{ "aaaax": { "sym": "aaaax", "name": "DWS RREEF Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02486564021601787, "alpha_t_5y": -1.5313223118366281, "alpha_t_full": -1.3780034733745115, "r2_5y": 0.8980487716232942, "r2_full": 0.82475016877235, "corr_portfolio": 0.3663413480361542, "corr_benchmark": 0.5865351836854442, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.4016288379156525, "first": "2007-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.32, djp +0.20, vea +0.26, qqq -0.21, ivv +0.26, gld +0.05", "ref_full": "vea +0.16, vnq +0.11, djp +0.18, vweax +0.30, ief +0.20, ivv +0.13" }, "aaaox": { "sym": "aaaox", "name": "ONE CHOICE BLEND+ IN RETIREMENT PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005003874928812508, "alpha_t_5y": -0.8370950455931178, "alpha_t_full": -0.8370950455931178, "r2_5y": 0.964188224916363, "r2_full": 0.964188224916363, "corr_portfolio": 0.09542294247246016, "corr_benchmark": 0.8499877000535705, "alpha_pos_frac": 0.5, "fund_max_dd": -0.189499032730719, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.26, agg +0.39, efa +0.10, iwm +0.05, vweax +0.13, qqq -0.04", "ref_full": "ivv +0.26, agg +0.39, efa +0.10, iwm +0.05, vweax +0.13, qqq -0.04" }, "aaarx": { "sym": "aaarx", "name": "STRATEGIC ALLOCATION: AGGRESSIVE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015745058618495646, "alpha_t_5y": -1.7172474264270217, "alpha_t_full": -1.3414886358073648, "r2_5y": 0.9720461485990897, "r2_full": 0.9685918862933193, "corr_portfolio": 0.3225122268166367, "corr_benchmark": 0.6465388382686551, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.4667608427434139, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.36, vea +0.20, iwm +0.14, vblix +0.05, vwo +0.05, vweax +0.11", "ref_full": "ivv +0.39, efa +0.15, iwm +0.13, vweax +0.16, vwo +0.06, agg +0.11" }, "aaatx": { "sym": "aaatx", "name": "American Funds 2010 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010111661357998306, "alpha_t_5y": 0.17127810724634135, "alpha_t_full": 0.16570563629836343, "r2_5y": 0.9523420333323046, "r2_full": 0.9337931814956606, "corr_portfolio": 0.33136805339229963, "corr_benchmark": 0.7527783923898494, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.4044292356210355, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vmbix +0.18, efa +0.10, qqq -0.13, ief +0.20, djp +0.02", "ref_full": "ivv +0.29, efa +0.13, ief +0.22, vnq +0.03, vwo +0.06, qqq -0.07" }, "aabkx": { "sym": "aabkx", "name": "ONE CHOICE BLEND+ 2025 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006636675386186282, "alpha_t_5y": -1.0828817763101435, "alpha_t_full": -1.0828817763101435, "r2_5y": 0.9693376477887424, "r2_full": 0.9693376477887424, "corr_portfolio": 0.10222345049772473, "corr_benchmark": 0.8224653871960524, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.1999851190917783, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.27, agg +0.35, efa +0.12, iwm +0.07, vweax +0.15, qqq -0.04", "ref_full": "ivv +0.27, agg +0.35, efa +0.12, iwm +0.07, vweax +0.15, qqq -0.04" }, "aacpx": { "sym": "aacpx", "name": "ONE CHOICE BLEND+ 2035 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016910689643548197, "alpha_t_5y": -2.366859220586317, "alpha_t_full": -2.366859220586317, "r2_5y": 0.9748823178266687, "r2_full": 0.9748823178266687, "corr_portfolio": 0.11220858696305178, "corr_benchmark": 0.7619139629937716, "alpha_pos_frac": 0.55, "fund_max_dd": -0.23500701528020884, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.31, vea +0.14, agg +0.23, iwm +0.10, vweax +0.14, vwo +0.03", "ref_full": "ivv +0.31, vea +0.14, agg +0.23, iwm +0.10, vweax +0.14, vwo +0.03" }, "aacrx": { "sym": "aacrx", "name": "STRATEGIC ALLOCATION: CONSERVATIVE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015990834482795223, "alpha_t_5y": -2.1369400973206347, "alpha_t_full": -2.5787792130874094, "r2_5y": 0.9522936631560686, "r2_full": 0.9543029490795358, "corr_portfolio": 0.30122990940670624, "corr_benchmark": 