Find candidate funds NOT in the DB: exhaustive EDGAR 497-universe pass
fundlab/edgar_universe.py - the 'search' for funds we don't have:
1. SEC full-index (Archives/edgar/full-index/YYYY/QTRn/company.gz)
lists every filing; CIKs that filed a base 497/497K in the past 4
quarters = every currently-active US open-end fund (1,668).
2. one small fetch per CIK: the full-submission .txt carries the
line-based SGML prospectus cover (<SERIES-NAME> ... unclosed
<CLASS-CONTRACT-TICKER-SYMBOL> tags) - fund name + every class
ticker, often several funds per filing.
3. alpha-leaning name filter (expanded dbmine PATTERN: +relative
value, risk allocation, dynamic global, real return, hedged),
drop local-DB + shortlist tickers,
4. Yahoo chart verify: instrumentType MUTUALFUND (OTC open-end;
exchange name is useless - OTC funds report 'Nasdaq'),
>=5y daily history,
5. share-class dedupe (longest history), goget download, same
screen_fund engine.
Resumable (per-CIK covers cache), 4-thread, Range-free small files.
First pass results (46 funds screened, 5 NEW candidates):
egrix/ecgmx Eaton Vance Global Macro Absolute Return: R2 0.07,
+7.9%/+4.8% 5y alpha, t 4.9/4.6, corr-port 0.22 - pure macro idio
dmszx Destinations Multi-Strategy Alternatives: R2 0.57, +3.3%, t3.5
cbhax Victory Market Neutral Income: R2 0.07, +4.6%, t2.9, corr 0.11
pdinx Putnam Diversified Income: semi-alpha (full t5.8, 62% 6m+)
(+ wmnux/gioax = 2nd share classes of already-known candidates)
vmnix Vanguard MN: alpha but corr 0.35 (portfolio already 50% MN)
app Fund Lab alpha table now also reads search_external.json.
tests: parse_cover unit tests (unclosed-tag SGML, ticker series
attach, malformed rejected). 65/65 fundlab, 32/32 app.
This commit is contained in:
parent
afec7bda73
commit
592d12958f
1
.gitignore
vendored
1
.gitignore
vendored
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@ -5,3 +5,4 @@ __pycache__/
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settings.json
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funds.json
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fundlab/nport_cache/*.html
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fundlab/universe_cache/
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3
app.py
3
app.py
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@ -618,7 +618,8 @@ with tab_fundlab:
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# --- alpha search: all screened funds (shortlist + longlist + harvest)
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with st.expander("Alpha search — all screened funds, ranked"):
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_all_rows: list[dict] = []
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for _src in ("search_results.json", "search_mined.json"):
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for _src in ("search_results.json", "search_mined.json",
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"search_external.json"):
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try:
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_j = json.loads((_dc.RESULTS.parent / _src).read_text())
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except Exception:
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@ -29,7 +29,8 @@ PATTERN = re.compile(
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r"income|core|allocation)|alternatives fund|absolute return|"
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r"risk premia|multi.?asset (income|absolute|ult|balanced)|"
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r"tactical allocation|trends fund|market trend|opportunistic (equity|long)|"
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r"multi.?manager|diversified (alternatives|income))", re.I)
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r"multi.?manager|diversified (alternatives|income)|relative value|"
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r"risk allocation|dynamic global|real return|hedge?d (allocation|strateg))", re.I)
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# skip anything that is really an ETF wrapper or index
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SKIP = re.compile(
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227
fundlab/edgar_universe.py
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227
fundlab/edgar_universe.py
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@ -0,0 +1,227 @@
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"""Find candidate funds NOT in the local database - exhaustive pass over
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the SEC's full filing index.
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Source: the EDGAR full-index (https://www.sec.gov/Archives/edgar/
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full-index/YYYY/QTRn/company.gz) lists every filing. Unique CIKs that
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filed a 497-family form in the quarter = currently registered US
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open-end funds (1,732 in 2026 Q2). One fetch per CIK - the full
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submission .txt (~10-30KB) contains the SGML prospectus cover with
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<SERIES-NAME> (fund name) and <CLASS-CONTRACT-TICKER-SYMBOL> (ticker)
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tags, often several series per filing.
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Pass:
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1. full-index -> latest 497 filing per CIK
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2. fetch the .txt (small), extract series names + tickers from the
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SGML cover
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3. keep alpha-leaning series, drop local-DB and shortlist tickers
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4. verify on Yahoo chart metadata (OTC fund class), require >=5y
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history, goget-download, screen with the same engine.
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Politeness: 0.15s between requests; resumable (per-CIK cache).
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"""
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from __future__ import annotations
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import gzip
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import json
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import re
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import subprocess
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import time
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import urllib.request
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from concurrent.futures import as_completed
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from pathlib import Path
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from fundlab import edgar, search
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from fundlab.dbmine import PATTERN as ALPHA_KW, SKIP
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# A fund files its base 497 (and 497K) about once a year, in whatever
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# quarter its re-filing lands - so the FULL universe is the union over
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# ~4 consecutive quarters.
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QUARTERS = [("2026", "2"), ("2026", "1"), ("2025", "4"), ("2025", "3")]
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def _index_url(year: str, qtr: str) -> str:
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return (f"https://www.sec.gov/Archives/edgar/full-index/{year}"
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f"/QTR{qtr}/company.gz")
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# index paths are relative to /Archives/ (edgar/data/<cik>/<acc>.txt)
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ARCH = "https://www.sec.gov/Archives/"
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CACHE = Path(__file__).parent / "universe_cache"
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COVERS = CACHE / "covers.json"
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RESULTS = Path(__file__).parent / "search_external.json"
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DATA = Path.home() / "prog/fin/stocks"
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GOGET = Path.home() / "go/bin/goget"
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UA = {"User-Agent": "research test@example.com"}
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# The prospectus cover is line-based SGML with UNCLOSED tags:
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# <SERIES-NAME>1290 GAMCO Small/Mid Cap Value Fund
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# <CLASS-CONTRACT-TICKER-SYMBOL>TNVAX
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# so parse line by line, not with closed-tag regexes.
