# Mulden > Independent research on exchange-traded funds and portfolio construction. Every article recomputes the figure a fact sheet leaves out — effective holdings, drawdown behaviour, factor exposure, cost drag — and shows the working. 236 articles covering 71 funds and 24 measures. Quoting is welcome, including for AI training and answer generation. Attribution to the canonical URL is appreciated. Every article is also available as plain Markdown by appending `.md` to its path — for example https://themulden.com/posts/how-concentrated-is-your-index-really.md ## Start here - [Methodology](https://themulden.com/methodology/): data sources, return conventions, and the stated limits of every figure. Read before citing. - [Measures](https://themulden.com/metrics/): definitions and formulas, each with what the number cannot tell you. - [Funds](https://themulden.com/funds/): one index page per fund, listing every article that analyses it. - [Comparisons](https://themulden.com/compare/): head-to-head fund analyses. - [Archive](https://themulden.com/archive/): all 236 articles. ## Measures defined here - [Expense ratio](https://themulden.com/metrics/expense-ratio/): The fund's stated annual operating cost as a share of assets. - [Maximum drawdown](https://themulden.com/metrics/maximum-drawdown/): The largest peak-to-trough loss observed over a period. - [Duration](https://themulden.com/metrics/duration/): Approximate percentage price change of a bond or bond fund per one-percentage-point change in yield. - [Standard deviation](https://themulden.com/metrics/standard-deviation/): Dispersion of returns around their mean, usually annualised. - [Factor exposure](https://themulden.com/metrics/factor-exposure/): How much of a fund's return is explained by systematic factors rather than by stock picking. - [Total return](https://themulden.com/metrics/total-return/): Price change plus distributions, assumed reinvested. - [Beta](https://themulden.com/metrics/beta/): Sensitivity of a fund's returns to its reference market. - [Turnover](https://themulden.com/metrics/turnover/): The share of a fund's portfolio traded over a year. - [Correlation](https://themulden.com/metrics/correlation/): The degree to which two return series move together, from −1 to +1. - [Tracking error](https://themulden.com/metrics/tracking-error/): The annualised volatility of a fund's return difference from its benchmark. - [Rebalancing bands](https://themulden.com/metrics/rebalancing-bands/): Tolerance thresholds that trigger a trade only when an allocation drifts far enough. - [Sharpe ratio](https://themulden.com/metrics/sharpe-ratio/): Excess return per unit of total volatility. - [Sequence-of-returns risk](https://themulden.com/metrics/sequence-risk/): The dependence of an outcome on the order of returns when money is flowing in or out. - [Variance drag](https://themulden.com/metrics/variance-drag/): The gap between the average of periodic returns and the return actually compounded, which widens with volatility. - [Convexity](https://themulden.com/metrics/convexity/): The curvature of the price-yield relationship that duration alone misses. - [Skewness](https://themulden.com/metrics/skewness/): Asymmetry of a return distribution around its mean. - [Premium and discount to NAV](https://themulden.com/metrics/premium-discount-to-nav/): The gap between an ETF's market price and the value of its underlying holdings. - [CAPE](https://themulden.com/metrics/cape/): Price divided by the average of ten years of inflation-adjusted earnings. - [Monte Carlo simulation](https://themulden.com/metrics/monte-carlo/): Estimating a distribution of outcomes by simulating many return paths. - [Factor crowding](https://themulden.com/metrics/factor-crowding/): Compression of a documented premium once enough capital pursues it. - [Kelly criterion](https://themulden.com/metrics/kelly-criterion/): The position size that maximises the long-run growth rate of capital. - [Securities lending](https://themulden.com/metrics/securities-lending/): Fund revenue earned by lending portfolio holdings to short sellers against collateral. - [Effective number of holdings](https://themulden.com/metrics/effective-number-of-holdings/): How many equally weighted positions a fund behaves like, as opposed to how many it nominally holds. - [Sortino ratio](https://themulden.com/metrics/sortino-ratio/): Excess return per unit of downside deviation only. ## Funds covered in depth - [VOO](https://themulden.com/funds/voo/): 116 articles - [QQQM](https://themulden.com/funds/qqqm/): 62 articles - [SCHD](https://themulden.com/funds/schd/): 47 articles - [SGOV](https://themulden.com/funds/sgov/): 45 articles - [VXUS](https://themulden.com/funds/vxus/): 36 articles - [VTI](https://themulden.com/funds/vti/): 34 articles - [AVUV](https://themulden.com/funds/avuv/): 32 articles - [QQQ](https://themulden.com/funds/qqq/): 24 articles - [AMOM](https://themulden.com/funds/amom/): 22 articles - [BND](https://themulden.com/funds/bnd/): 19 articles - [TQQQ](https://themulden.com/funds/tqqq/): 18 articles - [QUAL](https://themulden.com/funds/qual/): 17 articles - [MTUM](https://themulden.com/funds/mtum/): 16 articles - [XLU](https://themulden.com/funds/xlu/): 16 articles - [SPY](https://themulden.com/funds/spy/): 15 articles - [GLD](https://themulden.com/funds/gld/): 13 articles - [QRFT](https://themulden.com/funds/qrft/): 13 articles - [AIEQ](https://themulden.com/funds/aieq/): 12 articles - [AGG](https://themulden.com/funds/agg/): 11 articles - [SSO](https://themulden.com/funds/sso/): 11 articles - [QLD](https://themulden.com/funds/qld/): 10 articles - [DBMF](https://themulden.com/funds/dbmf/): 9 articles - [VIG](https://themulden.com/funds/vig/): 9 articles - [DIVZ](https://themulden.com/funds/divz/): 9 articles - [IFRA](https://themulden.com/funds/ifra/): 9 articles - [SOXX](https://themulden.com/funds/soxx/): 8 articles - [SMH](https://themulden.com/funds/smh/): 8 articles - [VGT](https://themulden.com/funds/vgt/): 8 articles - [PAVE](https://themulden.com/funds/pave/): 8 articles ## Recent articles - [Sharpe, Sortino, or Calmar? Choosing the Right Risk-Adjusted Metric for Your Goal](https://themulden.com/posts/sharpe-sortino-or-calmar-choosing-right.md): The three ratios differ only in what they call "risk" in the denominator: Sharpe uses total volatility, Sortino uses downside volatility, Calmar uses... - [Factor Crowding and Alpha Decay: What Happens to a Premium After Everyone Reads the Paper](https://themulden.com/posts/factor-crowding-and-alpha-decay-what.md): Documented return predictors decay after they are published — roughly 58% lower post-publication than in the original sample, per McLean & Pontiff (2016) —... - [Duration and Convexity: What Bond-ETF Investors Get Wrong About Rate Sensitivity](https://themulden.com/posts/duration-and-convexity-what-bond-etf.md): Duration, not credit, is the dominant risk in high-quality bond ETFs — and TLT carries roughly three times BND's. Convexity is real but it is a second-order... - [Can Valuation Predict Returns? Using CAPE and Earnings Yield as a Long-Horizon Compass](https://themulden.com/posts/can-valuation-predict-returns-using.md): Valuation metrics like Shiller CAPE and earnings yield explain a meaningful slice of 10-to-15-year equity returns, but almost none of next year's — the... - [Why Median Wealth Trails Average Wealth: Skewness, Compounding, and Realistic Expectations](https://themulden.com/posts/why-median-wealth-trails-average-wealth.md): Average wealth sits well above median wealth because compounded returns are right-skewed — a handful of large outcomes pull the mean up while the typical... - [The Real Cost of Tail-Risk Hedging: Put Options vs Cash vs Trend Following](https://themulden.com/posts/the-real-cost-of-tail-risk-hedging-put.md): Protective puts pay off precisely when you need them, but the continuously rolled premium is a persistent drag — the academic estimate is a few percent per... - [The Low-Volatility Anomaly: Why Boring Stocks Keep Beating the Theory](https://themulden.com/posts/the-low-volatility-anomaly-why-boring.md): The low-volatility anomaly — lower-risk stocks earning competitive or better risk-adjusted returns — has survived decades of out-of-sample testing, but the... - [Absolute Momentum as a Risk Switch: What Time-Series Trend Following Does That Buy-and-Hold Can't](https://themulden.com/posts/absolute-momentum-as-risk-switch-what.md): Absolute (time-series) momentum uses an asset's own past return as a binary risk switch: hold when the trend is positive, step aside when it turns negative.... - [Fractional Kelly: A Disciplined Way to Size a High-Volatility Satellite Sleeve](https://themulden.com/posts/fractional-kelly-disciplined-way-to.md): Full Kelly maximizes long-run compound growth in theory, but it assumes you know your edge exactly — a condition that essentially never holds with a... - [Monte Carlo vs the 4% Rule: Simulating Retirement Withdrawals Instead of Assuming Them](https://themulden.com/posts/monte-carlo-vs-4-rule-simulating.md): The 4% rule is a single conclusion drawn from one country's worst historical sequence; Monte Carlo is a method that asks how often a plan survives across... - [Direct Indexing vs ETFs: When Owning the Stocks Beats Owning the Fund for Tax-Loss Harvesting](https://themulden.com/posts/direct-indexing-vs-etfs-when-owning.md): An