500's cheapest stocks by its Pure Value rules. {pricedPct}% of its weight can be priced on three years' earnings here, under the 70% the group reading needs, so it reads Not enough data rather than a guess.", "measuresSeen": { "pricedPct": 54.0 } }, { "id": "small-value-avuv", "kind": "live", "subject": { "ticker": "AVUV" }, "expect": { "not": "supports" }, "why": "Small-cap value, 698 companies. 5% of its weight can be priced on three years' earnings here, far under the 70% the group reading needs, so it reads Not enough data; whatever its prices would show, it is not read as passing.", "checkedOn": "2026-10-22", "figures": [ { "name": "holdings", "from": "lt:holdings", "fmt": "d", "fund": "AVUV" }, { "name": "pricedPct", "from": "lt:grahamGroup.pe3y.measured", "fmt": ".0f", "fund": "AVUV" } ], "whyTemplate": "Small-cap value, {holdings} companies. {pricedPct}% of its weight can be priced on three years' earnings here, far under the 70% the group reading needs, so it reads Not enough data; whatever its prices would show, it is not read as passing.", "measuresSeen": { "holdings": 698, "pricedPct": 5.0 } }, { "id": "growth-vug", "kind": "live", "subject": { "ticker": "VUG" }, "expect": { "state": "challenges" }, "why": "The textbook fail: large-cap growth, priced far above earnings and book.", "checkedOn": "2026-10-20", "measuresSeen": { "segment": "U.S. large-cap growth" } }, { "id": "no-earnings-arkk", "kind": "live", "subject": { "ticker": "ARKK" }, "expect": { "not": "supports" }, "why": "Many holdings with thin or no earnings, and too few of them read (62% of its weight on three years' earnings, 45% on seven) for the group to be priced: no margin of safety can be shown, and the seat says so rather than guessing.", "checkedOn": "2026-10-22", "figures": [ { "name": "priced3yPct", "from": "lt:grahamGroup.pe3y.measured", "fmt": ".0f", "fund": "ARKK" }, { "name": "priced7yPct", "from": "lt:grahamGroup.pe7y.measured", "fmt": ".0f", "fund": "ARKK" } ], "whyTemplate": "Many holdings with thin or no earnings, and too few of them read ({priced3yPct}% of its weight on three years' earnings, {priced7yPct}% on seven) for the group to be priced: no margin of safety can be shown, and the seat says so rather than guessing.", "measuresSeen": { "priced3yPct": 62.0, "priced7yPct": 45.0 } } ] } }, { "id": "quality-fair-price", "kind": "investor", "name": "Buffett & Munger-style Quality", "short": "Quality", "tradition": "Warren Buffett & Charlie Munger", "byline": "in the tradition of Warren Buffett & Charlie Munger", "question": "Durable, high-return businesses?", "page": "/investment-committee/warren-buffett/", "slug": "warren-buffett", "philosophySlug": "quality", "redirectIfObjected": "/investment-committee/quality/", "title": "Buffett & Munger-style Quality, applied to ETFs", "person": "Warren Buffett and Charlie Munger", "profile": "docs/committee/profiles/warren-buffett.md", "config": { "schema": 1, "seat": "quality-fair-price", "version": "1.0", "date": "2026-10-22", "strength": "strong", "strengthNote": "Buffett's own letters to Berkshire's shareholders. They set the bar for quality in words; every number here is ETFIQ's reading of them, labelled.", "sourcedTo": "Warren Buffett's own letters to Berkshire Hathaway's shareholders", "aggregation": "share-of-weight", "aggregationNote": "Each holding is read on the seat's tests, and the state comes from the share of the fund's measured weight alone: Supports where 60% or more meets every test, Mixed where 30% or more meets them or sits within the band, failing none, Challenges below, and Not enough data where under 70% of the weight could be measured. Nothing else softens or lifts it.", "works": [ { "id": "berkshire-1979", "kind": "letter", "author": "Warren E. Buffett", "title": "Berkshire Hathaway 1979 letter to shareholders", "publisher": "Berkshire Hathaway Inc.", "edition": "as published at berkshirehathaway.com/letters", "year": 1979, "url": "https://www.berkshirehathaway.com/letters/1979.html", "provides": "A high earnings rate on equity capital without undue leverage as the primary test of managerial economic performance", "verified": true, "verifiedOn": "2026-10-22", "evidence": "Read at the url on 2026-10-22: \"The primary test of managerial economic performance is the achievement of a high earnings rate on equity capital employed (without undue leverage, accounting gimmickry, etc.)\"." }, { "id": "berkshire-1982", "kind": "letter", "author": "Warren E. Buffett", "title": "Berkshire Hathaway 1982 letter to shareholders", "publisher": "Berkshire Hathaway Inc.", "edition": "as published at berkshirehathaway.com/letters", "year": 1982, "url": "https://www.berkshirehathaway.com/letters/1982.html", "provides": "The acquisition criteria: businesses earning good returns on equity while employing little or no debt, and demonstrated consistent earning power", "verified": true, "verifiedOn": "2026-10-22", "evidence": "Read at the url on 2026-10-22: the acquisition criteria under \"Miscellaneous\", among them \"demonstrated consistent earning power\" and \"businesses earning good returns on equity while employing little or no debt\"." }, { "id": "berkshire-1987", "kind": "letter", "author": "Warren E. Buffett", "title": "Berkshire Hathaway 1987 letter to shareholders", "publisher": "Berkshire Hathaway Inc.", "edition": "as published at berkshirehathaway.com/letters", "year": 1987, "url": "https://www.berkshirehathaway.com/letters/1987.html", "provides": "Fortune's test of economic excellence, which he quotes: an average return on equity over 20% in ten years and no year worse than 15%", "verified": true, "verifiedOn": "2026-10-22", "evidence": "Read at the url on 2026-10-22: \"Only 25 of the 1,000 companies met two tests of economic excellence - an average return on equity of over 20% in the ten years, 1977 through 1986, and no year worse than 15%.\"" }, { "id": "berkshire-1989", "kind": "letter", "author": "Warren E. Buffett", "title": "Berkshire Hathaway 1989 letter to shareholders", "publisher": "Berkshire Hathaway Inc.", "edition": "as published at berkshirehathaway.com/letters", "year": 1989, "url": "https://www.berkshirehathaway.com/letters/1989.html", "provides": "A wonderful company at a fair price rather than a fair company at a wonderful price", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Read at the url on 2026-10-21, section \"Mistakes of the First Twenty-five Years (A Condensed Version)\" (docs/committee/profiles/warren-buffett.md)." }, { "id": "berkshire-1992", "kind": "letter", "author": "Warren E. Buffett", "title": "Berkshire Hathaway 1992 letter to shareholders", "publisher": "Berkshire Hathaway Inc.", "edition": "as published at berkshirehathaway.com/letters", "year": 1992, "url": "https://www.berkshirehathaway.com/letters/1992.html", "provides": "The value of a business as the cash it will produce, discounted at an appropriate interest rate", "verified": true, "verifiedOn": "2026-10-22", "evidence": "Read at the url on 2026-10-22, section \"Common Stock Investments\": the value of any stock, bond or business is determined by its cash inflows and outflows, discounted at an appropriate interest rate." } ], "published": [ { "text": "The first test of a business is a high return on the capital it employs, without leaning on debt.", "cites": [ "berkshire-1979" ] }, { "text": "Look for good returns on equity with little or no debt, and earning power shown consistently.", "cites": [ "berkshire-1982" ] }, { "text": "A wonderful company at a fair price, rather than a fair company at a wonderful price.", "cites": [ "berkshire-1989" ] }, { "text": "A business is worth the cash it will produce, discounted at an appropriate interest rate.", "cites": [ "berkshire-1992" ] } ], "holdingTests": [ { "test": "buffett.returnOnCapital", "label": "A high return without undue leverage", "etfLine": "buffett.returnOnCapital", "line": "a return of at least 15% on equity plus debt in the last fiscal year: net income with after-tax interest added back; a financial company on equity, unrealized gains on equity securities set aside; within a point of the line sits within the band", "thresholdSource": "etfiq", "sourceCites": [ "berkshire-1979", "berkshire-1982", "berkshire-1987" ] }, { "test": "buffett.persistentReturns", "label": "Consistent earning power", "line": "the same return at 15% or more in each of the last five fiscal years; within a point sits within the band", "thresholdSource": "etfiq", "sourceCites": [ "berkshire-1982", "berkshire-1987" ] } ], "criteria": [ { "id": "share-meeting", "label": "Share of the fund in quality companies", "role": "share", "measure": "lt_buffett_met_share", "supports": { "m": "lt_buffett_met_share", "op": ">=", "v": 60.0, "share": "supports" }, "challenges": { "all": [ { "m": "lt_buffett_within_band_share", "op": "<", "v": 30.0, "share": "mixed" }, { "m": "lt_buffett_met_share", "op": "<", "v": 60.0, "share": "supports" } ] }, "thresholdSource": "etfiq", "thresholdNote": "Supports where 60% or more of the fund's measured weight meets every test; Mixed where 30% or more meets them or sits within the band, failing none; Challenges below. 60% is a clear majority and 30% a large minority: ETFIQ's lines, the same on every seat read holding by holding. The 15% return is ETFIQ's reading of the letters; the nearest figure Buffett prints is Fortune's test he quotes, no year worse than 15%. Buffett gave no looser line, so the band is ETFIQ's and narrow: a point, for the tax rate assumed on the interest added back and a single year read against a round line.", "weight": 1.0, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "berkshire-1979", "berkshire-1982", "berkshire-1987" ], "printWith": [ "lt_buffett_within_band_share" ], "explain": "How much of the fund sits in companies that earn a high return on their capital, year after year?", "research": [ { "paper": "asness-frazzini-pedersen-2019", "stance": "supports", "note": "Profitable, stable companies earned more than junk companies at similar prices; this criterion reads quality company by company." }, { "paper": "mueller-1986", "stance": "supports", "note": "Profitability persists, which the five-year test reads." }, { "paper": "frazzini-kabiller-pedersen-2018", "stance": "context", "note": "Berkshire's returns come from cheap, safe, quality stocks; the seat reads quality and scores no price." }, { "paper": "novy-marx-2013", "stance": "weakens", "note": "Gross profitability beats earnings-based ratios as a quality signal, so net income on capital is the weaker form." }, { "paper": "kanuri-mcleod-2016", "stance": "context", "note": "Tests Morningstar's moat ratings, not this measure." }, { "paper": "haggard-2026", "stance": "context", "note": "Tests Morningstar's moat ratings, not this measure." } ] } ], "rankBy": { "m": "lt_buffett_met_share", "order": "desc" }, "buildRule": "In each sleeve, the fund with the largest share of its weight in companies meeting both quality tests.", "cannotMeasure": [ "The moat, the management and how simple the business is.", "Owner earnings as Buffett estimates them, which need the capital spending that keeps a business where it is.", "The fair price: a business is worth its future cash discounted (1992), which ETFIQ cannot compute, so the price is never scored." ], "unverified": [ { "claim": "The 15% return as Buffett's own line.", "why": "Fortune's 1987 test, which he quotes, is the nearest figure; it is Fortune's, so the 15% is labelled ETFIQ's." } ], "changes": [ { "version": "1.0", "date": "2026-10-22", "change": "First version: the share of the fund meeting both quality tests, with a one-point band for measurement." } ], "quote": { "chosen": true, "text": "It's far better to buy a wonderful company at a fair price than a fair company at a wonderful price.", "by": "Warren Buffett", "source": "Berkshire Hathaway 1989 letter to shareholders (dated March 2, 1990), section \"Mistakes of the First Twenty-five Years (A Condensed Version).\"", "candidatesIn": "docs/committee/profiles/warren-buffett.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "launchGate": "Not published until the ETF adaptation is signed off and the nightly look-through publishes for US funds, with the share of weight that meets each test.", "weightsNote": "One criterion decides the seat: the share of the fund's measured weight meeting both tests." }, "cases": { "schema": 1, "seat": "quality-fair-price", "note": "Textbook fixtures on every rule the seat file holds, and live funds chosen by condition. If a live case fails, report the measured figures: a threshold is never moved to make a case pass.", "cases": [ { "id": "majority-meets", "kind": "fixture", "title": "Mostly durable, high-return companies", "measures": { "lt_buffett_met_share": 66.0, "lt_buffett_within_band_share": 70.0 }, "expect": { "state": "supports" }, "why": "Two thirds of the measured weight meets both tests: a clear majority." }, { "id": "large-minority", "kind": "fixture", "title": "A large minority of quality companies", "measures": { "lt_buffett_met_share": 45.0, "lt_buffett_within_band_share": 48.0 }, "expect": { "state": "mixed" }, "why": "Under half meets both tests, but more than 30%: a large minority." }, { "id": "within-band", "kind": "fixture", "title": "Near the line, not on it", "measures": { "lt_buffett_met_share": 20.0, "lt_buffett_within_band_share": 35.0 }, "expect": { "state": "mixed" }, "why": "A fifth meets both tests, and with the weight within the band on them, 35% of the fund is on or near the lines, failing neither." }, { "id": "few-meet", "kind": "fixture", "title": "Few quality companies", "measures": { "lt_buffett_met_share": 3.1, "lt_buffett_within_band_share": 10.0 }, "expect": { "state": "challenges" }, "why": "Under a tenth of the measured weight is on or near the lines: whatever the typical holding reads, the seat Challenges." }, { "id": "under-floor", "kind": "fixture", "title": "Too little of the fund measured", "measures": { "lt_buffett_met_share": null, "lt_buffett_within_band_share": null }, "expect": { "state": "not_enough_data" }, "why": "Under 70% of the weight could be measured, so the seat says nothing." }, { "id": "wide-moat-moat", "kind": "live", "subject": { "ticker": "MOAT" }, "expect": { "not": "challenges" }, "why": "A fund whose index (Morningstar Wide Moat Focus) picks companies for durable competitive advantages.", "checkedOn": "2026-10-20", "measuresSeen": { "tracks_key": "morningstar wide moat focus" } }, { "id": "quality-qual", "kind": "live", "subject": { "ticker": "QUAL" }, "expect": { "not": "challenges" }, "why": "A fund whose index (MSCI USA Sector Neutral Quality) picks companies on quality measures.", "checkedOn": "2026-10-20", "measuresSeen": { "tracks_key": "msci usa sector neutral quality" } }, { "id": "unprofitable-arkg", "kind": "live", "subject": { "ticker": "ARKG" }, "expect": { "not": "supports" }, "why": "Mostly companies that do not yet earn a profit; 52% of its weight can be measured on both quality tests, under the 70% floor, so the seat reads Not enough data, never a pass.", "checkedOn": "2026-10-22", "figures": [ { "name": "measuredPct", "from": "lt:jointShares.buffett.measured", "fmt": ".0f", "fund": "ARKG" } ], "whyTemplate": "Mostly companies that do not yet earn a profit; {measuredPct}% of its weight can be measured on both quality tests, under the 70% floor, so the seat reads Not enough data, never a pass.", "measuresSeen": { "measuredPct": 52.0 } }, { "id": "small-caps-iwm", "kind": "live", "subject": { "ticker": "IWM" }, "expect": { "state": "challenges" }, "why": "The Russell 2000: of the 79.0% of its weight measured, 2.9% meets both quality tests and 4.1% meets them or sits within a point of the line. A fund this far under 30% Challenges.", "checkedOn": "2026-10-22", "figures": [ { "name": "measuredPct", "from": "lt:jointShares.buffett.measured", "fmt": ".1f", "fund": "IWM" }, { "name": "metPct", "from": "share:buffett.met", "fmt": ".1f", "fund": "IWM" }, { "name": "withinPct", "from": "share:buffett.within", "fmt": ".1f", "fund": "IWM" } ], "whyTemplate": "The Russell 2000: of the {measuredPct}% of its weight measured, {metPct}% meets both quality tests and {withinPct}% meets them or sits within a point of the line. A fund this far under 30% Challenges.", "measuresSeen": { "measuredPct": 79.0, "metPct": 2.9, "withinPct": 4.1 } } ] } }, { "id": "garp", "kind": "investor", "name": "Lynch-style Growth at a Reasonable Price", "short": "Growth at a Reasonable Price", "tradition": "Peter Lynch", "byline": "in the tradition of Peter Lynch", "question": "Is the growth worth the price?", "page": "/investment-committee/peter-lynch/", "slug": "peter-lynch", "philosophySlug": "growth-at-a-reasonable-price", "redirectIfObjected": "/investment-committee/growth-at-a-reasonable-price/", "title": "Peter Lynch's philosophy, applied to ETFs", "person": "Peter Lynch", "profile": "docs/committee/profiles/peter-lynch.md", "config": { "schema": 1, "seat": "garp", "version": "1.1", "date": "2026-10-22", "strength": "strong", "strengthNote": "Lynch's own books. His price lines are his; the narrow bands beside them, the lines between his categories and the balance-sheet pass mark are ETFIQ's readings, labelled.", "sourcedTo": "Peter Lynch's own books, One Up on Wall Street and Beating the Street", "aggregation": "share-of-weight", "aggregationNote": "Each holding is read on the seat's tests, and the state comes from the share of the fund's measured weight alone: Supports where 60% or more meets every test, Mixed where 30% or more meets them or sits within the band, failing none, Challenges below, and Not enough data where under 70% of the weight could be measured. Nothing else softens or lifts it.", "works": [ { "id": "one-up-on-wall-street-1989", "kind": "book", "author": "Peter Lynch with John Rothchild", "title": "One Up on Wall Street: How to Use What You Already Know to Make Money in the Market", "publisher": "Simon & Schuster", "edition": "first edition", "year": 1989, "url": "https://archive.org/details/oneuponwallstree0000lync", "provides": "The six categories (ch. 7), the P/E against the growth rate with half and twice it (ch. 13, p. 198), growth plus yield over P/E (ch. 13, p. 199), the cash position and the normal balance sheet (ch. 12 and 13), and the checklist by category (ch. 15)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Chapters 6, 7, 12 and 13, the p. 198 wording among them, were checked by full-text search of archive.org scans of the 1989 edition on 2026-10-21 (docs/committee/profiles/peter-lynch.md). The chapter 13, p. 201 and chapter 15 pages are those ETFIQ's fundamentals step cites (pipeline/fundamentals.py TEST_NOTES); they were not read again for this file." }, { "id": "beating-the-street-1993", "kind": "book", "author": "Peter Lynch with John Rothchild", "title": "Beating the Street", "publisher": "Simon & Schuster", "edition": "hardcover", "year": 1993, "url": "https://archive.org/details/beatingstreet00lync", "provides": "A cyclical's low P/E as a warning (p. 231), and knowing what you own and why (p. 303)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "p. 303 checked by full-text search of the archive.org scan on 2026-10-21 (docs/committee/profiles/peter-lynch.md); p. 231 is the page ETFIQ's fundamentals step cites, not read again for this file." } ], "published": [ { "text": "Place every company in one of six categories before judging it.", "cites": [ "one-up-on-wall-street-1989#ch. 7, pp. 99-115" ] }, { "text": "A fairly priced company's P/E equals its growth rate; half the growth rate is very positive, twice it very negative.", "cites": [ "one-up-on-wall-street-1989#ch. 13, p. 198" ] }, { "text": "Growth plus dividend yield over P/E: less than 1 is poor, 1.5 okay, and 2 or better what he looks for.", "cites": [ "one-up-on-wall-street-1989#ch. 13, p. 199" ] }, { "text": "A cyclical's low P/E is a warning, not a bargain.", "cites": [ "beating-the-street-1993#p. 231" ] } ], "holdingTests": [ { "test": "lynch.price", "label": "The price test for the company's category", "etfLine": "lynch.peg", "line": "a stalwart or fast grower: P/E no more than its long-run earnings growth, his fairly priced, growth above 25% a year counted as 25; up to 10% above it within ETFIQ's narrow band; a slow grower: growth plus dividend yield over P/E of 2 or better, what he looks for; from 1.5, his okay, to 2 within the band; under 1.5 failing, ETFIQ's reading of the stretch his words leave between poor, under 1, and okay; reading it on slow growers is ETFIQ's adaptation, since he gives the formula for no category; a cyclical or turnaround: not measured", "thresholdSource": "investor", "thresholdCite": [ "one-up-on-wall-street-1989#ch. 13, pp. 198-199" ], "sourceCites": [ "one-up-on-wall-street-1989#ch. 13, pp. 198-199", "one-up-on-wall-street-1989#ch. 15, pp. 230-232", "beating-the-street-1993#p. 231" ] }, { "test": "lynch.debtToEquity", "label": "The balance sheet", "etfLine": "lynch.debtToEquity", "line": "net cash meets, cash and current marketable securities against long-term debt, as his own example reads them; otherwise long-term debt no more than a quarter of debt plus equity, short-term debt set aside; read on the latest balance sheet only; where buybacks shrank the book, read also against the book with its fall over the ten years added back, at most the buybacks (ETFIQ's adaptation): where the two read the same, that stands; where they differ, the adjusted book is read only with losses covered and deals under half the buybacks, else not measured; a bank or a utility not measured; within 0.05 sits within the band", "thresholdSource": "etfiq", "sourceCites": [ "one-up-on-wall-street-1989#ch. 12, p. 193", "one-up-on-wall-street-1989#ch. 13, pp. 199 and 201" ] } ], "criteria": [ { "id": "share-meeting", "label": "Share of the fund in growth at a reasonable price", "role": "share", "measure": "lt_lynch_met_share", "supports": { "m": "lt_lynch_met_share", "op": ">=", "v": 60.0, "share": "supports" }, "challenges": { "all": [ { "m": "lt_lynch_within_band_share", "op": "<", "v": 30.0, "share": "mixed" }, { "m": "lt_lynch_met_share", "op": "<", "v": 60.0, "share": "supports" } ] }, "thresholdSource": "etfiq", "thresholdNote": "Supports where 60% or more of the fund's measured weight meets every test; Mixed where 30% or more meets them or sits within the band, failing none; Challenges below. 60% is a clear majority and 30% a large minority: ETFIQ's lines, the same on every seat read holding by holding. On price, Lynch's own words set the lines: \"The p/e ratio of any company that's fairly priced will equal its growth rate\" (p. 198), and for a slow grower growth plus yield over P/E of 2 is what he looks for and 1.5 okay (p. 199). His words name nothing between his fair price and twice it, which he calls very negative, so the band beside his fair price is ETFIQ's and narrow, a P/E up to 10% above the growth rate. On the balance sheet the band is ETFIQ's, 0.05, for measurement.", "weight": 1.0, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "one-up-on-wall-street-1989#ch. 13, p. 198", "one-up-on-wall-street-1989#ch. 15, pp. 230-232" ], "printWith": [ "lt_lynch_within_band_share" ], "explain": "How much of the fund sits in companies priced fairly for their growth, with a sound balance sheet?", "research": [ { "paper": "kartikasari-2016", "stance": "supports", "note": "Lynch's combined criteria did better." }, { "paper": "easton-2004", "stance": "weakens", "note": "P/E against growth ranks well but is biased as an absolute measure, so the 1.0 line is Lynch's and the ranking is the stronger use." }, { "paper": "chan-karceski-lakonishok-2003", "stance": "weakens", "note": "Past growth does not persist, which is why growth is capped at 25% and read over ten years." }, { "paper": "bradshaw-2004", "stance": "context", "note": "Is about analysts' forecasts; the seat reads filed growth." } ] } ], "rankBy": { "m": "lt_lynch_met_share", "order": "desc" }, "buildRule": "In each sleeve, the fund with the largest share of its weight in companies meeting both of the tests.", "cannotMeasure": [ "The story behind each stock, and asset plays: hidden assets a balance sheet does not show.", "Bank debt against funded debt, which the filings do not tell apart.", "A growth rate anyone can rely on: the seat reads ten years of filed growth." ], "unverified": [ { "claim": "The line \"Know what you own, and know why you own it\".", "why": "A common misquote; his own words differ (Beating the Street, p. 303). Not used." } ], "changes": [ { "version": "1.0", "date": "2026-10-22", "change": "First version: the share of the fund meeting the price test for its category and the balance sheet, his own lines on price with a narrow band beside them." }, { "version": "1.1", "date": "2026-10-22", "change": "A book that is not positive, where the book before buybacks is not positive either, fails with debt: both readings fail. It was not measured." } ], "quote": { "chosen": true, "text": "You have to know what you own, and why you own it.", "by": "Peter Lynch", "source": "Beating the Street (Simon & Schuster, 1993), \"20 Golden Rules,\" p. 303 of the hardcover", "candidatesIn": "docs/committee/profiles/peter-lynch.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "launchGate": "Not published until the ETF adaptation is signed off and the nightly look-through publishes for US funds, with the share of weight that meets each test.", "weightsNote": "One criterion decides the seat: the share of the fund's measured weight meeting both tests." }, "cases": { "schema": 1, "seat": "garp", "note": "Textbook fixtures on every rule the seat file holds, and live funds chosen by condition. If a live case fails, report the measured figures: a threshold is never moved to make a case pass.", "cases": [ { "id": "majority-meets", "kind": "fixture", "title": "Mostly growth at a reasonable price", "measures": { "lt_lynch_met_share": 66.0, "lt_lynch_within_band_share": 70.0 }, "expect": { "state": "supports" }, "why": "Two thirds of the measured weight meets both tests: a clear majority." }, { "id": "large-minority", "kind": "fixture", "title": "A large minority at a reasonable price", "measures": { "lt_lynch_met_share": 45.0, "lt_lynch_within_band_share": 48.0 }, "expect": { "state": "mixed" }, "why": "Under half meets both tests, but more than 30%: a large minority." }, { "id": "within-band", "kind": "fixture", "title": "Priced near the growth rate", "measures": { "lt_lynch_met_share": 20.0, "lt_lynch_within_band_share": 35.0 }, "expect": { "state": "mixed" }, "why": "A fifth meets both tests, and with the weight within the band on them, 35% of the fund is on or near the lines, failing neither." }, { "id": "few-meet", "kind": "fixture", "title": "Little growth at a reasonable price", "measures": { "lt_lynch_met_share": 3.1, "lt_lynch_within_band_share": 10.0 }, "expect": { "state": "challenges" }, "why": "Under a tenth of the measured weight is on or near the lines: whatever the typical holding reads, the seat Challenges." }, { "id": "under-floor", "kind": "fixture", "title": "Too little of the fund measured", "measures": { "lt_lynch_met_share": null, "lt_lynch_within_band_share": null }, "expect": { "state": "not_enough_data" }, "why": "Under 70% of the weight could be measured, so the seat says nothing." }, { "id": "garp-index", "kind": "live", "subject": { "ticker": "GARP" }, "expect": { "not": "supports" }, "why": "A fund built to own growth at a reasonable price by its own index rules. On Lynch's own price line, a P/E no more than the growth rate, 12.0% of the 81.5% of its weight measured meets both of the seat's tests, so the seat Challenges it: the index's GARP is not Lynch's. The case asks only that the seat never Support it on so little.", "checkedOn": "2026-10-22", "figures": [ { "name": "metPct", "from": "share:lynch.met", "fmt": ".1f", "fund": "GARP" }, { "name": "measuredPct", "from": "lt:jointShares.lynch.measured", "fmt": ".1f", "fund": "GARP" } ], "whyTemplate": "A fund built to own growth at a reasonable price by its own index rules. On Lynch's own price line, a P/E no more than the growth rate, {metPct}% of the {measuredPct}% of its weight measured meets both of the seat's tests, so the seat Challenges it: the index's GARP is not Lynch's. The case asks only that the seat never Support it on so little.", "measuresSeen": { "metPct": 12.0, "measuredPct": 81.5 } }, { "id": "value-iwd", "kind": "live", "subject": { "ticker": "IWD" }, "expect": { "not": "supports" }, "why": "Large-cap value: priced low, but with little earnings growth for the price to be reasonable against.", "checkedOn": "2026-10-20", "measuresSeen": { "tracks_key": "russell 1000 value" } }, { "id": "pricey-growth-vug", "kind": "live", "subject": { "ticker": "VUG" }, "expect": { "not": "supports" }, "why": "Large-cap growth priced at well above its growth rate.", "checkedOn": "2026-10-20", "measuresSeen": { "segment": "U.S. large-cap growth" } }, { "id": "no-earnings-arkk", "kind": "live", "subject": { "ticker": "ARKK" }, "expect": { "not": "supports" }, "why": "Growth without earnings has no price-to-growth ratio to call reasonable.", "checkedOn": "2026-10-20", "measuresSeen": { "segment": "Broad innovation and megatrends" } } ] } }, { "id": "global-contrarian", "kind": "investor", "name": "Templeton-style Global Contrarian", "short": "Global Contrarian", "tradition": "John Templeton", "byline": "in the tradition of John Templeton", "question": "What is out of favour, and is it cheap?", "page": "/investment-committee/john-templeton/", "slug": "john-templeton", "philosophySlug": "global-contrarian", "redirectIfObjected": "/investment-committee/global-contrarian/", "title": "John Templeton's philosophy, applied to ETFs", "person": "John Templeton", "profile": "docs/committee/profiles/john-templeton.md", "config": { "schema": 1, "seat": "global-contrarian", "version": "1.4", "date": "2026-10-22", "strength": "strong", "strengthNote": "Templeton's own 1993 article of sixteen rules, the one investing text verified as his. It gives principles and no numbers, so every threshold is ETFIQ's. Books about his method by others are not used.", "sourcedTo": "John Templeton's own 1993 rules", "scope": { "appliesTo": { "m": "category_key", "op": "in", "v": [ "stocks", "themes", "allocation", "income", "alternatives" ] }, "note": "Funds that own companies. A bond, commodity, leveraged or coin fund has no look-through earnings to price, so it is outside this seat. Not published until the look-through prices foreign filers." }, "works": [ { "id": "templeton-16-rules-1993", "kind": "article", "author": "Sir John Templeton", "title": "16 Rules for Investment Success", "publisher": "World Monitor: The Christian Science Monitor Monthly; reprinted by Franklin Templeton with the John Templeton Foundation's permission (literature code TL-R16)", "edition": "first published in World Monitor, 1993; cited from Franklin Templeton's reprint TL-R16-0726 (2026), by the reprint's own printed page numbers", "year": 1993, "url": "https://www.franklintempleton.com/forms-literature/download/TL-R16", "provides": "Investing when others are pessimistic, popularity proving temporary, value rather than market trends, bargains among quality companies, searching worldwide, and the reminder that even an excellent company's shares can cost too much", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Franklin Templeton's 10-page reprint (TL-R16-0726) read in full. The reprint gives the year 1993; the month