Given recent questions about money market funds, it seemed worthwhile to post a few links with comments.
Basic background on types of MMFs (from Vanguard):
Money market reform: What you need to know (2014)
https://personal.vanguard.com/pdf/VGMMR.pdf
Aside from institutional MMFs, there are government MMFs, prime MMFs, and muni MMFs. Government MMFs keep 99.5% of assets in federal government securities, cash, and repurchase agreements backed by federal securities. They are considered the safest (but see below), and are not required to impose redemption restrictions in times of stress. Prime MMFs are taxable MMFs that don't meet the 99.5% requirement (e.g. holding corporate paper). Muni MMFs hold (mostly) state, municipal, and territorial (e.g. Virgin Islands) paper.
Splitting hairs on government MMFs, the safest are pure Treasury funds. While the funds themselves are not guaranteed by the Treasury, the underlying securities are. Other government funds may hold agency securities that are not backed by the full faith and credit of the government. See, e.g. Northern Trust US Government MMF NOGXX.
Non-Treasury funds may also hold repurchase agreements. These not only introduce another (small) level of risk (see this Schwab paper) but are also not state tax-exempt. A few states (Calif., NY, Conn.) tax 100% of a MMF's income if too much of it comes from state-taxable paper like repurchase agreements.
Retail prime and muni MMFs must impose gates and/or redemption fees in times of stress. That's said to happen if a fund's percentage of "highly liquid" assets fall below certain thresholds. Except for muni MM funds, at least 10% of assets must be in cash, Treasuries, or securities that mature within one day. There's also a weekly threshold of 30% which applies to muni funds as well as to prime funds.
https://www.sec.gov/news/press/2010/2010-14.htm
Because of the possible restrictions on redemptions, I would keep some cash in a bank or government MMF. At least enough for a couple of weeks, which is about as long as redemptions can be held up (10 business days).
Aside from liquidity, there's the risk of breaking a buck. "[G]overnment and retail money market funds are allowed to try to keep their NAV at a stable $1.00 per share. These funds do this by using special pricing and valuation conventions when valuing the fund assets. ... If one of these money market fund’s NAV deviates by more than half a cent from $1.00, the fund would have to re-price its shares to something other than $1.00, which is known as “breaking the buck.” Therefore, if it deviates by more than half a cent below $1.00 (as one money market fund did in 2008 due to losses in the underlying investments), investors in the fund will likely lose money."
https://www.sec.gov/oiea/investor-alerts-bulletins/investor-alerts-mmf-investoralerthtm.html
Funds are now required to post their liquidity figures and their NAVs (out to four places) daily. So you can see how close they are coming to imposing redemption gates or breaking a buck. OJ asked about SWKXX. This is a good case study, and I suspect typical of muni MMFs these days. Its NAV has dropped in the past week from $1.0002 to $0.9987. While still comfortably about 99½¢, the speed of the drop invites close monitoring. On the other hand, its weekly liquidity has been quite stable.
One keeps hearing that "we're in uncharted territory." That's often an exaggeration, but in this case I believe apt. These are new disclosure and enforcement regulations. Combined with the precipitous drop in security prices, we are at a place we have not seen before.

I couldn't ever buy DSENX simply because I didn't really understand it. What I was able to see, and learned more about from all of you guys, is that it was leveraged, using derivatives. I am philosophically opposed to that sort of thing, anyhow. So, I put no money in it. This evening (still afternoon here,) I'm down one-fifth from the recent record-high in February. But that includes (as I always have done) wifey's 403b. It's a dividend-payer of the sort Old_Skeet has been recommending and buying. I guess we can't complain: a big chunk of that money was put into that account (VEIRX) by wifey's employer via the company match. I don't quite "get" why they do it this way, but they do: once per year in the Spring, there's a single, big dump of money into the 403b, but through the year, there is that "match," too, with every paycheck. That fund has fallen hard, -35%. It would seem to be a good time to BUY that fund, right now. Or wait. Because we will continue to go lower. Blame that pustule who is the Senate Majority Leader.