0.7464743968327447, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.2633718959861281, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.19, agg +0.33, vea +0.12, iwm +0.08, vnq +0.03, vweax +0.09", "ref_full": "ivv +0.24, ief +0.25, efa +0.09, iwm +0.08, vweax +0.12, fxe +0.04" }, "aacsx": { "sym": "aacsx", "name": "ONE CHOICE BLEND+ 2040 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01124246081498418, "alpha_t_5y": -1.5236716993339083, "alpha_t_full": -1.5236716993339083, "r2_5y": 0.9784474520298986, "r2_full": 0.9784474520298986, "corr_portfolio": 0.11965500928327584, "corr_benchmark": 0.7346584705727536, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.24199180971833767, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.34, vea +0.15, iwm +0.12, agg +0.17, vwo +0.05, vweax +0.14", "ref_full": "ivv +0.34, vea +0.15, iwm +0.12, agg +0.17, vwo +0.05, vweax +0.14" }, "aactx": { "sym": "aactx", "name": "American Funds 2020 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010068665882849543, "alpha_t_5y": -0.16629316474105246, "alpha_t_full": 0.1349203263092792, "r2_5y": 0.9621362908582232, "r2_full": 0.9419306426002555, "corr_portfolio": 0.32588677049383846, "corr_benchmark": 0.7320990491701699, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.46279206672517414, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vmbix +0.17, efa +0.11, qqq -0.10, ief +0.19, djp +0.02", "ref_full": "ivv +0.31, efa +0.17, vnq +0.04, ief +0.16, vwo +0.08, qqq -0.05" }, "aadax": { "sym": "aadax", "name": "Invesco Select Risk: Growth Investor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02185962969197667, "alpha_t_5y": -2.541158491941521, "alpha_t_full": -3.0650161047921247, "r2_5y": 0.9748364973274969, "r2_full": 0.9695146500156151, "corr_portfolio": 0.31477267314893853, "corr_benchmark": 0.6525003217498289, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5579120117330258, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.37, vea +0.26, iwm +0.14, vblix +0.08, vwo +0.07, efa -0.09", "ref_full": "ivv +0.35, efa +0.17, iwm +0.12, vwo +0.10, tlt +0.05, vnq +0.04" }, "aadhx": { "sym": "aadhx", "name": "ONE CHOICE BLEND+ 2045 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01133999453432013, "alpha_t_5y": -1.417824386657017, "alpha_t_full": -1.417824386657017, "r2_5y": 0.9789702869343712, "r2_full": 0.9789702869343712, "corr_portfolio": 0.12394695711192133, "corr_benchmark": 0.7125163282529572, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.2504476004782987, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.17, iwm +0.13, vmbix +0.11, vwo +0.06, vweax +0.12", "ref_full": "ivv +0.38, vea +0.17, iwm +0.13, vmbix +0.11, vwo +0.06, vweax +0.12" }, "aadnx": { "sym": "aadnx", "name": "ONE CHOICE BLEND+ 2050 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010035047656648945, "alpha_t_5y": -1.1505284209118125, "alpha_t_full": -1.1505284209118125, "r2_5y": 0.9782359549330384, "r2_full": 0.9782359549330384, "corr_portfolio": 0.12970489995967874, "corr_benchmark": 0.7003248705163538, "alpha_pos_frac": 0.55, "fund_max_dd": -0.2548121875772631, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vea +0.18, iwm +0.14, vwo +0.07, vblix +0.04, vweax +0.11", "ref_full": "ivv +0.41, vea +0.18, iwm +0.14, vwo +0.07, vblix +0.04, vweax +0.11" }, "aadtx": { "sym": "aadtx", "name": "American Funds 2025 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004553224580511266, "alpha_t_5y": -0.691700558074343, "alpha_t_full": 0.15133787964430825, "r2_5y": 0.9633820802099334, "r2_full": 0.9503856097523351, "corr_portfolio": 0.3135647474767928, "corr_benchmark": 0.704383523966788, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.48799787041828646, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.40, vmbix +0.16, vea +0.13, qqq -0.07, ief +0.17, vweax +0.08", "ref_full": "ivv +0.30, efa +0.19, vwo +0.08, ief +0.12, vnq +0.04, gsg +0.02" }, "aadwx": { "sym": "aadwx", "name": "ONE