I've got to write faster - the post below echos some of hank's and bee's thoughts. Nevertheless, I hope it adds some value.
circa33 is correct in so far as buying stock from another owner does not directly affect a company's coffers. But it affects a company in other ways.
While "small potatoes" like you and me can't move a company, large investors buying stock can. This is why it's worth paying attention to how your mutual fund companies vote their proxies. You're buying stock not only as an individual but as part of a group of fund shareholders.
In theory, if enough people sell a stock in unison, its price will be depressed. A company will have a harder time raising more cash with secondary offerings. Lenders may scrutinize a company's business prospects more closely, making it harder for a company to borrow cash.
Realistically though, it's very hard to move stock prices this way and the direct economic impact on companies is likely small. The larger impact is on reputation and good will.
Here's a New Yorker column somewhat supporting circa33's viewpoint, that "There is an important difference between divestment and product boycotts. "
https://www.newyorker.com/business/currency/does-divestment-work
One of the best case studies for how effective divestment may be the movement targeting apartheid South Africa in the 70s and 80s. To what extent direct economic pressure had an effect isn't clear. The indirect effect, of creating political action is indisputable.
Here's one column concluding that "but the actions of U.S. investors gave the [anti-apartheid] movement both visibility and legitimacy and had a decisive economic impact."
http://articles.chicagotribune.com/2013-12-15/business/ct-biz-1215-outside-opinion-20131215_1_sullivan-principles-south-africa-outside-opinion

@Crash, I'm sure you aren't aware that @circa33 has been an MFO member since 2011. I enjoyed your write up. I hope circa33 overlooks your final comment.
I believe "moral hazard" comes to mind with the big bank bailouts...maybe appropriate when it comes to the manufacturing of weapons.
Good read on examples of moral hazard in business:
https://investopedia.com/ask/answers/040815/what-are-some-examples-moral-hazard-business-world.asp

Nevermind, I just found the expenses etc. I just threw up in my mouth. It makes AQR funds and PCI/PDI look like a bargain.
LENDX
Annual Fund Operating Expenses
(as a percentage of net assets attributable to the Shares)
Management Fees ............................................................... 1.50%
Interest Payments on Borrowed Funds(1) ............................................. 1.07%
Service Fees ................................................................... 0.10%
Other Expenses(2)
Loan Servicing Fees ......................................................... 0.82%
All Other Expenses .......................................................... 0.95%
Total Other Expenses ............................................................ 1.77%
Acquired Fund Fees and Expenses .................................................. 0.01%
Total Annual Fund Operating Expenses .............................................. 4.45%
(Fee Waiver and/or Expense Reimbursement)/Recoupment(3) ............................. (0.27)%
Total Annual Fund Operating Expenses After (Fee Waiver/Expense Reimbursement)/
Recoupment ................................................................... 4.18%

Hi @Mark,
Actually my annual payout including dividends, interest and capital gains distributions has averaged since I have owned the fund 12.9% based upon my cost basis. My total return per share has an averaged annual return of 15.4%. In addition, I am finding that the pent up unrealized capital gains within the fund are just under 20%. So if you buy now you'll be buying your distribution, so-to-speak.
That's one of the reasons I have been building cash for the past couple years. Stock are currently richly priced by my standards. And, if you pay too much your returns will be thin. That's one of the reasons I like to buy the downdrafts. While the weak investors are selling I'm putting my buying britches on as I did when I purchased this fund.
Thus far my buying strategy has worked well for me.

Quotes from Article:
index-investor-corner

We live in a world where there are no accurate crystal balls. Thus, the prudent investment strategy is to build a globally diversified portfolio. But that’s simply (not) the necessary condition for success. The sufficient condition is to possess the discipline to stay the course, ignoring not only clarion cries from those who think their crystal balls are reliable, but also cries from your own stomach to GET ME OUT! As Warren Buffett explained, “The most important quality for an investor is temperament, not intellect.”

VT (Vanguard Total World Index Fund) seems to fit the bill for Large Cap exposure.
-2% yield, 7,895 holdings. 51% US / 46% non-US
Any thoughts on global small cap exposure?
I hold MWEFX and small cap is SCHC.