Hey, I'm taking the same hit on DSENX. Only had a couple of k there, so no big deal, but still down 1/3.
As I've mentioned elsewhere, about a year ago I went to roughly 95% cash, because I figured that at 80 it was time to quit playing. But I kept a vestigial amount, roughly 2k, in most of the accounts. So I can see the total carnage- almost everything is down by 1/3. I'm no genius either.

New filing for IOFIX concerning liquidity risk:
https://www.sec.gov/Archives/edgar/data/1355064/000158064220001282/alphacentric497s.htm

RiverPark just posted David's update, which should download if you click on it, and we had a few minutes to chat at the end of his lunch hour.

1. The fund is performing well. It's down 2.1% YTD. That compares to MINT at -4, Zeo at -10 and ultrashort bonds as a group at -3.8%.
   
2. By its nature, Short Term High Yield is generating investable income for him every day. The "ultra short" part means that he doesn't have to sell portfolio holdings so much as letting them mature and be redeemed, which happens regularly. About 40% of the portfolio, $270 million, will rollover into cash in the next 30 days.
   
3. He's buying. The nature of panics is that they favor folks with dry powder and a willingness to buy. He's picking up things that, under the right circumstances, are offering annualized returns of 7-50%.
   
4. He's willing to talk with you. Both he and Morty Schaja have offered to join us on a conference call if that's something that might be useful and generate enough interest among board members / readers to justify the effort.

Let me know what you think. In particular, let me know what topics you'd want to hear about if a call occurs. As a caveat, there are likely to be some topics where David & Co. would be unable to comment for legal reasons.
By way of disclosure: I own shares of RPHYX and last week bought additional shares - as I did with most of my holdings - but we have no other financial ties with Cohanzick or RiverPark.
For what that's worth,
David

https://www.sec.gov/Archives/edgar/data/836906/000168386320000717/f2615d1.htm
497 1 f2615d1.htm CAPITAL VALUE FUND MERGER
Vanguard Capital Value Fund
Supplement Dated March 23, 2020, to the Prospectus and Summary Prospectus Dated January 31, 2020
Reorganization of Vanguard Capital Value Fund into Vanguard Windsor™ Fund
The Board of Trustees of Vanguard Malvern Funds (the Trust) has approved an agreement and plan of reorganization (the Agreement) whereby Vanguard Capital Value Fund, a series of the Trust, would be reorganized with and into Vanguard Windsor Fund, a series of Vanguard Windsor Funds.
The reorganization will consolidate the assets of the Funds and allow Capital Value Fund shareholders to merge into a significantly larger fund with a similar investment objective, similar expenses, and the combined utilization of multiple investment advisors. We anticipate that the reorganization will eliminate duplicative expenses and spread fixed costs over a larger asset base of the combined fund.
The reorganization does not require shareholder approval and is expected to close on or about July 24, 2020. Prior to the closing, shareholders of the Capital Value Fund will be issued a combined Information Statement/Prospectus, which will describe the reorganization, provide a description of the Windsor Fund, and include a comparison of the Funds.
Under the Agreement and after the closing, shareholders of the Capital Value Fund will receive Investor Shares of the Windsor Fund in exchange for their Investor Shares of the Capital Value Fund, and the Capital Value Fund will cease operations. Following the reorganization, shareholders owning Investor Shares of the combined fund that meet the applicable eligibility requirements for AdmiralTM Shares of the combined fund may request a self-directed conversion to the lower-cost Admiral Shares at any time, and may be automatically converted to the lower-cost Admiral Shares upon Vanguard's review.
We anticipate that the reorganization will qualify as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
Closed to New Accounts
Effective immediately, the Capital Value Fund is closed to new accounts, and it will stop accepting purchase requests from existing accounts shortly before the reorganization is scheduled to occur...