is not printed. Pages read from the reprint TL-R16-0726 by its printed footers: rules 3 and 4 on p. 4, rules 5 and 6 on p. 5, rule 7 \"Diversify\" on p. 6, rule 15 \"There's no free lunch\" on p. 8." } ], "published": [ { "text": "He invested when others were pessimistic, as Benjamin Graham also advised.", "cites": [ "templeton-16-rules-1993#rule 4, pp. 4-5" ] }, { "text": "The popularity of any kind of investment always proves temporary.", "cites": [ "templeton-16-rules-1993#rule 3, p. 4" ] }, { "text": "Look for value, not market trends or the economic outlook, and look for bargains among quality companies.", "cites": [ "templeton-16-rules-1993#rules 5 and 6, p. 5" ] }, { "text": "Search worldwide: a wider search finds more bargains, and spreading money across countries is part of diversifying.", "cites": [ "templeton-16-rules-1993#rule 7, 'Diversify', p. 6" ] }, { "text": "There is no free lunch: even a truly excellent company's shares can be priced too high.", "cites": [ "templeton-16-rules-1993#rule 15, 'There's no free lunch', p. 8" ] } ], "criteria": [ { "id": "cheap-to-market", "label": "Price against earnings, next to the market's", "measure": "lt_pe_vs_market", "supports": { "m": "lt_pe_vs_market", "op": "<=", "v": 0.8 }, "challenges": { "m": "lt_pe_vs_market", "op": ">=", "v": 1.2 }, "thresholdSource": "etfiq", "thresholdNote": "Templeton gave no number. At least 20% cheaper than the world stock market (VT's book) on look-through earnings, or 20% dearer, are ETFIQ's. A fund priced 20% or more above the market Challenges, whatever else it reads: a contrarian seat never clears a fund dear against the market.", "weight": 0.35, "required": true, "veto": true, "appliesTo": null, "sourceCites": [ "templeton-16-rules-1993#rules 5 and 6, p. 5", "templeton-16-rules-1993#rule 15, 'There's no free lunch', p. 8" ], "explain": "Is the fund's look-through price-to-earnings ratio low next to the world market's?", "research": [ { "paper": "lakonishok-shleifer-vishny-1994", "stance": "context", "note": "Cheap stocks against earnings beat expensive ones over five years, but the paper sorts individual stocks into deciles; this criterion reads the fund as a whole against the market, so the paper is context." } ] }, { "id": "investors-leaving", "label": "Money leaving the fund", "measure": "flow_3m_pct", "supports": { "m": "flow_3m_pct", "op": "<=", "v": -5 }, "challenges": { "m": "flow_3m_pct", "op": ">=", "v": 10 }, "thresholdSource": "etfiq", "thresholdNote": "Outflows of 5% of assets over 3 months, or inflows of 10%, are ETFIQ's reading of pessimism and popularity. Three months of flows read only where every day of the window was read, which leaves the criterion unread for most funds today.", "weight": 0.15, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "templeton-16-rules-1993#rule 4, pp. 4-5", "templeton-16-rules-1993#rule 3, p. 4" ], "explain": "Are investors pulling money out, or piling in?", "research": [ { "paper": "brown-davies-ringgenberg-2021", "stance": "supports", "note": "On ETFs themselves: funds with heavy creations underperformed those with heavy redemptions, so money leaving is the side that did better, as this criterion reads it." }, { "paper": "frazzini-lamont-2008", "stance": "context", "note": "Mutual fund money flowing in predicts lower returns at three to five years; mutual funds, not ETFs." }, { "paper": "lakonishok-shleifer-vishny-1994", "stance": "context", "note": "Unloved, cheap stocks did better; the paper reads prices and fundamentals, not fund flows." } ] }, { "id": "lagging-the-world", "label": "Three years against the world market", "measure": "ret_3y_vs_world", "supports": { "m": "ret_3y_vs_world", "op": "<=", "v": -20 }, "challenges": { "m": "ret_3y_vs_world", "op": ">=", "v": 20 }, "thresholdSource": "etfiq", "thresholdNote": "20 points behind or ahead of VT over three years are ETFIQ's. Version 1.0 read one year; research shows one-year laggards keep lagging, while three- to five-year losers reverse, so the window is three years. It reads stock funds only, broad, country and region funds, where the research on national indices applies; a theme fund is outside it.", "weight": 0.2, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "==", "v": "stocks" }, "sourceCites": [ "templeton-16-rules-1993#rule 3, p. 4" ], "explain": "Over three years, has the fund lagged the world's stock market, or led it?", "research": [ { "paper": "richards-1997", "stance": "supports", "note": "At the level this criterion reads, national indices: the countries that did worst tended to recover against those that did well, and the laggards were not riskier.", "when": { "m": "segment", "op": "in", "v": [ "Single country or narrow region", "China region", "India", "Japan", "Latin America", "Europe", "Asia-Pacific excluding Japan", "Asia-Pacific", "Emerging markets" ] } }, { "paper": "balvers-wu-gilliland-2000", "stance": "supports", "note": "Relative national index prices revert with a half-life of about three years, the window this criterion uses.", "when": { "m": "segment", "op": "in", "v": [ "Single country or narrow region", "China region", "India", "Japan", "Latin America", "Europe", "Asia-Pacific excluding Japan", "Asia-Pacific", "Emerging markets" ] } }, { "paper": "debondt-thaler-1985", "stance": "context", "note": "Three-to-five-year losers among single US stocks went on to beat the past gainers; stocks, not funds, so context for a fund-level return." }, { "paper": "jegadeesh-titman-1993", "stance": "weakens", "note": "Over one year the opposite holds: recent losers keep losing, which is why the window is three years, not one." }, { "paper": "zarowin-1990", "stance": "weakens", "note": "Much of the stock-level reversal is a size effect: losers were smaller firms." }, { "paper": "conrad-kaul-1993", "stance": "weakens", "note": "Part of the measured long-horizon reversal is a bias from cumulating monthly returns." } ] }, { "id": "across-countries", "label": "Spread across countries", "measure": "effective_countries", "supports": { "m": "effective_countries", "op": ">=", "v": 2.0 }, "challenges": { "m": "effective_countries", "op": "<", "v": 1.25 }, "thresholdSource": "etfiq", "thresholdNote": "Templeton gave no number. Two or more effective countries, the spread of a world fund such as VT (about 2.5), and under 1.25, a fund in one country or nearly so, are ETFIQ's. Rule 7 asks for spread, so the measure is spread, not the share outside the United States, which would score a one-country fund as diversified.", "weight": 0.1, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "templeton-16-rules-1993#rule 7, 'Diversify', p. 6" ], "explain": "Is the money spread over several countries, as Templeton's rule 7 asks, or concentrated in one?", "research": [] }, { "id": "quality", "label": "Bargains among quality companies", "measure": "lt_quality_share", "supports": { "m": "lt_quality_share", "op": ">=", "v": 60 }, "challenges": { "m": "lt_quality_share", "op": "<", "v": 30 }, "thresholdSource": "etfiq", "thresholdNote": "ETFIQ's reading of rule 5. Templeton defines quality in words (market and technological leadership, management, sound capital, trusted brands, p. 5) and gives no figure. Ten years without a loss and a return of 10% on equity plus debt are ETFIQ's footprints of it, and 60% and 30% of the fund's weight are ETFIQ's lines.", "weight": 0.2, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "templeton-16-rules-1993#rule 5, p. 5", "templeton-16-rules-1993#rule 15, 'There's no free lunch', p. 8" ], "explain": "Is the cheapness in good businesses, or in companies that are cheap because they are failing?", "research": [ { "paper": "asness-frazzini-pedersen-2019", "stance": "context", "note": "Profitable, stable, well-run companies earned more than junk companies at similar prices; the paper tests its own quality score, not the share of weight this criterion reads." }, { "paper": "piotroski-2000", "stance": "context", "note": "Among cheap stocks, those with strong accounting signals beat those with weak ones; the paper tests its F-score, not the quality share this criterion reads." } ] } ], "rankBy": { "m": "lt_pe_vs_market", "order": "asc" }, "buildRule": "In each sleeve, the fund with the lowest look-through price-to-earnings ratio next to the market's, among funds that saw outflows.", "cannotMeasure": [ "Quality as Templeton describes it (a sales leader, a technological leader, management): the quality criterion reads only its footprints in the accounts.", "Earnings for most companies outside the United States: foreign companies that file no XBRL with the SEC, or report in another currency, are not priced yet, so an international fund, this seat's natural home, usually reads Not enough data. That is a launch gate for this seat, not a footnote: it is not published until international earnings are read.", "The mood of the market at large: fund flows are a narrow stand-in for the pessimism Templeton meant." ], "unverified": [ { "claim": "The line that bull markets are born on pessimism and die on euphoria.", "why": "Not in the 16 rules or on templeton.org; its earliest print is a 1994 newspaper attribution (Atlanta Journal-Constitution, May 9, 1994). Not used." }, { "claim": "The phrase 'maximum pessimism' as Templeton's own written words.", "why": "Not in the 16 rules; found only second-hand. The seat paraphrases the rule instead." }, { "claim": "The month of the World Monitor issue (often given as February 1993).", "why": "The reprint gives the year only." }, { "claim": "Investing the Templeton Way (Lauren C. Templeton and Scott Phillips, McGraw-Hill, 2008).", "why": "Verified as a book, but written by others; Templeton wrote only its introduction. Not used for criteria." } ], "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "1.1", "date": "2026-10-21", "change": "The lag against the world market is read over three years, not one: research shows one-year laggards keep lagging while three- to five-year losers reverse." }, { "version": "1.2", "date": "2026-10-21", "change": "Rule 7 is read as spread across countries (effective number of countries), not the share outside the United States, which scored one-country funds as diversified; a quality criterion for rule 5 (20%); research on national indices (Richards 1997; Balvers, Wu and Gilliland 2000) and ETF flows (Brown, Davies and Ringgenberg 2021), and the size and measurement critiques (Zarowin 1990; Conrad and Kaul 1993); a launch gate for foreign earnings." }, { "version": "1.2", "date": "2026-10-22", "change": "Diversification is cited as rule 7, as the 16 Rules number it." }, { "version": "1.3", "date": "2026-10-22", "change": "Cheapness against the market decides a Challenge on its own: a fund at 1.2 times the market's P/E or more Challenges (QQQ, 1.30)." }, { "version": "1.4", "date": "2026-10-22", "change": "Cheapness is read against the world stock market's look-through P/E (VT's book), not the S&P 500's: a global seat measured against the US would read every foreign fund cheap by construction." } ], "quote": { "chosen": true, "text": "[I]f you buy the same securities everyone else is buying, you will have the same results as everyone else.", "by": "John Templeton", "source": "16 Rules for Investment Success, rule 4, Franklin Templeton reprint, p. 5", "candidatesIn": "docs/committee/profiles/john-templeton.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "launchGate": "Not published until the look-through reads earnings for foreign companies (20-F and 40-F filers in their reporting currency), so that international funds can be read.", "weightsNote": "Cheapness carries the most (35%) because it is the rule Templeton returns to most; three years against the world and quality 20% each; money leaving 15%; the spread across countries 10%, since rule 7 is one rule of sixteen. The weights are ETFIQ's and were not set to land any fund." }, "cases": { "schema": 1, "seat": "global-contrarian", "cases": [ { "id": "cheap-and-unloved", "kind": "fixture", "title": "A cheap, unloved foreign market", "measures": { "category_key": "stocks", "lt_pe_vs_market": 0.6, "flow_3m_pct": -8.0, "ret_3y_vs_world": -40.0, "effective_countries": 1.0, "lt_quality_share": 70.0 }, "expect": { "state": "supports" }, "why": "Priced 40% below the market on earnings, mostly in sound companies, with money leaving and three years well behind the world. One country, so the spread criterion objects, and the rest outweighs it." }, { "id": "crowded-and-dear", "kind": "fixture", "title": "A crowded, expensive favourite market", "measures": { "category_key": "stocks", "lt_pe_vs_market": 1.5, "flow_3m_pct": 15.0, "ret_3y_vs_world": 40.0, "effective_countries": 1.0, "lt_quality_share": 80.0 }, "expect": { "state": "challenges" }, "why": "Good companies, but dear on earnings, money pouring in, three years far ahead, and one country." }, { "id": "cheap-but-popular", "kind": "fixture", "title": "Cheap, but money is pouring in", "measures": { "category_key": "stocks", "lt_pe_vs_market": 0.7, "flow_3m_pct": 12.0, "ret_3y_vs_world": 10.0, "effective_countries": 3.0, "lt_quality_share": 50.0 }, "expect": { "state": "mixed", "criteria": { "cheap-to-market": "supports", "investors-leaving": "challenges" } }, "why": "A bargain on price that the crowd has already found." }, { "id": "unloved-abroad", "kind": "fixture", "title": "An unloved foreign market, a little below the market's price", "measures": { "category_key": "stocks", "lt_pe_vs_market": 0.85, "flow_3m_pct": -6.0, "ret_3y_vs_world": -30.0, "effective_countries": 6.0, "lt_quality_share": 65.0 }, "expect": { "state": "supports", "criteria": { "cheap-to-market": "mixed", "lagging-the-world": "supports", "across-countries": "supports", "quality": "supports" } }, "why": "Only 15% cheaper than the market, but in sound companies, with money leaving, 30 points behind the world over three years, and spread over six effective countries." }, { "id": "value-trap", "kind": "fixture", "title": "Cheap because its companies are failing", "measures": { "category_key": "stocks", "lt_pe_vs_market": 0.6, "flow_3m_pct": -8.0, "ret_3y_vs_world": -40.0, "effective_countries": 1.0, "lt_quality_share": 15.0 }, "expect": { "state": "mixed", "criteria": { "quality": "challenges", "cheap-to-market": "supports" } }, "why": "Cheap, unloved and lagging, but only 15% of its weight is in companies with ten years of profits and a decent return: Templeton looked for bargains among quality stocks (rule 5), not among failing ones." }, { "id": "no-earnings-figure", "kind": "fixture", "title": "A fund whose holdings file no earnings with the SEC", "measures": { "category_key": "stocks", "lt_pe_vs_market": null, "flow_3m_pct": -6.0, "ret_3y_vs_world": -30.0, "effective_countries": 4.0, "lt_quality_share": null }, "expect": { "state": "not_enough_data" }, "why": "Out of favour, but the seat cannot say whether it is cheap, and that is its required half." }, { "id": "bond-fund", "kind": "fixture", "title": "A Treasury bond fund", "measures": { "category_key": "bonds", "lt_pe_vs_market": null, "flow_3m_pct": -6.0, "ret_3y_vs_world": -36.0, "effective_countries": 1.0, "lt_quality_share": null }, "expect": { "state": "not_applicable" }, "why": "Outside the seat: there are no company earnings to price." }, { "id": "live-qqq", "kind": "live", "subject": { "ticker": "QQQ" }, "expect": { "not": "supports" }, "why": "The Nasdaq-100, ahead of the world market, is not an unloved bargain.", "checkedOn": "2026-10-20", "measuresSeen": { "tracks_key": "nasdaq-100" } } ] } }, { "id": "all-weather", "kind": "investor", "name": "Dalio-style All-Weather", "short": "All-Weather", "tradition": "Ray Dalio", "byline": "in the tradition of Ray Dalio", "question": "How does it fare when rates, inflation and growth shift?", "page": "/investment-committee/ray-dalio/", "slug": "ray-dalio", "philosophySlug": "all-weather", "redirectIfObjected": "/investment-committee/all-weather/", "title": "Ray Dalio's philosophy, applied to ETFs", "person": "Ray Dalio", "profile": "docs/committee/profiles/ray-dalio.md", "config": { "schema": 1, "seat": "all-weather", "version": "1.2", "date": "2026-10-21", "strength": "strong", "strengthNote": "Bridgewater's own published account of All Weather. It gives the principle and no asset weights, so both thresholds are ETFIQ's. The 30/40/15/7.5/7.5 mix often credited to Dalio comes from an interview in another author's book and is not used.", "sourcedTo": "Bridgewater's own account of All Weather", "scope": { "appliesTo": null, "note": "Every ETF and every portfolio. A fund that owns one kind of asset is read as one environment's bet, which is what the seat is built to say." }, "works": [ { "id": "all-weather-story-2012", "kind": "research", "author": "Bridgewater Associates (Paul Podolsky, Ryan Johnson and Owen Jennings)", "title": "The All Weather Story", "publisher": "Bridgewater Associates", "edition": "research paper", "year": 2012, "url": "https://www.bridgewater.com/research-and-insights/the-all-weather-story", "provides": "The four economic environments and equal risk on each (p. 6), and which assets serve rising inflation: inflation-linked bonds and commodities, where stocks and nominal government bonds do not (p. 7)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Bridgewater's own page and PDF (bridgewater.com/resources/all-weather-story.pdf), January 2012: the four environments, 'put equal risk on each scenario to achieve balance', and no asset weights. Pages read in the PDF: the four boxes and equal risk on p. 6; the roles of inflation-linked bonds, stocks, nominal government bonds and commodities on p. 7. The filled four-box chart is on p. 7 (read from the PDF's text layer with each label's position): rising growth holds equities, commodities, corporate credit and EM credit; rising inflation IL bonds, commodities and EM credit; falling growth nominal and IL bonds; falling inflation equities and nominal bonds, each box \"25% of risk\". p. 6 is the empty template." }, { "id": "principles-2017", "kind": "book", "author": "Ray Dalio", "title": "Principles: Life and Work", "publisher": "Simon & Schuster", "edition": "first edition", "year": 2017, "url": "https://archive.org/details/principleslifewo0000dali", "provides": "Dalio's own statement of the idea behind risk balance: fifteen to twenty good, uncorrelated return streams cut risk without cutting expected return (\"the Holy Grail of investing\", chapter 4, p. 56)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Full-text search of the archive.org scan principleslifewo0000dali: chapter 4, \"My Road of Trials: 1983-1994\" (from p. 39), the heading on the Holy Grail of investing on p. 56, continued on pp. 57-58." } ], "published": [ { "text": "Asset prices move with surprises in two forces, growth and inflation, which gives four environments: each rising or falling against what was expected.", "cites": [ "all-weather-story-2012#p. 6" ] }, { "text": "No one knows which environment comes next, so a balanced portfolio puts equal risk on each of the four rather than betting on one.", "cites": [ "all-weather-story-2012#p. 6" ] }, { "text": "Inflation-linked bonds do well when inflation rises, where stocks and nominal government bonds do not; commodities are the only other asset most investors own that does.", "cites": [ "all-weather-story-2012#p. 7" ] } ], "criteria": [ { "id": "environments-covered", "label": "Assets for each of the four environments", "measure": "env_boxes_covered", "supports": { "m": "env_boxes_covered", "op": ">=", "v": 4 }, "challenges": { "m": "env_boxes_covered", "op": "<=", "v": 2 }, "thresholdSource": "etfiq", "thresholdNote": "The four boxes and the assets in each are the paper's own (p. 7). Counting a box at 10% of the book or more, all four for Supports and two or fewer for Challenges, are ETFIQ's; the paper gives no weights. Version 1.0 counted credit towards no group; the paper's p. 7 chart places corporate credit with rising growth and emerging-market credit with rising growth and rising inflation, so it counts now.", "weight": 0.5, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "all-weather-story-2012#p. 7 (the four boxes, filled)", "all-weather-story-2012#p. 3 (a corporate bond is a nominal bond plus a credit spread)" ], "explain": "Does the fund own something for each of the four economic environments: growth and inflation, each rising or falling?", "research": [ { "paper": "asness-frazzini-pedersen-2012", "stance": "context", "note": "It supports balancing risk across asset classes but never names inflation-linked bonds or growth and inflation environments, so it does not test the four-group count." } ] }, { "id": "risk-balance", "label": "How evenly the risk is spread", "measure": "max_group_risk_share", "supports": { "m": "max_group_risk_share", "op": "<=", "v": 50 }, "challenges": { "m": "max_group_risk_share", "op": ">=", "v": 80 }, "thresholdSource": "etfiq", "thresholdNote": "Equal risk across four groups would put 25% in each. No group above half, and one group at 80% or more, are ETFIQ's.", "weight": 0.5, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "all-weather-story-2012#p. 6", "principles-2017#chapter 4, p. 56" ], "explain": "Does one kind of asset carry most of the fund's risk, once the way the assets move together is counted? Dalio's own case for balance is uncorrelated return streams (Principles, p. 56).", "research": [ { "paper": "asness-frazzini-pedersen-2012", "stance": "supports", "note": "Balancing risk across asset classes, with leverage, delivered higher risk-adjusted returns than a 60/40 mix." }, { "paper": "anderson-bianchi-goldberg-2012", "stance": "weakens", "note": "Whether risk parity beats a 60/40 mix depends on the start and end dates and on the cost of leverage; a balanced fund is not thereby a better one." } ] } ], "rankBy": { "m": "max_group_risk_share", "order": "asc" }, "buildRule": "Size the stock, government bond, inflation-linked bond and commodity sleeves so each carries about the same risk, using the broadest low-cost fund in each.", "cannotMeasure": [ "How each asset behaves in each environment: the seat reads what a fund owns, not a model of returns by environment.", "Bridgewater's use of leverage to balance risk: the risk split is read on the book as held, so an unlevered fund heavy in long bonds can look balanced while earning less than a levered one would.", "Growth and inflation against expectations, which is what moves prices in the paper: ETFIQ carries no forecasts." ], "unverified": [ { "claim": "The 30% stocks, 40% long-term Treasuries, 15% intermediate Treasuries, 7.5% gold, 7.5% commodities mix.", "why": "From Tony Robbins, MONEY: Master the Game (Simon & Schuster, 2014), an interview-based book; the weights were seen only in secondary sources, and Bridgewater has not published them. Not used." }, { "claim": "The 'Holy Grail' of 15 to 20 uncorrelated return streams in Dalio's Principles (2017).", "why": "Quoted second-hand; no chapter or page seen. Not used." }, { "claim": "A Bridgewater paper titled 'The All Weather Strategy'.", "why": "None found." } ], "quote": { "chosen": true, "text": "I saw that with fifteen to twenty good, uncorrelated return streams, I could dramatically reduce my risks without reducing my expected returns.", "by": "Ray Dalio", "source": "Principles: Life and Work (Simon & Schuster, 2017), part I, \"Where I'm Coming From,\" section \"Discovering the Holy Grail of Investing,\" p. 56", "candidatesIn": "docs/committee/profiles/ray-dalio.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "1.1", "date": "2026-10-21", "change": "The risk split counts correlations (Dalio's Holy Grail, Principles p. 56) and prices each bond group through the proxy for its maturity; the environments are the paper's four boxes, with credit placed as its p. 7 chart places it, and are read from each holding, never the fund's category; Anderson, Bianchi and Goldberg (2012) added as research that weakens it; a case for SPDR Bridgewater All Weather (ALLW)." }, { "version": "1.2", "date": "2026-10-21", "change": "The risk split is computed: for a fund of funds, each fund placed in its group by its own category, priced through the group's proxy, with the covariance of three years of daily returns." } ], "computedNote": "ETFIQ's reference computation reads a fund of funds through its funds; a fund that owns securities directly across several groups waits for the engine, which classes each security, and reads Not enough data until then.", "weightsNote": "The two criteria weigh half each: the four environments and the balance of risk across them are the two halves of the All Weather Story's one idea. The weights are ETFIQ's and were not set to land any fund." }, "cases": { "schema": 1, "seat": "all-weather", "cases": [ { "id": "risk-balanced", "kind": "fixture", "title": "A risk-balanced fund across all four groups", "measures": { "max_group_risk_share": 35.0, "env_boxes_covered": 4 }, "expect": { "state": "supports" }, "why": "Something for every environment, and no group carries most of the risk." }, { "id": "stock-index", "kind": "fixture", "title": "A stock index fund", "measures": { "max_group_risk_share": 100.0, "env_boxes_covered": 2 }, "expect": { "state": "challenges" }, "why": "One kind of asset: two boxes (rising growth, falling inflation) and all of the risk in stocks." }, { "id": "sixty-forty", "kind": "fixture", "title": "A 60/40 stock and bond fund", "measures": { "max_group_risk_share": 88.0, "env_boxes_covered": 3 }, "expect": { "state": "challenges", "criteria": { "environments-covered": "mixed", "risk-balance": "challenges" } }, "why": "Three boxes, nothing for rising inflation, and balanced in dollars, not in risk: stocks carry nearly nine tenths of it." }, { "id": "stocks-and-long-bonds", "kind": "fixture", "title": "Stocks and long Treasuries, risked about evenly", "measures": { "max_group_risk_share": 55.0, "env_boxes_covered": 3 }, "expect": { "state": "mixed" }, "why": "Three boxes covered and the risk split close to evenly, but nothing for rising inflation." }, { "id": "no-book", "kind": "fixture", "title": "A fund with no readable book", "measures": { "max_group_risk_share": null, "env_boxes_covered": null }, "expect": { "state": "not_enough_data" }, "why": "The seat cannot say what it owns." }, { "id": "live-voo", "kind": "live", "subject": { "ticker": "VOO" }, "expect": { "state": "challenges" }, "why": "The S&P 500 alone: one group, all of the risk.", "checkedOn": "2026-10-20", "measuresSeen": { "category_key": "stocks" } }, { "id": "live-gld", "kind": "live", "subject": { "ticker": "GLD" }, "expect": { "state": "challenges" }, "why": "Gold alone: one group, all of the risk.", "checkedOn": "2026-10-20", "measuresSeen": { "category_key": "commodities" } }, { "id": "live-allw", "kind": "live", "subject": { "ticker": "ALLW" }, "expect": { "state": "supports" }, "why": "The SPDR Bridgewater All Weather ETF, Bridgewater's own product: stocks, nominal and inflation-linked bonds and commodities, risk-balanced. Not yet in ETFIQ's coverage, so this case does not run until it is; it is the seat's textbook subject.", "checkedOn": "2026-10-21", "measuresSeen": {} }, { "id": "live-aor", "kind": "live", "subject": { "ticker": "AOR" }, "expect": { "state": "challenges", "criteria": { "risk-balance": "challenges" } }, "why": "A 60/40 fund of funds: three boxes, and stocks carry about nine tenths of its risk once correlations count.", "checkedOn": "2026-10-21", "measuresSeen": {} }, { "id": "live-aok", "kind": "live", "subject": { "ticker": "AOK" }, "expect": { "state": "mixed" }, "why": "A 30/70 fund of funds: three boxes, and the largest group about half the risk.", "checkedOn": "2026-10-21", "measuresSeen": {} } ] } }, { "id": "cycles-risk", "kind": "investor", "name": "Marks-style Cycles & Risk", "short": "Cycles & Risk", "tradition": "Howard Marks", "byline": "in the tradition of Howard Marks", "question": "What is the market's temperature?", "page": "/investment-committee/howard-marks/", "slug": "howard-marks", "philosophySlug": "cycles-and-risk", "redirectIfObjected": "/investment-committee/cycles-and-risk/", "title": "Howard Marks's philosophy, applied to ETFs", "person": "Howard Marks", "profile": "docs/committee/profiles/howard-marks.md", "config": { "schema": 1, "seat": "cycles-risk", "version": "3.0", "date": "2026-10-21", "strength": "strong", "strengthNote": "Marks's own memos, read in full on Oaktree's site. He says the temperature is judged by observation, not calculation, so the seat reports his signs as observations and never as a verdict.", "sourcedTo": "Howard Marks's own memos", "scope": { "appliesTo": null, "note": "Every fund: the observations are the market's, the same on a day for every fund, and the seat gives no state." }, "works": [ { "id": "marks-risk-2006", "kind": "memo", "author": "Howard Marks", "title": "Risk", "publisher": "Oaktree Capital Management memo", "edition": "Jan 19, 2006", "year": 2006, "url": "https://www.oaktreecapital.com/docs/default-source/memos/2006-01-19-risk.pdf", "provides": "Riskier investments must appear to offer higher returns, but nothing makes those returns arrive; risk means a wider range of outcomes, losses among them", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The memo's PDF on oaktreecapital.com, page 2, with his two risk and return graphs: the usual straight line, then a widening spread of outcomes." }, { "id": "marks-risk-revisited-2014", "kind": "memo", "author": "Howard Marks", "title": "Risk Revisited", "publisher": "Oaktree Capital Management memo", "edition": "Sep 3, 2014", "year": 2014, "url": "https://www.oaktreecapital.com/docs/default-source/memos/2014-09-03-risk-revisited.pdf", "provides": "Risk as the possibility of permanent loss, not volatility; its probability can be estimated but not known", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The memo's PDF on oaktreecapital.com, text extracted and read." }, { "id": "marks-happy-medium-2004", "kind": "memo", "author": "Howard Marks", "title": "The Happy Medium", "publisher": "Oaktree Capital Management memo", "edition": "July 2004 (Oaktree's file is dated Jul 21; its archive list shows Jul 20)", "year": 2004, "url": "https://www.oaktreecapital.com/docs/default-source/memos/2004-07-21-the-happy-medium.pdf", "provides": "The pendulum: markets swing between euphoria and depression, overpriced and underpriced, and spend little time at the midpoint", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The memo's PDF on oaktreecapital.com (dated Jul 20, 2004 in Oaktree's archive list; the file name says 2004-07-21), quoting his Apr 11, 1991 memo." }, { "id": "marks-temperature-2023", "kind": "memo", "author": "Howard Marks", "title": "Taking the Temperature", "publisher": "Oaktree Capital Management memo", "edition": "Jul 10, 2023", "year": 2023, "url": "https://www.oaktreecapital.com/docs/default-source/memos/taking-the-temperature.pdf", "provides": "Judging where the market stands by watching for excess and extremes, and his caution that this rests more on observation than on calculation", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The memo's PDF on oaktreecapital.com, pages 9 and 10: the list of what taking the temperature involves, and the line that it relies more on observation than on computers, financial data or calculations." }, { "id": "marks-it-is-2006", "kind": "memo", "author": "Howard Marks", "title": "It Is What It Is", "publisher": "Oaktree Capital Management, memo to clients", "edition": "Mar 27, 2006", "year": 2006, "url": "https://www.oaktreecapital.com/docs/default-source/memos/2006-03-27-it-is-what-it-is.pdf", "provides": "\"The Poor Man's Guide to Market Assessment\" (p. 5): paired signs, lenders eager or reticent, terms easy or restrictive, interest rates low or high, spreads narrow or wide, investors optimistic or pessimistic, asset prices high or low, prospective returns low or high", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Oaktree's PDF, text extracted: the guide on p. 5." }, { "id": "marks-bubble-2025", "kind": "memo", "author": "Howard Marks", "title": "On Bubble Watch", "publisher": "Oaktree Capital Management, memo to clients", "edition": "Jan 2, 2025", "year": 2025, "url": "https://www.oaktreecapital.com/docs/default-source/memos/on-bubble-watch.pdf", "provides": "Valuation as one sign: the S&P 500's forward P/E against the next ten years' returns (p. 8, a J.P. Morgan Asset Management chart), \"well into the top decile\" (p. 9), and its post-war average of roughly 16 times (p. 6)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Oaktree's PDF, read by its printed page numbers: the post-war average on p. 6, the chart on p. 8, the top decile on p. 9; signed January 2, 2025." } ], "published": [ { "text": "Risk is the possibility of permanent loss, not the ups and downs of a price.", "cites": [ "marks-risk-revisited-2014#p. 1" ] }, { "text": "Riskier assets have to look as if they will pay more, or no one would own them, but they cannot be counted on to deliver it: a wider range of outcomes includes losses.", "cites": [ "marks-risk-2006#page 2" ] }, { "text": "Markets swing like a pendulum between overpriced and underpriced, and rarely rest at the midpoint.", "cites": [ "marks-happy-medium-2004#p. 1" ] }, { "text": "Taking the market's temperature means watching for excess at the extremes, and it rests more on observation than on calculation.", "cites": [ "marks-temperature-2023#pages 9 and 10" ] }, { "text": "The temperature can be read from paired signs: lenders eager or reticent, credit terms easy or restrictive, spreads narrow or wide, investors optimistic or pessimistic, asset prices high or low.", "cites": [ "marks-it-is-2006#p. 5" ] } ], "criteria": [], "buildRule": "The seat builds nothing: it gives no state to choose funds by.", "cannotMeasure": [ "Whether a holder is paid for the risk taken: Marks defines risk as the chance of permanent loss and says it cannot be measured even after the fact (\"Risk Revisited\", 2014, p. 2).", "Where the pendulum stands: that is his judgment from the signs, and the seat shows the signs, not the judgment.", "Lenders' terms and new issuance, two of the signs in his guide: ETFIQ carries no measure of them.", "Any one fund: the signs are the market's." ], "unverified": [ { "claim": "A paired-word 'market temperature gauge' table in a Marks memo.", "why": "Not found in any memo read (Risk, Risk Revisited, The Happy Medium, The Race to the Bottom, It's All Good, Taking the Temperature). Not used." }, { "claim": "The text of The Most Important Thing (Columbia University Press, 2011) and Mastering the Market Cycle (2018).", "why": "Chapter titles seen (publisher page for the first, a secondary summary for the second), chapter text not seen. Not cited." } ], "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "1.1", "date": "2026-10-21", "change": "The pendulum is read on ten years of earnings against today's price, not on the earnings yield minus the 10-year Treasury yield, which research (Asness, 2003) found does not forecast long-run returns." }, { "version": "2.0", "date": "2026-10-21", "change": "Return per point of drawdown removed (the memo it cited says risk as permanent loss cannot be measured, and a drawdown is the fluctuation Marks says is not the risk); the rate cushion and payout coverage moved to the ETFIQ Skeptic, because they are ETFIQ's measures, not Marks's; the seat reads the pendulum alone, for stock funds, with Siegel (2016) beside it." }, { "version": "3.0", "date": "2026-10-21", "change": "The seat observes and does not vote. Ten years of earnings against price, alone, rested on a memo that says the temperature is not a calculation; the seat now prints the signs in Marks's own guide that ETFIQ can observe, dated." } ], "quote": { "chosen": true, "text": "We can ride out volatility, but we never get a chance to undo a permanent loss.", "by": "Howard Marks", "source": "\"Risk Revisited,\" memo to Oaktree clients, Sept 3, 2014, p. 1, section \"What Risk Really Means.