SPY and LPEFX about a draw even for past six years for "total return".
http://stockcharts.com/freecharts/perf.php?LPEFX,SPY&n=1509&O=011000

Hi @Mark,
Apparently you are not a yield seeker?
One of the things that attracted me to LPEFX is its ability to generate income along with some capital appreciation. With this, it is part of my well diverisfied income generating portfolio. Through the past six years that I have owned LPEFX my average annual return has been better than 15%. So with a current yield of about 9% it, for me, has been better than most income funds. Now what is the yield on the S&P 500 Index? I finding it currently to be back of 2%. Hey, that is a pretty big dividend to yield spread of 1.7% vs. 8.9%. Compared to S&P 500 Index through my years of ownership I probally gave up some total return capacity but gained much more income over what I otherwise would have over holding the 500 Index. Don't get me wrong ... from time-to-time ... I've owned the Index too.
Form my perspective it has been worth it because of its ability to generate income. For others, like yourself, it might not have been.

I didn't address your comment about the problems in valuing illiquid securities because I felt that while that was related, it did not directly address the matter of degrees of liquidity, and disclosure thereof.
Also, I didn't want to go down that path, otherwise I'd have started writing about why I will never invest in Heartland funds. Mispricing, including fraudulent mispricing has been going on for decades, see, e.g.
https://www.plansponsor.com/sec-charges-firm-mispriced-two-junk-bond-funds/
Likewise, while the SEC may be (almost surely is) interested in full liquidation costs and risks, that isn't the focus of the rule or what is being opened for reconsideration.
Would investors in TFCIX really have cared whether some of the securities might have taken seven days instead of three days to convert to cash (i.e. which of the three buckets for liquid holdings the securities fell into)? Or rather would they have cared how much of the fund was hard to sell at a reasonable price (illiquid)? Because that info was already disclosed (one can argue that it should have been more accessible, though).

The fund disclosed, for example, that its so-called Level 3 assets, or securities that are hard to value and trade, were 20% of assets at the end of July [2015]. That was higher than at any other US junk bond fund with at least $500 million in assets, according to a Reuters analysis of fund disclosures. And the fund had 76% of its portfolio exposed to very low-rated "CCC+" rated securities and below, compared with a median level of 22% among similar junk funds, according to analysts at Citigroup

http://www.businessinsider.com/r-hidden-in-plain-sight-big-risks-at-failed-third-avenue-fund-were-clear-to-some-2015-12
Contrast that with Schwab's Yield Plus fund.

It may be debatable whether Schwab lied to investors about the fund [Schwab had marketed the fund as a MMF alternative]. But it is clear that it misled them about a crucial aspect of the fund’s investments. ...
The S.E.C. states that in mid-2007, only 6 percent of the fund’s assets matured within six months. ... That maturity risk would have been obvious to anyone who understands bonds. ... But ... the 2007 annual report ... said that on Aug. 31 of that year, more than 60 percent of the fund’s assets had maturities of six months or less. [And the report's glossary defined maturity] to mean just what it really means: “The date a debt security is scheduled to be ‘retired’ and its principal returned to the bondholder.”
[However, at the top of the list of fund assets, it said that for adjustable rate securities, maturity meant] “the next interest rate change date.”

http://www.nytimes.com/2011/01/14/business/14norris.html
For whatever reasons, most investors don't make use of information already available. It's partly due to accessibility, and partly because people simply choose to ignore what they do have access to. (Keep in mind that the SEC created stripped down summary prospectuses because people weren't reading the information that was already placed in their hands, literally.)
Making information about illiquid holdings easier to find would be great. Slicing and dicing degrees of liquidity (0-3 days, 3-7 days, 7 days but later settlement) not so much. Especially if that fine granularity is created using such subjective (and undisclosed) factors as to render it meaningless.

Quotes from Article:
index-investor-corner

We live in a world where there are no accurate crystal balls. Thus, the prudent investment strategy is to build a globally diversified portfolio. But that’s simply (not) the necessary condition for success. The sufficient condition is to possess the discipline to stay the course, ignoring not only clarion cries from those who think their crystal balls are reliable, but also cries from your own stomach to GET ME OUT! As Warren Buffett explained, “The most important quality for an investor is temperament, not intellect.”