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def fetch_index(quarters: list[tuple[str, str]] = QUARTERS) -> dict:
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"""cik -> path of its LATEST 497/497K filing's .txt across quarters."""
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rx = re.compile(r"^(.*?)\s+(497\w*)\s+(\d+)\s+(\d{4}-\d{2}-\d{2})\s+"
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r"(edgar/data/\d+/[0-9\-]+)\.txt\s*$")
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best: dict[str, tuple[tuple, str]] = {}
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for year, qtr in quarters:
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req = urllib.request.Request(_index_url(year, qtr), headers=UA)
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text = gzip.decompress(urllib.request.urlopen(req, timeout=120)
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.read()).decode("utf-8", "ignore")
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for line in text.splitlines():
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m = rx.match(line)
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if not m:
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continue
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_name, form, cik, date, path = m.groups()
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if form not in ("497", "497K"): # base/annual carry tickers
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continue
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key = (year, qtr, date)
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if cik not in best or key > best[cik][0]:
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best[cik] = (key, path)
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return {c: p + ".txt" for c, (_k, p) in best.items()}
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def parse_cover(text: str) -> list[dict]:
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"""Line-based SGML cover -> [{name, tickers[]}].
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The 497 cover uses UNCLOSED tags, one per line:
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<SERIES-NAME>1290 Multi-Alternative Strategies Fund
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<CLASS-CONTRACT-TICKER-SYMBOL>TNMAX
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Each ticker attaches to the most recent <SERIES-NAME>.
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"""
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series: list[dict] = []
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cur: dict | None = None
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for line in text.splitlines():
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if line.startswith("<SERIES-NAME>"):
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cur = {"name": line[len("<SERIES-NAME>"):].strip(),
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"tickers": []}
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series.append(cur)
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elif line.startswith("<CLASS-CONTRACT-TICKER-SYMBOL>") \
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and cur is not None:
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t = line[len("<CLASS-CONTRACT-TICKER-SYMBOL>"):]
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t = t.split("<")[0].strip()
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if re.fullmatch(r"[A-Z][A-Z0-9]{3,8}", t):
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cur["tickers"].append(t)
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return series
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def _fetch_one(cik: str, path: str) -> tuple[str, dict]:
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url = ARCH + path
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try:
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req = urllib.request.Request(url, headers=UA)
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raw = urllib.request.urlopen(req, timeout=90).read()
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text = raw.decode("utf-8", "ignore")
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return cik, {"series": parse_cover(text)}
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except Exception as e:
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return cik, {"error": str(e)}
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def fetch_covers(max_ciks: int | None = None,
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workers: int = 4) -> dict:
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from concurrent.futures import ThreadPoolExecutor
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ciks = fetch_index()
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if max_ciks:
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ciks = dict(list(ciks.items())[:max_ciks])
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CACHE.mkdir(exist_ok=True)
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cache = (json.loads(COVERS.read_text()) if COVERS.exists() else {})
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todo = sorted(c for c, p in ciks.items()
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if c not in cache or "error" in cache.get(c, {}))
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print(f"{len(ciks)} registered funds, {len(todo)} covers to fetch",
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flush=True)
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done = 0
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with ThreadPoolExecutor(max_workers=workers) as ex:
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futs = {ex.submit(_fetch_one, c, ciks[c]): c for c in todo}
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for fut in as_completed(futs):
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cik, res = fut.result()
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cache[cik] = res
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done += 1
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if done % 100 == 0:
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COVERS.write_text(json.dumps(cache))
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print(f" {done}/{len(todo)} covers", flush=True)
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COVERS.write_text(json.dumps(cache))
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n_err = sum(1 for v in cache.values() if "error" in v)