\"", "candidatesIn": "docs/committee/profiles/howard-marks.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "aggregation": "observe", "context": [ { "measure": "sp500_lt_pe", "label": "Asset prices: the S&P 500's P/E", "note": "One of the signs in Marks's guide, and the one he reads in \"On Bubble Watch\": the forward P/E chart (p. 8), \"well into the top decile\" (p. 9), against a post-war average of roughly 16 (p. 6). His figure is the forward P/E; ETFIQ's is the trailing P/E of the index's holdings, stated as the index states its own (market value over earnings), so the two are not compared, and ETFIQ keeps no history of it yet.", "research": [ { "paper": "siegel-2016", "stance": "context", "note": "Changes in how earnings are computed move the level of a valuation ratio over decades, so a level needs its own history beside it before it reads as high or low." } ] }, { "measure": "hy_spread", "label": "Spreads: high-yield bonds over Treasuries", "note": "Narrow or wide, in the guide's words (p. 5). Pending until a source for it answers ETFIQ's reads.", "research": [] }, { "measure": "flows_hy_3m_pct", "label": "Lenders eager or reticent: money into high-yield bond ETFs", "note": "ETFIQ's nearest observation of how eager investors are to lend to risky borrowers: three months of flows into high-yield bond ETFs. Marks reads lenders' eagerness directly (p. 5); this is a narrow stand-in.", "research": [ { "paper": "brown-davies-ringgenberg-2021", "stance": "context", "note": "Heavy ETF creations preceded weaker returns: flows are an observation, not a forecast." } ] }, { "measure": "flows_stocks_3m_pct", "label": "Investors optimistic or pessimistic: money into stock ETFs", "note": "Three months of flows into stock ETFs, as one observation of the mood the guide lists (p. 5).", "research": [] }, { "measure": "policy_rate_range", "label": "Interest rates: the FOMC's target range", "note": "Low or high, in the guide's words (p. 5): the policy rate today.", "research": [] } ], "observeNote": "Marks takes the market's temperature by observation, not calculation (\"Taking the Temperature\", 2023, pp. 9-10), so this seat prints the signs in his own guide (\"It Is What It Is\", 2006, p. 5) that ETFIQ's data can observe, each dated, and gives no state. They are the same for every fund on a day and print once, as the market's backdrop. Lenders' terms and new issuance, two of his signs, are not observed.", "marketLevel": true, "marketLevelNote": "The observations are the same for every fund on a day and are printed once, as the backdrop." }, "cases": { "schema": 1, "seat": "cycles-risk", "cases": [ { "id": "any-fund", "kind": "fixture", "title": "Any fund, on any day", "measures": { "category_key": "stocks", "sp500_lt_pe": 24.0, "flows_stocks_3m_pct": 1.0 }, "expect": { "state": "not_enough_data" }, "why": "The seat prints the observations and gives no state." }, { "id": "a-bond-fund", "kind": "fixture", "title": "A bond fund", "measures": { "category_key": "bonds", "flows_hy_3m_pct": -3.3 }, "expect": { "state": "not_enough_data" }, "why": "The same observations, and no state." } ] } }, { "id": "macro-liquidity", "kind": "investor", "name": "Druckenmiller-style Macro & Liquidity", "short": "Macro & Liquidity", "tradition": "Stanley Druckenmiller", "byline": "in the tradition of Stanley Druckenmiller", "question": "Is the Fed adding money or taking it away?", "page": "/investment-committee/stanley-druckenmiller/", "slug": "stanley-druckenmiller", "philosophySlug": "macro-and-liquidity", "redirectIfObjected": "/investment-committee/macro-and-liquidity/", "title": "Stanley Druckenmiller's philosophy, applied to ETFs", "person": "Stanley Druckenmiller", "profile": "docs/committee/profiles/stanley-druckenmiller.md", "config": { "schema": 1, "seat": "macro-liquidity", "version": "2.1", "date": "2026-10-21", "strength": "interviews-and-writings", "strengthNote": "Druckenmiller has written no book. The seat rests on the transcript of his January 18, 2015 Lost Tree Club speech, posted by Cove Street Capital and read from an archived copy; Benzinga's report of it is a cross-check. The liquidity he means is the central banks', so the seat reads the Federal Reserve's own balance sheet and policy rate, the same for every fund on a day, and shows where investors' money is moving among ETFs only as context.", "sourcedTo": "his own January 18, 2015 speech at the Lost Tree Club, in the transcript Cove Street Capital posted", "scope": { "appliesTo": { "m": "category_key", "op": "in", "v": [ "stocks", "themes", "allocation", "income", "crypto" ] }, "note": "Funds that own risk assets: stocks, themes, allocation, equity income and crypto. The overall market is what the speech says the Fed moves, so the reading is the same for each of them on a day. A bond, commodity or leveraged fund, inverse funds among them, is outside the seat." }, "works": [ { "id": "lost-tree-2015", "kind": "speech", "author": "Stanley Druckenmiller", "title": "Speech at the Lost Tree Club, North Palm Beach (transcript)", "publisher": "transcript posted by Cove Street Capital, Mar 30, 2015; Wayback Machine capture of Apr 12, 2015", "edition": "Jan 18, 2015", "year": 2015, "url": "https://web.archive.org/web/20150412003633/http://covestreetcapital.com/Blog/wp-content/uploads/2015/03/Druckenmiller-_Speech.pdf", "provides": "His own account of the two lessons from his first mentor, Speros Drelles: look 18 months ahead rather than at the present, and that liquidity set by the central banks, not earnings, moves the overall market (transcript pages 16 and 17)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The transcript PDF read from the Wayback Machine capture (each page headed 'Stanley Druckenmiller Lost Tree Club 1-18-15'); the passage read at pages 16 and 17. Published by Cove Street Capital, not by the club." }, { "id": "benzinga-lost-tree-2015", "kind": "press-report", "author": "John Seward, Benzinga", "title": "Druckenmiller Joins Fed Bashers: 'This Will End Badly'", "publisher": "Benzinga", "edition": "Apr 13, 2015, reporting a January 2015 speech by Stanley Druckenmiller at the Lost Tree Club, Palm Beach", "year": 2015, "url": "https://www.benzinga.com/analyst-ratings/analyst-color/15/04/5403650/druckenmiller-joins-fed-bashers-this-will-end-badly", "provides": "A press report of the same speech, quoting the liquidity passage; a cross-check, not the source", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Read in the browser on 2026-10-21 (the fetch tool was refused): the report quotes him saying earnings do not move the overall market, the Federal Reserve does, and that liquidity moves markets, in a January speech at the Lost Tree country club in Palm Beach whose copy Cove Street Capital posted on Mar 30. That copy now answers 404." } ], "published": [ { "text": "In his view, earnings do not move the overall market; the Federal Reserve does. He watched the central banks and the movement of liquidity, a lesson he credits to his first mentor.", "cites": [ "lost-tree-2015#transcript pages 16 and 17" ] }, { "text": "He invested in the future, not the present, picturing the situation 18 months out, because that is where the price will be.", "cites": [ "lost-tree-2015#transcript page 16" ] } ], "criteria": [ { "id": "fed-balance-sheet", "label": "The Fed's balance sheet: growing or shrinking", "measure": "fed_securities_13w_pct", "supports": { "m": "fed_securities_13w_pct", "op": ">=", "v": 1.0 }, "challenges": { "m": "fed_securities_13w_pct", "op": "<=", "v": -1.0 }, "thresholdSource": "etfiq", "thresholdNote": "The speech gives no number. Holdings up 1% or more in 13 weeks (adding securities, as in quantitative easing), or down 1% or more (shrinking, as in quantitative tightening), are ETFIQ's.", "weight": 0.5, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "lost-tree-2015#transcript pages 16 and 17" ], "explain": "Is the Federal Reserve adding money to the system through the securities it holds, or taking it out?", "research": [ { "paper": "thorbecke-1997", "stance": "context", "note": "Expansionary policy shocks, among them surprises in the reserves the Fed supplies, raised stock returns; the seat reads a 13-week change in the Fed's securities holdings, not a surprise, so the paper is context." } ] }, { "id": "policy-rate", "label": "The policy rate: cut or raised over six months", "measure": "policy_rate_6m_change", "supports": { "m": "policy_rate_6m_change", "op": "<=", "v": -0.25 }, "challenges": { "m": "policy_rate_6m_change", "op": ">=", "v": 0.25 }, "thresholdSource": "etfiq", "thresholdNote": "A move of the FOMC's target range by at least one quarter point, the Fed's usual step, over six months is ETFIQ's line; the speech gives none. The range is read, not the effective rate, which moved 24 basis points on the 25-point rise of September 16, 2026.", "weight": 0.5, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "lost-tree-2015#transcript pages 16 and 17" ], "explain": "Has the Federal Reserve been cutting its rate, or raising it?", "research": [ { "paper": "thorbecke-1997", "stance": "context", "note": "Expansionary policy shocks, measured as surprises in the funds rate, raised stock returns; the seat reads the planned move of the target range, which is mostly expected, so the paper is context." }, { "paper": "bernanke-kuttner-2005", "stance": "context", "note": "Stocks react to the part of a rate move that is unexpected; a six-month change is mostly expected, so the paper supports the direction, not this window." } ] } ], "buildRule": "The seat reads the market, not a fund, so it builds nothing of its own: in model mode it says whether the Fed is adding or draining liquidity, and the other seats choose the funds.", "cannotMeasure": [ "Other central banks, whose liquidity the speech also means: ETFIQ reads the Federal Reserve only.", "Where things will be 18 months out, which he says is where the price will be: ETFIQ carries no forecasts.", "Currencies, credit and the global macro view behind his trades.", "Which funds gain most from the liquidity: the seat reads the same for every fund in its scope on a day, by design." ], "unverified": [ { "claim": "The chapter title of Druckenmiller's interview in Jack Schwager's The New Market Wizards (HarperBusiness, 1992), and whether the Fed and liquidity view appears there.", "why": "The title was seen only in a dealer's listing; the interview text was not seen. Not used." }, { "claim": "A 1988 Barron's interview, a 2015 Bloomberg interview and a 2020 CNBC piece.", "why": "No original found or access refused. Not used." } ], "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version, on a press report of the speech." }, { "version": "1.1", "date": "2026-10-21", "change": "Sourced to the speech's own transcript (Jan 18, 2015, pages 16 and 17); the press report stays as a cross-check." }, { "version": "2.0", "date": "2026-10-21", "change": "The seat read only ETF flows, which are not the central-bank liquidity the speech means. It now reads the Federal Reserve's securities holdings over 13 weeks and the policy rate over six months, from the New York Fed with FRED as the second source; fund flows are shown as context only, with the research that finds ETF inflows precede weaker returns; the segment criterion is gone." }, { "version": "2.1", "date": "2026-10-21", "change": "The policy rate is read from the FOMC's target range, not the effective rate, so the September 16, 2026 rise reads as tightening; each figure is checked for plausibility where FRED does not answer; the seat is stated as a market-level reading, printed once." } ], "quote": { "chosen": true, "text": "I never use valuation to time the market. I use liquidity considerations and technical analysis for timing.", "by": "Stanley Druckenmiller", "source": "Interview, in Jack D. Schwager, The New Market Wizards (HarperBusiness, 1992), chapter \"Stanley Druckenmiller: The Art of Top-Down Investing,\" p. 196", "candidatesIn": "docs/committee/profiles/stanley-druckenmiller.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "context": [ { "measure": "flow_1m_pct", "label": "Money into or out of the fund, last month", "note": "Shown beside the seat, never scored. Where investors' money moves among ETFs is not the liquidity Druckenmiller means, and on ETFs the evidence runs the other way: heavy creations have preceded weaker returns.", "research": [ { "paper": "brown-davies-ringgenberg-2021", "stance": "weakens", "note": "ETFs with heavy creations underperformed those with heavy redemptions by 1.1 to 2.0% a month." }, { "paper": "frazzini-lamont-2008", "stance": "weakens", "note": "Mutual fund money flowing into stocks preceded lower returns over three to five years." } ] } ], "marketLevel": true, "marketLevelNote": "This seat reads the market's liquidity backdrop, not the fund: on any day it gives every fund in its scope the same reading, and the minutes print it once, as the backdrop, rather than as a verdict on the fund. In compare mode it orders nothing.", "weightsNote": "The balance sheet and the policy rate weigh half each: the speech names both as the liquidity the Fed supplies and ranks neither above the other. The weights are ETFIQ's." }, "cases": { "schema": 1, "seat": "macro-liquidity", "cases": [ { "id": "easing", "kind": "fixture", "title": "The Fed adding securities and cutting its rate", "measures": { "category_key": "stocks", "fed_securities_13w_pct": 4.0, "policy_rate_6m_change": -0.75 }, "expect": { "state": "supports" }, "why": "Liquidity is being added on both counts." }, { "id": "tightening", "kind": "fixture", "title": "The Fed shrinking its holdings and raising its rate", "measures": { "category_key": "stocks", "fed_securities_13w_pct": -2.5, "policy_rate_6m_change": 1.5 }, "expect": { "state": "challenges" }, "why": "Liquidity is being drained on both counts, as in 2022." }, { "id": "cutting-while-shrinking", "kind": "fixture", "title": "Rate cuts while the balance sheet shrinks", "measures": { "category_key": "themes", "fed_securities_13w_pct": -1.5, "policy_rate_6m_change": -0.5 }, "expect": { "state": "mixed", "criteria": { "fed-balance-sheet": "challenges", "policy-rate": "supports" } }, "why": "The two levers point opposite ways." }, { "id": "hike-sept-2026", "kind": "fixture", "title": "A quarter-point rise, holdings flat", "measures": { "category_key": "stocks", "fed_securities_13w_pct": 0.16, "policy_rate_6m_change": 0.25 }, "expect": { "state": "challenges", "criteria": { "policy-rate": "challenges", "fed-balance-sheet": "mixed" } }, "why": "The FOMC raised its range by a quarter point and its holdings barely moved: liquidity is being taken away." }, { "id": "not-read", "kind": "fixture", "title": "The Fed's figures not read on the day", "measures": { "category_key": "stocks", "fed_securities_13w_pct": null, "policy_rate_6m_change": null }, "expect": { "state": "not_enough_data" }, "why": "Neither source answered, so the seat says nothing." }, { "id": "bond-fund", "kind": "fixture", "title": "A Treasury fund on an easing day", "measures": { "category_key": "bonds", "fed_securities_13w_pct": 4.0, "policy_rate_6m_change": -0.75 }, "expect": { "state": "not_applicable" }, "why": "Outside the seat: the speech is about the stock market." } ] } }, { "id": "diversification", "kind": "investor", "name": "Swensen-style Diversification", "short": "Diversification", "tradition": "David Swensen", "byline": "in the tradition of David Swensen", "question": "How many real bets do you own?", "page": "/investment-committee/david-swensen/", "slug": "david-swensen", "philosophySlug": "diversification", "redirectIfObjected": "/investment-committee/diversification/", "title": "David Swensen's philosophy, applied to ETFs", "person": "David Swensen", "profile": "docs/committee/profiles/david-swensen.md", "config": { "schema": 1, "seat": "diversification", "version": "2.1", "date": "2026-10-21", "strength": "strong", "strengthNote": "Swensen's own two books. His asset-class bounds are used as thresholds for a portfolio; inside one fund, where he gave no number, the seat uses ETFIQ's figures, each labelled. The two tests US law sets for a diversified fund are not Swensen's, so they moved to the ETFIQ Skeptic.", "sourcedTo": "David Swensen's own books", "scope": { "appliesTo": null, "note": "Every ETF with a filed book, and every portfolio. A fund of funds is read through to what its funds own, so its issuers are the holder's exposure." }, "works": [ { "id": "unconventional-2005", "kind": "book", "author": "David F. Swensen", "title": "Unconventional Success: A Fundamental Approach to Personal Investment", "publisher": "Free Press", "edition": "first edition", "year": 2005, "url": "https://openlibrary.org/isbn/9780743228381", "provides": "Diversification as a core principle, the six core asset classes and their weights (Table I.1, p. 34), the model portfolio and the bounds on each asset class (chapter 3, Table 3.1), and the warning against narrow niche ETFs (chapter 11)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Open Library record (Aug 2, 2005, ISBN 9780743228381) and the archive.org scan unconventionalsu00swen, searched in full: Table I.1 and Table 3.1 (domestic equity 30%, foreign developed equity 15%, emerging market equity 5%, real estate 20%, US Treasury bonds 15%, TIPS 15%); each asset class at least 5 to 10 percent and no more than 25 to 30 percent of assets on p. 83 (chapter 3) and p. 33; chapter 11 'The Exchange-Traded Fund Alternative' (p. 313) on narrow niche products. The publisher's own page refused the request. Page numbers from the scan's running heads: the bounds on p. 83, Table 3.1 on p. 84, Table I.1 on p. 34, the six classes on p. 36, narrow niche products on pp. 314-315. Chapter 11 (from p. 313): narrow niche products, individual country and sector funds among them, clutter the ETF landscape (pp. 314-315); sensible investors avoid the vast majority of ETF offerings, and sector funds carry unwelcome concentration (p. 329). Chapter 4, \"Non-Core Asset Classes\" (pp. 92-147): domestic corporate bonds from p. 93, high-yield p. 104, tax-exempt p. 111, asset-backed p. 118, foreign bonds p. 122; p. 92, unattractive characteristics that argue against inclusion; p. 103, the deck stacked against corporate bond investors." }, { "id": "pioneering-2000", "kind": "book", "author": "David F. Swensen", "title": "Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment", "publisher": "Free Press", "edition": "first edition", "year": 2000, "url": "https://archive.org/details/pioneeringportfo00davi", "provides": "Diversification as the free lunch of investing: risk falls without giving up expected return", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The archive.org scan pioneeringportfo00davi, its metadata and text searched: diversification described as a free lunch, paired with equity ownership as the principles behind asset allocation. No chapter number pinned, so none is cited." }, { "id": "ssga-2026", "kind": "research", "author": "State Street Global Advisors (Haselgard and Crasta)", "title": "Concentration is up; diversification isn't gone", "publisher": "State Street Global Advisors", "edition": "Sept 17, 2026", "year": 2026, "url": "https://www.ssga.com/us/en/individual/insights/concentration-is-up-diversification-isnt-gone", "provides": "Context for the measure, not Swensen: the effective number of holdings, 1 over the sum of squared weights, about 50 for the S&P 500 today against about 120 before the pandemic", "verified": true, "verifiedOn": "2026-10-21", "evidence": "SSGA's article \"Concentration is up, diversification isn't gone\" (Sep 17, 2026, Taylor Haselgard with Delson Crasta), read on ssga.com: Effective Number of Holdings = 1 / sum of w squared, the reciprocal of the HHI; the S&P 500 from roughly 120 pre-pandemic to about 50; the rule of thumb that 25 to 30 stocks remove most of the volatility." } ], "published": [ { "text": "Diversification lowers risk without giving up expected return, which makes it one of the few free lunches in investing.", "cites": [ "pioneering-2000#p. 67" ] }, { "text": "A portfolio rests on six core asset classes: US stocks, foreign developed stocks, emerging market stocks, real estate, US Treasury bonds and TIPS.", "cites": [ "unconventional-2005#Introduction, p. 34 (Table I.1)" ] }, { "text": "Each asset class needs enough weight to matter, at least 5 to 10 percent, and none should be large enough to do damage, at most 25 to 30 percent. His model mix runs from 5% to 30%.", "cites": [ "unconventional-2005#chapter 3, p. 83; Table I.1, p. 34, repeated p. 84" ] }, { "text": "Narrow niche products, single countries and sectors among them, expose investors to risks they should not take; low-cost broad index funds are the answer.", "cites": [ "unconventional-2005#chapter 11, pp. 314-315" ] } ], "criteria": [ { "id": "core-class", "label": "One of Swensen's six core asset classes, owned whole", "measure": "core_or_niche", "supports": { "m": "core_or_niche", "op": "==", "v": "core" }, "challenges": { "m": "core_or_niche", "op": "in", "v": [ "noncore", "niche" ] }, "thresholdSource": "etfiq", "thresholdNote": "The six classes are Swensen's (Table I.1, p. 34), and so are the classes he sets outside them: corporate, high-yield, tax-exempt, foreign and asset-backed bonds have \"unattractive characteristics\" (chapter 4, \"Non-Core Asset Classes\", p. 92; corporate bonds p. 103). Owning a class whole is read from the book, never from the fund's label: for stocks, the book must carry at least 80% of a broad cap-weighted reference's weight in proportion to it. The reference funds, 80% and the proportionality test are ETFIQ's; a slice or a tilt reads Mixed.", "weight": 0.35, "required": true, "veto": false, "appliesTo": { "all": [ { "m": "subject_kind", "op": "==", "v": "fund" }, { "m": "category_key", "op": "!=", "v": "allocation" } ] }, "sourceCites": [ "unconventional-2005#Introduction, p. 34 (Table I.1)", "unconventional-2005#chapter 4, pp. 92 and 103" ], "explain": "Does the fund own one of Swensen's six core asset classes whole, or a class he sets outside them?", "research": [] }, { "id": "no-niche", "label": "Not a narrow niche product", "measure": "core_or_niche", "supports": { "m": "core_or_niche", "op": "in", "v": [ "core", "partial", "noncore", "other" ] }, "challenges": { "m": "core_or_niche", "op": "==", "v": "niche" }, "thresholdSource": "etfiq", "thresholdNote": "Swensen's own warning: narrow niche products, individual country and sector funds among them, clutter the ETF landscape (pp. 314-315), and sensible investors avoid the vast majority of ETF offerings (p. 329). Which segments are niches is ETFIQ's mapping. It decides the seat alone, and weighs little otherwise because its force is that veto.", "weight": 0.05, "required": false, "veto": true, "appliesTo": { "all": [ { "m": "subject_kind", "op": "==", "v": "fund" }, { "m": "category_key", "op": "!=", "v": "allocation" } ] }, "sourceCites": [ "unconventional-2005#chapter 11, pp. 314-315 and 329" ], "explain": "Is the fund a single sector, a single country or another narrow product?", "research": [ { "paper": "ben-david-franzoni-kim-moussawi-2023", "stance": "supports", "note": "Specialised ETFs, the narrow niche products Swensen warned against, lost about 30% risk-adjusted over their first five years." } ] }, { "id": "top-ten", "label": "The weight in the ten largest positions", "measure": "top10_share", "supports": { "m": "top10_share", "op": "<", "v": 25 }, "challenges": { "m": "top10_share", "op": ">=", "v": 40 }, "thresholdSource": "etfiq", "thresholdNote": "ETFIQ threshold. Swensen sets bounds for asset classes, not for positions, so under 25% and 40% or more in ten names are ETFIQ's, weighted like the seat's other criteria and never deciding it alone. The S&P 500's ten largest companies were about 40% of it in October 2026 (40.65% of VOO by company, Sep 30 book): a finding the seat states, not a verdict.", "weight": 0.15, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "unconventional-2005#chapter 3, p. 83", "pioneering-2000#p. 67" ], "explain": "How much of the fund rides on ten names?", "research": [ { "paper": "markowitz-1952", "stance": "context", "note": "Diversification is judged by the variance of the whole portfolio; a weight count like this one is a proxy that ignores how positions move together." } ] }, { "id": "effective-holdings", "label": "The effective number of holdings", "measure": "effective_holdings", "supports": { "m": "effective_holdings", "op": ">=", "v": 30 }, "challenges": { "m": "effective_holdings", "op": "<=", "v": 15 }, "thresholdSource": "etfiq", "thresholdNote": "Swensen gives no count. 30 and 15 are ETFIQ's, set against SSGA's rule of thumb that 25 to 30 stocks remove most of the volatility diversification can, and its figure of about 50 effective holdings for the S&P 500 in 2026 (about 120 before the pandemic). Version 1.0's 100 left even VTI reading Mixed. The S&P 500 reads about 41 here against SSGA's \"about 50\", partly because ETFIQ combines share classes (GOOGL with GOOG) into one issuer; the rest of the gap is not measured.", "weight": 0.25, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "pioneering-2000#p. 67" ], "explain": "How many equal-sized bets is the fund really making?", "research": [ { "paper": "markowitz-1952", "stance": "context", "note": "The inverse of the sum of squared weights is a concentration count, not the portfolio variance Markowitz uses, so ten stocks that move together still count as ten." } ] }, { "id": "asset-class-bounds", "label": "Swensen's bounds on each asset class", "measure": "asset_class_max", "supports": { "all": [ { "m": "asset_class_max", "op": "<=", "v": 30 }, { "m": "asset_class_min_held", "op": ">=", "v": 5 } ] }, "challenges": { "any": [ { "m": "asset_class_max", "op": ">", "v": 30 }, { "m": "asset_class_min_held", "op": "<", "v": 5 } ] }, "thresholdSource": "investor", "thresholdCite": [ "unconventional-2005#chapter 3, p. 83" ], "thresholdNote": "The ends of Swensen's own ranges (each class at least 5 to 10 percent and at most 25 to 30 percent, pp. 33, 34 and 83), read at their loose ends: all six classes held, none above 30% and none below 5%. Version 1.0 counted only the classes held at all, so three classes at 30% each could Support.", "weight": 0.2, "required": false, "veto": true, "appliesTo": { "any": [ { "m": "subject_kind", "op": "==", "v": "portfolio" }, { "m": "category_key", "op": "==", "v": "allocation" } ] }, "sourceCites": [ "unconventional-2005#chapter 3, p. 83; Table I.1, p. 34, repeated p. 84" ], "explain": "For a portfolio or an allocation fund: does any asset class carry more than Swensen allowed?", "research": [ { "paper": "brinson-hood-beebower-1986", "stance": "context", "note": "The policy mix of asset classes explained most of how pension plans' returns moved over time, which is why the seat reads asset classes; the paper sets no bounds, and its 93.6% is never quoted as support for one." } ] } ], "rankBy": { "m": "effective_holdings", "order": "desc" }, "buildRule": "Fill the six core asset classes within Swensen's bounds, 5% to 30% each, with the broadest fund in each.", "cannotMeasure": [ "How the positions move together. The effective number of holdings counts weights, not correlations, so ten stocks in one industry count as ten bets.", "Rebalancing, which Swensen treats as part of diversification: that is how a portfolio is run, not a property of the fund.", "Whether a fund meets the law's tests for a diversified fund: those are not Swensen's, and the ETFIQ Skeptic reads them." ], "unverified": [ { "claim": "Page numbers for Swensen's Table I.1, and the chapter of his line on low-cost index funds.", "why": "Found by full-text search; the page was not pinned. Chapters are cited, not pages." }, { "claim": "The revised edition of Pioneering Portfolio Management: 2008 or 2009.", "why": "Open Library and retailers disagree. The seat cites the 2000 first edition." }, { "claim": "A Swensen view on leveraged ETFs.", "why": "None found; his books predate them." } ], "quote": { "chosen": true, "text": "The act of diversification provides a free lunch of enhanced returns and reduced risk…", "by": "David F. Swensen", "source": "Unconventional Success (Free Press, 2005)", "candidatesIn": "docs/committee/profiles/david-swensen.