CHOICE BLEND+ 2055 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008127216377355107, "alpha_t_5y": -0.8818207964605391, "alpha_t_full": -0.8818207964605391, "r2_5y": 0.9780860414555859, "r2_full": 0.9780860414555859, "corr_portfolio": 0.13366366350689182, "corr_benchmark": 0.689385854792006, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.2578901512058126, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, vea +0.19, iwm +0.15, vwo +0.07, vweax +0.11, tlt +0.02", "ref_full": "ivv +0.44, vea +0.19, iwm +0.15, vwo +0.07, vweax +0.11, tlt +0.02" }, "aaegx": { "sym": "aaegx", "name": "ONE CHOICE BLEND+ 2060 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007802153094573861, "alpha_t_5y": -0.769875269967411, "alpha_t_full": -0.769875269967411, "r2_5y": 0.9744433402810566, "r2_full": 0.9744433402810566, "corr_portfolio": 0.1337595029412155, "corr_benchmark": 0.6831442399404491, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.2595055648466871, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, vea +0.19, iwm +0.14, vwo +0.08, vweax +0.12, vnq +0.02", "ref_full": "ivv +0.44, vea +0.19, iwm +0.14, vwo +0.08, vweax +0.12, vnq +0.02" }, "aaekx": { "sym": "aaekx", "name": "ONE CHOICE BLEND+ 2065 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009285116000835305, "alpha_t_5y": -0.999920805306611, "alpha_t_full": -0.999920805306611, "r2_5y": 0.9784261458822933, "r2_full": 0.9784261458822933, "corr_portfolio": 0.1356271723120391, "corr_benchmark": 0.6832821736296689, "alpha_pos_frac": 0.55, "fund_max_dd": -0.2614266028125073, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.45, vea +0.19, iwm +0.14, vwo +0.08, vweax +0.11, vnq +0.02", "ref_full": "ivv +0.45, vea +0.19, iwm +0.14, vwo +0.08, vweax +0.11, vnq +0.02" }, "aaetx": { "sym": "aaetx", "name": "American Funds 2030 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007008965746022992, "alpha_t_5y": -1.0093774524112586, "alpha_t_full": 0.34663748945205125, "r2_5y": 0.971137387798632, "r2_full": 0.9674206013847312, "corr_portfolio": 0.30995028539929786, "corr_benchmark": 0.674659023210108, "alpha_pos_frac": 0.5128205128205128, "fund_max_dd": -0.49495093483650876, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.36, vmbix +0.14, vea +0.15, iwm +0.04, ief +0.12, vweax +0.08", "ref_full": "ivv +0.37, efa +0.20, vwo +0.07, ief +0.11, iwm +0.04, gsg +0.02" }, "aaewx": { "sym": "aaewx", "name": "ONE CHOICE BLEND+ 2030 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009734062681764237, "alpha_t_5y": -1.4496036757047996, "alpha_t_full": -1.4496036757047996, "r2_5y": 0.9714248627688644, "r2_full": 0.9714248627688644, "corr_portfolio": 0.1109345265235303, "corr_benchmark": 0.7946082434693186, "alpha_pos_frac": 0.55, "fund_max_dd": -0.21377539025005832, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.27, vmbix +0.09, vea +0.14, iwm +0.08, vweax +0.14, ief +0.16", "ref_full": "ivv +0.27, vmbix +0.09, vea +0.14, iwm +0.08, vweax +0.14, ief +0.16" }, "aaftx": { "sym": "aaftx", "name": "American Funds 2035 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008665058649280546, "alpha_t_5y": -1.0704935222901106, "alpha_t_full": -0.10183295343478706, "r2_5y": 0.9718729908981265, "r2_full": 0.9776694529844037, "corr_portfolio": 0.3032288166941522, "corr_benchmark": 0.6520593912315188, "alpha_pos_frac": 0.5794871794871795, "fund_max_dd": -0.49892190096009825, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, vea +0.14, vmbix +0.10, iwm +0.05, vwo +0.04, ief +0.10", "ref_full": "ivv +0.44, efa +0.18, vwo +0.07, vweax +0.11, iwm +0.05, ief +0.07" }, "aagox": { "sym": "aagox", "name": "Alger Large Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02713994873206593, "alpha_t_5y": -0.7064506730496031, "alpha_t_full": -1.827379946617264, "r2_5y": 0.8801553928253496, "r2_full": 0.9070868961245604, "corr_portfolio": 0.10578207624738772, "corr_benchmark": 0.5790333682802208, "alpha_pos_frac": 