It was my sense the Fed would be deploying new programs this time around. This report discusses some of them (still no direct stock market purchases as far as I can tell)....
The Federal Open Market Committee (FOMC) announced a series of steps this morning designed to support the flow of credit in the U.S. economy. The actions taken are breath-taking in their scope. Indeed, these steps surpass in breadth and depth the measures that the Fed created in the midst of the financial crisis a decade ago. If the Fed pulled out a monetary policy "bazooka" during that crisis, then the steps it announced this morning are the central bank equivalent of "going nuclear."
.....For starters, the committee announced this morning that it will be creating two facilities to support credit to large employers. The Primary Market Corporate Credit Facility (PMCCF) will support the issuance of investment grade corporate bonds, and the Secondary Market Corporate Credit Facility (SMCCF) is aimed at provide liquidity in the investment grade corporate bond market. This is the first time, of which we are aware, that the Fed has stepped in to provide direct support to the corporate bond market.
...the Fed created the Money Market Mutual Fund Liquidity Facility (MMLF) last week to support money market funds. The Fed has broadened the MMLF to include variable rate notes that are issued by municipalities. In addition, the Fed will also support municipal financing via its expansion of the Commercial Paper Funding Facility (CPFF) to include high-quality, tax-exempt commercial paper.
Most incredibly, the committee announced that it will soon be releasing details on the Main Street Business Lending Program that is intended to support lending to small-and-medium sized businesses. This program will support efforts that are underway by the Small Business Administration (SBA) to keep credit flowing to businesses that rely primarily on bank lending for financing.
https://fxstreet.com/analysis/the-fed-goes-nuclear-202003231542

This post has been edited to correct my description of the fund's implementation of its strategy. I should have gone directly to DoubleLine to begin with. My apologies for being lazy.
It is a value play, if I understand the methodology correctly. M* calls it a blend. Lipper calls it a value. Value has been hit pretty hard lately.
I don't really think of it as a quant fund. More of a sector rotation strategy. From their description:

Each month the index ranks 11 sectors based on a modified CAPE® ratio and 12-month price momentum factor. The index selects five US sectors with the lowest modified CAPE® ratio or undervalued based on the ratio. The sector with the least favorable 12-month price momentum is rejected and the Index is comprised of the remaining four sectors for the given month.

Their holdings as of February 29:

Communication Services 25.77%
Industrials 24.67%
Materials 24.87%
Technology 25.01%
Total 100.00%

I added to the position in my IRA on the 18th when Treasuries were going haywire. But I'm pretty much fully invested there now. I would add it to my taxable if I could. I really like reinvesting those monthly dividends.

For what it is worth I think the issue with IOFIX is they were forced to sell thinly traded bonds at any price to meet redemptions after they exhausted their line of credit ( I seem to remember $200 million??)
Since these bonds probably sell "by appointment" and I think by phone anybody they called knew they were in trouble and offered low ball prices seeing if they would bite. They had not choice
Once they sold at those low ball levels, there is a price and more of the portfolio gets "marked to market" and the NAV is automatically that much lower, even if the bonds in the fund are really worth much more.
With corporate bonds that mature, like in ZEOIX, the mangers will tell you just to hang on and bonds that mature will mature at par in a few months or so, raising the NAV by that much. I don't know the duration of IOFIX, but if the mortgages mature in 10 to 15 years it will be a long time before they hit "par". Many homeowners may also have enough equity to refinance but that would be a redemption at par and would just reduce the interest payment. but "raise" the NAV.