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "2.0", "date": "2026-10-21", "change": "The 1940 Act and tax-code tests moved to the ETFIQ Skeptic, since Swensen did not frame diversification through them; a required criterion reads whether a fund owns a core asset class whole or a narrow niche (chapter 11); the effective-holdings lines are 30 and 15, after SSGA's own figures, so a total-market fund can Support; the asset-class test needs all six classes at 5% or more." }, { "version": "2.1", "date": "2026-10-21", "change": "Owning a core class whole is read from the book, never the segment label; the classes Swensen sets outside his six (corporate and other non-core bonds, chapter 4) read against the core criterion; the niche line is its own gate." } ], "weightsNote": "The core class carries the most (35%) because it is Swensen's first rule; effective holdings 25%; the asset-class bounds 20% for a portfolio; the top ten 15%, an ETFIQ line he did not draw; the niche line 5%, because its force is its veto. The weights are ETFIQ's and were not set to land any fund." }, "cases": { "schema": 1, "seat": "diversification", "cases": [ { "id": "total-market", "kind": "fixture", "title": "A global total-market fund", "measures": { "subject_kind": "fund", "category_key": "stocks", "top10_share": 18.0, "effective_holdings": 160.0, "core_or_niche": "core" }, "expect": { "state": "supports" }, "why": "Thousands of companies, none above 5%." }, { "id": "one-six-percent", "kind": "fixture", "title": "A broad fund with one 6% position", "measures": { "subject_kind": "fund", "category_key": "stocks", "top10_share": 22.0, "effective_holdings": 120.0, "core_or_niche": "core" }, "expect": { "state": "supports", "criteria": { "effective-holdings": "supports", "core-class": "supports" } }, "why": "A core asset class held whole, with the weight spread like 120 equal positions: one name a little above 5% does not make it concentrated." }, { "id": "forty-in-ten", "kind": "fixture", "title": "A fund with 40% of its weight in 10 names", "measures": { "subject_kind": "fund", "category_key": "stocks", "top10_share": 40.0, "effective_holdings": 35.0, "core_or_niche": "core" }, "expect": { "state": "supports", "criteria": { "top-ten": "challenges", "core-class": "supports" } }, "why": "Ten names carry 40%, which the seat states, but it is a core asset class spread like 35 equal positions: an ETFIQ threshold never decides the seat alone." }, { "id": "one-company-quarter", "kind": "fixture", "title": "A fund over 25% in one company", "measures": { "subject_kind": "fund", "category_key": "stocks", "top10_share": 62.0, "effective_holdings": 9.0, "core_or_niche": "niche" }, "expect": { "state": "challenges", "criteria": { "effective-holdings": "challenges", "core-class": "challenges" } }, "why": "A narrow slice with a quarter in one company: few real bets." }, { "id": "sector-fund", "kind": "fixture", "title": "A broad sector fund", "measures": { "subject_kind": "fund", "category_key": "stocks", "core_or_niche": "niche", "top10_share": 30.0, "effective_holdings": 35.0 }, "expect": { "state": "challenges", "criteria": { "no-niche": "challenges" } }, "why": "Spread over many companies, but one sector: the narrow niche product Swensen warned against (pp. 314-315)." }, { "id": "swensen-model", "kind": "fixture", "title": "Swensen's own model mix as a portfolio", "measures": { "subject_kind": "portfolio", "category_key": null, "asset_class_max": 30.0, "asset_class_min_held": 5.0, "top10_share": 20.0, "effective_holdings": 300.0, "core_or_niche": null }, "expect": { "state": "supports", "criteria": { "asset-class-bounds": "supports" } }, "why": "30% US stocks, 15% foreign developed, 5% emerging, 20% real estate, 15% Treasuries, 15% TIPS: inside his own bounds." }, { "id": "seventy-thirty", "kind": "fixture", "title": "A two-fund portfolio, 70% US stocks and 30% bonds", "measures": { "subject_kind": "portfolio", "category_key": null, "asset_class_max": 70.0, "asset_class_min_held": 0.0, "top10_share": 26.0, "effective_holdings": 140.0, "core_or_niche": null }, "expect": { "state": "challenges", "criteria": { "asset-class-bounds": "challenges" } }, "why": "Many holdings, but 70% in one asset class, more than twice Swensen's ceiling." }, { "id": "three-classes", "kind": "fixture", "title": "Three asset classes at 30%, 30% and 40%", "measures": { "subject_kind": "portfolio", "category_key": null, "core_or_niche": null, "asset_class_max": 40.0, "asset_class_min_held": 0.0, "top10_share": 20.0, "effective_holdings": 300.0 }, "expect": { "state": "challenges", "criteria": { "asset-class-bounds": "challenges" } }, "why": "Three of the six core classes missing, and one above 30%." }, { "id": "live-vt", "kind": "live", "subject": { "ticker": "VT" }, "expect": { "state": "supports" }, "why": "About 10,000 companies worldwide, top ten 22.5%.", "checkedOn": "2026-10-22", "figures": [ { "name": "top10", "from": "row:holdings_top10", "fmt": ".1f", "fund": "VT" } ], "whyTemplate": "About 10,000 companies worldwide, top ten {top10}%.", "measuresSeen": { "top10": 22.5 } }, { "id": "live-smh", "kind": "live", "subject": { "ticker": "SMH" }, "expect": { "state": "challenges" }, "why": "25 semiconductor companies, top ten 68.1%.", "checkedOn": "2026-10-22", "figures": [ { "name": "n", "from": "row:holdings_count", "fmt": "d", "fund": "SMH" }, { "name": "top10", "from": "row:holdings_top10", "fmt": ".1f", "fund": "SMH" } ], "whyTemplate": "{n} semiconductor companies, top ten {top10}%.", "measuresSeen": { "n": 25, "top10": 68.1 } }, { "id": "live-aor-look-through", "kind": "live", "subject": { "ticker": "AOR" }, "expect": { "not": "not_enough_data", "criteria": { "asset-class-bounds": "challenges" } }, "why": "A fund of seven funds: read through, it is not seven bets, but its US stocks sleeve (38.57% of the book) is above Swensen's 30% ceiling.", "checkedOn": "2026-10-22", "figures": [ { "name": "usStocks", "from": "live:asset_class_max", "fmt": ".2f", "fund": "AOR" } ], "whyTemplate": "A fund of seven funds: read through, it is not seven bets, but its US stocks sleeve ({usStocks}% of the book) is above Swensen's 30% ceiling.", "measuresSeen": { "usStocks": 38.57 } }, { "id": "live-bnd", "kind": "live", "subject": { "ticker": "BND" }, "expect": { "not": "supports", "criteria": { "core-class": "challenges" } }, "why": "A total bond fund holding corporate and mortgage bonds beside Treasuries: outside Swensen's core classes, which take Treasuries and TIPS only.", "checkedOn": "2026-10-21", "measuresSeen": {} } ] } }, { "id": "disruptive-innovation", "kind": "investor", "name": "Wood-style Disruptive Innovation", "short": "Disruptive Innovation", "tradition": "Cathie Wood", "byline": "in the tradition of Cathie Wood", "question": "Is the theme one ARK names?", "page": "/investment-committee/cathie-wood/", "slug": "cathie-wood", "philosophySlug": "disruptive-innovation", "redirectIfObjected": "/investment-committee/disruptive-innovation/", "title": "Cathie Wood's philosophy, applied to ETFs", "person": "Cathie Wood", "profile": "docs/committee/profiles/cathie-wood.md", "config": { "schema": 1, "seat": "disruptive-innovation", "version": "3.0", "date": "2026-10-21", "strength": "firm-research", "strengthNote": "ARK Invest's own published research and its funds' own statements of strategy, not Wood's personal writing. They define the theme and give no test, so the seat observes and does not vote.", "sourcedTo": "ARK Invest's published research", "scope": { "appliesTo": { "m": "category_key", "op": "in", "v": [ "themes", "crypto" ] }, "note": "Theme funds, and coin funds, since ARK names Bitcoin among its ideas and runs a spot bitcoin fund. Any other fund reads Not enough data, outside this seat's scope." }, "works": [ { "id": "ark-big-ideas-2026", "kind": "research", "author": "ARK Invest", "title": "Big Ideas 2026", "publisher": "ARK Investment Management", "edition": "10th annual edition", "year": 2026, "url": "https://research.ark-invest.com/hubfs/1_Download_Files_ARK-Invest/Big_Ideas/ARKInvest%20BigIdeas2026.pdf", "provides": "The 13 innovation ideas ARK names for 2026: The Great Acceleration, AI Infrastructure, The AI Consumer Operating System, AI Productivity, Bitcoin, Tokenized Assets, DeFi Applications, Multiomics, Reusable Rockets, Robotics, Distributed Energy, Autonomous Vehicles and Autonomous Logistics", "verified": true, "verifiedOn": "2026-10-21", "evidence": "ARK's own page, read in the browser: the report described as ARK's 10th annual flagship research report, and all 13 idea names present. Released in January 2026 (ARK's press release). The PDF read: the 13 ideas listed on p. 3; Wright's law on pp. 80-81 and 93." }, { "id": "ark-485bpos-2025", "kind": "filing", "author": "ARK ETF Trust", "title": "Registration statement (Form 485BPOS), ARK Innovation ETF summary section", "publisher": "U.S. Securities and Exchange Commission (EDGAR)", "edition": "prospectus dated Nov 30, 2025, filed Nov 26, 2025", "year": 2025, "url": "https://www.sec.gov/Archives/edgar/data/1579982/000121390025115285/ea0266434-01_485bpos.htm", "provides": "ARK's definition of disruptive innovation and ARKK's commitment of at least 65% of its assets to it; the themes of the trust's other funds: Next Generation Internet (ARKW), Blockchain & Fintech innovation (ARKF, \"the way the financial sector works\"), Space & Defense (ARKX), and the thematic index ETFs PRNT and IZRL", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The filing on EDGAR, the ARKK summary section read; the same sentence is on ARK's fund page. Read again on 2026-10-21 (full text from EDGAR): the cover lists ARKK, ARKW, ARKG, ARKQ, ARKX (formerly ARK Space Exploration & Innovation ETF) and ARKF as active funds and PRNT and IZRL as thematic index ETFs; it defines Blockchain & Fintech innovation and Space & Defense." }, { "id": "arkk-fund-page", "kind": "filing", "author": "ARK Investment Management", "title": "ARK Innovation ETF (ARKK): fund objective and description", "publisher": "ark-funds.com, matching the fund's summary prospectus of Nov 30, 2025", "edition": "fund page read 2026-10-21", "year": 2026, "url": "https://www.ark-funds.com/funds/arkk", "provides": "ARK's definition of disruptive innovation, a technologically enabled new product or service that potentially changes the way the world works, and ARKK's commitment of at least 65% of its assets to companies relevant to that theme", "verified": true, "verifiedOn": "2026-10-21", "evidence": "ARK's fund page, read in the browser: 'at least 65% of its assets' in companies relevant to disruptive innovation, the definition, and the nine areas (Intelligent Devices to Multiomic Technologies)." } ], "published": [ { "text": "Disruptive innovation is a technology-enabled product or service that could change the way the world works.", "cites": [ "ark-485bpos-2025" ] }, { "text": "ARK's flagship fund commits at least 65% of its assets to companies relevant to that theme.", "cites": [ "ark-485bpos-2025" ] }, { "text": "ARK names 13 innovation ideas for 2026, from AI infrastructure and robotics to multiomics, reusable rockets and tokenized assets.", "cites": [ "ark-big-ideas-2026#p. 3" ] } ], "criteria": [], "platformMap": { "AI infrastructure and chips": "AI Infrastructure", "Semiconductors": "AI Infrastructure", "Digital infrastructure and data centers": "AI Infrastructure", "Artificial intelligence": "AI Productivity", "AI labs and single company AI": "AI Productivity", "Blockchain and crypto equities": "Bitcoin", "Stablecoins and tokenisation": "Tokenized Assets", "Genomics and gene editing": "Multiomics", "Space": "Reusable Rockets", "Robotics and automation": "Robotics", "Humanoid robots": "Robotics", "Broad innovation and megatrends": "The Great Acceleration", "Internet and e-commerce": "Next Generation Internet (ARKW)", "Fintech and digital payments": "Blockchain & Fintech innovation (ARKF)", "Defense": "Space & Defense (ARKX)", "Bitcoin": "Bitcoin", "Electrification and the grid": "Distributed Energy", "Electric vehicles and batteries": "Distributed Energy", "3D printing": "3D printing (PRNT, an ARK thematic index fund)" }, "platformMapNote": "A theme maps to one of the 13 ideas in Big Ideas 2026 (p. 3), or to the theme of a fund ARK itself runs, as ARK's registration statement defines it (ARKW's Next Generation Internet, ARKF's Blockchain & Fintech innovation, ARKX's Space & Defense, and PRNT's 3D printing, which the same filing lists among ARK's thematic index ETFs). Every other theme maps to none, which reads Mixed: ETFIQ's map is not ARK's verdict, so it never makes the seat Challenge.", "buildRule": "The seat builds nothing: it gives no state to order funds by.", "cannotMeasure": [ "Whether a fund is disruptive innovation in ARK's sense: ARK gives a definition and no test, so the seat gives no state.", "How much of each company's business is the innovation itself, and whether ARK is right: its growth forecasts are opinions, not data.", "A theme ARK has not written about: the map reads it as not matched, which is not ARK rejecting it." ], "unverified": [ { "claim": "'Energy storage' as one of ARK's named platforms.", "why": "Not in the 2026 list, which names Distributed Energy instead. ETFIQ's battery and clean-energy themes are not mapped to it until ETFIQ's map is reviewed." }, { "claim": "A Cathie Wood book or signed essay setting out her method.", "why": "None found; the seat uses ARK's published research." } ], "quote": { "chosen": true, "text": "The Adviser defines 'disruptive innovation' as the introduction of a technologically enabled new product or service that potentially changes the way the world works.", "by": "ARK ETF Trust", "source": "prospectus, ARK Innovation ETF summary, \"Principal Investment Strategies,\" filed with the SEC Nov 26, 2025", "candidatesIn": "docs/committee/profiles/cathie-wood.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version." }, { "version": "2.0", "date": "2026-10-21", "change": "ARK's own fund themes join the map and the crypto desk joins the scope; a theme off the map never vetoes." }, { "version": "3.0", "date": "2026-10-21", "change": "The seat observes and does not vote. ARK publishes no test that can be applied to another firm's fund, and the share owned by ARK's funds measured ARK's trading rather than the fund, so it is removed." } ], "aggregation": "observe", "context": [ { "measure": "innovation_platform", "label": "The ARK idea or ARK fund theme the fund's theme maps to", "note": "An observation, never a verdict: ARK publishes a definition of disruptive innovation, its flagship's 65% commitment and a list of ideas, but no test that can be applied to another firm's fund. A theme on the map is one ARK has written about; a theme off it is one ETFIQ has not matched, not one ARK rejects.", "research": [ { "paper": "nagy-farmer-bui-trancik-2013", "stance": "context", "note": "Wright's law, which ARK's research leans on, forecasts falling technology costs well across 62 technologies; it bears on ARK's premise, not on any fund." } ] } ], "observeNote": "ARK publishes what it means by disruptive innovation and which ideas it follows, and no test that can be applied to another firm's fund. So the seat notes whether a fund's theme is one ARK names or runs a fund on, and gives no state. An earlier version read how much of a fund ARK's own funds owned; that measures ARK's trading, not the fund, and it is gone." }, "cases": { "schema": 1, "seat": "disruptive-innovation", "cases": [ { "id": "arkk-like", "kind": "fixture", "title": "A broad innovation fund on a theme ARK names", "measures": { "category_key": "themes", "innovation_platform": "The Great Acceleration" }, "expect": { "state": "not_enough_data" }, "why": "The seat notes the match and gives no state: ARK publishes no test." }, { "id": "off-the-map", "kind": "fixture", "title": "A gold miners fund", "measures": { "category_key": "themes", "innovation_platform": "none" }, "expect": { "state": "not_enough_data" }, "why": "No match is noted, and no state is given." }, { "id": "live-arkw", "kind": "live", "subject": { "ticker": "ARKW" }, "expect": { "state": "not_enough_data" }, "why": "ARK's own internet fund: noted as ARK's Next Generation Internet theme, with no state.", "checkedOn": "2026-10-21", "measuresSeen": {} } ] } }, { "id": "trend-following", "kind": "investor", "name": "Livermore-style Trend Following", "short": "Trend Following", "tradition": "Jesse Livermore", "byline": "in the tradition of Jesse Livermore", "question": "Is the trend with you or against you?", "page": "/investment-committee/jesse-livermore/", "slug": "jesse-livermore", "philosophySlug": "trend-following", "redirectIfObjected": "/investment-committee/trend-following/", "title": "Jesse Livermore's philosophy, applied to ETFs", "person": "Jesse Livermore", "profile": "docs/committee/profiles/jesse-livermore.md", "config": { "schema": 1, "seat": "trend-following", "version": "1.3", "date": "2026-10-21", "strength": "interviews-and-writings", "strengthNote": "Livermore's own 1940 book is the first source for every criterion, read in its 1966 reprint; Edwin Lefevre's 1923 Reminiscences of a Stock Operator, a novelised account dedicated to him and narrated by a fictional trader, is the second. The mechanics (windows, highs, volume) are ETFIQ's readings of both, not Livermore's numbers.", "sourcedTo": "Jesse Livermore's own 1940 book, with Edwin Lefevre's 1923 novel as the second source", "scope": { "appliesTo": { "all": [ { "m": "segment", "op": "not in", "v": [ "Cash and ultrashort" ] }, { "m": "volatility_1y", "op": ">=", "v": 3.0 } ] }, "note": "Every ETF whose price moves: the seat does not apply to a fund whose daily returns over a year have an annualized volatility under 3%, as a T-bill, ultrashort, floating-rate or short Treasury fund's do, since its price rises as interest accrues rather than trending. The 3% is ETFIQ's line." }, "works": [ { "id": "how-to-trade-1940", "kind": "book", "author": "Jesse L. Livermore", "title": "How to Trade in Stocks", "publisher": "Duell, Sloan and Pearce", "edition": "Investors' Press reprint, 1966, carrying the 1940 copyright; every page cited is of this reprint", "year": 1940, "url": null, "provides": "His own book, the seat's first source: a stock making a new high (chapter I, p. 26), markets never wrong and the first small loss (pp. 18 and 21), a stock acting right on volume (chapter II, \"When Does a Stock Act Right?\", p. 27), following the leaders (chapter III, pp. 33-37), and the pivotal point (chapter V, pp. 43-46)", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The archive.org lending scan howtotradeinstoc0000jess (1966 Investors' Press reprint, copyright 1940 by Jesse L. Livermore and 1966 by Investors' Press), read through search-inside: chapter I from p. 15, II p. 27, III p. 33, V p. 43; new high p. 26; volume p. 27; leaders pp. 35 and 37; pivotal point p. 46; p. 18 and p. 21 as cited. \"Line of least resistance\" does not appear in it. No lawful scan of the 1940 first edition was found, so its pages are not cited." }, { "id": "reminiscences-1923", "kind": "book", "author": "Edwin Lefevre", "title": "Reminiscences of a Stock Operator", "publisher": "George H. Doran Company", "edition": "first published 1923; pages from the Doubleday 1947 printing of the 1923 text (copyright 1923 by George H. Doran)", "year": 1923, "url": "https://www.gutenberg.org/ebooks/60979", "provides": "Trading along the line of least resistance, taking a position as a price breaks to new ground, following the leading stocks of a move, reading the tape's activity, and cutting a loss at once rather than averaging it", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Project Gutenberg eBook 60979, a reprint carrying the 1923 George H. Doran copyright, dedicated to Jesse Lauriston Livermore; full text searched chapter by chapter: the line of least resistance (X), a stock acting right (V, XVII), new high records and first crossings of a round price (VI, IX, XIV), leaders that ceased to lead and the group leader (XIV, XVII), volume and the character of the trading (VI, XVII), no second position unless the first shows a profit (VII), averaging a losing game (XII) and taking a loss at once (XIV). The words pivotal and pivot, and higher highs or higher lows, do not appear; it contains no moving average. Pages from the archive.org scan bwb_S0-DRI-799, a 1947 Doubleday printing carrying the 1923 Doran copyright and ending on p. 298 or 299, as the Doran edition is catalogued; probably the Doran plates, not proven." } ], "published": [ { "text": "Prices move along the line of least resistance; a trader goes with that direction once the market shows it, and leaves alone a stock that does not act right.", "cites": [ "how-to-trade-1940#chapter II, \"When Does a Stock Act Right?\", p. 27", "reminiscences-1923#chapters V and X, pp. 121-127" ] }, { "text": "A price making new high records, or crossing a round level for the first time, is the move confirming itself.", "cites": [ "how-to-trade-1940#chapter I, p. 26; chapter V, \"The Pivotal Point\", pp. 43-46", "reminiscences-1923#chapters VI, IX and XIV, pp. 82, 104 and 178" ] }, { "text": "His rule was to watch the leaders of a move, to let go of leaders that ceased to lead, and to be wary of a stock that would not follow its group's leader.", "cites": [ "how-to-trade-1940#chapter III, \"Follow the Leaders\", pp. 33-37", "reminiscences-1923#chapters XIV and XVII, pp. 182 and 219" ] }, { "text": "The volume and character of the trading are part of reading a move, though the book tells this in stories, not as a rule.", "cites": [ "how-to-trade-1940#chapter II, p. 27", "reminiscences-1923#chapters VI and XVII, pp. 82 and 219" ] }, { "text": "His rules were never to average a losing position, to add only once the first position shows a profit, and to take a loss as soon as the trade proves wrong.", "cites": [ "how-to-trade-1940#chapter I, pp. 18 and 21", "reminiscences-1923#chapters VII, XII and XIV, pp. 89-90, 154 and 185" ] }, { "text": "Profits look after themselves but losses never do: the speculator protects himself by taking the first small loss.", "cites": [ "how-to-trade-1940#chapter I, p. 21" ] } ], "criteria": [ { "id": "line-of-least-resistance", "label": "Higher highs and higher lows", "measure": "swing_structure", "supports": { "m": "swing_structure", "op": "==", "v": "rising" }, "challenges": { "m": "swing_structure", "op": "==", "v": "falling" }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The book names the line of least resistance but no window. Two 63-day halves of the last 126 trading days, the later half's high and low both above the earlier half's (or both below), are ETFIQ's reading. The phrase \"line of least resistance\" is Lefevre's; Livermore's own book states the idea as a stock acting right.", "weight": 0.25, "required": true, "veto": false, "appliesTo": null, "sourceCites": [ "how-to-trade-1940#chapter II, \"When Does a Stock Act Right?\", p. 27", "reminiscences-1923#chapter X, pp. 121-127" ], "explain": "Is the price making higher highs and higher lows, the direction of least resistance?", "research": [ { "paper": "moskowitz-ooi-pedersen-2012", "stance": "context", "note": "A market's own past return predicts its next for up to a year, so a trend tends to persist; the paper signals trend by the sign of the past return, not by higher highs and higher lows, which it never tests." } ] }, { "id": "pivotal-point", "label": "At a new high, or breaking out of its range", "measure": "below_52w_high", "supports": { "any": [ { "m": "below_52w_high", "op": "<=", "v": 2 }, { "all": [ { "m": "above_recent_range", "op": "==", "v": true }, { "m": "below_52w_high", "op": "<", "v": 20 } ] } ] }, "challenges": { "all": [ { "m": "below_52w_high", "op": ">=", "v": 20 }, { "m": "above_recent_range", "op": "==", "v": false } ] }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "Livermore's pivotal point is a move into new high ground after a normal reaction (How to Trade in Stocks, chapter I, p. 26; chapter V, \"The Pivotal Point\", pp. 43-46), not a bounce inside a long decline. So the seat Supports a fund within 2% of its 52-week high, or one that has broken above its last 63 days while less than 20% below that high; it Challenges a fund 20% or more below the high that has not broken out; and a fund breaking its recent range while still 20% or more below the high reads Mixed. The two sides can never both be true. The 2%, 20% and 63 days are ETFIQ's.", "weight": 0.2, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "how-to-trade-1940#chapter I, p. 26; chapter V, \"The Pivotal Point\", pp. 43-46", "reminiscences-1923#chapters VI, IX and XIV, pp. 82, 104 and 178" ], "explain": "Is the price at a new high, or breaking above its recent range?", "research": [ { "paper": "george-hwang-2004", "stance": "context", "note": "Nearness to the 52-week high predicted returns better than past returns did, among individual stocks; the criterion reads a fund's distance below its own high, so the paper is context." } ] }, { "id": "follow-the-leaders", "label": "Leading its group", "measure": "ret_6m_vs_category", "supports": { "m": "ret_6m_vs_category", "op": ">=", "v": 5 }, "challenges": { "m": "ret_6m_vs_category", "op": "<=", "v": -5 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "5 points ahead of, or behind, its category's median over 6 months are ETFIQ's.", "weight": 0.2, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "how-to-trade-1940#chapter III, \"Follow the Leaders\", pp. 33-37", "reminiscences-1923#chapters XIV and XVII, pp. 182 and 219" ], "explain": "Is the fund among the leaders of its group, or a laggard?", "research": [ { "paper": "jegadeesh-titman-1993", "stance": "context", "note": "Past outperformers among single stocks keep beating past underperformers over 3 to 12 months; stocks, not funds, so context for a fund's return against its segment." }, { "paper": "asness-moskowitz-pedersen-2013", "stance": "supports", "note": "Momentum ranked within each asset class holds in eight markets; the paper uses 12 months skipping the latest, where this measure uses 6, a shorter window the paper notes predicts less well." }, { "paper": "daniel-moskowitz-2016", "stance": "weakens", "note": "Following recent leaders suffers rare, severe losses in panics after market falls, when past laggards rebound; the criterion carries that risk." } ] }, { "id": "volume-confirms", "label": "Volume behind the move", "measure": "updown_volume_ratio_50d", "supports": { "m": "updown_volume_ratio_50d", "op": ">=", "v": 1.2 }, "challenges": { "m": "updown_volume_ratio_50d", "op": "<=", "v": 0.8 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "Up-day volume 20% above down-day volume over 50 days, and 20% below, are ETFIQ's. Reads Not enough data until ETFIQ carries daily volume. ETFIQ does not yet carry daily volume, so this criterion is printed as pending and every fund reads it as not measured.", "weight": 0.15, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "how-to-trade-1940#chapter II, p. 27", "reminiscences-1923#chapters VI and XVII, pp. 82 and 219" ], "explain": "Is more stock changing hands on the up days than on the down days?", "research": [ { "paper": "gervais-kaniel-mingelgrin-2001", "stance": "context", "note": "Unusually high volume preceded higher returns whatever the price did that day; the paper does not test volume on up days against down days, which is what this criterion reads." }, { "paper": "lee-swaminathan-2000", "stance": "weakens", "note": "High-volume stocks behaved like glamour stocks and earned less over the following years; volume is a weak and ambiguous signal, which is why it weighs least." } ] }, { "id": "trend-broken", "label": "Trend broken: well below the last swing high", "measure": "below_recent_high_63d", "supports": { "m": "below_recent_high_63d", "op": "<=", "v": 3 }, "challenges": { "m": "below_recent_high_63d", "op": ">=", "v": 10 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The book says to take a loss the moment the trader sees he is wrong, never to average it, and gives no percentage. 