Fund report - 11 alpha candidates & 13 shortlist funds

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): dbmf +0.13, qqq +0.13, xlk +0.12, iwm +0.07, ivv +0.05, tip +0.05 - net cash +0.55.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 0.85 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Holdings (May 2026): QQQ 65% + SPY 29% + MMF 0.6%, with 4.9% 'other assets in excess of liabilities' — an options overlay. But the rolling beta to those SAME holdings stays 0.13–0.89 (median 0.30, never above 1): the 'risk managed' in the name is real — a systematic equity de-risking overlay. Decomposition: one TACTICAL US-equity sleeve, not a static mix.

The reference mix - and what it exposes you to

The loadings sum to 0.22, i.e. the fund is ~78% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 1.0 (from actual N-PORT holdings (high confidence)). Placement: Keep in the taxable account.

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.87 (n=91, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 136pp; meaningfully more volatile than the calmest peer.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): dbmf +0.17, efa +0.15, vweax +0.14, xlp -0.13, fxy -0.11, dbb +0.10 - net cash +0.52.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 1.83 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Systematic alpha over short-duration IG credit + cash. Returns are dominated by idiosyncratic credit/derivatives P&L (R² ≤ 0.22 vs bond sleeves) and the best-fit weights are knife-edge. Read as: cash-like carry + systematic alpha, no meaningful static sleeve.

The reference mix - and what it exposes you to

The loadings sum to 0.07, i.e. the fund is ~93% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.16 (from actual N-PORT holdings (high confidence)). Placement: Recommended account: IRA.

unclassified: US govt 18%; CTA/systematic: 60/40 if section-1256 regulated futures

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.87 (n=91, k=30 grouping by return-driver signature).

Advantages vs peers: sharpest drawdown in the cluster.

Disadvantages vs peers: 5y return trails the best peer by 117pp; meaningfully more volatile than the calmest peer.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): qqq +0.04, ivv +0.03, xlf +0.03, hyg +0.02, xly +0.02, iwm -0.02 - net cash +0.80.

Decomposition verdict: partially explainable — material active/timing residual

Weight stability: max 1y β-drift = 0.49 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Market neutral (long US equity, short credit). Full sample (since 1990) is unexplainable — the strategy has changed over 36 years; the last 5 years show a small net equity/credit tilt (ivv +0.14, vweax +0.06) explaining 74%. The rest is spread/option alpha (full-sample annualized alpha +5.5%, t=6.7).

The reference mix - and what it exposes you to

The loadings sum to 0.23, i.e. the fund is ~77% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.35 (from the return-sleeve mix (model, medium confidence)). Placement: Keep in the taxable account - the income mostly defers to the LTCG/ROC rate.

~61% of 5y return defers to the investor (price appreciation + return of capital) - taxed as YOUR LTCG on a >1y sale, not ordinary income as in a traditional IRA. market-neutral: gains from short-dated option/systematic trades - often STCG

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +1.98 (n=8, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 66pp.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): ivv +0.19, qqq +0.19, xlk +0.17, xlf +0.10, xlv +0.08, xly +0.06 - net cash +0.07.

Decomposition verdict: partially explainable — material active/timing residual

Weight stability: max 1y β-drift = 0.04 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

US large-cap core plus: essentially 1.04x the S&P 500 (R² 0.96 over 5y, stable). The 'plus' is small optionality (tiny ijt/vwo tilts in the 5y fit). The cleanest fund on the list.

The reference mix - and what it exposes you to

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.91 (N-PORT+sleeves). Placement: Keep in the taxable account.

unclassified: Other 99%; holdings mostly unclassified - used return sleeves

Peer comparison (same return-driver cluster)

Cluster: no dominant driver (balanced/idio) (n=337, k=30 grouping by return-driver signature).

Advantages vs peers: sharpest drawdown in the cluster.

Disadvantages vs peers: 5y return trails the best peer by 24pp; meaningfully more volatile than the calmest peer.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): vweax +0.13, efa +0.10, vblix +0.08, xlf +0.08, xle +0.07, vwo +0.06 - net cash +0.37.

Decomposition verdict: partially explainable — material active/timing residual

Weight stability: max 1y β-drift = 0.45 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Global multi-asset fund of funds (N-PORT: 99.5% in unaffiliated underlying funds/loans). Returns decompose into high-yield credit (vweax +0.62), intl equity (efa +0.23), commodities (+0.05), bonds (−0.15): R² 0.68, stable weights, alpha +3.5%/yr (t=3.3). The sleeves show through the underlying funds.