This from Bloomberg:

A crisis in credit markets deepened on Sunday as a cluster of funds that own mortgage bonds sought to sell billions in assets to meet investor redemptions, sparking pleas for government intervention.
The sales included at least $1.25 billion of securities being listed by the AlphaCentric Income Opportunities Fund on Sunday, according to people with knowledge of the sales. It sought buyers for a swath of bonds backed primarily by private-label mortgages as it sought to raise cash, said the people, who asked not to be identified discussing the private offerings. The fund plunged 17% on Friday, bringing its total decline for the week to 31%.
“The coronavirus has resulted in severe market dislocations and liquidity issues for most segments of the bond market,” AlphaCentric’s Jerry Szilagyi said in an emailed statement on Sunday. “The Fund is not immune to these dislocations” and “like many other funds, is moving expeditiously to address the unprecedented market conditions.”
The best way to obtain favorable prices is to offer a wider range of securities for bid, Szilagyi said. He declined to discuss the amount of securities the fund put up for sale.

https://bloomberg.com/news/articles/2020-03-23/mortgage-bond-sales-flood-market-amid-pleas-for-help-from-u-s

Thanks for the link, Sven. It looks like the break-even point for me is age 84-85 between drawing SS at age 66 and 70. I rather doubt that I will live older than 85 given my family history but my wife’s family tends to live longer. However, by starting SS sooner, we could avoid withdrawals from our IRAs and 401Ks indefinitely.

Thanks for sharing. The question becomes which to buy. By my evaluation prior to the shock DHEIX and SEMMX were low risk short term MBS funds but both have gotten hit. dheix is still "only"down 5.6% for year

I'm old enough to remember when NYC didn't pay the coupons on its bonds. (Of course, all the bond houses were sending out messages that NYC had to pay the bond holders before it paid the cops, fire fighters and garbage collectors. That may have been true legally, but it wasn't true either politically or practically.) This all happened in 1975.
For all you young'uns, what happened was that there was a moratorium on NYC payments, the coupon rate was reduced & it was eventually paid off. If history is your hobby, you can read about it at https://en.wikipedia.org/wiki/History_of_New_York_City_(1946%E2%80%931977)#Fiscal_crisis The hero who arranged all this was Felix Royatan.
So, bottom line, yes things can go wrong with munis.
And we should expect states, etc. to have reduced income from taxes as the virus decreases economic activity.
Finally, if you want to know how vulnerable your bond fund is to changes in interest rates, look for its DURATION. The duration is the average maturity of all the payments a bond will make (including its coupon payments). It's a bit less than the average maturity of the fund or bond. The magic about duration is that a change of X% in interest rates results in a change of (duration) times (X%) in the principal value of the bond - and in the opposite direction. So if interest rates rise by 0.5% and the fund has a duration of 5 years, then the principal value goes down by(5)(.5%) = 2.5%
That change is independent of credit risk - if the issuer of the bond becomes less credit worthy, then there will be a change caused by that too.

Charles,
I don't watch charts daily where I make my decisions. I do see prices daily because every night around 6:30-7 PM I see my total portfolio updates (Both Fidelity and Schwab allow you to aggregate all funds/accounts from several brokers.
Once a week write down my favorite funds for several categories which is around 30 funds. The rest of the time, I'm just watching and since investing is my passion for decades I read, watch, listen daily.
I may hold funds for weeks and months and sometimes years. Since 2000 I have my system of best risk/reward funds. It goes like this, identity best rusk/reward funds, select the top 3-5 funds and keep switching within this list. It's more complicated than that but that's the basics.
Example: I held PIMIX from 2010 to 2018, it did so well I couldn't find anything better.
Then, I retired and have enough, so now I mainly investing in bond funds and several times annually trade stock/ETF/CEF/whatever when I see a great trade.
Example: PCI is one of the best CEFs (managed by the PIMIX team and where Ivascyn has most of his money). I don't like CEFs volatility which can be much higher. Last Wed I traded it for around 30 minutes and made 5%, see (link) and the last post
When markets are unreasonable with a screaming value I may buy for short term to make a quick trade.
When I see that bonds+stocks don't make sense + very high VIX + panic I sell everything.
My main 4 goals are:
1) We need to make just 4.5% annually to cover LT costs+inflation for our portfolio to last for 4-5 decades.
2) I still want to make at least 6% annually with the lowest Standard Deviation (under 3) and without ever losing 3% from any last top and be positive annually. I no longer care to maximize performance but to keep our standard of living
3) Use mainly bonds OEFs with the flexibility to trade more often by using momentum and trends
4) May use sometimes faster trades of other funds(stocks,CEFs, gold and more).