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print(f"covers done: {len(cache)} ({n_err} errors)", flush=True)
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return cache
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def run(max_ciks: int | None = None) -> dict:
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covers = fetch_covers(max_ciks)
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# candidate (name, ticker) pairs, alpha-leaning, not already known
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local = {p.name[:-5].lower() for p in DATA.glob("*.json")}
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shortlist = set(json.loads(
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(Path(__file__).parent.parent / "funds.json").read_text()))
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known = local | shortlist
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cands: dict[str, str] = {}
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for v in covers.values():
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for s in v.get("series", []):
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name = s.get("name", "")
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if not name or ALPHA_KW.search(name) is None:
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continue
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if SKIP.search(name):
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continue
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for t in s.get("tickers", []):
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if t.lower() not in known:
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cands.setdefault(t, name)
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print(f"{len(cands)} alpha-leaning tickers not in local DB", flush=True)
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# Yahoo verify: OTC fund class + >=5y history
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verified = []
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for t, name in sorted(cands.items()):
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meta = search.chart_meta(t)
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if not meta:
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continue
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# keep OTC open-end fund classes; drop exchange-listed ETFs
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# (Yahoo shows OTC funds as exchange "Nasdaq" - instrumentType
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# is the real discriminator)
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if (meta.get("instrumentType") or "").upper() not in ("MUTUALFUND", ""):
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continue
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n = 0
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try:
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req = urllib.request.Request(
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f"https://query1.finance.yahoo.com/v8/finance/chart/"
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f"{t}?range=20y&interval=1d", headers=search.UA)
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d = json.load(urllib.request.urlopen(req, timeout=30))
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res = (d.get("chart") or {}).get("result")
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n = len(res[0].get("timestamp", [])) if res else 0
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except Exception:
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pass
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if n >= 1250:
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verified.append({"ticker": t, "name": name, "days": n})
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time.sleep(0.15)
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print(f"{len(verified)} with >=5y daily history", flush=True)
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# one class per fund (share classes share the series name): keep the
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# longest-history class
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by_name: dict[str, dict] = {}
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for v in verified:
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cur = by_name.get(v["name"])
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if cur is None or v["days"] > cur["days"]:
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by_name[v["name"]] = v
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verified = list(by_name.values())
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print(f"{len(verified)} after share-class dedupe", flush=True)
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missing = [v["ticker"].lower() for v in verified
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if not (DATA / f"{v['ticker'].lower()}-history.csv").exists()]
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if missing and GOGET.exists():
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print(f"goget downloading {len(missing)} symbols...", flush=True)
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subprocess.run([str(GOGET), *missing], cwd=DATA,
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capture_output=True, timeout=3600)
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results = {}
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for v in verified:
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sym = v["ticker"].lower()
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if not (DATA / f"{sym}-history.csv").exists():
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results[sym] = {"sym": sym, "name": v["name"],
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"error": "no history after download"}
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continue
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row = search.screen_fund(sym, v["name"], "external")
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results[sym] = row
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print(f"{sym:7} {v['name'][:44]:44} "
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f"{row.get('verdict', row.get('error'))[:40]}", flush=True)
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RESULTS.write_text(json.dumps(results, indent=1, default=str))
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print(f"wrote {RESULTS}")