The reference mix - and what it exposes you to

The loadings sum to 0.83, i.e. the fund is ~17% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.44 (N-PORT+sleeves). Placement: Recommended account: MIXED (check 1099).

unclassified: Other 59%, Fund holdings 21%; holdings mostly unclassified - used return sleeves; multi-asset: mixed qualified/LTCG + ordinary interest - check 1099

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.66 + HY corporate +0.09 (n=164, k=30 grouping by return-driver signature).

Advantages vs peers: sharpest drawdown in the cluster.

Disadvantages vs peers: 5y return trails the best peer by 73pp.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): vmbix +0.02, ief -0.02, xlf +0.02, dbmf +0.02, vwo +0.01, gld -0.01 - net cash +0.95.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 0.74 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Long/short mortgage & ABS — returns mostly idiosyncratic (R² 0.10). 5y direction is long MBS (vmbix +0.31) / short intermediate rates (ief −0.39), consistent with a carry/relative-value mortgage strategy. Not a static sleeve.

The reference mix - and what it exposes you to

The loadings sum to -0.00, i.e. the fund is ~100% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.25 (from the return-sleeve mix (model, medium confidence)). Placement: Recommended account: IRA.

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +1.98 (n=8, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 59pp; deeper drawdown than the calmest peer (-19.3% vs -24.7%).

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): vtv +0.21, qqq -0.16, efa +0.14, xly -0.14, xlf +0.13, iwm -0.12 - net cash +1.18.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 1.00 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Market-neutral style premia: no static sleeve explains returns (R² 0.18 5y). Alpha vs a cash-like benchmark: +12.8%/yr full sample (t=4.0). Decomposition = pure factor harvesting (value/size/style tilts in both books); the 'exposures' in the table are residuals, not sleeves.

The reference mix - and what it exposes you to

The loadings sum to -0.16, i.e. the fund is ~116% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.5 (N-PORT+sleeves). Placement: Recommended account: MIXED (check 1099).

unclassified: Other 100%; holdings mostly unclassified - used return sleeves; long/short factor strategy: gains mix STCG/LTCG - check 1099

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +1.98 (n=8, k=30 grouping by return-driver signature).

Advantages vs peers: 5y return at the top of the cluster; sharpest drawdown in the cluster.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): vweax +0.04, dbmf +0.02, fxy +0.02, emb +0.02, vblix +0.02, vmbix +0.02 - net cash +0.74.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 0.26 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Low-volatility equity fund of funds. Small but positive net market (efa +0.07, agg +0.10; R² 0.24, low drift). The edge is in volatility selection, not the mix: +5.2%/yr alpha over that small sleeve (t=5.1).

The reference mix - and what it exposes you to

The loadings sum to 0.31, i.e. the fund is ~69% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.23 (N-PORT+sleeves). Placement: Recommended account: IRA.

unclassified: Fund holdings 40%, US govt 10%; holdings mostly unclassified - used return sleeves

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.87 (n=91, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 143pp; deeper drawdown than the calmest peer (-6.5% vs -14.2%).

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Reference model, last 5 years: R² = 0.87, alpha = +0.3% (t = +0.5) vs the fitted reference mix (next section).

Reference model, full history: R² = 0.64, alpha = +1.0% (t = +1.9).

Return-driver signature (34 sleeves, for clustering context): vmbix +0.08, vweax +0.08, ief +0.06, tlt +0.06, agg +0.05, emb +0.04 - net cash +0.42.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions [strategy evolved — 5y R² = 0.86]

Weight stability: max 1y β-drift = 0.83 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Strategic income across the credit spectrum. Full sample (since 1990) unexplainable — vintage; the last 5 years are the honest current mix: high-yield +0.30, MBS +0.29, IG core +0.18 (R² 0.86).

Screen verdict: sleeve mix (R² high) - not alpha-driven

The reference mix - and what it exposes you to

The loadings sum to 0.76, i.e. the fund is ~24% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.0 (from actual N-PORT holdings (high confidence)). Placement: Recommended account: IRA.

unclassified: Other 30%

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.31 (n=201, k=30 grouping by return-driver signature).

Advantages vs peers: sharpest drawdown in the cluster.

Disadvantages vs peers: 5y return trails the best peer by 22pp.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): dbmf +0.18, vmbix -0.12, gsg +0.09, iwm +0.08, fxe -0.07, ief -0.07 - net cash +0.97.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 0.77 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Multi-strategy hedge fund: 53% explained over a decade (ivv +0.39, ief −0.67, fxe −0.28, tlt +0.17, djp +0.08) — equity long, duration short, FX/commodity tilts, large active residual. Caveat: newest N-PORT on file is Sep 2024 — the fund may have changed strategy or stopped filing.