10% or more below the highest close of the last 63 days is ETFIQ's flag that the trend is broken; within 3% is ETFIQ's.", "weight": 0.2, "required": false, "veto": true, "appliesTo": null, "sourceCites": [ "how-to-trade-1940#chapter I, pp. 18 and 21", "reminiscences-1923#chapters VII, XII and XIV, pp. 89-90, 154 and 185" ], "explain": "Has the price fallen far enough from its last high that, on these rules, the trend is broken?", "research": [ { "paper": "moskowitz-ooi-pedersen-2012", "stance": "context", "note": "Trend signals turn when the past return turns, which is the idea behind a broken-trend flag; the paper does not test distance below a recent high." } ] } ], "rankBy": { "m": "below_52w_high", "order": "asc" }, "buildRule": "In each sleeve, the fund making higher highs and higher lows that sits closest to its 52-week high.", "cannotMeasure": [ "The time element and the pivotal points exactly as Livermore's own 1940 book defines them: no usable copy could be read.", "The tape through the day: ETFIQ has closing prices; volume arrives with daily volume data.", "Whether a holder added to a gaining position or averaged a losing one: that is how a position is managed, not a property of the fund." ], "unverified": [ { "claim": "A rule to cut any loss at about 10 percent.", "why": "Not in Reminiscences (its only 10 percent figures are a margin and a dividend), and not in the chapters of How to Trade in Stocks the seat cites, which tell of taking a loss at once and never averaging it, with no percentage. A rule he did not state is never in his seat." }, { "claim": "Jeremy Siegel's test of the 200-day average in Stocks for the Long Run, with a 1% band.", "why": "Seen only in secondary press; edition and chapter not confirmed. Not cited." }, { "claim": "The page numbers of the 1966 Investors' Press reprint of How to Trade in Stocks.", "why": "Every passage the seat cites from the book (the new high after a normal reaction, the pivotal point, the leaders, markets never wrong, losses never taking care of themselves) was confirmed in the 2017 Albatross edition by an independent reader. The page numbers are ETFIQ's first reading of the 1966 lending scan, whose search refused the second reader, so they are not confirmed twice." }, { "claim": "Volume confirming a move as a rule Livermore stated.", "why": "The 1923 book tells of volume in anecdotes (chapters VI and XVII), not as a rule; the criterion is weighted lowest, and research weakens it." } ], "changes": [ { "version": "1.0", "date": "2026-10-21", "change": "First version, on the 200-day average and the 52-week high." }, { "version": "1.1", "date": "2026-10-21", "change": "Rebuilt on Livermore's own ideas as Lefevre's book records them. The 200-day moving average is gone from the seat: it is no idea of his, and becomes a plain fact on the fund's trading page." }, { "version": "1.2", "date": "2026-10-21", "change": "Every price test reads adjusted closes, so distributions and reverse splits no longer read as broken trends; Gervais, Kaniel and Mingelgrin (2001) and Daniel and Moskowitz (2016) added; quote and loss-rule pages fixed (pp. 18 and 21 of the 1966 reprint); the mechanics listed for a ruling by name." }, { "version": "1.3", "date": "2026-10-21", "change": "Every criterion cites Livermore's own book first, in its 1966 reprint, with Lefevre's novel second; volume is printed as pending until ETFIQ carries daily volume." }, { "version": "1.3", "date": "2026-10-22", "change": "The published principles cite Livermore's own book first; cash and ultrashort funds are outside the seat." }, { "version": "1.3", "date": "2026-10-22", "change": "The pivotal point's two sides are exclusive: a break above the recent range while 20% or more below the 52-week high reads Mixed, as a bounce inside a decline is not new high ground; volume is marked pending in the committee file." }, { "version": "1.3", "date": "2026-10-22", "change": "The seat is out of scope for a fund whose price barely moves (volatility under 3% a year), read from its prices, not its label; the last imperative in its principles is gone." } ], "quote": { "chosen": true, "text": "Profits always take care of themselves but losses never do.", "by": "Jesse L. Livermore", "source": "How to Trade in Stocks (Duell, Sloan & Pearce, 1940), chapter I, \"The Challenge of Speculation,\" p. 21 of the Investors' Press reprint of 1966", "candidatesIn": "docs/committee/profiles/jesse-livermore.md#candidate-quotes", "chosenOn": "2026-10-22", "candidate": 1 }, "weightsNote": "The trend itself carries the most (25%), since every rule in the book starts from it; the pivotal point, the leaders and a broken trend 20% each; volume 15%, the weakest and most ambiguous signal in the research. The weights are ETFIQ's and were not set to land any fund." }, "cases": { "schema": 1, "seat": "trend-following", "cases": [ { "id": "new-highs-rising-volume", "kind": "fixture", "title": "A fund at new highs, leading its group, on rising volume", "measures": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 0.5, "above_recent_range": true, "ret_6m_vs_category": 8.0, "updown_volume_ratio_50d": 1.5, "below_recent_high_63d": 0.5, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "supports" }, "why": "Higher highs and higher lows, a breakout to new ground, ahead of its group, and more volume on the up days." }, { "id": "lower-lows", "kind": "fixture", "title": "A fund making lower highs and lower lows", "measures": { "history_days": 900, "swing_structure": "falling", "below_52w_high": 24.0, "above_recent_range": false, "ret_6m_vs_category": -9.0, "updown_volume_ratio_50d": 0.7, "below_recent_high_63d": 14.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "challenges", "criteria": { "line-of-least-resistance": "challenges", "trend-broken": "challenges" } }, "why": "The line of least resistance points down, and the price is 14% under its last swing high: the trend is broken." }, { "id": "broken-but-near-high", "kind": "fixture", "title": "Near its 52-week high, but 12% below the last swing high", "measures": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 1.5, "above_recent_range": false, "ret_6m_vs_category": 8.0, "updown_volume_ratio_50d": 1.5, "below_recent_high_63d": 12.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "challenges", "criteria": { "pivotal-point": "supports", "trend-broken": "challenges" } }, "why": "The broken-trend flag decides: the book takes the loss the moment the move fails, whatever else looks good." }, { "id": "bounce-in-a-decline", "kind": "fixture", "title": "A fund breaking its recent range while a third below its high (PLYY on 2026-10-08)", "measures": { "category_key": "income", "segment": "synthetic covered call", "swing_structure": "mixed", "above_recent_range": true, "below_recent_high_63d": 0.0, "below_52w_high": 33.35, "ret_6m_vs_category": null, "updown_volume_ratio_50d": null, "volatility_1y": 18.0 }, "expect": { "state": "mixed", "criteria": { "pivotal-point": "mixed" } }, "why": "It closed above its last 63 days but 33% below its 52-week high: a bounce inside a decline, not the new high ground of Livermore's pivotal point, so that criterion reads Mixed rather than both sides at once." }, { "id": "leading-off-high", "kind": "fixture", "title": "A fund rising and leading its group, a little off its high", "measures": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 6.0, "above_recent_range": false, "ret_6m_vs_category": 8.0, "updown_volume_ratio_50d": null, "below_recent_high_63d": 5.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "supports", "criteria": { "follow-the-leaders": "supports", "pivotal-point": "mixed" } }, "why": "Higher highs and higher lows, ahead of its group: the leader of its move, though not yet at a new high." }, { "id": "volume-behind-it", "kind": "fixture", "title": "A fund rising on heavier up-day volume, level with its group", "measures": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 6.0, "above_recent_range": false, "ret_6m_vs_category": 1.0, "updown_volume_ratio_50d": 1.5, "below_recent_high_63d": 2.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "supports", "criteria": { "volume-confirms": "supports", "follow-the-leaders": "mixed" } }, "why": "Rising, close to its last swing high, with more volume on the up days." }, { "id": "too-young", "kind": "fixture", "title": "A fund with 40 days of prices", "measures": { "history_days": 40, "swing_structure": null, "below_52w_high": null, "above_recent_range": null, "ret_6m_vs_category": null, "updown_volume_ratio_50d": null, "below_recent_high_63d": null, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "expect": { "state": "not_enough_data" }, "why": "No swings to read yet, and the seat says so rather than guessing." }, { "id": "broken-against-rising", "kind": "compare-fixture", "title": "A broken trend near its high against a rising one", "subjects": { "broken": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 1.5, "above_recent_range": false, "ret_6m_vs_category": 8.0, "updown_volume_ratio_50d": 1.5, "below_recent_high_63d": 12.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 }, "leading": { "history_days": 900, "swing_structure": "rising", "below_52w_high": 6.0, "above_recent_range": false, "ret_6m_vs_category": 8.0, "updown_volume_ratio_50d": null, "below_recent_high_63d": 5.0, "segment": "U.S. large-cap blend", "volatility_1y": 18.0 } }, "expect": { "order": [ "leading", "broken" ] }, "why": "The broken trend scores higher on its other criteria, but the seat Challenges it, so the rising trend the seat Supports ranks first." }, { "id": "live-fina-young", "kind": "live", "subject": { "ticker": "FINA" }, "expect": { "state": "not_enough_data" }, "why": "First traded Jul 9, 2026: under 126 trading days, so it has no higher highs and higher lows to read, and that criterion is required.", "checkedOn": "2026-10-20", "measuresSeen": { "launched": "2026-07-09" } }, { "id": "live-bil", "kind": "live", "subject": { "ticker": "BIL" }, "expect": { "state": "not_applicable" }, "why": "A T-bill fund: its price rises a little every day as interest accrues, with almost no volatility, which is not a trend, so the seat does not apply.", "checkedOn": "2026-10-22", "measuresSeen": {} }, { "id": "live-plyy", "kind": "live", "subject": { "ticker": "PLYY" }, "expect": { "not": "challenges", "criteria": { "pivotal-point": "mixed" } }, "why": "The fund whose reading had both sides of the pivotal point true on 2026-10-22.", "checkedOn": "2026-10-22", "measuresSeen": { "above_recent_range": true, "below_52w_high": 33.35 } } ] } }, { "id": "skeptic", "kind": "skeptic", "name": "The ETFIQ Skeptic", "short": "The Skeptic", "tradition": "ETFIQ", "byline": "ETFIQ's own seat, using ETFIQ's measures", "question": "What does the name leave out?", "page": "/investment-committee/etfiq-skeptic/", "default": true, "slug": "etfiq-skeptic", "philosophySlug": "the-skeptic", "redirectIfObjected": "/investment-committee/the-skeptic/", "title": "The ETFIQ Skeptic: what an ETF's name leaves out", "person": null, "profile": "docs/committee/profiles/etfiq-skeptic.md", "config": { "schema": 1, "seat": "skeptic", "version": "2.1", "date": "2026-10-21", "strength": "etfiq", "strengthNote": "ETFIQ's own seat, using only ETFIQ's measures, each cited to the ETFIQ methodology page that defines it, and the two tests US law sets for a diversified fund. It has no tradition and no byline. Four of its measures (the Promise badge; liquidity, spread and premium from the Trading hub) are pending: until their pages publish them they are printed as pending and left out of what the seat must read to clear a fund.", "sourcedTo": "ETFIQ's own measures, their methodology pages, and US law", "scope": { "appliesTo": null, "note": "Every ETF. The Skeptic sits by default and can be removed." }, "aggregation": "any-challenge", "aggregationNote": "The Skeptic objects once: any criterion that Challenges makes the seat Challenge, whatever else it read. It reports no objection (Supports) only when every criterion it could read supports and it read at least half of them; with less read it says Not enough data rather than clearing a fund it could not check. Anything between is Mixed.", "objectionOrder": "The Skeptic tests the other seats' findings, starting with the strongest supporting seat: of its criteria that Challenge, the minutes lead with the one whose tests list names the seat with the highest score, then the rest in seat order. Each objection names the figure, its date and the methodology page it comes from, for example: Low Cost supports, but full cost with spread is 0.21 points above the benchmark ETF.", "works": [ { "id": "etfiq-method-income", "kind": "etfiq", "author": "ETFIQ", "title": "Income ETF methodology", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": "https://etfiq.com/methodology/income", "provides": "The gap to a fund's own benchmark, and what an issuer's Rule 19a-1 return of capital estimate does and does not tell you", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Published on etfiq.com and in this tree's site//methodology/income" }, { "id": "etfiq-method-portfolio", "kind": "etfiq", "author": "ETFIQ", "title": "Portfolio methodology", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": "https://etfiq.com/methodology/portfolio", "provides": "Weight overlap between two books, cash left out, and how a portfolio is looked through to its securities", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Published on etfiq.com and in this tree's site//methodology/portfolio" }, { "id": "etfiq-method-flows", "kind": "etfiq", "author": "ETFIQ", "title": "Fund flows methodology", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": "https://etfiq.com/methodology/flows", "provides": "Daily flows from the change in shares outstanding, and the funds whose flows are not read", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Published on etfiq.com and in this tree's site//methodology/flows" }, { "id": "etfiq-method-index", "kind": "etfiq", "author": "ETFIQ", "title": "Methodology: how every ETFIQ figure is built", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": "https://etfiq.com/methodology/", "provides": "The rule that a figure the data cannot support is left out and the gap said, never approximated", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Published on etfiq.com and in this tree's site//methodology/" }, { "id": "etfiq-method-categories", "kind": "etfiq", "author": "ETFIQ", "title": "How a fund is placed (categories methodology)", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": "https://etfiq.com/methodology/categories", "provides": "Each core fund's own benchmark: the index it names, else the broad index its own report names", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Published on etfiq.com and in this tree's site//methodology/categories" }, { "id": "etfiq-promise-index", "kind": "etfiq", "author": "ETFIQ", "title": "The ETFIQ Promise Index", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": null, "provides": "One test per category of whether a fund delivers what its category promises", "verified": false, "verifiedOn": "2026-10-21", "evidence": "Not published yet: the page arrives with the measure (the Promise Index). Until then the criterion reads Not enough data." }, { "id": "etfiq-trading", "kind": "etfiq", "author": "ETFIQ", "title": "Trading and liquidity methodology", "publisher": "ETFIQ", "edition": "methodology page", "year": 2026, "url": null, "provides": "The IQ Liquidity Score, quoted spreads and premiums and discounts from issuers' Rule 6c-11 figures", "verified": false, "verifiedOn": "2026-10-21", "evidence": "Not published yet: the page arrives with the measure (the Trading hub). Until then the criterion reads Not enough data." }, { "id": "ica-1940-5b1", "kind": "law", "author": "US Congress", "title": "Investment Company Act of 1940, section 5(b)(1) (15 U.S.C. 80a-5(b)(1))", "publisher": "United States Code", "edition": "current text", "year": 1940, "url": "https://www.law.cornell.edu/uscode/text/15/80a-5", "provides": "The definition of a diversified fund: at least 75% of assets in cash, government securities, other funds and positions each no more than 5% of assets and 10% of the issuer's voting shares", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Statute text at law.cornell.edu: 'at least 75 per centum of the value of its total assets', with the 5% and 10% limits for any one issuer." }, { "id": "irc-851b3", "kind": "law", "author": "US Congress", "title": "Internal Revenue Code section 851(b)(3) (26 U.S.C. 851(b)(3))", "publisher": "United States Code", "edition": "current text", "year": 1986, "url": "https://www.law.cornell.edu/uscode/text/26/851", "provides": "The diversification a fund needs to be taxed as a regulated investment company: at least 50% of assets in positions each under 5%, and no more than 25% in any one issuer", "verified": true, "verifiedOn": "2026-10-21", "evidence": "Statute text at law.cornell.edu: (A) the 50% test with the 5% and 10% limits; (B) no more than 25% of total assets in one issuer other than government securities and other regulated investment companies, tested at each quarter end." }, { "id": "etfiq-benchmarks", "kind": "etfiq", "author": "ETFIQ", "title": "ETFIQ benchmarks", "publisher": "ETFIQ", "edition": "rulebook 1.3", "year": 2026, "url": "https://etfiq.com/benchmarks/", "provides": "The Strategic family, x% VT and the rest US bonds, at every stock share", "verified": true, "verifiedOn": "2026-10-21", "evidence": "site/data/benchmarks.json (rule version 1.3): the Strategic family by stock share." }, { "id": "etfiq-method-scores", "kind": "etfiq", "author": "ETFIQ", "title": "Methodology: scores", "publisher": "ETFIQ", "edition": null, "year": 2026, "url": "https://etfiq.com/methodology/scores", "provides": "The rate cushion: 12-month income yield over duration, the bonds score", "verified": true, "verifiedOn": "2026-10-21", "evidence": "The published methodology page." } ], "published": [ { "text": "Every figure ETFIQ publishes says what it is, where it comes from and when; the Skeptic reads only those figures.", "cites": [ "etfiq-method-index" ] }, { "text": "A fund's own benchmark is the index it names, else the broad index its own report names; the gap is measured against that benchmark only.", "cites": [ "etfiq-method-categories", "etfiq-method-income" ] }, { "text": "Overlap counts, for every security two books share, the smaller weight; cash is never counted.", "cites": [ "etfiq-method-portfolio" ] } ], "criteria": [ { "id": "promise", "label": "The Promise badge", "measure": "promise_result", "supports": { "m": "promise_result", "op": "==", "v": "delivers" }, "challenges": { "m": "promise_result", "op": "==", "v": "fails" }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The Promise Index's own test and thresholds: delivers, partly or fails.", "weight": 0.14, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "etfiq-promise-index" ], "tests": [ "all" ], "explain": "Does the fund deliver what its category promises?", "research": [ { "paper": "cooper-gulen-rau-2005", "stance": "context", "note": "Investors follow a fund's name whether or not its holdings match it; the paper studies flows after name changes, not whether a fund delivers what its category promises." } ], "keyFor": [ "leverage", "buffer", "crypto", "alternatives" ] }, { "id": "full-cost", "label": "Full cost to own against the benchmark ETF", "measure": "full_cost_vs_benchmark", "supports": { "m": "full_cost_vs_benchmark", "op": "<=", "v": 0.05 }, "challenges": { "m": "full_cost_vs_benchmark", "op": ">=", "v": 0.2 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "Within 0.05 points of the benchmark ETF, and 0.20 points or more above it, are ETFIQ thresholds.", "weight": 0.08, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "etfiq-trading", "etfiq-method-income" ], "tests": [ "low-cost" ], "explain": "With the spread added to the fee, how much more does a year cost than owning the benchmark ETF?", "research": [ { "paper": "french-2008", "stance": "context", "note": "Trading costs belong in the cost of investing alongside fees, which is why the measure adds the spread; the paper measures the cost, it does not test this comparison." }, { "paper": "sharpe-1991", "stance": "context", "note": "Against the same holdings every point of extra cost is a point less return; a fund and its benchmark do not always own the same things, so the arithmetic is context." } ] }, { "id": "benchmark-gap", "label": "The gap to its own benchmark", "measure": "bench_gap_1y", "supports": { "m": "bench_gap_1y", "op": ">=", "v": -0.5 }, "challenges": { "m": "bench_gap_1y", "op": "<=", "v": -2.0 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "No more than half a point behind, and 2 points or more behind, are ETFIQ thresholds. An allocation fund is not measured against an all-stock index: it has its own criterion, against the ETFIQ benchmark at its own stock share.", "weight": 0.08, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "in", "v": [ "stocks", "bonds", "commodities", "income" ] }, "sourceCites": [ "etfiq-method-income", "etfiq-method-categories" ], "tests": [ "low-cost", "trend-following" ], "explain": "Over a full year, how far did the fund finish from the benchmark it is measured against?", "keyFor": [ "stocks", "bonds", "commodities" ] }, { "id": "benchmark-mix-gap", "label": "The gap to the ETFIQ benchmark at the same stock share", "measure": "bench_gap_mix_1y", "supports": { "m": "bench_gap_mix_1y", "op": ">=", "v": -0.5 }, "challenges": { "m": "bench_gap_mix_1y", "op": "<=", "v": -2.0 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "The same lines as the benchmark gap. A 30/70 fund is measured against a 30/70 mix, never against an all-stock index such as ACWI.", "weight": 0.08, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "==", "v": "allocation" }, "sourceCites": [ "etfiq-benchmarks", "etfiq-method-categories" ], "tests": [ "low-cost", "all-weather", "diversification" ], "explain": "For an allocation fund: over a year, how far did it finish from a simple low-cost mix with its own stock share?", "keyFor": [ "allocation" ] }, { "id": "return-of-capital", "label": "Return of capital share", "measure": "roc_share", "supports": { "m": "roc_share", "op": "<=", "v": 10 }, "challenges": { "m": "roc_share", "op": ">=", "v": 50 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "10% or less, and half or more, of distributions estimated as return of capital are ETFIQ thresholds.", "weight": 0.08, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "==", "v": "income" }, "sourceCites": [ "etfiq-method-income" ], "tests": [ "cycles-risk" ], "explain": "How much of what the fund paid out was the holder's own money handed back?" }, { "id": "income-coverage", "label": "The payout covered by total return", "measure": "income_coverage", "supports": { "m": "income_coverage", "op": ">=", "v": 100 }, "challenges": { "m": "income_coverage", "op": "<=", "v": 50 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "A total return at least equal to the cash paid, and under half of it, are ETFIQ thresholds. A payout the return did not cover came out of the holder's capital.", "weight": 0.08, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "==", "v": "income" }, "sourceCites": [ "etfiq-method-income" ], "tests": [ "cycles-risk", "trend-following" ], "explain": "For an income fund: did the year's total return cover the cash it paid, or did the payout eat capital?", "keyFor": [ "income" ] }, { "id": "rate-cushion", "label": "The rate cushion", "measure": "bonds_rate_cushion", "supports": { "m": "bonds_rate_cushion", "op": ">=", "v": 1.0 }, "challenges": { "m": "bonds_rate_cushion", "op": "<=", "v": 0.25 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "A year's income covering a 1-point rise in rates, and a quarter point or less, are ETFIQ thresholds. It is ETFIQ's bonds score measure.", "weight": 0.06, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "==", "v": "bonds" }, "sourceCites": [ "etfiq-method-scores" ], "tests": [ "low-cost", "all-weather" ], "explain": "For a bond fund: does a year's income cover the loss from a rise in rates?" }, { "id": "benchmark-overlap", "label": "Overlap with its benchmark ETF", "measure": "overlap_with_benchmark", "supports": { "m": "overlap_with_benchmark", "op": "<=", "v": 40 }, "challenges": { "m": "overlap_with_benchmark", "op": ">=", "v": 70 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "40% or less in common, and 70% or more, are ETFIQ thresholds.", "weight": 0.08, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "in", "v": [ "themes", "alternatives" ] }, "sourceCites": [ "etfiq-method-portfolio" ], "tests": [ "disruptive-innovation", "diversification" ], "explain": "For a fund sold as something different: how much of it is the benchmark ETF you could own instead?", "keyFor": [ "themes" ], "printWith": [ "overlap_joined_pct" ] }, { "id": "concentration", "label": "The largest single company", "measure": "max_issuer_weight", "supports": { "m": "max_issuer_weight", "op": "<=", "v": 10 }, "challenges": { "m": "max_issuer_weight", "op": ">", "v": 25 }, "thresholdSource": "split", "thresholdNote": "10% or less is ETFIQ's line. More than 25% in one issuer fails the tax code's single-issuer cap (26 U.S.C. 851(b)(3)(B)), which is law.", "weight": 0.06, "required": false, "veto": false, "appliesTo": { "m": "category_key", "op": "in", "v": [ "stocks", "themes", "income", "allocation", "alternatives" ] }, "sourceCites": [ "etfiq-method-portfolio", "irc-851b3" ], "tests": [ "diversification" ], "explain": "Does one company carry more of the fund than its name suggests?", "thresholdBySide": { "supports": { "source": "etfiq" }, "challenges": { "source": "law", "cite": [ "irc-851b3" ] } } }, { "id": "diversified-in-law", "label": "Diversified under the law's two tests", "measure": "issuers_over_5_weight", "supports": { "m": "issuers_over_5_weight", "op": "<=", "v": 25 }, "challenges": { "m": "issuers_over_5_weight", "op": ">", "v": 50 }, "thresholdSource": "split", "thresholdBySide": { "supports": { "source": "law", "cite": [ "ica-1940-5b1" ] }, "challenges": { "source": "law", "cite": [ "irc-851b3" ] } }, "thresholdNote": "Two tests, each US law, read on today's weights. Supports: at most 25% in issuers above 5% of assets, the 1940 Act's 75% test. Challenges: more than 50%, which fails even the tax code's 50% test for a regulated investment company. Between the two, Mixed: the fund passes the tax test but not the Act's on today's weights. The Act applies its test when a fund acquires a security, so a fund that drifted past 25% has not broken the law; the reading says how concentrated it is now. The 10% voting-share limit is not measured. ETFIQ reads weights as shares of net assets, while both laws use total assets. The tax test, like the Act's, allows for drift: it is read at each quarter's end, with time to cure a failure (26 U.S.C. 851(d)). So a Mixed or Challenges reading measures concentration on today's weights and is never a finding that a fund has broken either law.", "weight": 0.06, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "ica-1940-5b1", "irc-851b3", "etfiq-method-portfolio" ], "tests": [ "diversification", "low-cost" ], "explain": "How much of the fund sits in companies each over 5% of it, against the limits the law sets?" }, { "id": "liquidity", "label": "The IQ Liquidity Score", "measure": "liquidity_score", "supports": { "m": "liquidity_score", "op": ">=", "v": 60 }, "challenges": { "m": "liquidity_score", "op": "<=", "v": 30 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "60 or more, and 30 or less, on the fixed scale are ETFIQ thresholds.", "weight": 0.08, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "etfiq-trading" ], "tests": [ "low-cost", "macro-liquidity" ], "explain": "Can a holder trade the fund without paying away the cost the other seats counted?" }, { "id": "premium-discount", "label": "Premium and discount to NAV", "measure": "premium_discount_abs_median", "supports": { "m": "premium_discount_abs_median", "op": "<=", "v": 0.1 }, "challenges": { "m": "premium_discount_abs_median", "op": ">=", "v": 0.5 }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "A median of 0.10% or less from NAV, and 0.50% or more, are ETFIQ thresholds.", "weight": 0.06, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "etfiq-trading" ], "tests": [ "low-cost", "margin-of-safety" ], "explain": "Does the price stray from what the holdings are worth?" }, { "id": "closure-risk", "label": "Flows and closure risk", "measure": "closure_risk", "supports": { "m": "closure_risk", "op": "==", "v": "low" }, "challenges": { "m": "closure_risk", "op": "==", "v": "high" }, "thresholdSource": "etfiq", "thresholdCite": null, "thresholdNote": "Under $25 million with 3 months of net outflows, and $50 million, are ETFIQ thresholds.", "weight": 0.06, "required": false, "veto": false, "appliesTo": null, "sourceCites": [ "etfiq-method-flows" ], "tests": [ "macro-liquidity" ], "explain": "Is the fund small and shrinking enough that it could close?" } ], "buildRule": "In each sleeve, only funds the Skeptic reads with no objection.", "cannotMeasure": [ "A promise made outside the fund's category, such as a word in its marketing that no test reads.", "The liquidity score, spread and premium, and the Promise badge, until their pages publish them.", "Whether another seat is right: the Skeptic tests a seat's finding against ETFIQ's figures, not against the investor's judgment." ], "unverified": [], "context": [ { "measure": "data_gaps", "label": "Figures ETFIQ does not have for this fund", "note": "Printed beside the seat, never an objection: a gap is ETFIQ's own coverage, not a fault of the fund. A stale book or stale flows count as gaps.", "research": [] } ], "changes": [ { "version": "2.0", "date": "2026-10-21", "change": "Allocation funds are measured against the ETFIQ benchmark at their own stock share, never an all-stock index; data gaps are reported as ETFIQ's, not as an objection, and stale figures count as gaps; payout coverage, the rate cushion and the law's two diversification tests joined the seat, each threshold side labelled; the order of objections is set." }, { "version": "2.1", "date": "2026-10-21", "change": "The seat reports no objection only after reading the measure that matters for the fund's category; until then it says Not enough data. A return-of-capital share is read only with the dates its notices cover." } ], "keyNote": "The Skeptic reports no objection only after reading the measure that matters for the fund's category: the Promise check for a leveraged, buffer, coin or alternatives fund (the daily multiple compounded, the buffer delivered, the coin tracked); payout coverage for an income fund; the gap to its own mix for an allocation fund; the gap to its own benchmark for a stock, bond or commodity fund; overlap with its benchmark for a theme fund. Until that measure is read it says Not enough data, never no objection.", "supportsLabel": "No objection", "weightsNote": "The Promise check carries the most (14%) because it tests the fund's own promise; the other criteria weigh 6% or 8%. The weights only order the score: one Challenge is an objection whatever its weight. They are ETFIQ's and were not set to land any fund." }, "cases": { "schema": 1, "seat": "skeptic", "cases": [ { "id": "hole-in-a-favourite", "kind": "fixture", "title": "A fund most seats support, whose full cost is 0.21 points above its benchmark ETF", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.21, "bench_gap_1y": -0.1, "max_issuer_weight": 7.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "stocks" }, "expect": { "state": "challenges", "criteria": { "full-cost": "challenges", "benchmark-gap": "supports" } }, "why": "Low Cost supports on the fee, but the fee plus the spread costs 0.21 points a year more than the benchmark ETF: a real hole, found with ETFIQ's own figures." }, { "id": "clean-fund", "kind": "fixture", "title": "A clean index fund", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.02, "bench_gap_1y": -0.1, "max_issuer_weight": 7.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "stocks", "issuers_over_5_weight": 10.0 }, "expect": { "state": "supports" }, "why": "Every check reads clean, so the Skeptic reports no objection rather than inventing one." }, { "id": "income-from-capital", "kind": "fixture", "title": "An income fund paying mostly return of capital", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.02, "bench_gap_1y": -4.0, "max_issuer_weight": 7.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "income", "roc_share": 62.0 }, "expect": { "state": "challenges", "criteria": { "return-of-capital": "challenges" } }, "why": "62% of what it paid was the holder's own money handed back, and it trailed its benchmark by 4 points." }, { "id": "theme-is-the-benchmark", "kind": "fixture", "title": "A theme fund that is mostly its benchmark ETF", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.02, "bench_gap_1y": -0.1, "max_issuer_weight": 7.