VT (Vanguard Total World Index Fund) seems to fit the bill for Large Cap exposure.
-2% yield, 7,895 holdings. 51% US / 46% non-US
Any thoughts on global small cap exposure?

Given the returns over the last 10 years by the S&P 500 index and the World Small/Mid Stock index why would you even bother. But hey, it's not my money.

Once one opens the floodgates to allowing two funds to treat the same securities differently, it seems that metrics fly out the window, and fudging (analogous to window dressing) becomes the norm.

My point is that is already happening with regard to the valuation of illiquid securities that trade by appointment, yet I still think it is a valuable exercise:
https://wsj.com/articles/mutual-funds-mark-down-uber-investments-by-up-to-15-1503443267
Regarding the SEC's interest, I do think they are concerned or were concerned before the recent shift in the agency's makeup about the selling of an entire position, not just the usual trading around the edges funds do on a day to day basis. Yes, funds will differ on how they estimate this liquidity, but having a window into their process for evaluating liquidity is useful info investors have a right to know in my opinion even when there are differences in interpretation. I think investors in Third Avenue Focused Credit would've benefited from knowing how illiquid that portfolio was from the beginning. I also understand that liquidity shifts over time. A large cap stock that becomes distressed and now a microcap will not be as liquid as it once was, but that change of liquidity should be evaluated, recorded and disclosed too on a periodic basis.
I also would add just because the SEC changed the final rule to accommodate larger funds--after I'm sure heavy pressure and lobbying from the fund industry--doesn't mean the final rule is in the best interests of fund shareholders as opposed to fund companies. The fact is, smaller funds have a liquidity advantage over larger ones and that advantage should be disclosed to shareholders. In fact, I would say the reason Mutual Fund Observer exists is in part because of that small undiscovered fund advantage.

Different funds have different amounts of the same security. A tiny fund investing in a microcap stock could have ample liquidity to trade it while a behemoth fund owning more than 5% of its outstanding shares won't be able to get out of the position without having significant market impact costs and liquidity problems.

If 'twere only like that.
Liquidity of a stock is progressive, much as income taxes are progressive. Rich man, poor man, the first $10K of income gets taxed at the same rate. The next $10K gets taxed at a higher rate, but the for both earners, and so on. Same for selling stocks. Big fund, little fund, the first 10K shares put on the auction block have the same liquidity, the next 10K shares are less liquid but the same for all sellers, and so on.
Simply averaging the liquidity of all shares held by a fund doesn't reflect reality. First of all, funds never need to sell all shares, unless they are shutting down. In that case, they can petition the SEC, as TFCIX did, to halt redemptions and liquidate their securities without holding a fire sale.
Secondly, even the Obama SEC recognized that: "evaluating “days-to-cash” was inherently biased against large funds" (p. 346 of Final Rule). So the SEC rule already allowed funds to consider liquidity impact "in sizes that the fund reasonably anticipates trading". Not full liquidation, and not under stress conditions.
Funds are loathe to disclose what they own, let alone what they are trading, not to mention what they anticipate trading. They don't plan on trading positions pro rata (same percentage of each holding to raise cash). They're not going to disclose their trading strategies to the SEC, not to mention the public at large (unless required by regulation - so far I haven't found anything compelling this level of disclosure, but I haven't read the rule in depth yet).
Yet by not disclosing this information, it would be easy for funds to claim higher liquidity than actually the case. They could pretend to have (hypothesize) a plan to sell more of their highly liquid assets and sell less of their illiquid securities. Unverifiable.
Then there's the matter of market conditions. You wrote about stress test data that funds have. But what the SEC wants is liquidity classification of securities under current market conditions. That's something different (and also gets us back to how lines of credit should be evaluated).
Once one opens the floodgates to allowing two funds to treat the same securities differently, it seems that metrics fly out the window, and fudging (analogous to window dressing) becomes the norm. Contrast that with the relatively simple partitioning of securities into liquid or illiquid in order to satisfy the existing 15% cap on buying illiquid securities.
Getting one's head wrapped around two funds being able to say that the same security has different degrees of liquidity means understanding not only how they could possibly put the security into two different buckets, but the consequences of that. Are the results meaningful? If fund X classifies security 1 as moderately liquid, and fund Y classifies security 2 as moderately liquid, are these securities really similar, when we don't know quite how the funds evaluate "current market conditions", or how flexible they are in altering their trading plans?

