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How Do You Setup a Self-Directed IRA?

I currently have all my money in a Traditional IRA (after receiving money after my mom’s death) which is invested in various stocks, mutual funds, etc.. Its been losing money (35%) so far and I’d like to reallocate funds that I feel would do better.

How can I setup a self-directed IRA so I can rollover my money into it?
IRA = Individual Retirement Account

Set it up at a discount brokerage.

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