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "themes", "overlap_with_benchmark": 78.0 }, "expect": { "state": "challenges", "criteria": { "benchmark-overlap": "challenges" } }, "why": "78% of it is what the benchmark ETF already owns." }, { "id": "too-little-read", "kind": "fixture", "title": "A fund with only two of its checks readable", "measures": { "category_key": "stocks", "closure_risk": "low" }, "expect": { "state": "not_enough_data" }, "why": "Two clean checks are not enough to clear a fund; the Skeptic says so rather than reporting no objection." }, { "id": "partly-delivers", "kind": "fixture", "title": "An income fund whose payout was covered, and which partly delivers its promise", "measures": { "promise_result": "partly", "full_cost_vs_benchmark": 0.02, "max_issuer_weight": 7.0, "issuers_over_5_weight": 10.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "income", "bench_gap_1y": -0.1, "roc_share": 5.0, "income_coverage": 110.0 }, "expect": { "state": "mixed" }, "why": "One check sits between its thresholds, and none fails." }, { "id": "allocation-own-mix", "kind": "fixture", "title": "A 30/70 allocation fund, 11 points behind ACWI and level with its own mix", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.02, "max_issuer_weight": 7.0, "issuers_over_5_weight": 10.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "allocation", "bench_gap_1y": -11.6, "bench_gap_mix_1y": -0.3 }, "expect": { "state": "supports", "criteria": { "benchmark-gap": "not_applicable", "benchmark-mix-gap": "supports" } }, "why": "Measured against the ETFIQ benchmark at its own 30% stock share, not an all-stock index: no objection." }, { "id": "clean-bond-fund", "kind": "fixture", "title": "A Treasury fund paid for its duration", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.02, "max_issuer_weight": null, "issuers_over_5_weight": null, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "bonds", "bench_gap_1y": -0.2, "bonds_rate_cushion": 1.2 }, "expect": { "state": "supports", "criteria": { "rate-cushion": "supports" } }, "why": "A year's income covers a 1.2-point rise in rates, and nothing else objects." }, { "id": "first-objection", "kind": "objection-fixture", "title": "Two holes, answered to the seat that supports most strongly", "measures": { "promise_result": "delivers", "full_cost_vs_benchmark": 0.21, "max_issuer_weight": 27.0, "issuers_over_5_weight": 55.0, "liquidity_score": 92, "premium_discount_abs_median": 0.03, "closure_risk": "low", "category_key": "stocks", "bench_gap_1y": -0.1 }, "expect": { "firstObjection": "concentration", "answers": "diversification" }, "why": "Diversification supports most strongly (Supports, 0.9), so the minutes lead with the objection that tests it, the 27% in one company, before full cost, which tests Low Cost (Mixed, 0.4).", "seatResults": { "low-cost": { "state": "mixed", "score": 0.4 }, "diversification": { "state": "supports", "score": 0.9 }, "trend-following": { "state": "mixed", "score": 0.2 } } }, { "id": "leveraged-unread", "kind": "fixture", "title": "A 3x fund whose Promise check is not yet published", "measures": { "category_key": "leverage", "closure_risk": "low", "issuers_over_5_weight": null, "max_issuer_weight": null, "promise_result": null }, "expect": { "state": "not_enough_data" }, "why": "Its size reads clean, but the one test that matters for a leveraged fund, the daily multiple compounded, has not been read: the Skeptic does not clear it." }, { "id": "live-msty", "kind": "live", "subject": { "ticker": "MSTY" }, "expect": { "state": "challenges" }, "why": "An income fund whose year's total return was minus 135.9% of the cash it paid.", "checkedOn": "2026-10-22", "figures": [ { "name": "coverage", "from": "row:income_coverage", "fmt": ".1f", "fund": "MSTY", "abs": true } ], "whyTemplate": "An income fund whose year's total return was minus {coverage}% of the cash it paid.", "measuresSeen": { "coverage": 135.9 } }, { "id": "live-voo", "kind": "live", "subject": { "ticker": "VOO" }, "expect": { "not": "challenges" }, "why": "An S&P 500 fund at 0.03% with every figure published.", "checkedOn": "2026-10-22", "figures": [ { "name": "fee", "from": "row:fee", "fmt": "g", "fund": "VOO" } ], "whyTemplate": "An S&P 500 fund at {fee}% with every figure published.", "measuresSeen": { "fee": 0.03 } } ] } }, { "id": "chair", "kind": "chair", "name": "The Chair", "short": "The Chair", "tradition": "ETFIQ", "byline": "writes the minutes and never votes", "question": "Where did the committee agree, where did it split, and what is still open?", "page": null, "always": true, "config": null, "cases": null } ], "presets": [ { "id": "cost-diversification", "label": "Cost & diversification", "seats": [ "low-cost", "diversification", "skeptic" ] }, { "id": "risk", "label": "Risk bench", "seats": [ "all-weather", "diversification", "macro-liquidity", "cycles-risk" ] }, { "id": "income-cost", "label": "Income & cost", "seats": [ "low-cost", "skeptic", "cycles-risk" ] } ], "measures": { "category_key": { "unit": "text", "source": "site/data/screener.json category_key", "definition": "The fund's category in lower case: stocks, bonds, commodities, allocation, buffer, income, themes, leverage, crypto or alternatives.", "label": "the category" }, "fee": { "unit": "%", "source": "site/data/screener.json fee", "definition": "Net expense ratio after any waiver, as the prospectus states it, percent of net assets a year. A fee of 0.00 is not read, as no ETF charges nothing without a waiver and the published figure carries neither a second source nor a waiver's end date.", "label": "the fee" }, "fee_gap_cheapest_peer": { "unit": "pts", "source": "site/data/screener.json fee, tracks, tracks_key, category_key, segment; data/stocks_universe.json content.fxDerivPct (each fund's latest N-PORT, assetCat DFE)", "definition": "The fund's fee minus the lowest fee among covered funds in its peer set, percentage points; 0 for the cheapest. The peer set is every covered fund tracking the same index where at least two do ('same index'), else every covered fund in the same category and segment ('same segment'). Null where the fee is null or the peer set is the fund alone. A peer whose fee reads 0.00 is left out of the peer set. LIKE FOR LIKE (2026-10-22; the peer-set rule is ETFIQ's): only peers of the fund's own construction count (the construction compared), so a currency-hedged fund is compared with currency-hedged funds on its index or in its segment, never with the plain fund. Null, with the reason printed, where the fund's construction is not read or no other fund of its construction has a published fee: a comparison that is not like for like is never made.", "label": "the fee above the cheapest peer" }, "abs_leverage": { "unit": "x", "source": "site/data/screener.json leverage_multiple", "definition": "The absolute value of the stated daily multiple; 1 for a fund with none.", "label": "the daily multiple" }, "breadth": { "unit": "text", "source": "site/data/screener.json category_key; site/data/books", "definition": "broad where the look-through book holds 300 or more positions, narrow under 50, between otherwise; a bond fund's positions are its issues, not its issuers. Null where the fund has no book.", "label": "the breadth of the book" }, "top10_share": { "unit": "%", "source": "site/data/books/.json", "definition": "Weight of the ten largest issuers in the look-through book, share classes of one issuer combined, percent of net assets. Cash rows, and US government and agency debt (never a foreign government's), are left out, as the 1940 Act's diversification test leaves government securities out. A fund of funds is read through: each underlying fund's book replaces its row, scaled by its weight. Null where fewer than ten issuers remain, where government debt is more than 75% of the book, or where the book's positive weights sum to more than 105% (a book of swaps and options).", "label": "the ten largest issuers" }, "effective_holdings": { "unit": "count", "source": "site/data/books/.json", "definition": "1 divided by the sum of squared weights over the same issuers as the ten-largest measure, the weights rescaled to sum to 1 (the inverse Herfindahl index). Null on the same terms as the ten-largest measure.", "label": "the effective number of holdings" }, "issuers_over_5_weight": { "unit": "%", "source": "site/data/books/.json", "definition": "The summed weight of every issuer above 5% of net assets, over the same issuers as the ten-largest measure. US government and agency securities are left out, as the 1940 Act's test leaves them out. A holding that is itself a fund is read through to what that fund owns: the Act would leave the fund's own row out, while ETFIQ reads the issuers the holder is exposed to, and says so. Null on the same terms as the ten-largest measure.", "label": "the weight in issuers over 5%" }, "max_issuer_weight": { "unit": "%", "source": "site/data/books/.json", "definition": "The weight of the largest single issuer, over the same issuers as the ten-largest measure. Null on the same terms.", "label": "the largest issuer" }, "max_group_risk_share": { "unit": "%", "source": "site/data/books; 3-year daily total returns (adjusted closes) of the group proxies VTI, SHY, IEF, TLT, STIP, TIP, GSG, GLD, LQD, HYG and EMB", "definition": "The largest of the five asset groups' shares (stocks; nominal government bonds; inflation-linked bonds; commodities including gold; corporate and emerging-market credit) of the fund's risk, with correlations: each group's contribution is its look-through weight times its covariance with the whole book, over the book's variance, the covariances taken from the group proxies' daily total returns over 3 years. Each group is priced through the proxy for what it holds: stocks VTI; nominal government bonds by remaining maturity, SHY under 3 years, IEF 3 to 10 and TLT over 10; inflation-linked bonds STIP under 5 years and TIP otherwise; gold GLD; other commodities GSG; investment-grade credit LQD, high-yield credit HYG and emerging-market credit EMB. A group whose contribution is negative counts as 0 and the rest are rescaled to sum to 100. Version 1.0 multiplied weight by volatility, left correlations out and priced every nominal bond through IEF, which understated long bonds' risk by about half.", "label": "the largest asset group's share of risk" }, "history_days": { "unit": "days", "source": "the fund's daily closing prices", "definition": "Trading days of closing prices the fund has.", "label": "the days of price history" }, "below_52w_high": { "unit": "%", "source": "the fund's daily adjusted closes (distributions and splits adjusted, Tiingo adjClose through pipeline/tiingo.py): a raw close drops on every ex-dividend day and every reverse split, so a high-distribution fund would read as a broken trend it never had", "definition": "How far the last adjusted close sits below the highest adjusted close of the last 252 trading days, percent of that high; 0 at a new high. Null under 252 trading days.", "label": "the distance below the 52-week high" }, "flow_1m_pct": { "unit": "%", "source": "site/data/screener.json flow_1m_pct", "definition": "Net flow over the latest month as a percent of net assets at the window's start (ETFIQ's arithmetic on shares outstanding and NAV).", "label": "one month of flows" }, "flow_3m_pct": { "unit": "%", "source": "site/data/flows/funds/.json windows 3M (flowPct, with every day of the window read)", "definition": "Net flow over the latest 3 months as a percent of net assets at the window's start. Null where any day of the window was not read.", "label": "three months of flows" }, "income_coverage": { "unit": "%", "source": "site/data/screener.json income_coverage", "definition": "100 times the 1-year total return over the 1-year cash paid (income funds).", "label": "income coverage" }, "bonds_rate_cushion": { "unit": "pts", "source": "site/data/screener.json bonds_rate_cushion", "definition": "The 12-month income yield divided by duration: how far rates can rise in a year before the year's income is gone (bond funds).", "label": "the rate cushion" }, "themes_active_share": { "unit": "%", "source": "site/data/screener.json themes_active_share", "definition": "100 minus the weight overlap with the S&P 500 (theme funds).", "label": "the theme fund's active share" }, "themes_in_sp500": { "unit": "%", "source": "site/data/screener.json themes_in_sp500", "definition": "Share of the fund's money in S&P 500 companies by its latest book (theme funds).", "label": "the share in S&P 500 companies" }, "innovation_platform": { "unit": "text", "source": "site/data/screener.json segment, mapped by the disruptive-innovation seat file's platformMap", "definition": "For a theme or coin fund, the idea in ARK's Big Ideas 2026 (p. 3), or the theme of a fund ARK itself runs as its registration statement defines it, that the fund's ETFIQ theme maps to; \"none\" where it maps to none. The map is ETFIQ's and is printed in full on the seat's page.", "label": "the innovation platform" }, "lt_pe": { "unit": "x", "source": "SEC XBRL company facts, weighted through the book (ETFIQ's fundamentals step)", "definition": "The look-through price-to-earnings ratio as ETFIQ's fundamentals step defines it. Where its name there differs, the name there wins and the seats using this one are renamed in the merge.", "label": "the look-through P/E" }, "lt_pe_vs_market": { "unit": "ratio", "source": "lt_pe of the fund over lt_pe of VT on the same day", "definition": "The fund's look-through P/E over the world stock market's (through VT's book), each stated as an index states its own. Null where either is null, which it is for VT until foreign companies' earnings are read.", "label": "the look-through P/E against the world market's" }, "lt_earnings_yield": { "unit": "%", "source": "SEC XBRL company facts, weighted through the book (ETFIQ's fundamentals step)", "definition": "The look-through earnings yield (earnings over price) as ETFIQ's fundamentals step defines it, percent.", "label": "the look-through earnings yield" }, "subject_kind": { "unit": "text", "source": "the request", "definition": "fund for one ETF, portfolio for a reader's list of ETFs and weights or a model.", "label": "what is read (a fund or a portfolio)" }, "asset_class_max": { "unit": "%", "source": "site/data/books and site/data/screener.json: a fund of funds' underlying funds, each placed in a class by its own segment; any other book waits for the engine", "definition": "The largest share of the look-through book in any one of Swensen's six core asset classes: US stocks, foreign developed stocks, emerging market stocks, real estate (REITs), US Treasury bonds and Treasury inflation-protected bonds (TIPS). Weight outside the six (corporate credit, commodities, cash) is in no class.", "label": "the largest core asset class" }, "asset_class_min_held": { "unit": "%", "source": "as asset_class_max", "definition": "The smallest share among all six of Swensen's core asset classes, a class not held counting as 0%: a portfolio missing a class reads 0.", "label": "the smallest core asset class" }, "promise_result": { "unit": "text", "source": "site/data/promise-index.json funds..badge (delivered, partly, missed)", "definition": "The fund's result on its own category's Promise Index test: delivers, partly or fails; null where the test cannot be read. The test, its measure and its thresholds are the Promise Index's, never the Skeptic's own.", "status": "pending", "readFrom": "site/data, the night the owning feature publishes it; pending until then", "label": "the Promise check" }, "promise_test": { "unit": "text", "source": "the Promise Index's per-fund result", "definition": "The id of the Promise Index test the fund's category is held to.", "label": "the Promise test" }, "full_cost_vs_benchmark": { "unit": "pts", "source": "site/data/screener.json fee and site/data/trading-cost.json spread.median30, for the fund and for the ETF its benchmark is read through (bench_gap_1y_ref)", "definition": "Full cost to own for a year, assuming one round trip a year: the net expense ratio plus the median quoted bid-ask spread over the last 30 trading days as a percent of price, minus the same figure for the ETF the fund's own benchmark is measured through, percentage points. Null where the fund has no benchmark ETF or either spread is not read.", "status": "pending", "readFrom": "site/data, the night the owning feature publishes it; pending until then", "label": "the full cost against the benchmark" }, "bench_gap_1y": { "unit": "pts", "source": "site/data/screener.json bench_gap_1y", "definition": "Total return minus the fund's own benchmark's over a full year, percentage points (core and income funds).", "label": "one year against its benchmark" }, "roc_share": { "unit": "%", "source": "site/data/sources.json t12 (the issuers' Rule 19a-1 notices, as pipeline/roc_tax.py reads them); site/data/tax.json final for the annual report's figure", "definition": "The share of the fund's distributions over its latest twelve months of notices, weighted by amount, that its issuer's Rule 19a-1 notices estimate as return of capital, percent, printed with the two dates its notices cover. Printed only between 0 and 100, with the number of notices it rests on. Null where no notice was published or read, never 0, and null where the twelve months' notices carry no dates: a window is never printed as twelve months without them.", "label": "the return of capital share" }, "overlap_with_benchmark": { "unit": "%", "source": "site/data/books for the fund and the ETF its benchmark is read through (screener bench_gap_1y_ref; a themes fund without one: IVV, the S&P 500)", "definition": "Weight overlap between the fund's book and its benchmark ETF's book: for every security both own, the smaller weight, summed; cash rows left out (the overlap rule /methodology/portfolio states).", "label": "the overlap with its benchmark" }, "liquidity_score": { "unit": "0-100", "source": "site/data/trading-score.json funds..score, where its status is scored", "definition": "The IQ Liquidity Score on its fixed 0 to 100 scale with published anchors. Null until the Trading hub publishes it for the fund.", "status": "pending", "readFrom": "site/data, the night the owning feature publishes it; pending until then", "label": "the IQ Liquidity Score" }, "premium_discount_abs_median": { "unit": "%", "source": "site/data/trading-cost.json funds..premium.median", "definition": "The median absolute premium or discount of the closing price to NAV over the window the Trading data states (its last twelve months), percent, as the Trading hub publishes it.", "status": "pending", "readFrom": "site/data, the night the owning feature publishes it; pending until then", "label": "the median premium or discount" }, "closure_risk": { "unit": "text", "source": "site/data/screener.json net_assets, flow_1m and the 3-month flows", "definition": "high where net assets are under $25 million and the last 3 months saw net outflows; elevated where net assets are under $50 million and it is not high; low where net assets are $50 million or more. Null where net assets are not published, or where they are under $25 million and the 3 months of flows were not read.", "label": "the closure risk" }, "data_gaps": { "unit": "count", "source": "site/data/screener.json", "definition": "How many of six figures ETFIQ prints for a fund it does not have for this one, a stale figure counting as missing: fee, net assets, 1-year return (for a fund over a year old), holdings book (missing, or dated more than 100 days before the reading), daily flows (missing, or more than 10 days old), and its benchmark (for core and income funds). Reported as ETFIQ's own gap, never as an objection to the fund.", "label": "the figures missing" }, "swing_structure": { "unit": "text", "source": "the fund's daily adjusted closes (distributions and splits adjusted, Tiingo adjClose through pipeline/tiingo.py): a raw close drops on every ex-dividend day and every reverse split, so a high-distribution fund would read as a broken trend it never had", "definition": "rising where, splitting the last 126 trading days into two 63-day halves, the later half's highest and lowest adjusted closes are both above the earlier half's (higher highs and higher lows); falling where both are below (lower highs and lower lows); mixed otherwise. Null under 126 trading days.", "label": "the swing structure" }, "above_recent_range": { "unit": "boolean", "source": "the fund's daily adjusted closes (distributions and splits adjusted, Tiingo adjClose through pipeline/tiingo.py): a raw close drops on every ex-dividend day and every reverse split, so a high-distribution fund would read as a broken trend it never had", "definition": "True where the last adjusted close is above the highest adjusted close of the 63 trading days before it (breaking above its recent range). Null under 64 trading days.", "label": "above its recent range" }, "ret_6m_vs_category": { "unit": "pts", "source": "the fund's 6-month total return and its category's", "definition": "The fund's 6-month total return minus the median 6-month total return of covered funds in the same category and segment, percentage points. Null without 6 months of prices or with fewer than 5 funds in the segment.", "label": "six months against its category" }, "updown_volume_ratio_50d": { "unit": "ratio", "source": "the fund's daily share volume", "definition": "Total share volume on the up days of the last 50 trading days over total volume on the down days. Null until ETFIQ carries daily volume, and for a fund with fewer than 50 days. An ETF's share volume is driven by creations, redemptions and hedging as well as by conviction, so the figure is read as the book's volume idea at a remove, and the page says so when it is first computed.", "status": "pending", "label": "up-day against down-day volume" }, "below_recent_high_63d": { "unit": "%", "source": "the fund's daily adjusted closes (distributions and splits adjusted, Tiingo adjClose through pipeline/tiingo.py): a raw close drops on every ex-dividend day and every reverse split, so a high-distribution fund would read as a broken trend it never had", "definition": "How far the last adjusted close sits below the highest adjusted close of the last 63 trading days, the most recent swing high, percent of that high; 0 at a new high. Null under 63 trading days.", "label": "the distance below the recent high" }, "ret_3y_vs_world": { "unit": "pts", "source": "the fund's and VT's 3-year total return (the desk files' 3Y window)", "definition": "The fund's cumulative 3-year total return minus VT's (the world stock market) over the same 1,095 days, percentage points. Null without 3 years of prices.", "label": "three years against the world market" }, "fee_peer_set": { "unit": "text", "source": "site/data/screener.json tracks_key, category_key, segment", "definition": "Which peer set the fee gap used: 'same index' where at least two covered funds track the fund's index, else 'same segment'. Printed beside the fee gap on every reading, so a gap is never called a same-index gap where it is not.", "label": "the fee peer set" }, "effective_countries": { "unit": "count", "source": "site/data/books/.json country of each holding (slot 5, or location)", "definition": "The effective number of countries in the look-through book: one over the sum of each country's squared share of the weight whose country is known. 1.0 for a one-country fund; a fund spread evenly over five countries reads 5.0; VT, 63% in the US, reads about 2.5. Null where the book gives a country for less than 90% of its weight.", "label": "the effective number of countries" }, "lt_quality_share": { "unit": "%", "source": "pipeline/fundamentals.py look-through (tests graham.earningsStability and buffett.returnOnCapital)", "definition": "The share of the fund's measured look-through weight in companies with positive earnings in each of the last ten fiscal years and net income of at least 10% of equity plus debt in the last fiscal year (a financial company: of equity), percent. A loss-maker counts as failing. Null where under 70% of the weight is measured (the coverage floor).", "label": "the share in quality companies" }, "env_boxes_covered": { "unit": "count", "source": "site/data/books (each holding's N-PORT asset category and issuer type)", "definition": "How many of the All Weather Story's four environment boxes (p. 7) the fund owns something for, counting a box where at least 10% of the look-through book is in an asset the paper maps to it: rising growth (equities, commodities, corporate credit, emerging-market credit); rising inflation (inflation-linked bonds, commodities, emerging-market credit); falling growth (nominal government bonds, inflation-linked bonds); falling inflation (equities, nominal government bonds). A corporate bond counts as a nominal bond plus a credit spread (p. 3), so it counts in both of their boxes. Each holding is classed by what it is, never by the fund's category. A stock fund alone covers two boxes, as does a fund of gold or of Treasuries.", "label": "the environment boxes covered" }, "fed_securities_13w_pct": { "unit": "%", "source": "the Federal Reserve Bank of New York's System Open Market Account holdings (markets.newyorkfed.org/api/soma/summary.json, weekly), checked against FRED's WALCL, the Fed's total assets", "definition": "The change in the Federal Reserve's securities holdings (the System Open Market Account total) over the latest 13 weeks, percent of the holdings 13 weeks before. The same figure for every fund on the day it is read: it is the market's liquidity, not the fund's. Where FRED's total assets moved the other way by more than a point over the same weeks, the reading is null and the case is reported. Null where the latest week is more than 14 days old. A 13-week move of a fifth or more is implausible and read as null.", "label": "the Federal Reserve's securities holdings over 13 weeks" }, "policy_rate_6m_change": { "unit": "pts", "source": "the New York Fed's effective federal funds rate file, which prints the FOMC's target range beside each day (markets.newyorkfed.org/api/rates/unsecured/effr); FRED's DFEDTARU as the second source where it answers", "definition": "The upper bound of the FOMC's target range for the federal funds rate on the latest day published, minus the upper bound on the last published day on or before 182 days earlier, percentage points. Negative when the Fed has cut. Checked two ways before it is used: the effective rate must sit inside its target range on both days, and the move must be in whole quarter points; FRED's upper bound must agree where FRED answers. The same figure for every fund on the day. Null where a check fails or the latest day is more than 7 days old.", "label": "the policy rate over six months" }, "core_or_niche": { "unit": "text", "source": "site/data/screener.json category_key and segment", "definition": "core where the fund owns one of Swensen's six core asset classes whole, read from its book: for US stocks, market weights (the weighting measure's test, from the fund's own N-PORT) over companies making up at least 80% of the US market's value, or, where those are not read, holdings carrying at least 80% of VTI's weight in proportion to it; for other stocks, holdings carrying at least 80% of the broad cap-weighted fund of the fund's own house for its region in proportion to it (VEA, VWO, VT or VNQ where the house has none), so a momentum, quality, minimum-volatility or price-weighted fund is a slice; for Treasuries and TIPS, at least 90% of the book in US Treasury paper. partial for a slice or a tilt of a core class. noncore for the classes Swensen sets outside his six (corporate, high-yield, tax-exempt, foreign and asset-backed bonds, and bond funds that mix them in). niche for a sector, a single country or narrow region, or any fund on the themes, leverage, crypto, buffer, income or alternatives desks. other for the rest. Null where the book cannot be compared, or the reference prints its weights to two decimals.", "label": "core or niche" }, "bench_gap_mix_1y": { "unit": "pts", "source": "site/data/benchmarks.json (the ETFIQ Strategic family, x% VT and the rest US bonds); the fund's look-through stock share", "definition": "For an allocation fund: its 1-year total return minus that of the ETFIQ Strategic benchmark whose stock share is nearest the fund's own look-through stock share, over the same days, percentage points. The benchmark is named on every reading. Null where the fund has under a year of prices or its stock share is not read.", "label": "one year against its stock-share benchmark" }, "specialised": { "unit": "text", "source": "site/data/books (each holding's sector from the sector funds' books) and site/data/screener.json", "definition": "yes for a fund on a specialised desk (themes, leverage, crypto, buffer, income, alternatives, prediction markets, sports teams); for a stock fund, read from its holdings: each holding placed in the sector whose sector funds hold it most often (the fund's own vote left out), yes where one sector is 80% of the placed weight or two are 90%, no otherwise, read only where 80% of the fund's weight is placed; where less is placed, and for a single country or region, a single commodity or a currency, the fund's segment decides. ETFIQ's mapping of Bogle's single-industry definition.", "label": "specialised" }, "sp500_lt_pe": { "unit": "ratio", "source": "ETFIQ's fundamentals look-through of IVV, the S&P 500, on the day's prices; the weighted median of the holdings' P/Es is computed beside it as a cross-check", "definition": "The S&P 500's trailing price-to-earnings ratio stated as the index states its own: the total market value of IVV's holdings over their total trailing earnings, losses included, with the share of weight measured. ETFIQ keeps no history of it yet, so it is printed as today's level only.", "label": "the S&P 500's P/E" }, "hy_spread": { "unit": "pts", "status": "pending", "source": "FRED BAMLH0A0HYM2, the ICE BofA US High Yield Index option-adjusted spread", "definition": "The extra yield on US high-yield bonds over Treasuries, percentage points, on the latest day, with its percentile over the last 20 years. Pending: FRED does not yet answer ETFIQ's reads, and no second source is held.", "label": "the high-yield spread" }, "flows_stocks_3m_pct": { "unit": "%", "source": "site/data/flows/aggregates.json groups.category Stocks, 3M", "definition": "Net flows into stock ETFs over the latest three months as a percent of their assets at the window's start, over the funds whose daily flows ETFIQ reads, with the share of assets that covers.", "label": "three months of flows into stock ETFs" }, "flows_hy_3m_pct": { "unit": "%", "source": "site/data/flows/aggregates.json groups.segment Bonds / High yield, 3M", "definition": "Net flows into high-yield bond ETFs over the latest three months as a percent of their assets at the window's start, with the share of assets that covers.", "label": "three months of flows into high-yield bond ETFs" }, "policy_rate_range": { "unit": "%", "source": "as policy_rate_6m_change", "definition": "The FOMC's target range for the federal funds rate on the latest day, lower and upper bound.", "label": "the policy rate range" }, "segment": { "unit": "text", "source": "site/data/screener.json segment", "definition": "The fund's segment within its category, as ETFIQ places it (U.S. large-cap blend, Cash and ultrashort, Single commodity or commodity sector...).", "label": "the segment" }, "weighting": { "unit": "text", "source": "site/data/fundamentals-lookthrough.json marketWeights (pipeline/fundamentals.py cap_weighting, from each fund's own N-PORT and its companies' share counts); site/data/categories.json textWeighting, textStyle and growthShare; for a foreign book, its house's broad