FYI: America is in the grips of a speculative frenzy. Investment bankers, private investment firms, and even a few dozen recently graduated MBAs labelling themselves “searchers” are calling, emailing, wining, and dining small business owners. Their goal is to translate prosaic small businesses into the poetry of private equity.
The great postcrisis private equity gold rush is on, fueled by cheap debt and enthusiastic investors. A lawn care chain might get half a dozen calls and emails a week from business brokers and “searchers.” A regional bank auctioning off a business with $15 million in profits might pitch two hundred prospects, receive fifty letters of intent, and take twelve separate private equity firms to management meetings, ending in a sale price which the majority of bidders considers crazy. And the greatest prize of all—a software company—could sell for many multiples of revenue, regardless of profitability.
Regards,
Ted
https://americanaffairsjournal.org/2018/02/private-equity-overvalued-overrated/

...after all that why not just own VTMFX:

Precisely bee!!! VTMFX or any other well managed balanced fund will out perform 95% of these magical alternative funds over a cycle.

Maybe @PBKCM would give us some insight on what might change the graph in their favor? The last 10 years have been a lot of good equity returns and most of the time has seen lower interest rates as well, but it wouldn't be a big surprise if there are situations where a balanced fund wouldn't have the options available to it that an alt fund would and that could change the relative performance. I'd just wonder what those situations are and how likely they are? After all, many balanced funds can and have moved to shorter durations to reduce interest rate risk and I'd presume most of them could even hold cash if they wanted.

...after all that why not just own VTMFX:

Precisely bee!!! VTMFX or any other well managed balanced fund will out perform 95% of these magical alternative funds over a cycle.

QSPRX and QRPIX available through USAA Marketplace. $100k minimum for QSPRX and $5M for QRPIX. Too rich for my wallet.
Screening for Multi-alternatives, I came up with these other choices:
Screened for category:
-low minimum
-high Alpha
-low beta
-High Sharpe ratio
-High 3 & 5 yr return

KCMTX seems a bit different than the other three listed here:

...after all that, why not just own VTMFX:

End of Day for S&P 500 sectors:

From a performance standpoint, HJPSX deserves to be on top of the Japan Fund podium.

MCDFX is also chicken dinner vs MCHI:

@MSF

I'm still trying to get my head wrapped around the concept that the same security could be classified differently with respect to liquidity by two funds, even managed by the same company

Two things to consider:
1. Different funds have different amounts of the same security. A tiny fund investing in a microcap stock could have ample liquidity to trade it while a behemoth fund owning more than 5% of its outstanding shares won't be able to get out of the position without having significant market impact costs and liquidity problems. While there are differences fund families measure these differences internally.They should be able to come up with an estimate of what the liquidity of an individual portfolio is because they often stress test the portfolio and to actually manage it need to know how liquid everything is.
2. The more illiquid assets don't trade like stocks on an exchange and are often over the counter or by "appointment only." So a bond fund from one company that is well connected with bond dealers may have more liquidity for the same bond than another fund that owns it. Again, part of the compliance and internal risk control of any reasonably managed fund company would be to know very well what the available sources of liquidity are.
Yes, there will be different measurements for liquidity for different funds if the rule took affect. But so what as there are also different measures of fair value for illiquid securities at different funds. I say let fund companies make a good faith effort to disclose liquidity and let investors and professional fund analysts at Morningstar etc. evaluate that disclosure. Having differences might lead to more transparency and risk understanding than an ignorant consensus on liquidity would. If one fund is overestimating the liquidity for the same securities that other funds own, analysts can point that out and say they are understating their own liquidity risks.