0.44621513944223107, "fund_max_dd": -0.6986403509814187, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.99, iwm +0.17, vnq -0.15, vwo +0.06", "ref_full": "qqq +0.74, ivv +0.26, vnq -0.07, iwm +0.11, gld +0.04, vweax +0.07" }, "aagtx": { "sym": "aagtx", "name": "American Funds 2040 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010467230221544986, "alpha_t_5y": -1.203910425485687, "alpha_t_full": -0.2815626311037843, "r2_5y": 0.9758915484376575, "r2_full": 0.980407128552155, "corr_portfolio": 0.2979217542762339, "corr_benchmark": 0.6425748945686917, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5002589352276301, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.53, vea +0.15, iwm +0.06, ief +0.08, vwo +0.06, vweax +0.08", "ref_full": "ivv +0.39, efa +0.19, vweax +0.15, vwo +0.05, qqq +0.08, iwm +0.05" }, "aahmx": { "sym": "aahmx", "name": "abrdn Short Duration High Yield Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02069028207699466, "alpha_t_5y": -2.0955166555987703, "alpha_t_full": 0.09239435182934241, "r2_5y": 0.32406331383602893, "r2_full": 0.32735303483986133, "corr_portfolio": 0.06916067345208148, "corr_benchmark": 0.2780667639095107, "alpha_pos_frac": 0.6013071895424836, "fund_max_dd": -0.11156567468087353, "first": "2013-06-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, ivv -0.04, vblix +0.24, tlt -0.15", "ref_full": "vweax +0.12, vblix +0.24, tlt -0.17, ivv -0.02, agg +0.08, fxy +0.02" }, "aahtx": { "sym": "aahtx", "name": "American Funds 2045 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009885686947170668, "alpha_t_5y": -1.0802741437628598, "alpha_t_full": -0.29019660268990605, "r2_5y": 0.9758696049449266, "r2_full": 0.9797283361806073, "corr_portfolio": 0.2953268099317391, "corr_benchmark": 0.6405207544588571, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5004311163549822, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.18, vwo +0.06, iwm +0.07, vblix +0.04, qqq +0.06", "ref_full": "ivv +0.39, efa +0.19, qqq +0.09, vweax +0.15, vwo +0.05, iwm +0.05" }, "aaiix": { "sym": "aaiix", "name": "Ancora Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007302461671323239, "alpha_t_5y": -0.3822349915181916, "alpha_t_full": -0.9417034910909174, "r2_5y": 0.5469704970363096, "r2_full": 0.5101648821418648, "corr_portfolio": 0.23730504166551603, "corr_benchmark": 0.5462082906068926, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.35825890410441186, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.50, iwm +0.06, vnq +0.06, tlt +0.14, ief -0.20, efa +0.05", "ref_full": "ivv +0.24, agg +0.88, vweax +0.38, ief -0.41, vnq +0.06, qqq -0.11" }, "aaltx": { "sym": "aaltx", "name": "American Funds 2050 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 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-0.2931937829487764, "first": "2010-02-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.18, vwo +0.07, iwm +0.07, qqq +0.10, vweax +0.11", "ref_full": "ivv +0.38, vea +0.19, qqq +0.11, iwm +0.06, vweax +0.13, vwo +0.05" }, "aantx": { "sym": "aantx", "name": "American Funds 2060 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011810524605192014, "alpha_t_5y": -1.1776486871648382, "alpha_t_full": -0.5555777024281683, "r2_5y": 0.9740185528941908, "r2_full": 0.9763294920639445, "corr_portfolio": 0.2736775026375596, "corr_benchmark": 0.64961545737315, "alpha_pos_frac": 0.5572519083969466, "fund_max_dd": -0.29415951682602914, "first": "2015-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.18, vwo +0.07, iwm +0.08, qqq +0.11, vblix +0.03", "ref_full": "ivv +0.39, vea +0.20, qqq +0.12, iwm +0.07, vwo +0.06, vblix +0.05" }, "aasox": { "sym": "aasox", "name": "Alger Small Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06750597259588438, "alpha_t_5y": -0.5863523838117708, "alpha_t_full": -0.6382348021191161, "r2_5y": 0.46447011747420675, "r2_full": 0.5948597552408736, "corr_portfolio": 0.06677511155956084, "corr_benchmark": 