The reference mix - and what it exposes you to

The loadings sum to -0.48, i.e. the fund is ~148% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.5 (N-PORT+sleeves). Placement: Keep in the taxable account - the income mostly defers to the LTCG/ROC rate.

~76% of 5y return defers to the investor (price appreciation + return of capital) - taxed as YOUR LTCG on a >1y sale, not ordinary income as in a traditional IRA. unclassified: Fund holdings 77%, US govt 23%; holdings mostly unclassified - used return sleeves; hedge fund: gains often short-term - check 1099

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +1.98 (n=8, k=30 grouping by return-driver signature).

Advantages vs peers: sharpest drawdown in the cluster.

Disadvantages vs peers: 5y return trails the best peer by 27pp; meaningfully more volatile than the calmest peer.

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Reference model, last 5 years: R² = 0.07, alpha = +2.6% (t = +2.4) vs the fitted reference mix (next section).

Reference model, full history: R² = 0.16, alpha = +1.6% (t = +2.7).

Return-driver signature (34 sleeves, for clustering context): hyg -0.03, vweax +0.03, vwo +0.02, vblix +0.02, efa +0.01, ief -0.01 - net cash +0.99.

Decomposition verdict: not a static sleeve mix — returns driven by active decisions

Weight stability: max 1y β-drift = 0.26 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Global macro (sovereign-centric): nothing explains returns in the full or 5y window (R² ≤ 0.05) — textbook macro, positions are tactical and asset-agnostic. The whole story is +5.1%/yr (t=8.0) over a flat benchmark.

Screen verdict: alpha in 5y window, but not persistent (lucky stretch?)

The reference mix - and what it exposes you to

The loadings sum to 0.04, i.e. the fund is ~96% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.1 (N-PORT+sleeves). Placement: Recommended account: IRA.

unclassified: Other 69%; holdings mostly unclassified - used return sleeves; absolute-return: character varies - check 1099

Peer comparison (same return-driver cluster)

Cluster: cash (net posn) +0.87 (n=91, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 125pp.

No local price history.

Performance

no price data

What drove the returns

Decomposition verdict: no return history

NEW share classes (trading since Jul 2026) — no return history to regress. Holdings (Dec 2025 N-PORT): 91.7% ETFs + 8.4% money market; the strategy is Leuthold core multi-asset via ETFs. Re-run the decomposition after a year of NAV accumulates.

The reference mix - and what it exposes you to

Reference: cash (the T-bill rate itself). No sleeve passed the forward-selection gates, so the fund's excess returns are not explained by any benchmark mix - its entire excess performance is idiosyncratic (5y alpha —). There is no meaningful 'beta' to this fund; it is a standalone position.

Tax character & placement

Character score 1.0 (N-PORT+manual). Placement: Keep in the taxable account.

wrapper: 91.7% Leuthold Core ETF (US equity) + 8% money market; unclassified: Fund holdings 100%; 100% pass-through/unclassified - character is the underlying funds'

Peer comparison (same return-driver cluster)

Not in the cluster scheme (no loading vector).

Performance

fund − reference = period alpha/timing (the part of that period the sleeve mix does not explain). IVV shown for scale - for non-equity funds the IVV column is only context.

What drove the returns

Return-driver signature (34 sleeves, for clustering context): xlk +0.17, ivv +0.14, xlf +0.12, vtv +0.09, xlv +0.09, qqq +0.08 - net cash +0.06.

Decomposition verdict: static sleeve mix (weights stable, ~fully explained)

Weight stability: max 1y β-drift = 0.44 (relative to full-sample β; 0 = perfectly stable, >1 = the weight is unstable).

Dividend growth: R² 0.95; S&P 500 + value/mid tilt (ivv +0.62, ive +0.26, ijk +0.20, iwm −0.14 over 5y), stable weights. Closest to a passive fund with an overlay on this list.

The reference mix - and what it exposes you to

The loadings sum to 0.95, i.e. the fund is ~5% NET CASH (earns the T-bill rate; adds zero excess alpha).

The reference is NOT one index - it is this fitted mix, rebuilt from the fund's own returns. "Alpha" everywhere in this report means outperformance vs this mix, in excess of the T-bill rate.

Tax character & placement

Character score 0.92 (N-PORT+sleeves). Placement: Keep in the taxable account.

unclassified: Other 100%; holdings mostly unclassified - used return sleeves

Peer comparison (same return-driver cluster)

Cluster: no dominant driver (balanced/idio) (n=337, k=30 grouping by return-driver signature).

Disadvantages vs peers: 5y return trails the best peer by 43pp; meaningfully more volatile than the calmest peer.