Got it. So in this environment we must all be watching prices daily? I know that is a strategy and certainly works well for Junkster. I understand one reason ETFs started was in response to Black Monday 1987. Maybe some assets (and some types of funds ... IOFIX?) need to be traded daily. Junkster is a day trader. It is one approach to investing, which I suspect is not suitable for most of us. Our MFO screening tools only use monthly data. Of no use here. March's month ending data will (most likely) mark the end of the last bull market (the 5th since 1960) and the beginning of a new business cycle.

@MikeW,
As a subscriber to MFO Premium many of your questions can be found through the database collected and analyzed by our very own @Charles. The tools provide powerful insights to analyze mutual fund's performance and risk in terms of Ulcer Index, bear rating and other statistic parameters (Sharpe, Sortino and Martin ratios) over the lifespan of each mutual fund including the bear markets. For example, Vanguard Total Stock Market Index fund, VTSMX had a maximum drawdown of -50.9% during 2008. It took 52 months or 4.3 year to fully recover. The emerging market and developed market indeces have equally if not worse drawdown % and long recovery periods.
There are few bright spots in the mutual fund universe and they are posted here as the Great Owl funds. In order to qualify as Great Owl funds, the funds are analyzed monthly using the above metrics. For example, T. Rowe Price Capital Appreciation fund, PRCWX is an asset allocation fund with 70/30 stock/bond composition. In 2008, the maximum drawdown was -36.5% but the recovery period was 29 months while the annual return is higher by 1% higher from 2008 to Feb 2020. And there are a number of Great Owl funds where I can use to construct a solid portfolio. The subscription rate is $140/year and I am more than happy to pay 10X of that amount. Can you say the same for Morningstar?
Charles Lynn Bolin who writes for MFO's monthly commentary as well as Seeking Alpha, utilized the database of MFO Premium as the basis for his informative articles.

Hi @MikeW
The below chart start point is set in reference to the vote date for the "bail out" program.
SPY large cap, one year, Oct. 14, 2008 - Oct. 15, 2009
So, $100k on Oct. 14, 2008 has a value of $68,500 on March 6, 2009 (-31.5%) and finds a break even point about Aug. 1, 2009. One year out finds a +9.9% on Oct. 15, 2009. Course, the sell down began earlier than Oct. 14, 2008 and many SP500 type holdings had a lower negative, for a short period.
Aside from the commonly known "congressional bail out package" vote that passed Oct. 14, are 2 other support programs; being TARP and TALF. You may read more from this March 17 post. TARP and TALF are clickable links in the March 17 write. From recall, I believe the TALF program continued into April, 2010. These 3 "bailout programs were not solely aimed at the large banks; but towards companies on the edge of "no money" remaining; as in insurance companies that would not be able to support payouts to clients. This list would include life insurance policies and all of the annuities, etc.
Well, anyway. My 2 cents worth.
Take care,
Catch

Yep, in a real meltdown like 2008 and 2020, correlation goes much higher. CEFs actually lost a lot more. Funds with extra risk such as NHMAX+IOFIX lost more than similar funds.
In the above situation, treasuries do best. Remember Bogle 2 simple indexes SP500 + US Total bond index(which is not all treasuries but a good LT index)?

I admire your discipline and your system. Thanks, as ever, for the update. Your reporting gives me an easy-reference standard by which to gage my own progress, survival skills and bloodletting. ;) My biggest holding PRWCX (balanced) now is running neck-and-neck with my largest bond holding RPSIX, but that one holds 12% stocks. (Each about 29% of portfolio.) PRDSX small-caps and mid-caps are down -33.9% but it's less than 2% of portfolio. I lost my taste for the volatility of that sector way before this latest swoon. PRIDX international small-midcaps, -30.9%. Gotta keep my finger in the pie, worldwide, but that one is less than 5% of portf. Small consolation, but my big shift to bonds last year has helped--- though bonds are getting beaten-up, too. Interesting notes you mention about the influence of the shorts. Meanwhile, we're all taking it in the shorts, eh? PTIAX is really holding up well, though very much affected negatively on Friday last.