fund's book", "definition": "For a stock fund that is not specialised, on positive evidence only, and anything that cannot be read cleanly is null. tilt where a word in the fund's own name or the name of the index it names says a factor, a style, ESG, a screen, an exclusion or a trading rule (factor, multi-factor, quality, value, growth, momentum, dividend, equal weight, capped, responsible, screened, select, leaders, climate, trend, tactical, adaptive, rotation, risk management, moving average, ex before a name such as ex S&P 100 or ex Top 20, and the like; ex United States and ex US name the region an international fund covers and are not an exclusion: ETFIQ's list, one way only); or its prospectus says its index weights or selects by a factor, dividends, ESG or a style; or its holdings lean to value or growth (under 35% or over 65% of its matched holdings in growth indexes); or, from its own N-PORT against a cap-weighted version of itself (each stock's value and shares held, and the company's shares outstanding near that date), more than 2.5% of its weight sits above 1.15 times its stocks' market values where its typical holding sits within 1.10 times its market value, or more than 10% wherever it sits; or, for a fund whose holdings reach the market's 20 largest companies, it holds under 95% of the market value of the companies in its range or a sector of that range at under half that rate; or, for a fund of funds, a fund of 2.5% or more of it reads tilt; or a foreign book's weights are out of proportion to its house's broad fund (R squared of the log weights under 0.75). market where its own holdings, priced at market value, follow their market values and none of the above holds, the fund's words agreeing; a fund of funds where its funds are 95% or more of it and each of 2.5% or more reads market; a foreign or global book, whose companies file no 10-K and so cannot all be priced, on its own prospectus alone, where it says its index weights by market capitalization and its name and index say no tilt. Null otherwise: a US book with under 70% of its common stock priced, an excess float may explain, a fund whose funds cannot be read. A size slice is read on its weights and not tested for a screen. Every line is ETFIQ's.", "label": "the weighting" }, "overlap_joined_pct": { "unit": "%", "source": "as overlap_with_benchmark", "definition": "The share of the fund's weight that joined the benchmark ETF's book at all, printed beside the overlap so a 0 that is a true 0 can be told from a join that found nothing.", "label": "the share of the book matched to its benchmark's" }, "volatility_1y": { "unit": "%", "source": "the fund's daily adjusted closes", "definition": "The annualized standard deviation of the fund's daily returns on adjusted closes over the last 252 trading days, percent. Null for a fund with fewer days.", "label": "one year of volatility" }, "lt_holdings": { "unit": "count", "source": "pipeline/fundamentals.py look-through, the fund's entry (holdings)", "definition": "The number of non-cash rows in the fund's book that the look-through reads. Null where the fund has no look-through entry.", "label": "the number of holdings read" }, "lt_graham_pe3y": { "unit": "x", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.pe3y)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. The group's price over its average earnings of the last three fiscal years. Null where under 70% of the fund's weight is measured, or where the group's three years' earnings are not positive.", "label": "the group's P/E on three years' earnings" }, "lt_graham_eps3y_positive": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.pe3y)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. True where the group's average earnings of the last three fiscal years are positive (its P/E is read), false where they are not, so it has no P/E at all. Null where under 70% of the fund's weight is measured.", "label": "the group's three years' earnings positive" }, "lt_graham_pb": { "unit": "x", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.priceToAssets)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. The group's price over its book value. Null where under 70% of the fund's weight is measured.", "label": "the group's P/B" }, "lt_graham_pe_x_pb": { "unit": "x", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.priceToAssets.product)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. The group's P/E on three years' earnings times its P/B. Null where either is null.", "label": "the group's P/E times P/B" }, "lt_graham_pe_x_pb_read": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.priceToAssets.product)", "definition": "True where the group's P/E times P/B is read, false where its P/B is read and its P/E is not, so the price to assets reads on P/B alone. Null where the P/B is null.", "label": "the group's P/E times P/B read" }, "lt_graham_size": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.size)", "definition": "Whether the fund's weighted median holding has annual sales of at least $750 million (Graham's $100 million of 1972, raised by CPI-U: ETFIQ's conversion). Null where under 70% of the weight is measured.", "label": "adequate size" }, "lt_graham_financial_condition": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.financialCondition)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. Whether the group's industrial companies have current assets at least twice their current liabilities and long-term debt within net current assets, and its utilities debt within twice their equity. Financial companies are left out, as Graham sets them no such test. Null where under 70% of the rest of the weight is measured.", "label": "financial condition" }, "lt_graham_earnings_stability": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.earningsStability)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. Whether the group's earnings were positive in each of its last ten fiscal years. Null where under 70% of the weight is measured.", "label": "ten years of earnings" }, "lt_graham_dividend_record": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.dividendRecord)", "definition": "True where companies with a dividend in each of the last 20 years carry half the fund's weight or more; false where companies with a year without one do; null otherwise, since a record that simply ends is neither.", "label": "twenty years of dividends" }, "lt_graham_earnings_growth": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.earningsGrowth)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings, book value, current assets and liabilities and debt summed on the share of each company the fund's dollar owns. Whether the group's three-year average earnings per share, on today's shares, rose by at least a third over ten years. Null where under 70% of the weight is measured.", "label": "earnings up a third in ten years" }, "lt_buffett_met_share": { "unit": "%", "source": "pipeline/fundamentals.py look-through, the fund's entry (jointShares.buffett)", "definition": "Of the fund's measured weight, the share in companies that meet both of the Buffett seat's tests (a return of at least 15% on equity plus debt in the last fiscal year, and in each of the last five): 100 times the weight passing over the weight measured. Each weight is in percent of the fund's positive non-cash weight, to one decimal. Null where under 70% of that weight is measured.", "label": "the share meeting both quality tests" }, "lt_lynch_met_share": { "unit": "%", "source": "pipeline/fundamentals.py look-through, the fund's entry (jointShares.lynch)", "definition": "Of the fund's measured weight, the share in companies that meet both of the Lynch seat's tests (the price test for the company's category, and the balance sheet): 100 times the weight passing over the weight measured. A cyclical, a turnaround, a bank and a utility are not measured on the tests Lynch's rule leaves them out of. Each weight is in percent of the fund's positive non-cash weight, to one decimal. Null where under 70% of that weight is measured.", "label": "the share meeting both tests" }, "lt_graham_pe7y": { "unit": "x", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.pe7y)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings summed on the share of each company the fund's dollar owns. The group's price over its average earnings of the last seven fiscal years. Null where under 70% of the fund's weight is measured, or where the group's seven years' earnings are not positive.", "label": "the group's P/E on seven years' earnings" }, "lt_graham_eps7y_positive": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.pe7y)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings summed on the share of each company the fund's dollar owns. True where the group's average earnings of the last seven fiscal years are positive, false where they are not. Null where under 70% of the fund's weight is measured.", "label": "the group's seven years' earnings positive" }, "lt_graham_pe_ttm": { "unit": "x", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.peTtm)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings summed on the share of each company the fund's dollar owns. The group's price over its earnings of the last twelve months. Null where under 70% of the fund's weight is measured, or where the group's earnings over the twelve months are not positive.", "label": "the group's P/E on twelve months' earnings" }, "lt_graham_eps_ttm_positive": { "unit": "yes/no", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.peTtm)", "definition": "The fund's holdings read as one company, as Graham read the Dow: earnings summed on the share of each company the fund's dollar owns. True where the group's earnings over the last twelve months are positive, false where they are not. Null where under 70% of the fund's weight is measured.", "label": "the group's twelve months' earnings positive" }, "lt_buffett_within_band_share": { "unit": "%", "source": "pipeline/fundamentals.py look-through, the fund's entry (jointShares.buffett)", "definition": "Of the fund's measured weight, the share in companies that meet both of the Buffett seat's tests or sit within the band on them (within a point of 15%), failing neither: 100 times the weight passing or near over the weight measured. Each weight is in percent of the fund's positive non-cash weight, to one decimal. Null where under 70% of that weight is measured.", "label": "the share meeting both quality tests or within the band" }, "lt_lynch_within_band_share": { "unit": "%", "source": "pipeline/fundamentals.py look-through, the fund's entry (jointShares.lynch)", "definition": "Of the fund's measured weight, the share in companies that meet both of the Lynch seat's tests or sit within the band on them (a P/E up to 10% above the growth rate, growth plus yield over P/E from 1.5 to 2, debt within 0.05 of the line), failing neither: 100 times the weight passing or near over the weight measured. Each weight is in percent of the fund's positive non-cash weight, to one decimal. Null where under 70% of that weight is measured.", "label": "the share meeting both tests or within the band" }, "lt_graham_financials_share": { "label": "the share in financial companies", "unit": "%", "source": "pipeline/fundamentals.py look-through, the fund's entry (grahamGroup.financialCondition.leftOut)", "definition": "The share of the fund's non-cash weight in financial companies, which Graham sets no financial-condition test and the group test leaves out, percent. Null where the fund has no look-through entry." }, "fee_construction": { "unit": "text", "source": "site/data/screener.json tracks (the index the fund names); data/stocks_universe.json content.fxDerivPct and nport.period (its latest N-PORT's currency derivatives, assetCat DFE)", "definition": "The fund's construction for a like-for-like fee comparison, ETFIQ's rule: 'currency hedged' where the index it names states a currency hedge (hedged to the US dollar, dollar-hedged, currency-hedged, currency neutral), or where its latest N-PORT carries currency forwards and its index is a hedged one; 'plain' where neither its index nor its N-PORT shows a currency hedge; null where its N-PORT carries currency forwards its index does not name. Never read from the fund's name. Only features that change the cost of the same exposure are constructions, currency hedging first; tilts and screens are not, since the seat already holds them at Mixed.", "label": "the construction compared" } }, "lookThrough": { "principle": "Graham's own answer: the defensive investor owns a diversified list of companies that each meet his tests, so a fund is judged by its holdings. Every company-level idea is tested holding by holding and rolled up to the fund.", "weights": "Each holding's weight is its share of the fund's non-cash weight. A fund of funds is read through to its funds' own books, scaled by their weights.", "excluded": "Cash rows are left out and stated. A stock criterion leaves out bond, option, swap, futures and other non-equity rows, and the page states the weight left out.", "rollUp": "A test rolls up as the weighted share of the fund that passes, the share that fails and the share that could not be measured, for example: 41% of the fund's weight passes, 55% fails, 4% could not be measured. A ratio (P/E, P/B, ROE) rolls up as the weighted median over the holdings it measures, never a weighted mean, so one extreme holding cannot move it.", "lossMakers": "A price multiple on a loss or on negative book value counts as failing the test, never as unmeasured and never as a negative number inside a median (ETFIQ's fundamentals step).", "coverageFloor": 70, "coverageRule": "A look-through measure reads Not enough data where the holdings it could measure are under 70% of the fund's non-cash weight; the measured share is printed beside every figure.", "financials": "Each company is read under the rules its class calls for, the class taken from its SEC industry code (SIC): utility, financial or industrial. Graham's financial condition reads an industrial company on a current ratio of 2 and long-term debt within net current assets, and a public utility on debt within twice its equity (The Intelligent Investor, ch. 14, p. 348 of the 2003 edition, reprinting the 1973 text). He sets financial companies no numeric test of it, writing that \"the question of financial soundness is, therefore, more relevant here\" (the 2003 edition with Jason Zweig's commentary, p. 360), so they are not measured on it. Buffett's return is net income plus after-tax interest over equity plus debt; a financial company's is net income over equity, with the unrealized gains and losses on its stock portfolio set aside. Lynch's debt test is not read for a financial company, whose borrowing is its raw material, or for a utility, which normally carries about half debt. A company whose class cannot be told is not measured on any of these, never failed.", "foreign": "A company filing a 20-F has its ratio measures; its price measures are not measured, because no currency conversion is applied. A foreign listing not matched to an SEC filer is not measured.", "staleness": "Annual figures are the latest fiscal year a filing states, at most about 15 months old; trailing twelve-month figures and balance sheets are dated by their period end, and prices by their day. Each figure carries its dates.", "names": "Each seat names the largest holdings that pass and that fail, by weight.", "coverageNote": "Morningstar reports a portfolio ratio only where at least half the portfolio has data (Average Price Ratios, 2005; Equity Index Statistics Methodology, 2026); ETFIQ sets its floor higher, at 70%.", "aggregationNote": "Index providers aggregate a portfolio P/E as a harmonic weighted average (Morningstar) or as total market value over total earnings (MSCI), and treat loss-makers differently. ETFIQ's tests roll up as the share of weight passing; its ratios as the weighted median, which neither provider uses, chosen so a loss-maker or an outlier cannot move the figure. The difference from a harmonic mean is stated beside the figure.", "negativeEquity": "Negative equity, one rule across the tests: a ratio to equity is not computed; a debt test against equity fails where there is debt, since that is more debt than any share of equity; a return on equity is not measured; a return on equity plus debt is read where that sum is positive. Lynch's balance sheet reads equity below zero also on the book before buybacks: where the buybacks explain its fall and the book before buybacks is positive, it is read on that; where the book before buybacks is not positive either, or losses or larger deals explain the fall, debt against it fails (signed 2026-10-22).", "dividends": "Graham's 20-year dividend record: the price vendor's payment history decides and the filings only confirm. A year the filings tag no dividend for is unknown, never a missing payment, and a year before the vendor's history begins, a spin-off's years before it listed among them, is not measured. A shorter record says exactly what it covers (\"dividends every year since 2009, 17 years\") and is never a pass on 20.", "cyclicals": "Every company is placed in one of Lynch's own categories (One Up on Wall Street, 1989, ch. 7, pp. 99-115) before his price test is read. A cyclical is a company whose sales fell while its earnings per share fell by a quarter or more, or turned to a loss, in two or more of its last ten year-on-year changes (his rise and fall of sales and profits together, p. 109), or a company in an industry he names (p. 112) with at least one such year; an industry code alone never makes one. A turnaround has a loss in its latest year. The rest are slow growers, stalwarts or fast growers by the ten-year growth of three-year average EPS: under 6% a year, 6 to 20%, and 20% or more, ETFIQ's lines between his figures of about 3%, 10 to 12% and 20 to 25%. P/E against growth is read for stalwarts and fast growers, growth plus yield over P/E for slow growers, and neither for a cyclical, whose low P/E he called a warning (Beating the Street, 1993, p. 231), or a turnaround. Growth above 25% a year counts as 25% (ch. 15, p. 231).", "prices": "Every price test, fund or holding, reads adjusted closes: distributions and splits adjusted.", "bands": "A company within the band beside a line reads near the line, not failing. Every band is narrow: where the investor named a point, it is his (Lynch's okay of 1.5 on growth plus yield over P/E, up to his 2); where his words leave a stretch unnamed, ETFIQ's for measurement: a P/E up to 10% above the growth rate beside Lynch's fair price, one point on Buffett's 15% returns, 0.05 on Lynch's debt to equity. A fund's share near a line is printed beside its passing and failing shares, and counts only toward Mixed, never toward Supports.", "interest": "Interest is read from the expense the income statement tags, else the interest paid the cash-flow statement tags. Where neither is tagged, Buffett's return is net income alone over equity plus debt, a floor under the true figure: it meets the line where even the floor does, and is otherwise not measured, never computed as if no interest were paid.", "lynchDebt": "Lynch's balance sheet is read in his own order: net cash first, cash and current marketable securities against long-term debt, as his own example reads Ford's (One Up on Wall Street, ch. 12, p. 193; ch. 13, p. 199); else long-term debt against book equity, his normal 75 percent equity and 25 percent debt, short-term debt set aside as he sets it aside (p. 201). Only the latest balance sheet is read, within 400 days of the latest equity date and covering the latest fiscal year. Where buybacks shrank the book, the debt is read also against the book with its fall over the ten years added back, at most the buybacks (the book before buybacks, ETFIQ's adaptation, because a company that bought back its shares is not more indebted for it): where the two read the same, that stands; where they differ, the book before buybacks is read only with the losses covered and the deals shown under half the buybacks. Where equity grew, the book stands. Debt is read by one reader for Graham, Buffett and Lynch: a zero is never no debt while another debt figure is positive, debt tagged in parts is read between its largest part and its sum, and a sheet with no debt line is net cash only where its other liabilities add up to its total within 1% or $1 million.", "group": "Graham read the Dow Jones Industrial Average against his seven tests as a whole: \"All of our suggested criteria were satisfied by the DJIA issues at the end of 1970, but two of them just barely\", the two price tests, while only five of the thirty met them one by one (The Intelligent Investor, ch. 14, pp. 350 and 354 of the 2003 edition with Jason Zweig's commentary, HarperBusiness, which reprints the 1973 text). So a fund is read the same way, as one company: each holding counts for the share of it the fund's dollar owns, and earnings and book value are summed on that share, losses included, as an index's are. Three parts are ETFIQ's, not Graham's: size read at the weighted median holding; the dividend record read as the share of weight with 20 years of dividends against the share with a year without one, a holding whose history simply ends being neither; and a numeric group current ratio of 2 with debt within net current assets, where Graham judged the Dow's condition \"adequate in the aggregate\" in words. The share of weight passing all seven one by one is printed beside it.", "indexPe": "A fund's P/E is stated the way an index states its own: total market value over total trailing earnings, losses included, which on a fund's weights is the sum of the weights over the sum of each weight times the holding's earnings yield. The weighted median of the holdings' P/Es is a different figure and is never labelled as the fund's." }, "section": { "name": "Investment Committee", "hub": "/investment-committee/", "whitepaper": "/investment-committee/whitepaper/", "minutes": "/investment-committee/minutes//" }, "reservedSlugs": [ "whitepaper", "minutes", "low-cost", "margin-of-safety", "quality", "growth-at-a-reasonable-price", "global-contrarian", "all-weather", "cycles-and-risk", "macro-and-liquidity", "diversification", "disruptive-innovation", "trend-following", "the-skeptic" ], "presetsLater": [ { "id": "value", "label": "Value bench", "seats": [ "margin-of-safety", "quality-fair-price", "global-contrarian" ] }, { "id": "growth", "label": "Growth bench", "seats": [ "garp", "disruptive-innovation", "trend-following" ] } ], "presetRule": "A bench names at least two seats that vote. A seat that observes, or prints a market-level reading, sits beside them as the backdrop and is never counted as a voter.", "etfAdaptation": { "label": "ETFIQ's ETF adaptation", "ruling": "2026-10-22: these are funds, not single stocks, so the investor rules are read with some variance in their parameters; each band comes from the investor's own looser guidance where it exists, otherwise from how precisely the figure can be measured, never from how far funds differ from one another", "shareStates": { "supports": 60.0, "mixed": 30.0, "floor": 70.0, "basis": "ETFIQ's lines: 60% is a clear majority of the measured weight and 30% a large minority. A fund of hundreds of companies cannot have all of them meet a line written for one company, so the state reads how much of it does. The 70% floor is the share of weight that must be measured at all." }, "lines": { "graham.pe3y": { "seat": "margin-of-safety", "line": 15.0, "op": "<=", "readOn": "group", "investor": "Graham's price at most 15 times average earnings of the past three years (The Intelligent Investor, 2003 edition, ch. 14, p. 349)", "band": { "source": "investor", "edges": { "pe7y": 25.0, "peTtm": 20.0 }, "basis": "Graham's own outer limit for the defensive investor: at most 25 times average earnings of the past seven years and 20 times those of the last twelve months (ch. 5, rule 4, p. 115). Above his 15 but within both reads Mixed; beyond either, Challenges." }, "appliesTo": "the group, the fund read as one company" }, "graham.pb": { "seat": "margin-of-safety", "line": 1.5, "op": "<=", "readOn": "group", "investor": "Graham's price at most 1.5 times book value (ch. 14, p. 349)", "band": { "source": "etfiq", "relative": 0.05, "basis": "ETFIQ's precision band: book value is the last one each company filed, and the price is today's, so a ratio to book carries the months between; each run counts how many books are more than 160 and 200 days older than their price, and the range of book dates prints beside every group figure; 5% of the line" }, "appliesTo": "the group, the fund read as one company" }, "graham.peXpb": { "seat": "margin-of-safety", "line": 22.5, "op": "<=", "readOn": "group", "investor": "Graham's P/E times P/B at most 22.5, which admits a higher price to book where the P/E is lower (ch. 14, p. 349)", "band": { "source": "etfiq", "relative": 0.05, "basis": "ETFIQ's precision band: book value is the last one each company filed, and the price is today's, so a ratio to book carries the months between; each run counts how many books are more than 160 and 200 days older than their price, and the range of book dates prints beside every group figure; 5% of the line; the product is the group's own P/E times its own P/B, measured on the fund" }, "appliesTo": "the group, the fund read as one company" }, "buffett.returnOnCapital": { "seat": "quality-fair-price", "line": 15.0, "op": ">=", "readOn": "holding", "investor": "ETFIQ's reading of Buffett: at least 15% on equity plus debt (his letters set the bar in words; Fortune's 1987 test, which he quotes, is 15%)", "band": { "source": "etfiq", "width": 1.0, "basis": "ETFIQ's precision band: the interest added back assumes a 21% tax rate and the figure is one fiscal year set against a line in round numbers, about a point of accounting and period noise. Buffett's letters give no looser line." }, "fundamentalsBand": [ "buffett.returnOnCapital", "buffett.persistentReturns" ], "appliesTo": "each holding" }, "lynch.peg": { "seat": "garp", "line": 1.0, "op": "<=", "readOn": "holding", "investor": "Lynch: \"The p/e ratio of any company that's fairly priced will equal its growth rate\" (One Up on Wall Street, ch. 13, p. 198)", "band": { "source": "etfiq", "width": 0.1, "basis": "Lynch's words on p. 198 give three points: a P/E equal to the growth rate is fairly priced, half of it very positive, twice it very negative. They name nothing between his fair price and twice it, so the band is ETFIQ's and narrow, for measurement: a P/E up to 10% above the growth rate reads near, and above that it fails his fair price." }, "fundamentalsBand": [ "lynch.peg" ], "appliesTo": "each holding" }, "lynch.debtToEquity": { "seat": "garp", "line": 0.3333333333333333, "op": "<=", "readOn": "holding", "investor": "ETFIQ's reading of Lynch's normal balance sheet, 75% equity and 25% debt (One Up on Wall Street, ch. 13, p. 201)", "band": { "source": "etfiq", "width": 0.05, "basis": "ETFIQ's precision band: debt and equity are read from one balance sheet, with short-term debt set aside as Lynch sets it aside, about 0.05 of noise in the ratio." }, "fundamentalsBand": [ "lynch.debtToEquity" ], "appliesTo": "each holding" } } }, "research": { "schema": 1, "note": "Peer-reviewed research behind how ETFIQ measures each seat's stated ideas. Each paper verified against Crossref and the journal, publisher or author's own page on the date given; findings in ETFIQ's words. The methods list holds practitioner methodology documents (index providers), cited for how a portfolio statistic is aggregated, not as peer-reviewed research.", "papers": [ { "id": "george-hwang-2004", "authors": "Thomas J. George and Chuan-Yang Hwang", "title": "The 52-Week High and Momentum Investing", "journal": "The Journal of Finance", "volume": "59", "issue": "5", "pages": "2145-2176", "year": 2004, "doi": "10.1111/j.1540-6261.2004.00695.x", "finding": "How close a stock's price is to its 52-week high explains much of the profit from momentum investing and predicts future returns better than past returns do; the gains do not reverse in the long run.", "evidence": "Crossref record for the DOI, with its abstract; the full text was refused, so how its portfolios are built was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "moskowitz-ooi-pedersen-2012", "authors": "Tobias J. Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen", "title": "Time Series Momentum", "journal": "Journal of Financial Economics", "volume": "104", "issue": "2", "pages": "228-250", "year": 2012, "doi": "10.1016/j.jfineco.2011.11.003", "finding": "Across 58 futures and forward markets, each instrument's own past 12-month excess return predicts its next return; the effect persists for 1 to 12 months and partly reverses after. The signal is the sign of the past return, not a pattern of highs and lows.", "evidence": "Crossref record for the DOI and the published text, searched in full: no definition by highs and lows or by distance from a recent high.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "asness-moskowitz-pedersen-2013", "authors": "Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen", "title": "Value and Momentum Everywhere", "journal": "The Journal of Finance", "volume": "68", "issue": "3", "pages": "929-985", "year": 2013, "doi": "10.1111/jofi.12021", "finding": "Value and momentum premia appear in eight markets and asset classes, ranked within each; momentum is the past 12-month return skipping the latest month. Global funding liquidity risk is a partial source of the premia, explaining a small part of them.", "evidence": "Crossref record for the DOI and the published version on the author's NYU page, read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "lee-swaminathan-2000", "authors": "Charles M. C. Lee and Bhaskaran Swaminathan", "title": "Price Momentum and Trading Volume", "journal": "The Journal of Finance", "volume": "55", "issue": "5", "pages": "2017-2069", "year": 2000, "doi": "10.1111/0022-1082.00280", "finding": "Measured as turnover, heavy trading marks glamour stocks with lower future returns; past outperformers with high volume reverse sooner, and those with low volume beat those with high volume from the second year to the fifth. Favouring high-volume outperformers does not improve momentum returns.", "evidence": "Crossref record for the DOI and the published text, read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "frazzini-lamont-2008", "authors": "Andrea Frazzini and Owen A. Lamont", "title": "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns", "journal": "Journal of Financial Economics", "volume": "88", "issue": "2", "pages": "299-322", "year": 2008, "doi": "10.1016/j.jfineco.2007.07.001", "finding": "Stocks that retail money flows into through mutual funds earn lower future returns, significantly over three to five years; evidence that short-horizon flows predict higher returns is weak.", "evidence": "Crossref record for the DOI and the NBER working paper w11526 (2005); the horizon results are the working paper's, the final text being refused.