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return results
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if __name__ == "__main__":
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import sys
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run(max_ciks=int(sys.argv[1]) if len(sys.argv) > 1 else None)
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784
fundlab/search_external.json
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784
fundlab/search_external.json
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{
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"abrcx": {
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"sym": "abrcx",
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"name": "INVESCO BALANCED-RISK ALLOCATION FUND",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": -0.02431079155580088,
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"alpha_t_5y": -1.1380135810071292,
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"alpha_t_full": -0.10075378460712034,
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"r2_5y": 0.6866538793533667,
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"r2_full": 0.5702527229743425,
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"corr_portfolio": 0.2971053326694507,
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"corr_benchmark": 0.4914378774853647,
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"alpha_pos_frac": 0.5024875621890548,
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"fund_max_dd": -0.2648698714930865,
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"first": "2009-06-04",
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"verdict": "weak/unstable alpha"
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},
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"acmtx": {
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"sym": "acmtx",
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"name": "AB All Market Real Return Portfolio",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": -0.008977906685541883,
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"alpha_t_5y": -0.6185466916546568,
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"alpha_t_full": -1.8049661183808015,
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"r2_5y": 0.9308174525558985,
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"r2_full": 0.9148055700727797,
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"corr_portfolio": 0.36203745363580186,
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"corr_benchmark": 0.4820324206386384,
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"alpha_pos_frac": 0.5491329479768786,
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"fund_max_dd": -0.5000395256742471,
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"first": "2010-03-10",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
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},
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"asfcx": {
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"sym": "asfcx",
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"name": "Virtus AlphaSimplex Managed Futures Strategy Fund",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": -0.050524321896119224,
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"alpha_t_5y": -1.0719592828469746,
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"alpha_t_full": 0.6737711569229176,
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"r2_5y": 0.32403220569525515,
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"r2_full": 0.1460167321719531,
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"corr_portfolio": 0.2109754219397301,
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"corr_benchmark": 0.007680002259431506,
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"alpha_pos_frac": 0.5294117647058824,
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"fund_max_dd": -0.38006080801338593,
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"first": "2010-08-02",
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"verdict": "weak/unstable alpha"
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},
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"bflax": {
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"sym": "bflax",
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"name": "Lord Abbett Multi-Asset Balanced Opportunity Fund",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": -0.022357735532510435,
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"alpha_t_5y": -1.8796166397835283,
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"alpha_t_full": 0.5860029940181443,
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"r2_5y": 0.9239162542024056,
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"r2_full": 0.8946990731548573,
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"corr_portfolio": 0.3206688120952309,
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"corr_benchmark": 0.6237577355062855,
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"alpha_pos_frac": 0.441025641025641,
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"fund_max_dd": -0.4235010445079658,
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"first": "2000-05-30",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
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},
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"cabdx": {
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"sym": "cabdx",
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"name": "AB RELATIVE VALUE FUND, INC.",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": 0.01688728798911227,
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"alpha_t_5y": 0.92785161175982,
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"alpha_t_full": 3.2687846347821083,
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"r2_5y": 0.9097028368139576,
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"r2_full": -1.7763568394002505e-15,
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"corr_portfolio": 0.4020338058839423,
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"corr_benchmark": 0.5313385053392616,
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"alpha_pos_frac": 0.5336322869955157,
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"fund_max_dd": -0.5740208303115659,
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"first": "1990-01-03",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
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},