0.41083999715831154, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.8516388560205417, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.93, qqq +0.97, ivv -0.96", "ref_full": "iwm +0.77, qqq +0.61, ivv -0.33, vnq -0.05, gld +0.05" }, "abaex": { "sym": "abaex", "name": "AB Emerging Markets Multi-Asset Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014299130728248708, "alpha_t_5y": -0.05897587184387591, "alpha_t_full": -0.9588599141826863, "r2_5y": 0.829062927382225, "r2_full": 0.821789589674935, "corr_portfolio": 0.3235424738503037, "corr_benchmark": 0.47470010348699265, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.38781264452593645, "first": "2011-09-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.54, vea +1.35, efa -1.16, vnq -0.08, vweax +0.25, fxe -0.12", "ref_full": "vwo +0.46, vweax +0.39, vea +1.02, efa -0.92, vnq -0.05, qqq +0.03" }, "abalx": { "sym": "abalx", "name": "AMERICAN BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0079171792442113, "alpha_t_5y": 0.8327636183506678, "alpha_t_full": 1.4556182084544074, "r2_5y": 0.9535439385332374, "r2_full": 0.9690805136350936, "corr_portfolio": 0.30517974867434994, "corr_benchmark": 0.705526231240365, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.4020442112292766, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.57, agg +0.30, vea +0.32, gsg +0.02, efa -0.22, qqq -0.06", "ref_full": "ivv +0.51, ief +0.15, efa +0.08, iwm +0.03, gsg +0.01, agg +0.07" }, "abasx": { "sym": "abasx", "name": "AB Discovery Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0031334917464053494, "alpha_t_5y": -0.11788990040613322, "alpha_t_full": 0.18659626508412044, "r2_5y": 0.9100584818165849, "r2_full": 0.9351273918825057, "corr_portfolio": 0.3516876665757004, "corr_benchmark": 0.5078745689162322, "alpha_pos_frac": 0.46303501945525294, "fund_max_dd": -0.6016590626156421, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.68, vnq +0.03, ief -0.12, efa +0.07, qqq -0.55, ivv +0.89", "ref_full": "iwm +0.71, ivv +0.57, qqq -0.31, vweax +0.15, ief -0.11, vnq +0.04" }, "abdax": { "sym": "abdax", "name": "Columbia Capital Allocation Conservative Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0062267956372036104, "alpha_t_5y": -1.2107197784527466, "alpha_t_full": -1.9583403421517904, "r2_5y": 0.9577558695295334, "r2_full": 0.895077901780236, 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"ref_full": "vweax +0.93, efa +0.02, djp +0.01, agg +0.11, tlt -0.03, fxy -0.01" }, "abhyx": { "sym": "abhyx", "name": "HIGH-YIELD MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006313063581751314, "alpha_t_5y": -0.41214358573984644, "alpha_t_full": 0.29651618647228006, "r2_5y": 0.4125177686291136, "r2_full": 0.279603758370209, "corr_portfolio": 0.05913614207238981, "corr_benchmark": 0.33907042067947357, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.26329617984620635, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.09, ivv -0.08, vnq +0.03, vblix +0.31, tlt -0.19", "ref_full": "vweax +0.37, ief +0.07, fxy +0.04, gsg -0.01, agg +0.11, efa -0.02" }, "abiax": { "sym": "abiax", "name": "AB International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026844651046939734, "alpha_t_5y": 1.3546168558890936, "alpha_t_full": -2.353510118766724, "r2_5y": 0.9178218040587505, 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-0.09, vnq +0.03, vblix +0.26, tlt -0.16", "ref_full": "vweax +0.28, vblix +0.36, tlt -0.26, fxy +0.06, vea -0.04, agg +0.23" }, "ablox": { "sym": "ablox", "name": "Alger Balanced Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008723539022341145, "alpha_t_5y": 0.8910201982614786, "alpha_t_full": -1.721055750267823, "r2_5y": 0.9574184271941826, "r2_full": 0.9114964931425007, "corr_portfolio": 0.2923347721809022, "corr_benchmark": 0.6490403481491402, "alpha_pos_frac": 0.6098654708520179, "fund_max_dd": -0.4785883680572163, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.64, agg +0.09, vea +0.04, iwm -0.02", "ref_full": "ivv +0.47, ief +0.12, qqq +0.09, vweax +0.09, gsg +0.01, efa +0.02" }, "abnax": { "sym": "abnax", "name": "AB Bond Inflation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007878463216414072, "alpha_t_5y": 0.07548981992706424, "alpha_t_full": 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false, "ref_5y": "agg +0.15, vweax +0.22, ief +0.34, ivv -0.02, vmbix +0.19, vblix +0.06", "ref_full": "ief +0.40, vweax +0.22, agg +0.12, fxe +0.03, vnq +0.01, tlt +0.03" }, "abpax": { "sym": "abpax", "name": "AB Sustainable Thematic Balanced Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.054925267667851004, "alpha_t_5y": -3.778886205908321, "alpha_t_full": -3.8123963176890268, "r2_5y": 0.9170499433727021, "r2_full": 0.890688043560109, "corr_portfolio": 0.16026699501893954, "corr_benchmark": 0.7618160278972023, "alpha_pos_frac": 0.6235294117647059, "fund_max_dd": -0.2620518023956294, "first": "2019-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, agg +0.36, iwm +0.09, efa +0.05, vweax +0.12, gsg -0.02", "ref_full": "ivv +0.22, ief +0.33, iwm +0.10, vea +0.08, qqq +0.10, vweax +0.14" }, "abrzx": { "sym": "abrzx", "name": "INVESCO BALANCED-RISK ALLOCATION FUND", "bucket": "all", "in_portfolio": false, 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+0.28, vweax +0.48, ivv -0.11, vnq +0.04, vmbix +0.15, tlt -0.16", "ref_full": "vweax +0.42, agg +0.29, qqq -0.02, fxy +0.04, vnq +0.03, iwm -0.03" }, "abuax": { "sym": "abuax", "name": "Columbia Capital Allocation Moderate Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0075886987852853685, "alpha_t_5y": -1.1626501680160208, "alpha_t_full": -1.8108310761956168, "r2_5y": 0.9743189334146696, "r2_full": 0.9590089045389524, "corr_portfolio": 0.2877915650194517, "corr_benchmark": 0.739145867750574, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.3740347523789056, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, vmbix +0.25, vea +0.11, vblix +0.08, vwo +0.04, iwm +0.03", "ref_full": "ivv +0.32, agg +0.05, efa +0.11, vweax +0.18, ief +0.19, iwm +0.06" }, "abvax": { "sym": "abvax", "name": "AB Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 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"2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.32, vea +0.19, ief +0.28, vwo +0.06, djp +0.03, vweax +0.13", "ref_full": "ivv +0.27, efa +0.17, ief +0.18, iwm +0.08, vwo +0.07, vweax +0.17" }, "accex": { "sym": "accex", "name": "INVESCO CORPORATE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01622772193183313, "alpha_t_5y": -2.6434417839013715, "alpha_t_full": -1.7969550486674117, "r2_5y": 0.9411915386947768, "r2_full": 0.8283041461907609, "corr_portfolio": 0.050768112224297945, "corr_benchmark": 0.7239513226296177, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2414638038969884, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.55, vweax +0.27, agg +0.18, tlt -0.23, ief +0.08", "ref_full": "ief +0.30, vweax +0.48, tlt +0.11, agg +0.11, fxy +0.02, efa +0.01" }, "accnx": { "sym": "accnx", "name": "CORE PLUS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0041691073405417, "alpha_t_5y": -0.7075895229884147, "alpha_t_full": -0.3308308855409517, "r2_5y": 0.9443012940385043, "r2_full": 0.8460054433782218, "corr_portfolio": -0.04833223927687696, "corr_benchmark": 0.6934934049264552, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.1974010258337371, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.07, vweax +0.12, ief +0.37, vblix +0.36, vmbix +0.25, tlt -0.19", "ref_full": "ief +0.44, vweax +0.27, agg +0.07, vnq +0.01, tlt +0.04, fxe +0.01" }, "aceix": { "sym": "aceix", "name": "INVESCO EQUITY AND INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0028373353354498383, "alpha_t_5y": -0.22489270167993633, "alpha_t_full": 1.0616822280952707, "r2_5y": 0.9281118097384947, "r2_full": 0.9181988103506687, "corr_portfolio": 0.3834129726840847, "corr_benchmark": 0.5521616700326764, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.3818016854555927, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.85, qqq -0.39, iwm +0.16, vea +0.06, gsg +0.02, vblix +0.04", "ref_full": "ivv +0.66, qqq -0.23, iwm +0.16, vweax +0.15, efa +0.07, vnq -0.03" }, "aceyx": { "sym": "aceyx", "name": "AB All China Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06385649493036091, "alpha_t_5y": -0.9795597390044852, "alpha_t_full": -0.5038139441163821, "r2_5y": 0.5616821344409013, "r2_full": 0.6078430313621457, "corr_portfolio": 0.11475967574357174, "corr_benchmark": 0.3156108754671578, "alpha_pos_frac": 0.5274725274725275, "fund_max_dd": -0.5758086447250231, "first": "2018-07-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.24, vea -0.38, gsg +0.08", "ref_full": "vwo +1.15, vea -0.34, djp +0.07" }, "acfix": { "sym": "acfix", "name": "WATER ISLAND CREDIT OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005882698498263487, "alpha_t_5y": 0.08942269076325872, "alpha_t_full": 1.5015052560421576, "r2_5y": 0.4597027134718663, "r2_full": 0.4916794550553193, "corr_portfolio": 0.22496487253591757, "corr_benchmark": 0.24093633691595048, "alpha_pos_frac": 0.4875, "fund_max_dd": -0.08405677380495846, "first": "2012-10-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, vmbix -0.04", "ref_full": "vweax +0.24, agg -0.08, vnq +0.01, vblix +0.17, tlt -0.12" }, "acfox": { "sym": "acfox", "name": "FOCUSED DYNAMIC GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.055535388131804864, "alpha_t_5y": -1.7046999390348805, "alpha_t_full": -1.190192847037792, "r2_5y": 0.906946439430092, "r2_full": 0.855111630814062, "corr_portfolio": 0.08701402961885216, "corr_benchmark": 0.6009328469573042, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.5892277407163579, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.98, iwm +0.17, vea -0.48, vwo +0.09, efa +0.32", "ref_full": "qqq +0.58, ivv +0.38, vnq -0.10, gld +0.07, iwm +0.13, tlt +0.05" }, "acgix": { "sym": "acgix", "name": "INVESCO GROWTH AND INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009164828978243455, "alpha_t_5y": 0.051198652525740976, "alpha_t_full": 0.7938936466010972, "r2_5y": 0.9289873758351901, "r2_full": 0.9280411991323293, "corr_portfolio": 0.39272227887903005, "corr_benchmark": 0.48973444917073045, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5346300425089521, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.29, qqq -0.60, iwm +0.21, ief -0.15, vea +0.10, gsg +0.03", "ref_full": "ivv +1.09, qqq -0.39, iwm +0.20, efa +0.09, tlt -0.06, vnq -0.04" }, "acgyx": { "sym": "acgyx", "name": "AB Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002038278826208384, "alpha_t_5y": -0.27127944843038054, "alpha_t_full": -0.8055029298046548, "r2_5y": 0.9199696463289693, "r2_full": 0.8724334546450428, "corr_portfolio": 0.002540290229037345, "corr_benchmark": 0.6927332251160513, "alpha_pos_frac": 0.5084745762711864, "fund_max_dd": -0.21329491093783148, "first": "2016-04-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.11, vweax +0.38, ief +0.43, vmbix +0.22, ivv -0.02, gsg -0.01", "ref_full": "vmbix +0.18, vweax +0.34, ief +0.50, tlt -0.20, vblix +0.26" }, "acisx": { "sym": "acisx", "name": "AB CORPORATE INCOME SHARES", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026873700482559666, "alpha_t_5y": 0.49812794281961603, "alpha_t_full": 0.006609359033804618, "r2_5y": 0.9594386499428187, "r2_full": 0.8930991686284483, "corr_portfolio": 0.004849794332158025, "corr_benchmark": 0.7098305387264107, "alpha_pos_frac": 0.5652173913043478, "fund_max_dd": -0.223774591738214, "first": "2012-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.67, tlt -0.31, ief +0.18, vweax +0.17, ivv -0.01, agg +0.13", "ref_full": "vblix +0.61, vweax +0.20, ief +0.29, tlt -0.30, agg +0.17, vmbix -0.11" }, "acitx": { "sym": "acitx", "name": "INFLATION-ADJUSTED BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00018542437678493515, "alpha_t_5y": 0.01339815746918655, "alpha_t_full": -0.049957702629221085, "r2_5y": 