As of market close March 20th, according to the metrics of Old_Skeet's stock market barometer, the S&P 500 Index remains extremely oversold with a reading of 180+. This is on the high side of the barometer's scale. A higher barometer reading indicates there is more investment value in the Index over a lower reading. This past week, the weekly short volume average declined, a little, from 64% to 59% of the total volume for SPY. However, the VIX (which is a measure of volatility) went from a reading of 53 to 62. The stock Index's valuation lost ground during week moving from a reading of 2711 to 2305 for a decline of 15% and a decline of 32% off it's 52 week high. From a yield perspective, I'm finding that the US10YrT is now listed at 0.92% while at the beginning of the year it was listed at 1.92%. With the recent stock market swoon the S&P 500 Index is currently listed with a dividend yield of 2.53% while at the beginning of the year it was listed at 1.82%. As you can see there is a good yield advantage for the stock Index over the US Ten Year Treasury at this time. With this yield advantage, I'm favoring my equity income funds over my fixed income funds due to this yield spread and I feel equities have some good longterm upside potential more so than my fixed income funds. I also feel that the stock market is oversold and bonds are overbought but some bonds are now starting to become more attractive due to their selloff this past week. According to my advisor, and what they are seeing, the good stuff is getting sold to cover margin calls as those margined are short of cash. I would have thought most margin folks would have been gone by now.
I thought I'd include with this weeks blurb a link to Morningstar's Market Fair Value Graph. It reflects that stocks in general are at about a 28% discount. https://www.morningstar.com/market-fair-value
For the week, I was a buyer of equities at the 29% decline mark with also having bought earlier at the 8%, 13%, 19% & 27% decline marks. I most likely will continue to buy equities, at a slower pace though, as long as they remain in bear market territory; and, there is a fit for them within my asset allocation. However, my advisor/broker thinks I should limit my next two equity buys to the decline marks of 36% & 44% (if reached). In doing this would put my average equity buys at the 25% decline mark. For equities I'm still with buying in my equity income funds (IDIVX & INUTX) and in growth area in (KAUAX). In addition, the feeling is I should buy some on the income side of my portfolio since income has taken a beating of late. With this, I'm looking at real estate (FRINX) and muni's (FLAAX). In addition, I'm thinking of buying some more of CTFAX as it recently went from an equity allocation of 15% to 60% this past week. This asset move in of itself (by CTFAX) increased my overall equity exposure by better than 1% and reduced my income exposure by a like amount. My three best performing funds were PCOXX & TTOXX +0.01% ... IDIVX -0.99% ... and TSIAX -5.35%.
With equities taking the beating that they have in this downdraft (and to play the eventual rebound) I am temporairly moving to a 15% cash, 40% income and 45% equity allocation. This will be done in steps, of course, and based upon stock market movement.
In compairing myself against a 50/50 portfolio split between SPY (down -32.5%) & AGG (down
-7.75%) puts the model portfolio off it's 52 week high by about 20% which is in line with some of my asset allocation funds and where I bubble as well. However, the 50/50 model has a yield of 2.25% while I'm at a yield of 3.75%. Now being retired, I'm invested more towards income generation more so than capital appreciation although that is important, to me, to offset inflation.
My late father's asset allocation was 25% cash, 25% bonds, 25% stocks and 25% real estate. He felt that they would cycle at different times and while one might be falling another would most likely would be rising. But, that was way back then when you could make something off your cash. This asset allocation model would be off its 52 week high by about 16.6% with bonds and cash acting as stabelizers.
Thanks for stopping by and reading.
Take care ... and, I wish all ... "Good Investing."
Old_Skeet