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"cabix": {
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"sym": "cabix",
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"name": "AB GLOBAL RISK ALLOCATION FUND, INC.",
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"bucket": "external",
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"in_portfolio": false,
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"alpha_ann_5y": -0.001291960694234989,
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"alpha_t_5y": -0.1012090629895647,
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"alpha_t_full": -0.5420762428779787,
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"r2_5y": 0.8845638778610537,
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"r2_full": 0.8378160490700229,
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"corr_portfolio": 0.30433399548201784,
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"corr_benchmark": 0.7062567757399001,
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"alpha_pos_frac": 0.4666666666666667,
|
||||
"fund_max_dd": -0.43568595855945036,
|
||||
"first": "2005-03-11",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"cbhax": {
|
||||
"sym": "cbhax",
|
||||
"name": "Victory Market Neutral Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.045718981254340874,
|
||||
"alpha_t_5y": 2.9376692841672387,
|
||||
"alpha_t_full": 2.7012545394942338,
|
||||
"r2_5y": 0.06743907115396375,
|
||||
"r2_full": 0.03677108818850705,
|
||||
"corr_portfolio": 0.10906099415010886,
|
||||
"corr_benchmark": -0.07857056635130409,
|
||||
"alpha_pos_frac": 0.5345911949685535,
|
||||
"fund_max_dd": -0.07015276807421733,
|
||||
"first": "2012-11-20",
|
||||
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
|
||||
},
|
||||
"cdazx": {
|
||||
"sym": "cdazx",
|
||||
"name": "Multi-Manager Directional Alternative Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.05512684432523355,
|
||||
"alpha_t_5y": 2.2291065782162365,
|
||||
"alpha_t_full": 0.24661830289541073,
|
||||
"r2_5y": 0.6012669420463201,
|
||||
"r2_full": 0.7197363703485559,
|
||||
"corr_portfolio": 0.4579231297920752,
|
||||
"corr_benchmark": 0.4914274850949033,
|
||||
"alpha_pos_frac": 0.45871559633027525,
|
||||
"fund_max_dd": -0.30928871122470447,
|
||||
"first": "2017-01-13",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"clabx": {
|
||||
"sym": "clabx",
|
||||
"name": "Columbia Multi Strategy Alternatives Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.020379471998732104,
|
||||
"alpha_t_5y": 1.1500006945087957,
|
||||
"alpha_t_full": -1.2272095247584698,
|
||||
"r2_5y": 0.1173597867273184,
|
||||
"r2_full": 0.09449345933312647,
|
||||
"corr_portfolio": 0.35584270960870523,
|
||||
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|
||||
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|
||||
"fund_max_dd": -0.32821470382715756,
|
||||
"first": "2015-01-30",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"cmiex": {
|
||||
"sym": "cmiex",
|
||||
"name": "Multi-Manager International Equity Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.002331855387643293,
|
||||
"alpha_t_5y": 0.17639529799774897,
|
||||
"alpha_t_full": 0.6102573342678537,
|
||||
"r2_5y": 0.9638651024018033,
|
||||
"r2_full": 0.9670082571200014,
|
||||
"corr_portfolio": 0.34449815461155114,
|
||||
"corr_benchmark": 0.5772912659976659,
|
||||
"alpha_pos_frac": 0.3763440860215054,
|
||||
"fund_max_dd": -0.3535156169126247,
|
||||
"first": "2018-05-23",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"craax": {
|
||||
"sym": "craax",
|
||||
"name": "Columbia Adaptive Risk Allocation Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.003469056636668165,
|
||||
"alpha_t_5y": 0.22637061663726601,
|
||||
"alpha_t_full": 0.16227895712073426,
|
||||
"r2_5y": 0.8224101463318675,
|
||||
"r2_full": 0.7224477226328625,
|
||||
"corr_portfolio": 0.2273261133310748,
|
||||
"corr_benchmark": 0.7459126348558662,
|
||||
"alpha_pos_frac": 0.5853658536585366,
|
||||
"fund_max_dd": -0.18617586300486277,
|
||||
"first": "2012-06-20",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"crihx": {
|
||||
"sym": "crihx",
|
||||
"name": "CRM LONG/SHORT OPPORTUNITIES FUND",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.007485374462626657,
|
||||
"alpha_t_5y": -0.23393840653966574,
|
||||
"alpha_t_full": 0.11386798000136084,
|
||||
"r2_5y": 0.5970928094523608,
|
||||
"r2_full": 0.5767322167951201,
|
||||
"corr_portfolio": 0.23881152028192626,
|
||||
"corr_benchmark": 0.4717239779508285,
|
||||
"alpha_pos_frac": 0.5350877192982456,
|
||||
"fund_max_dd": -0.2132648191040607,
|
||||
"first": "2016-08-23",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"ctrzx": {
|
||||
"sym": "ctrzx",
|
||||
"name": "Multi-Manager Total Return Bond Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.002841792738683169,
|
||||
"alpha_t_5y": 0.5646938678714031,
|
||||
"alpha_t_full": 0.08126445518692349,
|
||||
"r2_5y": 0.9580842437964088,
|
||||
"r2_full": 0.9203142086222048,
|
||||
"corr_portfolio": -0.09873744886889077,
|
||||
"corr_benchmark": 0.7090443634269116,
|
||||
"alpha_pos_frac": 0.6272727272727273,
|
||||
"fund_max_dd": -0.19196661534815573,
|
||||
"first": "2017-01-04",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"czmsx": {
|
||||
"sym": "czmsx",
|
||||
"name": "Multi-Manager Small Cap Equity Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.02151433452245592,
|
||||
"alpha_t_5y": -1.4827326889061718,
|
||||
"alpha_t_full": -0.7673926997498722,
|
||||
"r2_5y": 0.9742635338088821,
|
||||
"r2_full": 0.9775861673404711,
|
||||
"corr_portfolio": 0.2651823518503439,
|
||||
"corr_benchmark": 0.5719735967346525,
|
||||
"alpha_pos_frac": 0.5272727272727272,
|
||||
"fund_max_dd": -0.4156571769366513,
|
||||
"first": "2017-01-04",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"czmvx": {
|
||||
"sym": "czmvx",
|
||||
"name": "Multi-Manager Value Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -7.609071065594716e-06,
|
||||
"alpha_t_5y": -0.0004964458525896136,
|
||||
"alpha_t_full": 0.5857934648428721,
|
||||
"r2_5y": 0.9384666021247926,
|
||||
"r2_full": 0.9581696404079431,
|
||||
"corr_portfolio": 0.388798668971174,
|
||||
"corr_benchmark": 0.5577091562530161,
|
||||
"alpha_pos_frac": 0.5181818181818182,
|
||||
"fund_max_dd": -0.37423219651958606,
|
||||
"first": "2017-01-04",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"dbicx": {
|
||||
"sym": "dbicx",
|
||||
"name": "DWS Global Macro Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.008958521689852273,
