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Author	SHA1	Message	Date
Greg Pomerantz	db5fc4626d	Fund Lab: returns-based strategy decomposition for the 16 shortlist funds - fundlab/decompose.py: per-fund OLS forward selection (BIC-gated, \|t\|>2, per-model complete cases so differently-vintaged candidates stay comparable) against curated DISTINCT-AXIS candidate sets; full-history + last-5y models; rolling 1y beta drift for static-vs-time-varying verdicts; per-fund holdings cross-check notes - results (13 unique funds; pmfkx/lcrix/egrsx are share classes): * jlpsx ~1.04x S&P 500, R2 0.96 5y (cleanest) * lamhx S&P + value/mid tilt, R2 0.95, stable * cosix 5y: HY +0.30 / MBS +0.29 / IG +0.18, R2 0.86 * cvsix market neutral, 5y R2 0.74, +5.5%/yr alpha (t 6.7) * pmaix multi-asset: HY .62 / EFA .23 / comm .05 / bonds -.15 * mbxix hedge: ivv .39 / ief -.67 / fxe -.28, R2 0.53 * atesx NOT a static mix - rolling beta to its own QQQ/SPY holdings is 0.13-0.89 (median 0.30): the 'risk managed' overlay is real * qspnx/svarx/eagmx/atrfx/pmorx: market-neutral or idiosyncratic - alpha, not sleeves (qspnx +12.8%/yr alpha t 4.0) * lcorx/lcrix: new classes (Jul 2026), no history yet - holdings only - atesx holdings: pulled from the adviser's SOI PDF (anchor-soi-5.31.26): QQQ 65.2% + SPY 29.3% + MMF 0.6%, options overlay 4.9% - pool: added qqq (Nasdaq 100) - needed to fit tech-concentrated funds - app Fund Lab tab: per-fund decomposition (verdict, R2 full/5y, alpha, tracking error, beta drift, component table + bar chart, holdings cross-check note) and an all-funds summary expander - tests: ols/forward-select engine tests (50/50 fundlab)	2026-08-26 11:59:59 -04:00
Greg Pomerantz	54d26939dc	Fund Lab: N-PORT holdings page for the 16-fund shortlist - fundlab/nport.py: parse the fund's own category/percentage lines, as-of date, net assets and dollar-valued positions from N-PORT schedules of investments (handles per-fund and combined multi-fund family filings; conservative keyword bucketing of positions) - fundlab/nport_cache/<sym>.json: parsed snapshots for 15 of 16 funds (raw SOI HTML kept locally, gitignored; source URLs + filing dates in nport_manifest.json, md5-verified against EDGAR) - atesx: no current SOI found (Anchor's recent filings cover the Income fund) - listed with an honest note - app.py: new 'Fund Lab' tab - pick a fund, see objective, reported composition (bar + table), rough keyword buckets, top positions, and the prospectus strategy excerpt - tests: parser unit tests (section finding, category regex, buckets)	2026-08-26 09:59:24 -04:00

Author

SHA1

Message

Date

Greg Pomerantz

db5fc4626d

Fund Lab: returns-based strategy decomposition for the 16 shortlist funds

- fundlab/decompose.py: per-fund OLS forward selection (BIC-gated, |t|>2,
  per-model complete cases so differently-vintaged candidates stay
  comparable) against curated DISTINCT-AXIS candidate sets; full-history
  + last-5y models; rolling 1y beta drift for static-vs-time-varying
  verdicts; per-fund holdings cross-check notes
- results (13 unique funds; pmfkx/lcrix/egrsx are share classes):
  * jlpsx  ~1.04x S&P 500, R2 0.96 5y  (cleanest)
  * lamhx  S&P + value/mid tilt, R2 0.95, stable
  * cosix  5y: HY +0.30 / MBS +0.29 / IG +0.18, R2 0.86
  * cvsix  market neutral, 5y R2 0.74, +5.5%/yr alpha (t 6.7)
  * pmaix  multi-asset: HY .62 / EFA .23 / comm .05 / bonds -.15
  * mbxix  hedge: ivv .39 / ief -.67 / fxe -.28, R2 0.53
  * atesx  NOT a static mix - rolling beta to its own QQQ/SPY holdings
            is 0.13-0.89 (median 0.30): the 'risk managed' overlay is real
  * qspnx/svarx/eagmx/atrfx/pmorx: market-neutral or idiosyncratic -
            alpha, not sleeves (qspnx +12.8%/yr alpha t 4.0)
  * lcorx/lcrix: new classes (Jul 2026), no history yet - holdings only
- atesx holdings: pulled from the adviser's SOI PDF (anchor-soi-5.31.26):
  QQQ 65.2% + SPY 29.3% + MMF 0.6%, options overlay 4.9%
- pool: added qqq (Nasdaq 100) - needed to fit tech-concentrated funds
- app Fund Lab tab: per-fund decomposition (verdict, R2 full/5y, alpha,
  tracking error, beta drift, component table + bar chart, holdings
  cross-check note) and an all-funds summary expander
- tests: ols/forward-select engine tests (50/50 fundlab)

2026-08-26 11:59:59 -04:00

Greg Pomerantz

54d26939dc

Fund Lab: N-PORT holdings page for the 16-fund shortlist

- fundlab/nport.py: parse the fund's own category/percentage lines,
  as-of date, net assets and dollar-valued positions from N-PORT
  schedules of investments (handles per-fund and combined multi-fund
  family filings; conservative keyword bucketing of positions)
- fundlab/nport_cache/<sym>.json: parsed snapshots for 15 of 16 funds
  (raw SOI HTML kept locally, gitignored; source URLs + filing dates in
  nport_manifest.json, md5-verified against EDGAR)
- atesx: no current SOI found (Anchor's recent filings cover the Income
  fund) - listed with an honest note
- app.py: new 'Fund Lab' tab - pick a fund, see objective, reported
  composition (bar + table), rough keyword buckets, top positions, and
  the prospectus strategy excerpt
- tests: parser unit tests (section finding, category regex, buckets)

2026-08-26 09:59:24 -04:00

2 Commits