ETF is a single tax lot from the holder's perspective: you can only harvest a loss when the whole fund is underwater. Direct indexing holds the... - [The Diversification Return: Why Rebalancing Can Add Yield Even When Nothing Outperforms](https://themulden.com/posts/the-diversification-return-why.md): A rebalanced portfolio can earn a higher compound (geometric) return than the weighted average of its parts — even if no single holding beats the others.... - [How Concentrated Is Your Index, Really? Measuring the Effective Number of Holdings](https://themulden.com/posts/how-concentrated-is-your-index-really.md): A fund's holding count is a headline number; the effective number of holdings — the count an equal-weighted portfolio would need to match the same... - [Securities Lending: The Quiet Revenue Stream Inside Your Index Fund — Benefit or Risk?](https://themulden.com/posts/securities-lending-quiet-revenue-stream.md): Most large index ETFs quietly lend out their holdings to short sellers and other borrowers, earning fee income that can partly or fully offset the headline... - [Premium and Discount to NAV: What It Means When an ETF's Price Drifts From Its Holdings](https://themulden.com/posts/premium-and-discount-to-nav-what-it.md): An ETF's market price and its net asset value (NAV) are two different numbers; the gap between them is the premium or discount, and it is a signal about... - [How ETFs Barely Pay Capital-Gains Tax: In-Kind Redemption and 'Heartbeat' Trades Explained](https://themulden.com/posts/how-etfs-barely-pay-capital-gains-tax.md): ETFs rarely distribute capital gains because they hand appreciated securities to authorized participants "in kind" rather than selling them for cash — a... - [The Hidden Cost of Turnover: How Rebalancing and Reconstitution Erode Factor-ETF Returns](https://themulden.com/posts/the-hidden-cost-of-turnover-how.md): Factor ETFs carry a cost the expense ratio never shows: the trading friction of periodic reconstitution and rebalancing, which is absorbed inside net asset... - [Covariance Shrinkage: Why Ledoit-Wolf Beats the Sample Matrix for Real Portfolios](https://themulden.com/posts/covariance-shrinkage-why-ledoit-wolf.md): The sample covariance matrix is an unbiased but noisy estimate; its worst errors sit in the extreme eigenvalues, which is exactly where a minimum-variance... - [Minimum Variance vs Maximum Diversification: Two Optimizers, Two Very Different Portfolios](https://themulden.com/posts/minimum-variance-vs-maximum.md): Minimum variance and maximum diversification start from the same covariance matrix but optimize different things — one minimizes portfolio volatility, the... - [Is Value 'Cheap'? Reading the Value Spread Instead of Guessing the Factor's Comeback](https://themulden.com/posts/is-value-cheap-reading-value-spread.md): A wide value spread tells you the price of the value trade, not its timing — it raises the odds without dating them. Over the last five years VTV and VUG... - [Momentum Crashes: The Rare, Violent Drawdowns Hiding Inside MTUM](https://themulden.com/posts/momentum-crashes-rare-violent-drawdowns.md): MTUM has compounded at 16.3% over ten years, but its risk is negatively skewed: the danger sits in rare, sharp reversals rather than in day-to-day... - [Correlation Regimes: Why Diversification Fails Exactly When You Need It Most](https://themulden.com/posts/correlation-regimes-why-diversification.md): Correlation is not a constant you can plug into a portfolio model — it is state-dependent, and it tends to rise toward one precisely during the sell-offs... - [Risk Parity From Scratch: Why Equal Risk Contribution Isn't the Same as Equal Dollars](https://themulden.com/posts/risk-parity-from-scratch-why-equal-risk.md): A 50/50 dollar split is not a 50/50 risk split — a volatile asset dominates a portfolio's variance long before it dominates its dollar weight. Equal risk... - [Volatility Targeting: How Scaling Exposure to a Risk Budget Changes Long-Term Outcomes](https://themulden.com/posts/volatility-targeting-how-scaling.md): Volatility targeting scales exposure inversely to expected volatility so the portfolio holds a roughly constant risk budget — it works because volatility is... - [VYMI vs IDV: International Dividend ETFs — Yield, Country Risk, and the Currency Drag](https://themulden.com/posts/vymi-vs-idv-international-dividend-etfs.md): IDV pays a materially higher distribution yield (5.5% vs 3.7%), but that gap did not translate into higher total return over five or ten years — VYMI edged... - [XLC vs VOX: The Communication-Services Sector — Where Big Tech Hides in Plain Sight](https://themulden.com/posts/xlc-vs-vox-communication-services.md): XLC