|
||||
"alpha_t_5y": -0.781548491843171,
|
||||
"alpha_t_full": -0.1580111206369707,
|
||||
"r2_5y": 0.844675487118287,
|
||||
"r2_full": 0.7865956066939078,
|
||||
"corr_portfolio": 0.30334616811530735,
|
||||
"corr_benchmark": 0.5034606122491824,
|
||||
"alpha_pos_frac": 0.6053811659192825,
|
||||
"fund_max_dd": -0.6394527499376437,
|
||||
"first": "2001-08-28",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"difax": {
|
||||
"sym": "difax",
|
||||
"name": "MFS Diversified Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.0007242113326169416,
|
||||
"alpha_t_5y": 0.1032694900725035,
|
||||
"alpha_t_full": -0.00015137256732595007,
|
||||
"r2_5y": 0.9369388051120815,
|
||||
"r2_full": 0.9453956827386147,
|
||||
"corr_portfolio": 0.33920779248964134,
|
||||
"corr_benchmark": 0.694429298012178,
|
||||
"alpha_pos_frac": 0.5527426160337553,
|
||||
"fund_max_dd": -0.35241227466974046,
|
||||
"first": "2006-05-30",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"dltrx": {
|
||||
"sym": "dltrx",
|
||||
"name": "Nomura Limited-Term Diversified Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.014804666027616438,
|
||||
"alpha_t_5y": -2.410119727303281,
|
||||
"alpha_t_full": 2.639559373890048,
|
||||
"r2_5y": 0.7141450251814119,
|
||||
"r2_full": 0.53699842620344,
|
||||
"corr_portfolio": -0.023842928935355934,
|
||||
"corr_benchmark": 0.4670207303004375,
|
||||
"alpha_pos_frac": 0.5953757225433526,
|
||||
"fund_max_dd": -0.0744118782838673,
|
||||
"first": "2003-06-02",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"dmszx": {
|
||||
"sym": "dmszx",
|
||||
"name": "Destinations Multi Strategy Alternatives Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.033133369430583086,
|
||||
"alpha_t_5y": 3.4731356626798315,
|
||||
"alpha_t_full": 2.537079157986993,
|
||||
"r2_5y": 0.5658661130101695,
|
||||
"r2_full": 0.6183622430517614,
|
||||
"corr_portfolio": 0.27114533278059666,
|
||||
"corr_benchmark": 0.4543087195661785,
|
||||
"alpha_pos_frac": 0.46153846153846156,
|
||||
"fund_max_dd": -0.2111802646567632,
|
||||
"first": "2018-07-19",
|
||||
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
|
||||
},
|
||||
"dpcfx": {
|
||||
"sym": "dpcfx",
|
||||
"name": "Nomura Diversified Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.009827995765921152,
|
||||
"alpha_t_5y": -1.7573068717890346,
|
||||
"alpha_t_full": -0.3963947957386501,
|
||||
"r2_5y": 0.9482988236237405,
|
||||
"r2_full": 0.38187509130722885,
|
||||
"corr_portfolio": -0.009656929667627531,
|
||||
"corr_benchmark": 0.7216922354923229,
|
||||
"alpha_pos_frac": 0.5260115606936416,
|
||||
"fund_max_dd": -0.2062761957149597,
|
||||
"first": "2002-10-28",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"drrax": {
|
||||
"sym": "drrax",
|
||||
"name": "BNY Mellon Global Real Return Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": null,
|
||||
"alpha_t_5y": NaN,
|
||||
"alpha_t_full": 0.2067529835369513,
|
||||
"r2_5y": NaN,
|
||||
"r2_full": 0.6736425116088385,
|
||||
"corr_portfolio": 0.4427608420456678,
|
||||
"corr_benchmark": 0.600649061594668,
|
||||
"alpha_pos_frac": 0.4603174603174603,
|
||||
"fund_max_dd": -0.15954052131449503,
|
||||
"first": "2010-05-13",
|
||||
"verdict": "no 5y window"
|
||||
},
|
||||
"dvrax": {
|
||||
"sym": "dvrax",
|
||||
"name": "MFS Global Alternative Strategy Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.035882882257714986,
|
||||
"alpha_t_5y": -2.5193768255416247,
|
||||
"alpha_t_full": -0.0674127708966125,
|
||||
"r2_5y": 0.6930253728284286,
|
||||
"r2_full": 0.5952916098414378,
|
||||
"corr_portfolio": 0.28894962782454986,
|
||||
"corr_benchmark": 0.5257765107933304,
|
||||
"alpha_pos_frac": 0.44495412844036697,
|
||||
"fund_max_dd": -0.36758478867230726,
|
||||
"first": "2007-12-20",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"ecgmx": {
|
||||
"sym": "ecgmx",
|
||||
"name": "Eaton Vance Global Macro Absolute Return Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.04800543517208868,
|
||||
"alpha_t_5y": 4.548806986875946,
|
||||
"alpha_t_full": 3.8498789524571984,
|
||||
"r2_5y": 0.07984819805042198,
|
||||
"r2_full": 0.18131703836443613,
|
||||
"corr_portfolio": 0.2343247370123227,
|
||||
"corr_benchmark": -0.02155412510980591,
|
||||
"alpha_pos_frac": 0.4619289340101523,
|
||||
"fund_max_dd": -0.09333598943370047,
|
||||
"first": "2009-10-02",
|
||||
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
|
||||
},
|
||||
"egrix": {
|
||||
"sym": "egrix",
|
||||
"name": "Eaton Vance Global Macro Absolute Return Advantage Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.0792507580920934,
|
||||
"alpha_t_5y": 4.921025818208902,
|
||||
"alpha_t_full": 4.652680988414438,
|
||||
"r2_5y": 0.0671402533785459,
|
||||
"r2_full": 0.17053389078371528,
|
||||
"corr_portfolio": 0.22290815991893495,
|
||||
"corr_benchmark": 0.024683988785995706,
|
||||
"alpha_pos_frac": 0.45698924731182794,
|
||||
"fund_max_dd": -0.1416510427878418,
|
||||
"first": "2010-09-02",
|
||||
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
|
||||
},
|
||||
"fabzx": {
|
||||
"sym": "fabzx",
|
||||
"name": "Franklin Alternative Strategies Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.012738708711606987,
|
||||
"alpha_t_5y": 1.1947373029346038,
|
||||
"alpha_t_full": 1.9134745157272255,
|
||||
"r2_5y": 0.6077635800797977,
|
||||
"r2_full": 0.6629632968079515,
|
||||
"corr_portfolio": 0.2909820766951521,
|
||||
"corr_benchmark": 0.4807663872981757,
|
||||
"alpha_pos_frac": 0.46938775510204084,
|
||||
"fund_max_dd": -0.11030793015233042,
|
||||
"first": "2013-11-21",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"gioax": {
|
||||
"sym": "gioax",
|
||||
"name": "Guggenheim Macro Opportunities Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.011568520239574102,
|
||||
"alpha_t_5y": 1.8383699917598801,
|
||||
"alpha_t_full": 3.8799980791127155,
|
||||
"r2_5y": 0.7738061385123135,
|
||||
"r2_full": 0.4830733305761531,
|
||||
"corr_portfolio": 0.16797052815506486,
|
||||
"corr_benchmark": 0.4568757652827977,
|
||||
"alpha_pos_frac": 0.47368421052631576,
|
||||
"fund_max_dd": -0.12467053383664317,
|
||||
"first": "2011-12-01",
|
||||
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)"
|
||||
},
|
||||
"gpmfx": {
|
||||
"sym": "gpmfx",
|
||||
"name": "GuidePath(R) Managed Futures Strategy Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.11800376453789357,
|
||||
"alpha_t_5y": 1.8358247548739033,
|
||||
"alpha_t_full": -0.28744309359507936,
|
||||
"r2_5y": 0.27995149895389726,
|
||||
"r2_full": 0.16750941649381756,
|
||||
"corr_portfolio": 0.18881712161413045,
|
||||