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "sharpe-1991", "authors": "William F. Sharpe", "title": "The Arithmetic of Active Management", "journal": "Financial Analysts Journal", "volume": "47", "issue": "1", "pages": "7-9", "year": 1991, "doi": "10.2469/faj.v47.n1.7", "finding": "Before costs the average actively managed dollar must earn what the average passive dollar earns, because together they are the market. Active management costs more, so after costs the average active dollar must trail, in every period.", "evidence": "Crossref record for the DOI, and the author's own copy on his Stanford page (web.stanford.edu/~wfsharpe/art/active/active.htm).", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "carhart-1997", "authors": "Mark M. Carhart", "title": "On Persistence in Mutual Fund Performance", "journal": "The Journal of Finance", "volume": "52", "issue": "1", "pages": "57-82", "year": 1997, "doi": "10.1111/j.1540-6261.1997.tb03808.x", "finding": "On a sample free of survivor bias, common stock-return factors and investment expenses almost completely explain persistence in mutual fund performance; expenses keep predicting returns after costs, and the paper finds no evidence of skilled managers.", "evidence": "Crossref record for the DOI, with its abstract. The size of the expense and turnover coefficients was not checked against the paper's tables, so none is quoted.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "french-2008", "authors": "Kenneth R. French", "title": "Presidential Address: The Cost of Active Investing", "journal": "The Journal of Finance", "volume": "63", "issue": "4", "pages": "1537-1573", "year": 2008, "doi": "10.1111/j.1540-6261.2008.01368.x", "finding": "From 1980 to 2006 US investors spent 0.67% of the market's value a year on fees, expenses and trading costs in search of better returns; holding the passive market portfolio instead would have raised the typical investor's return by about that much.", "evidence": "Crossref record for the DOI, with its abstract.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "lakonishok-shleifer-vishny-1994", "authors": "Josef Lakonishok, Andrei Shleifer and Robert W. Vishny", "title": "Contrarian Investment, Extrapolation, and Risk", "journal": "The Journal of Finance", "volume": "49", "issue": "5", "pages": "1541-1578", "year": 1994, "doi": "10.1111/j.1540-6261.1994.tb04772.x", "finding": "Stocks cheap against earnings, cash flow or book value, with weak past growth, beat expensive glamour stocks over the five years after purchase, with little sign that they are riskier; the paper reads the gap as investors extrapolating past growth.", "evidence": "Crossref record for the DOI, and the NBER working paper w4360 (May 1993). Its figures are the working paper's and are not quoted.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "debondt-thaler-1985", "authors": "Werner F. M. De Bondt and Richard Thaler", "title": "Does the Stock Market Overreact?", "journal": "The Journal of Finance", "volume": "40", "issue": "3", "pages": "793-805", "year": 1985, "doi": "10.1111/j.1540-6261.1985.tb05004.x", "finding": "The NYSE's biggest losers over three years beat the market by 19.6% over the next 36 months while the biggest gainers trailed it by about 5%. Portfolios formed on one-year returns did not reverse: one-year losers kept trailing one-year gainers over the next 12 months (Table I).", "evidence": "Crossref record for the DOI, and a scan of the published article (pp. 793, 799, 801-802 read, including Table I).", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "jegadeesh-titman-1993", "authors": "Narasimhan Jegadeesh and Sheridan Titman", "title": "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", "journal": "The Journal of Finance", "volume": "48", "issue": "1", "pages": "65-91", "year": 1993, "doi": "10.1111/j.1540-6261.1993.tb04702.x", "finding": "Stocks that rose most over the past 3 to 12 months keep beating those that rose least over the following 3 to 12 months; part of the gain unwinds over the next two years.", "evidence": "Crossref record for the DOI, with its abstract.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "oppenheimer-1984", "authors": "Henry R. Oppenheimer", "title": "A Test of Ben Graham's Stock Selection Criteria", "journal": "Financial Analysts Journal", "volume": "40", "issue": "5", "pages": "68-74", "year": 1984, "doi": "10.2469/faj.v40.n5.68", "finding": "NYSE and AMEX stocks screened on Graham's criteria from 1974 to 1981, with an earnings yield at least twice the AAA bond yield and debt below book value, beat the market index by a wide margin after adjusting for risk and size.", "evidence": "Crossref record for the DOI, and the CFA Institute's abstract page for the article.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "oppenheimer-1986", "authors": "Henry R. Oppenheimer", "title": "Ben Graham's Net Current Asset Values: A Performance Update", "journal": "Financial Analysts Journal", "volume": "42", "issue": "6", "pages": "40-47", "year": 1986, "doi": "10.2469/faj.v42.n6.40", "finding": "Stocks priced below their net current asset value beat market benchmarks from 1970 to 1983 on mean and risk-adjusted returns, and the cheapest against net current assets beat them by the most.", "evidence": "Crossref record for the DOI, and the CFA Institute's abstract page. Its headline return figures could not be reconciled across sources and are not quoted.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "frazzini-kabiller-pedersen-2018", "authors": "Andrea Frazzini, David Kabiller and Lasse Heje Pedersen", "title": "Buffett's Alpha", "journal": "Financial Analysts Journal", "volume": "74", "issue": "4", "pages": "35-55", "year": 2018, "doi": "10.2469/faj.v74.n4.3", "finding": "Berkshire Hathaway's alpha against the usual factors disappears once low-risk (betting against beta) and quality (quality minus junk) are controlled for: its returns read as modest leverage applied to cheap, safe, high-quality stocks.", "evidence": "Crossref record for the DOI, the published version's abstract (OpenAlex) and the NBER working paper w19681.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "asness-frazzini-pedersen-2019", "authors": "Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen", "title": "Quality Minus Junk", "journal": "Review of Accounting Studies", "volume": "24", "issue": "1", "pages": "34-112", "year": 2019, "doi": "10.1007/s11142-018-9470-2", "finding": "Quality, defined as profitable, growing and safe, earns significant risk-adjusted returns in the US and 24 other countries; quality stocks cost more, but not by much, and returns are highest when quality is cheap.", "evidence": "Crossref record for the DOI, and the abstract (OpenAlex).", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "easton-2004", "authors": "Peter D. Easton", "title": "PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital", "journal": "The Accounting Review", "volume": "79", "issue": "1", "pages": "73-95", "year": 2004, "doi": "10.2308/accr.2004.79.1.73", "finding": "The PEG ratio ranks stocks almost as a fuller model does, and far better than P/E alone, but expected returns read from it are biased low because it treats short-run growth as the long run: a sound ranking tool, a weak absolute measure of value.", "evidence": "Crossref record for the DOI, with its full abstract.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "asness-frazzini-pedersen-2012", "authors": "Clifford S. Asness, Andrea Frazzini and Lasse H. Pedersen", "title": "Leverage Aversion and Risk Parity", "journal": "Financial Analysts Journal", "volume": "68", "issue": "1", "pages": "47-59", "year": 2012, "doi": "10.2469/faj.v68.n1.1", "finding": "Measured by risk rather than dollars, a 60/40 portfolio is mostly a stock portfolio, because stocks are far more volatile than bonds. Investors who avoid leverage bid up risky assets, so safer assets pay more per unit of risk, and a portfolio weighted by inverse volatility and levered up has done better than the 60/40 mix.", "evidence": "Crossref record for the DOI, the CFA Institute's article page and the full text on AQR's site, read; the paper does not mention inflation-linked bonds or Bridgewater.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "markowitz-1952", "authors": "Harry Markowitz", "title": "Portfolio Selection", "journal": "The Journal of Finance", "volume": "7", "issue": "1", "pages": "77-91", "year": 1952, "doi": "10.1111/j.1540-6261.1952.tb01525.x", "finding": "Choosing only for the highest expected return never favours a diversified portfolio. Treating the variance of the whole portfolio's return as a cost, alongside expected return as a benefit, makes diversification rational.", "evidence": "Crossref record for the DOI; the text was checked through an extract of the paper, both direct fetches being refused.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "brinson-hood-beebower-1986", "authors": "Gary P. Brinson, L. Randolph Hood and Gilbert L. Beebower", "title": "Determinants of Portfolio Performance", "journal": "Financial Analysts Journal", "volume": "42", "issue": "4", "pages": "39-44", "year": 1986, "doi": "10.2469/faj.v42.n4.39", "finding": "Across 91 large US pension plans from 1974 to 1983, the policy mix of asset classes explained on average 93.6% of the variation of each plan's quarterly returns over time; that is the share of ups and downs, not of the level of returns or of the differences between plans.", "evidence": "Crossref record for the DOI; what the 93.6% measures was checked on the CFA Institute's own account of the paper (Enterprising Investor, Feb 16, 2012), not on the paper.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "campbell-shiller-1988", "authors": "John Y. Campbell and Robert J. Shiller", "title": "Stock Prices, Earnings, and Expected Dividends", "journal": "The Journal of Finance", "volume": "43", "issue": "3", "pages": "661-676", "year": 1988, "doi": "10.1111/j.1540-6261.1988.tb04598.x", "finding": "On US data from 1871 to 1986, long averages of real earnings help forecast the present value of future dividends, and returns over long horizons are highly forecastable from them.", "evidence": "Crossref record for the DOI, with its abstract.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "asness-2003", "authors": "Clifford S. Asness", "title": "Fight the Fed Model", "journal": "The Journal of Portfolio Management", "volume": "30", "issue": "1", "pages": "11-24", "year": 2003, "doi": "10.3905/jpm.2003.319916", "finding": "Comparing the stock market's earnings yield with nominal bond yields, the so-called Fed model, has no power to forecast long-term real stock returns, while the market's price-to-earnings ratio on its own has forecast them well.", "evidence": "Crossref record for the DOI and AQR's own page for the article.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "wright-1936", "authors": "T. P. Wright", "title": "Factors Affecting the Cost of Airplanes", "journal": "Journal of the Aeronautical Sciences", "volume": "3", "issue": "4", "pages": "122-128", "year": 1936, "doi": "10.2514/8.155", "finding": "The labour cost of building an airplane fell by a roughly constant fraction each time cumulative output doubled, the learning curve now called Wright's law. No rate is quoted here because the original text was not read.", "evidence": "Crossref record for the DOI; the finding was read in secondary accounts only (the publisher's page refused the request), so no figure is taken from it.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "nagy-farmer-bui-trancik-2013", "authors": "Bela Nagy, J. Doyne Farmer, Quan M. Bui and Jessika E. Trancik", "title": "Statistical Basis for Predicting Technological Progress", "journal": "PLoS ONE", "volume": "8", "issue": "2", "pages": "e52669", "year": 2013, "doi": "10.1371/journal.pone.0052669", "finding": "Hindcasting costs for 62 technologies, Wright's law (cost falling with cumulative production) forecasts most accurately, with Moore's law close behind; the two are nearly indistinguishable because production tends to grow exponentially.", "evidence": "Crossref record for the DOI and the article page on journals.plos.org.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "cremers-petajisto-2009", "authors": "K. J. Martijn Cremers and Antti Petajisto", "title": "How Active Is Your Fund Manager? A New Measure That Predicts Performance", "journal": "Review of Financial Studies", "volume": "22", "issue": "9", "pages": "3329-3365", "year": 2009, "doi": "10.1093/rfs/hhp057", "finding": "Active share, the part of a fund's holdings that differs from its benchmark, is a measure of how far a fund departs from an index; across US equity funds from 1980 to 2003 the highest active share funds beat their benchmarks.", "evidence": "Crossref record for the DOI and the abstract on IDEAS/RePEc.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "frazzini-friedman-pomorski-2016", "authors": "Andrea Frazzini, Jacques Friedman and Lukasz Pomorski", "title": "Deactivating Active Share", "journal": "Financial Analysts Journal", "volume": "72", "issue": "2", "pages": "14-21", "year": 2016, "doi": "10.2469/faj.v72.n2.2", "finding": "On the same sample, active share tracks benchmark returns but does not predict fund returns, and within one benchmark its link to performance is as likely positive as negative.", "evidence": "Crossref record for the DOI and the CFA Institute's article page.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "cooper-gulen-rau-2005", "authors": "Michael J. Cooper, Huseyin Gulen and P. Raghavendra Rau", "title": "Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows", "journal": "The Journal of Finance", "volume": "60", "issue": "6", "pages": "2825-2858", "year": 2005, "doi": "10.1111/j.1540-6261.2005.00818.x", "finding": "Funds that renamed themselves after a popular style drew about 28% more money the next year with no better performance, and flows rose whether or not the holdings matched the new name.", "evidence": "Crossref record for the DOI, with its abstract.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "piotroski-2000", "authors": "Joseph D. Piotroski", "title": "Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers", "journal": "Journal of Accounting Research", "volume": "38", "issue": "", "pages": "1-41", "year": 2000, "doi": "10.2307/2672906", "url": null, "finding": "Among stocks cheap against book value, a simple score of nine accounting signals separates the financially strong from the weak, and favouring the strong raised returns materially: quality tests applied inside a cheap set work.", "evidence": "Crossref record for the DOI and OpenAlex for the pages; the size of the gain was read in a summary of a hosted copy, so no figure is quoted.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "vu-1988", "authors": "Joseph D. Vu", "title": "An Empirical Analysis of Ben Graham's Net Current Asset Value Rule", "journal": "Financial Review", "volume": "23", "issue": "2", "pages": "215-225", "year": 1988, "doi": "10.1111/j.1540-6288.1988.tb00787.x", "url": null, "finding": "Stocks priced below their net current asset value still earned abnormal returns in the 1970s and early 1980s, and later mergers do not explain the gain.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "xiao-arnold-2008", "authors": "Ying Xiao and Glen Arnold", "title": "Testing Benjamin Graham's Net Current Asset Value Strategy in London", "journal": "The Journal of Investing", "volume": "17", "issue": "4", "pages": "11-19", "year": 2008, "doi": "10.3905/joi.2008.17.4.011", "url": null, "finding": "On the London Stock Exchange from 1981 to 2005, stocks with net current assets well above their market value earned market-adjusted returns that size and the usual risk factors do not explain.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "kartikasari-2016", "authors": "Dwi Kartikasari", "title": "A Test of Graham's and Lynch's Stock Screening Criteria on Shares Traded on the Indonesian Stock Exchange (IDX)", "journal": "Journal of Indonesian Economy and Business", "volume": "31", "issue": "1", "pages": "22-38", "year": 2016, "doi": "10.22146/jieb.10318", "url": null, "finding": "Portfolios that had to pass Graham's criteria in full held too few stocks to be diversified and did not beat the market consistently after risk; Lynch's combined criteria did better.", "evidence": "Crossref record for the DOI and the journal's article page.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "mueller-1986", "authors": "Dennis C. Mueller", "title": "Profits in the Long Run", "journal": "Cambridge University Press (book)", "volume": "", "issue": "", "pages": "", "year": 1986, "doi": "10.1017/cbo9780511664731", "url": null, "finding": "Among the 1,000 largest US manufacturers from 1950 to 1972, differences in profitability persisted; persistently profitable firms had high market shares and differentiated products.", "evidence": "Crossref record for the DOI and the publisher's summary of the book; the 1977 Economica article that opened the work was seen only as a record.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "novy-marx-2013", "authors": "Robert Novy-Marx", "title": "The Other Side of Value: The Gross Profitability Premium", "journal": "Journal of Financial Economics", "volume": "108", "issue": "1", "pages": "1-28", "year": 2013, "doi": "10.1016/j.jfineco.2013.01.003", "url": null, "finding": "Gross profits over assets predict returns about as well as book-to-market, though profitable firms look more expensive; controlling for profitability improves value strategies.", "evidence": "Crossref record for the DOI and the NBER working paper w15940.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "kanuri-mcleod-2016", "authors": "Srinidhi Kanuri and Robert W. McLeod", "title": "Sustainable Competitive Advantage and Stock Performance: The Case for Wide Moat Stocks", "journal": "Applied Economics", "volume": "48", "issue": "52", "pages": "5117-5127", "year": 2016, "doi": "10.1080/00036846.2016.1170938", "url": null, "finding": "From mid-2002 to mid-2014, annually rebalanced portfolios of Morningstar's wide-moat stocks beat the S&P 500 and the Russell 3000 with positive factor-adjusted alphas, and lost less in 2007 to 2009.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "haggard-2026", "authors": "K. Stephen Haggard", "title": "Economic Moats and Stock Performance: Is Warren Buffett Wrong?", "journal": "The Journal of Investing", "volume": "35", "issue": "3", "pages": "104-115", "year": 2026, "doi": "10.3905/joi.2026.1.381", "url": null, "finding": "Across 5,304 US stocks, wide-moat firms beat no-moat firms but not the broad market, and after controls for size, age, exchange and sector the wide-moat premium turns negative.", "evidence": "Crossref record for the DOI and the SSRN version (10.2139/ssrn.4967950).", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "bradshaw-2004", "authors": "Mark T. Bradshaw", "title": "How Do Analysts Use Their Earnings Forecasts in Generating Stock Recommendations?", "journal": "The Accounting Review", "volume": "79", "issue": "1", "pages": "25-50", "year": 2004, "doi": "10.2308/accr.2004.79.1.25", "url": null, "finding": "Analysts' stock ratings line up with PEG and their long-term growth forecasts, but strategies on those growth forecasts have the weakest link to later excess returns.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "chan-karceski-lakonishok-2003", "authors": "Louis K. C. Chan, Jason Karceski and Josef Lakonishok", "title": "The Level and Persistence of Growth Rates", "journal": "The Journal of Finance", "volume": "58", "issue": "2", "pages": "643-684", "year": 2003, "doi": "10.1111/1540-6261.00540", "url": null, "finding": "Long-term earnings growth shows no persistence beyond chance, and analysts' long-term growth forecasts are too optimistic and add little: neither past growth nor forecasts is a reliable growth figure.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "daniel-grinblatt-titman-wermers-1997", "authors": "Kent Daniel, Mark Grinblatt, Sheridan Titman and Russ Wermers", "title": "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks", "journal": "The Journal of Finance", "volume": "52", "issue": "3", "pages": "1035-1058", "year": 1997, "doi": "10.1111/j.1540-6261.1997.tb02724.x", "url": null, "finding": "A fund can be measured by the characteristics of the stocks it holds: benchmarks built from its holdings' size, book-to-market and past return, applied to more than 2,500 funds.", "evidence": "Crossref record for the DOI, with its abstract.", "verified": true, "verifiedOn": "2026-10-21" }, { "id": "elton-gruber-busse-2004", "authors": "Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse", "title": "Are Investors Rational? Choices among Index Funds", "journal": "The Journal of Finance", "volume": "59", "issue": "1", "pages": "261-288", "year": 2004, "doi": "10.1111/j.1540-6261.2004.00633.x", "finding": "S&P 500 index funds own virtually the same securities, yet their returns differ by more than 2 percent a year; choosing funds on low expenses outperforms the funds investors chose, and money flows to the dearer ones anyway.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "ben-david-franzoni-kim-moussawi-2023", "authors": "Itzhak Ben-David, Francesco Franzoni, Byungwook Kim and Rabih Moussawi", "title": "Competition for Attention in the ETF Space", "journal": "The Review of Financial Studies", "volume": "36", "issue": "3", "pages": "987-1042", "year": 2023, "doi": "10.1093/rfs/hhac048", "finding": "Specialised ETFs, which track niche portfolios and charge higher fees, lost about 30% risk-adjusted over their first five years, driven by the overvaluation of their stocks at launch, unlike the early broad-index ETFs.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "brown-davies-ringgenberg-2021", "authors": "David C. Brown, Shaun William Davies and Matthew C. Ringgenberg", "title": "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability", "journal": "Review of Finance", "volume": "25", "issue": "4", "pages": "937-972", "year": 2021, "doi": "10.1093/rof/rfaa027", "finding": "ETF creations and redemptions signal non-fundamental demand: a portfolio short high-flow ETFs and long low-flow ETFs earned 1.1 to 2.0% a month, so money flowing in predicts reversals, not further gains.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "richards-1997", "authors": "Anthony J. Richards", "title": "Winner-Loser Reversals in National Stock Market Indices: Can They be Explained?", "journal": "The Journal of Finance", "volume": "52", "issue": "5", "pages": "2129", "year": 1997, "doi": "10.2307/2329478", "finding": "Across the national stock market indices of 16 countries, the markets that did worst tend to recover against those that did well; the laggards are not riskier by any measure tested, and the effect is not only in small markets.", "evidence": "Crossref record for the DOI, and the abstract as OpenAlex indexes it; the full text was not read. Crossref gives the first page only.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "balvers-wu-gilliland-2000", "authors": "Ronald Balvers, Yangru Wu and Erik Gilliland", "title": "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies", "journal": "The Journal of Finance", "volume": "55", "issue": "2", "pages": "745-772", "year": 2000, "doi": "10.1111/0022-1082.00225", "finding": "Across 18 national stock indices from 1969 to 1996, relative index prices revert to the mean with a half-life of three to three and a half years, and contrarian strategies across countries outperformed.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "zarowin-1990", "authors": "Paul Zarowin", "title": "Size, Seasonality, and Stock Market Overreaction", "journal": "The Journal of Financial and Quantitative Analysis", "volume": "25", "issue": "1", "pages": "113", "year": 1990, "doi": "10.2307/2330891", "finding": "Past losers beat past gainers because losers tend to be smaller firms: compared at equal size there is little difference, so what looked like overreaction is largely a size effect.", "evidence": "Crossref record for the DOI, and the abstract as OpenAlex indexes it; the full text was not read. Crossref gives the first page only.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "conrad-kaul-1993", "authors": "Jennifer Conrad and Gautam Kaul", "title": "Long-Term Market Overreaction or Biases in Computed Returns?", "journal": "The Journal of Finance", "volume": "48", "issue": "1", "pages": "39-63", "year": 1993, "doi": "10.1111/j.1540-6261.1993.tb04701.x", "finding": "Long-horizon contrarian returns are biased upward by cumulating monthly returns, and the true returns left to past losers and gainers show no relation to overreaction.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "anderson-bianchi-goldberg-2012", "authors": "Robert M. Anderson, Stephen W. Bianchi and Lisa R. Goldberg", "title": "Will My Risk Parity Strategy Outperform?", "journal": "Financial Analysts Journal", "volume": "68", "issue": "6", "pages": "75-93", "year": 2012, "doi": "10.2469/faj.v68.n6.7", "finding": "Comparing value-weighted, 60/40 and unlevered and levered risk parity: start and end dates move the results even over decades, trading costs can reverse the ranking where leverage is used, and a significant premium does not guarantee outperformance over reasonable horizons.", "evidence": "Crossref record for the DOI, and the abstract as OpenAlex indexes it; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "siegel-2016", "authors": "Jeremy J. Siegel", "title": "The Shiller CAPE Ratio: A New Look", "journal": "Financial Analysts Journal", "volume": "72", "issue": "3", "pages": "41-50", "year": 2016, "doi": "10.2469/faj.v72.n3.1", "finding": "Changes in how GAAP earnings are computed make recent CAPE forecasts too pessimistic; on consistent earnings (national accounts profits) the model forecasts better and higher returns.", "evidence": "Crossref record for the DOI, and the abstract as OpenAlex indexes it; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "gervais-kaniel-mingelgrin-2001", "authors": "Simon Gervais, Ron Kaniel and Dan H. Mingelgrin", "title": "The High-Volume Return Premium", "journal": "The Journal of Finance", "volume": "56", "issue": "3", "pages": "877-919", "year": 2001, "doi": "10.1111/0022-1082.00349", "finding": "Stocks with unusually high trading volume over a day or a week tend to rise over the following month, and those with unusually low volume to fall.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "daniel-moskowitz-2016", "authors": "Kent Daniel and Tobias J. Moskowitz", "title": "Momentum Crashes", "journal": "Journal of Financial Economics", "volume": "122", "issue": "2", "pages": "221-247", "year": 2016, "doi": "10.1016/j.jfineco.2015.12.002", "finding": "Momentum strategies suffer infrequent, persistent strings of large losses, in panic states after market declines and when volatility is high, as past losers rebound with the market.", "evidence": "Crossref record for the DOI, and the abstract as OpenAlex indexes it; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "thorbecke-1997", "authors": "Willem Thorbecke", "title": "On Stock Market Returns and Monetary Policy", "journal": "The Journal of Finance", "volume": "52", "issue": "2", "pages": "635-654", "year": 1997, "doi": "10.1111/j.1540-6261.1997.tb04816.x", "finding": "Measured by innovations in the federal funds rate and in reserves, by narrative indicators and by an event study of Federal Reserve policy changes, expansionary monetary policy raised stock returns in every case.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" }, { "id": "bernanke-kuttner-2005", "authors": "Ben S. Bernanke and Kenneth N. Kuttner", "title": "What Explains the Stock Market's Reaction to Federal Reserve Policy?", "journal": "The Journal of Finance", "volume": "60", "issue": "3", "pages": "1221-1257", "year": 2005, "doi": "10.1111/j.1540-6261.2005.00760.x", "finding": "An unanticipated 25-basis-point cut in the federal funds target was associated with about a 1% rise in broad stock indexes, mostly through lower expected excess returns.", "evidence": "Crossref record for the DOI, with its abstract; the full text was not read.", "url": null, "verified": true, "verifiedOn": "2026-10-21" } ], "unverified": [ { "claim": "Campbell and Shiller (1998), Valuation Ratios and the Long-Run Stock Market Outlook, Journal of Portfolio Management 24(2), 11-26.", "why": "The citation is verified, but its text was read only through the authors' 2001 update (NBER w8221). Not cited; the 1988 paper is." }, { "claim": "Ibbotson and Kaplan (2000) on how much of performance asset allocation explains.", "why": "Citation verified, content read only second-hand. Not cited." }, { "claim": "Petajisto's 2016 reply to Deactivating Active Share.", "why": "Citation verified; its argument is behind a login. Not cited." }, { "claim": "Woerheide and Persson (1993) on an index of portfolio diversification.", "why": "Only its metadata was seen, not its formula. Not cited." }, { "claim": "The size of Carhart's expense and turnover coefficients, Oppenheimer's 1986 return figures, and Lakonishok, Shleifer and Vishny's published figures.", "why": "Not checked against the papers' own tables; no figure from them is quoted." }, { "claim": "A specific learning rate (often quoted as 20% a doubling) from Wright (1936).", "why": "The original text was not read; no rate is quoted." }, { "claim": "Mueller (1977), The Persistence of Profits above the Norm, Economica 44(176).", "why": "The record is verified; the article's own findings were not read. The 1986 book is cited instead." }, { "claim": "Gleason, Johnson and Li (2013) on PEG-based price targets.", "why": "Findings read only in a university press release. Not cited." }, { "claim": "Santos and Carazza (2024), a test of Graham's defensive criteria in Brazil (CAFI 7(1)).", "why": "Verified as a record; one emerging market over long holds only, and its text was not read in full. Not cited." }, { "claim": "Peters (1991), 'Using PE/Growth Ratios to Develop a Contrarian Approach'.", "why": "No article of that title found; Peters' 1991 'Valuing a growth stock' (JPM 17(3)) was not read. Not cited." }, { "claim": "Boyd, Financial Performance of Wide-Moat Companies (Journal of Business and Economics Research 3(3)).", "why": "Print year and pages not confirmed. Not cited." } ], "methods": [ { "id": "morningstar-2005", "publisher": "Morningstar", "title": "Average Price Ratios (methodology paper)", "date": "2005-08-31", "url": "https://seekingalpha.com/uploads/2017/5/15/4989515/MorningstarPriceRatioAverages_Methodology.pdf", "says": "A portfolio's P/E is a harmonic weighted average; stocks with negative earnings are left out; a ratio is computed only where at least half the portfolio has a price and positive figures (pp. 4-7). Read in a copy hosted by a third party, not on Morningstar's own site." }, { "id": "morningstar-2026", "publisher": "Morningstar Indexes", "title": "Equity Index Statistics Methodology", "date": "2026-08", "url": "https://indexes.morningstar.com/api/docs/6a8dad5ebc1d3a0464701dcb", "says": "A weighted harmonic mean of the holdings' price ratios; no ratio where holdings with no data exceed half the portfolio by weight." }, { "id": "msci-2021", "publisher": "MSCI", "title": "MSCI Fundamental Data Methodology", "date": "2021-03", "url": "https://www.msci.com/eqb/methodology/meth_docs/MSCI_Fundamental_Data_Methodology_Mar2021.pdf", "says": "Index ratios aggregate the constituents' totals (market value over total earnings, section 3.1 and example 4); a security without trailing figures is left out." } ] } }