and VOX both label themselves "communication services," but the sector is functionally a large-cap growth vehicle: Meta, Alphabet, and Netflix dominate... - [HEDJ vs Unhedged International: Should You Hedge Currency in Your Foreign ETFs?](https://themulden.com/posts/hedj-vs-unhedged-international-should.md): Currency hedging removes exchange-rate volatility from a foreign equity position — the realized data shows it lowered both total volatility and drawdown... - [AVDV vs AVUV: Does the Small-Cap Value Premium Travel Overseas?](https://themulden.com/posts/avdv-vs-avuv-does-small-cap-value.md): Over the trailing five years, AVDV (developed ex-US small-cap value) compounded at 14.3% with 17.4% volatility, while AVUV (US small-cap value) compounded... - [IEMG vs VWO: Two Emerging-Market Giants — The Index and Country-Weight Differences That Matter](https://themulden.com/posts/iemg-vs-vwo-two-emerging-market-giants.md): IEMG and VWO are near-twins in size and cost, but they track different index families — and the index provider decides which countries even count as... - [ITA vs XAR: Defense and Aerospace ETFs When Geopolitical Risk Is Rising](https://themulden.com/posts/ita-vs-xar-defense-and-aerospace-etfs.md): ITA and XAR own the same sector but weight it differently — ITA is capped market-cap and concentrated; XAR is modified equal-weight with a persistent size... - [XBI vs IBB: Equal-Weight vs Cap-Weight Biotech — Two Very Different Risk Profiles](https://themulden.com/posts/xbi-vs-ibb-equal-weight-vs-cap-weight.md): XBI weights biotech names roughly equally, tilting hard toward small- and mid-cap clinical-stage companies; IBB is cap-weighted and dominated by a handful... - [CIBR vs BUG vs HACK: Cybersecurity ETFs — Where the Holdings and Fees Diverge](https://themulden.com/posts/cibr-vs-bug-vs-hack-cybersecurity-etfs.md): All three funds sell the same story — pure-play cybersecurity exposure — but their five-year realized returns span a wide range (7.2% to 14.7% CAGR), and... - [URA vs URNM vs NLR: Uranium Miners vs Nuclear Utilities — Two Bets on the Same Thesis](https://themulden.com/posts/ura-vs-urnm-vs-nlr-uranium-miners-vs.md): URA and URNM express the uranium thesis through mining equity; NLR blends miners with nuclear utilities and fuel-cycle names, and that structural difference... - [ICLN vs TAN: Clean-Energy ETFs After the Boom-Bust — What Survived and Why](https://themulden.com/posts/icln-vs-tan-clean-energy-etfs-after.md): Over the trailing decade both funds compounded positively — ICLN at 9.8% and TAN at 11.1% annualized — but the last five years erased most of that story,... - [IJR vs IWM vs VB: Three Small-Cap Blend ETFs and Why Their Indexes Diverge](https://themulden.com/posts/ijr-vs-iwm-vs-vb-three-small-cap-blend.md): IJR, IWM, and VB are all called "small-cap blend," but they track three different indexes — S&P SmallCap 600, Russell 2000, and CRSP US Small Cap — and... - [VO vs IJH: The Overlooked Mid-Cap Allocation — Does It Add Anything to VOO?](https://themulden.com/posts/vo-vs-ijh-overlooked-mid-cap-allocation.md): VO and IJH both call themselves "mid-cap," but they track different indices with different rules — the S&P MidCap 400 (IJH) applies an earnings screen and... - [Target-Date Funds vs a DIY Three-Fund Portfolio: What the Convenience Actually Costs](https://themulden.com/posts/target-date-funds-vs-diy-three-fund.md): The headline fee gap between a Vanguard target-date fund and a self-built three-fund portfolio is roughly 0.04% a year — real, but far smaller than most... - [ARKK vs QQQ: Disruptive Innovation vs the Nasdaq-100 — What a Full Cycle Revealed](https://themulden.com/posts/arkk-vs-qqq-disruptive-innovation-vs.md): Over the trailing five years QQQ compounded at 15.6% annually while ARKK compounded at −8.1% — the two funds did not just diverge in degree, they diverged... - [DBC vs PDBC vs GSG: What a Broad Commodity ETF Actually Holds — and Why Roll Yield Matters](https://themulden.com/posts/dbc-vs-pdbc-vs-gsg-what-broad-commodity.md): All three hold futures, not physical barrels or bushels — so the return you receive is spot price movement plus (or minus) roll yield, and the roll term is... - [KWEB vs FXI vs MCHI: Three Very Different Ways to Own China](https://themulden.com/posts/kweb-vs-fxi-vs-mchi-three-very.md): These three funds share a "China" label but are not three flavors of the same trade: KWEB is an internet-sector fund, FXI is a state-heavy large-cap fund,... ## Optional - [RSS feed](https://themulden.com/rss.xml) - [Sitemap](https://themulden.com/sitemap-index.xml) - [Disclaimer](https://themulden.com/disclaimer/): educational analysis only, not personalised financial advice.