"corr_benchmark": -0.064267212870549,
|
||||
"alpha_pos_frac": 0.48760330578512395,
|
||||
"fund_max_dd": -0.35986645151233765,
|
||||
"first": "2016-01-20",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"iigix": {
|
||||
"sym": "iigix",
|
||||
"name": "Voya Multi-Manager International Equity Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.030861993999147203,
|
||||
"alpha_t_5y": -2.177612694458389,
|
||||
"alpha_t_full": -1.8750744724697312,
|
||||
"r2_5y": 0.9562913394853136,
|
||||
"r2_full": 0.9433765294584024,
|
||||
"corr_portfolio": 0.35607863948851787,
|
||||
"corr_benchmark": 0.5396437711368752,
|
||||
"alpha_pos_frac": 0.5384615384615384,
|
||||
"fund_max_dd": -0.37669522005302647,
|
||||
"first": "2011-01-10",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"napix": {
|
||||
"sym": "napix",
|
||||
"name": "Voya Multi-Manager International Small Cap Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.00010772911027657289,
|
||||
"alpha_t_5y": 0.005725340198476609,
|
||||
"alpha_t_full": -0.7870548179900667,
|
||||
"r2_5y": 0.9278725823430072,
|
||||
"r2_full": 0.8810943332512947,
|
||||
"corr_portfolio": 0.3828035762522231,
|
||||
"corr_benchmark": 0.5469650177880592,
|
||||
"alpha_pos_frac": 0.5919282511210763,
|
||||
"fund_max_dd": -0.6835497479017605,
|
||||
"first": "2005-12-22",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"isfax": {
|
||||
"sym": "isfax",
|
||||
"name": "Lord Abbett Multi-Asset Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.0073214844421354945,
|
||||
"alpha_t_5y": -0.7525786987083127,
|
||||
"alpha_t_full": -0.6764599676493112,
|
||||
"r2_5y": 0.901272562930632,
|
||||
"r2_full": 0.865791715298438,
|
||||
"corr_portfolio": 0.3141685091103915,
|
||||
"corr_benchmark": 0.6673364375704959,
|
||||
"alpha_pos_frac": 0.47692307692307695,
|
||||
"fund_max_dd": -0.31904288027730954,
|
||||
"first": "2005-06-30",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"nlsax": {
|
||||
"sym": "nlsax",
|
||||
"name": "Neuberger Berman Long Short Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": null,
|
||||
"alpha_t_5y": NaN,
|
||||
"alpha_t_full": -1.0489649800504441,
|
||||
"r2_5y": NaN,
|
||||
"r2_full": 0.7597914180929699,
|
||||
"corr_portfolio": 0.3938191096744254,
|
||||
"corr_benchmark": 0.5145794299058428,
|
||||
"alpha_pos_frac": 0.5471698113207547,
|
||||
"fund_max_dd": -0.17941457915503312,
|
||||
"first": "2011-12-30",
|
||||
"verdict": "no 5y window"
|
||||
},
|
||||
"nmmgx": {
|
||||
"sym": "nmmgx",
|
||||
"name": "MULTI-MANAGER GLOBAL REAL ESTATE FUND",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.03924589113646899,
|
||||
"alpha_t_5y": -1.6674972243241934,
|
||||
"alpha_t_full": -1.5105559984393955,
|
||||
"r2_5y": 0.8810856670385193,
|
||||
"r2_full": 0.8953011928041585,
|
||||
"corr_portfolio": 0.28490440299527303,
|
||||
"corr_benchmark": 0.6072181334227575,
|
||||
"alpha_pos_frac": 0.5776699029126213,
|
||||
"fund_max_dd": -0.4028238812682835,
|
||||
"first": "2008-12-16",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"orilx": {
|
||||
"sym": "orilx",
|
||||
"name": "NORTH SQUARE MULTI STRATEGY FUND",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.004094564146332569,
|
||||
"alpha_t_5y": 0.37896947051588986,
|
||||
"alpha_t_full": -1.112500680629622,
|
||||
"r2_5y": 0.9633390192463587,
|
||||
"r2_full": 0.9141513074005219,
|
||||
"corr_portfolio": 0.3126301165977903,
|
||||
"corr_benchmark": 0.5953364968349182,
|
||||
"alpha_pos_frac": 0.5433526011560693,
|
||||
"fund_max_dd": -0.505846985181069,
|
||||
"first": "2000-05-30",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"padcx": {
|
||||
"sym": "padcx",
|
||||
"name": "PGIM Absolute Return Bond Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.009662575109199524,
|
||||
"alpha_t_5y": 1.1017317652378988,
|
||||
"alpha_t_full": 2.0011643519435998,
|
||||
"r2_5y": 0.2658887884471809,
|
||||
"r2_full": 0.403778553758245,
|
||||
"corr_portfolio": 0.29093168096348476,
|
||||
"corr_benchmark": 0.1517945188590106,
|
||||
"alpha_pos_frac": 0.49710982658959535,
|
||||
"fund_max_dd": -0.18070752793130407,
|
||||
"first": "2011-03-31",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"paiex": {
|
||||
"sym": "paiex",
|
||||
"name": "T. Rowe Price Dynamic Global Bond Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.01584136070271343,
|
||||
"alpha_t_5y": 0.8810708941705994,
|
||||
"alpha_t_full": 2.3197870779795036,
|
||||
"r2_5y": 0.20317125310300488,
|
||||
"r2_full": 0.17606625688884936,
|
||||
"corr_portfolio": 0.11453845034098124,
|
||||
"corr_benchmark": -0.33569146349242185,
|
||||
"alpha_pos_frac": 0.5263157894736842,
|
||||
"fund_max_dd": -0.09938973154057051,
|
||||
"first": "2015-01-23",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"pdinx": {
|
||||
"sym": "pdinx",
|
||||
"name": "PUTNAM DIVERSIFIED INCOME TRUST",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.007870595552057455,
|
||||
"alpha_t_5y": 0.25603001007596793,
|
||||
"alpha_t_full": 5.7757613946139115,
|
||||
"r2_5y": 0.10939675559633755,
|
||||
"r2_full": 8.881784197001252e-16,
|
||||
"corr_portfolio": 0.1515436580369243,
|
||||
"corr_benchmark": 0.20295102993548317,
|
||||
"alpha_pos_frac": 0.6205128205128205,
|
||||
"fund_max_dd": -0.4551253654646945,
|
||||
"first": "1990-01-03",
|
||||
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)"
|
||||
},
|
||||
"pgbax": {
|
||||
"sym": "pgbax",
|
||||
"name": "Diversified Income Fund (f/k/a Global Diversified Income Fund)",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.007947133715129676,
|
||||
"alpha_t_5y": 0.8551070419390819,
|
||||
"alpha_t_full": 2.0440573123169528,
|
||||
"r2_5y": 0.6959518160946334,
|
||||
"r2_full": 0.6373465751237053,
|
||||
"corr_portfolio": 0.3056432590768371,
|
||||
"corr_benchmark": 0.5868996479444599,
|
||||
"alpha_pos_frac": 0.46116504854368934,
|
||||
"fund_max_dd": -0.2372903725951624,
|
||||
"first": "2008-12-17",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"rmyax": {
|
||||
"sym": "rmyax",
|
||||
"name": "Multi-Strategy Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.006094862604192386,
|
||||
"alpha_t_5y": -0.48457991057958427,
|
||||
"alpha_t_full": -0.5027716674783317,
|
||||
"r2_5y": 0.8694775275329713,
|
||||
"r2_full": 0.8302135520066936,
|
||||
"corr_portfolio": 0.2998455767741149,
|
||||
"corr_benchmark": 0.6806849145630515,
|
||||
"alpha_pos_frac": 0.5615384615384615,
|
||||
"fund_max_dd": -0.22042694713026867,
|
||||
"first": "2015-05-04",
|
||||
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
|
||||
},
|
||||
"rrpax": {
|
||||
"sym": "rrpax",
|
||||
"name": "SIIT Real Return Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.02091888763838627,
|
||||
"alpha_t_5y": 2.584930522788122,
|
||||
"alpha_t_full": 0.4909488346026396,
|
||||
"r2_5y": 0.61894306092845,
|
||||
"r2_full": 0.41403797029199063,
|
||||
"corr_portfolio": 0.00768717905343307,
|
||||
"corr_benchmark": 0.4478738908791492,
|
||||
"alpha_pos_frac": 0.517948717948718,
|
||||
"fund_max_dd": -0.1297444134289042,
|
||||
"first": "2007-09-05",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"rymfx": {
|
||||
"sym": "rymfx",
|
||||
"name": "Guggenheim Managed Futures Strategy Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": -0.02014247769464265,
|
||||
"alpha_t_5y": -0.5003121906583069,
|
||||
"alpha_t_full": 0.10839288377627028,
|
||||
"r2_5y": 0.35143615168816555,
|
||||
"r2_full": 0.07807781174439732,
|
||||
"corr_portfolio": 0.23525317740277807,
|
||||
"corr_benchmark": 0.07780897382137142,
|
||||
"alpha_pos_frac": 0.47085201793721976,
|
||||
"fund_max_dd": -0.36522050666552897,
|
||||
"first": "2007-02-23",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"seiax": {
|
||||
"sym": "seiax",
|
||||
"name": "SIIT Multi-Asset Real Return Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.035435990088980525,
|
||||
"alpha_t_5y": 3.1751919551670036,
|
||||
"alpha_t_full": 2.1185230216684676,
|
||||
"r2_5y": 0.7773777017443931,
|
||||
"r2_full": 0.7252216131385265,
|
||||
"corr_portfolio": 0.3128935530074972,
|
||||
"corr_benchmark": 0.2406739900426457,
|
||||
"alpha_pos_frac": 0.5144508670520231,
|
||||
"fund_max_dd": -0.21536400628633312,
|
||||
"first": "2011-08-10",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"sliyx": {
|
||||
"sym": "sliyx",
|
||||
"name": "SIMT MULTI-ASSET INCOME FUND",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.015465333823961345,
|
||||
"alpha_t_5y": 1.9739121355197624,
|
||||
"alpha_t_full": 1.6812343716635079,
|
||||
"r2_5y": 0.8231097368330949,
|
||||
"r2_full": 0.7872854440391012,
|
||||
"corr_portfolio": 0.2924883461170799,
|
||||
"corr_benchmark": 0.6656446172919034,
|
||||
"alpha_pos_frac": 0.5597014925373134,
|
||||
"fund_max_dd": -0.22093172752186285,
|
||||
"first": "2015-01-02",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"smuyx": {
|
||||
"sym": "smuyx",
|
||||
"name": "SIMT Multi-Strategy Alternative Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.01998789450507779,
|
||||
"alpha_t_5y": 1.777909283290362,
|
||||
"alpha_t_full": 1.8693972743108902,
|
||||
"r2_5y": 0.6752006687187604,
|
||||
"r2_full": 0.5298642820854836,
|
||||
"corr_portfolio": 0.2651429895547443,
|
||||
"corr_benchmark": 0.4228461393590128,
|
||||
"alpha_pos_frac": 0.43846153846153846,
|
||||
"fund_max_dd": -0.10995859828985377,
|
||||
"first": "2015-05-01",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"sryrx": {
|
||||
"sym": "sryrx",
|
||||
"name": "SIMT Real Return Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.017901995011180328,
|
||||
"alpha_t_5y": 2.262183111453143,
|
||||
"alpha_t_full": 2.911802667812134,
|
||||
"r2_5y": 0.6291427249170225,
|
||||
"r2_full": 0.568808359358441,
|
||||
"corr_portfolio": 0.018063742050577297,
|
||||
"corr_benchmark": 0.46374202412222304,
|
||||
"alpha_pos_frac": 0.4626865671641791,
|
||||
"fund_max_dd": -0.06547787926424076,
|
||||
"first": "2015-01-02",
|
||||
"verdict": "weak/unstable alpha"
|
||||
},
|
||||
"vmnix": {
|
||||
"sym": "vmnix",
|
||||
"name": "Vanguard Market Neutral Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.12912065637455916,
|
||||
"alpha_t_5y": 4.361786874321171,
|
||||
"alpha_t_full": 2.5879167048776455,
|
||||
"r2_5y": 0.029380364668611603,
|
||||
"r2_full": -1.1102230246251565e-15,
|
||||
"corr_portfolio": 0.3467529140312448,
|
||||
"corr_benchmark": -0.018030253731384765,
|
||||
"alpha_pos_frac": 0.5055762081784386,
|
||||
"fund_max_dd": -0.25345525956682635,
|
||||
"first": "1998-10-27",
|
||||
"verdict": "alpha, but correlated with current portfolio"
|
||||
},
|
||||
"wmnux": {
|
||||
"sym": "wmnux",
|
||||
"name": "Westwood Alternative Income Fund",
|
||||
"bucket": "external",
|
||||
"in_portfolio": false,
|
||||
"alpha_ann_5y": 0.03973682932057431,
|
||||
"alpha_t_5y": 6.860324585370505,
|
||||
"alpha_t_full": 5.647006753747289,
|
||||
"r2_5y": 0.3807595020726805,
|
||||
"r2_full": 0.1737006681781419,
|
||||
"corr_portfolio": 0.09371513014491326,
|
||||
"corr_benchmark": 0.17652624930520902,
|
||||
"alpha_pos_frac": 0.5076923076923077,
|
||||
"fund_max_dd": -0.07640266654441785,
|
||||
"first": "2015-05-04",
|
||||
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
|
||||
}
|
||||
}
|
||||
|
|
@ -305,6 +305,39 @@ def test_search() -> None:
|
|||
check("ticker regex slash format", t2 == ["FMSDX"], str(t2))
|
||||
|
||||
|
||||
def test_universe() -> None:
|
||||
print("edgar universe cover parser", flush=True)
|
||||
from fundlab import edgar_universe as eu
|
||||
sample = (
|
||||
"<SERIES-AND-CLASSES-CONTRACTS-DATA>\n"
|
||||
"<SERIES>\n<SERIES-NAME>1290 Multi-Alternative Strategies Fund\n"
|
||||
"<CLASS-CONTRACT>\n<CLASS-CONTRACT-NAME>Class A\n"
|
||||
"<CLASS-CONTRACT-TICKER-SYMBOL>TNMAX\n</CLASS-CONTRACT>\n"
|
||||
"<CLASS-CONTRACT-NAME>Class I\n"
|
||||
"<CLASS-CONTRACT-TICKER-SYMBOL>TNMIX\n</CLASS-CONTRACT>\n"
|
||||
"</SERIES>\n"
|
||||
"<SERIES-NAME>1290 High Yield Bond Fund\n"
|
||||
"<CLASS-CONTRACT-TICKER-SYMBOL>TNHAX\n</CLASS-CONTRACT>\n"
|
||||
"</SERIES-AND-CLASSES-CONTRACTS-DATA>\n"
|
||||
"<OTHER>JUNK-TICKER-LINE\n" # after the series block: ignored
|
||||
)
|
||||
s = eu.parse_cover(sample)
|
||||
check("two series", len(s) == 2, str(s))
|
||||
check("series 1 name", s[0]["name"] ==
|
||||
"1290 Multi-Alternative Strategies Fund", s[0]["name"])
|
||||
check("series 1 tickers", s[0]["tickers"] == ["TNMAX", "TNMIX"],
|
||||
str(s[0]["tickers"]))
|
||||
check("series 2 tickers", s[1]["tickers"] == ["TNHAX"],
|
||||
str(s[1]["tickers"]))
|
||||
check("ticker before any series ignored",
|
||||
eu.parse_cover("<CLASS-CONTRACT-TICKER-SYMBOL>NOPE\n") == [],
|
||||
"")
|
||||
check("malformed ticker rejected",
|
||||
eu.parse_cover("<SERIES-NAME>F\n"
|
||||
"<CLASS-CONTRACT-TICKER-SYMBOL>1BAD\n")[0]
|
||||
["tickers"] == [], "")
|
||||
|
||||
|
||||
def test_curated() -> None:
|
||||
print("curated", flush=True)
|
||||
import fundlab.fundinfo as fi
|
||||
|
|
@ -327,6 +360,7 @@ def main() -> int:
|
|||
test_nport()
|
||||
test_decompose()
|
||||
test_search()
|
||||
test_universe()
|
||||
test_curated()
|
||||
test_edgar_live()
|
||||
print(f"\n{PASS} passed, {FAIL} failed")
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user