0.7101150207739421, "r2_full": 0.6677566500207837, "corr_portfolio": -0.05468024132525759, "corr_benchmark": 0.603652513664608, "alpha_pos_frac": 0.5258620689655172, "fund_max_dd": -0.15500656984370464, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.40, gsg +0.03, ief +0.37, djp +0.03", "ref_full": "ief +0.55, gsg +0.04, vweax +0.13, tlt +0.06, gld +0.01, agg +0.06" }, "acmvx": { "sym": "acmvx", "name": "MID CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013119266147353828, "alpha_t_5y": 0.6336808800931232, "alpha_t_full": 1.3806523811801326, "r2_5y": 0.8866562626130295, "r2_full": 0.9214081298081138, "corr_portfolio": 0.4004733859466182, "corr_benchmark": 0.5078452686785858, "alpha_pos_frac": 0.5137254901960784, "fund_max_dd": -0.5118307722456756, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.22, vnq +0.13, efa +0.11, qqq -0.71, ivv +1.17, gld -0.03", "ref_full": "ivv +0.94, qqq -0.42, iwm +0.27, vnq +0.05, vweax +0.12, tlt -0.03" }, "acpsx": { "sym": "acpsx", "name": "INVESCO CORE PLUS BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009730660218926724, "alpha_t_5y": -1.850199017123141, "alpha_t_full": -0.0628099888212849, "r2_5y": 0.945909148535796, "r2_full": 0.1471186111409455, "corr_portfolio": -0.0031779568278420254, "corr_benchmark": 0.27342702130222124, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.2327357432760785, "first": "2009-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.08, vweax +0.20, vblix +0.36, tlt -0.18, ief +0.20, vmbix +0.17", "ref_full": "agg +0.18, vweax +0.33, ief +0.38" }, "acskx": { "sym": "acskx", "name": "SHORT DURATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011637829706673613, "alpha_t_5y": -2.299224364347955, "alpha_t_full": -1.9565836034255173, "r2_5y": 0.6449861704640252, "r2_full": 0.4809745240148853, "corr_portfolio": 0.006655594855112344, "corr_benchmark": 0.3983128446339338, "alpha_pos_frac": 0.4161849710982659, "fund_max_dd": -0.0682050682712586, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.24, tlt -0.19, vblix +0.13, ivv -0.02, vweax +0.07, agg +0.12", "ref_full": "ief +0.25, vweax +0.11, tlt -0.06, fxy +0.01" }, "acstx": { "sym": "acstx", "name": "INVESCO COMSTOCK FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02369041355386047, "alpha_t_5y": 1.21341636561753, "alpha_t_full": 1.8176901681310735, "r2_5y": 0.9106036005749498, "r2_full": 0.9162394018093305, "corr_portfolio": 0.41239224423839316, "corr_benchmark": 0.4601769765904197, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5860641409265046, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.20, ivv +1.35, qqq -0.71, gsg +0.05, ief -0.17, vea +0.13", "ref_full": "ivv +1.09, qqq -0.43, iwm +0.20, tlt -0.07, efa +0.12, gld -0.06" }, "acthx": { "sym": "acthx", "name": "INVESCO HIGH YIELD MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008976021186991588, "alpha_t_5y": -0.5072197291705515, "alpha_t_full": 0.41791987729551483, "r2_5y": 0.3978592718955184, "r2_full": 0.30614290501588604, "corr_portfolio": 0.06132266704760994, "corr_benchmark": 0.34003917818731483, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.2729153199741442, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, vblix +0.37, ivv -0.10, tlt -0.20, vnq +0.03", "ref_full": "vweax +0.42, ief +0.06, efa -0.04, agg +0.15, fxy +0.04, vnq +0.01" }, "adfix": { "sym": "adfix", "name": "DIVERSIFIED BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002258950170229396, "alpha_t_5y": -0.4190283081954521, "alpha_t_full": -0.7607241697496452, "r2_5y": 0.9525818489490647, "r2_full": 0.8682448299678615, "corr_portfolio": -0.09528491798711869, "corr_benchmark": 0.6707588577656362, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.18553822711186319, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.33, ief +0.36, vweax +0.13, ivv -0.03, vblix +0.28, tlt -0.17", "ref_full": "ief +0.46, vweax +0.20, agg +0.08, tlt +0.04, fxe +0.02, vnq +0.00" }, "adgax": { "sym": "adgax", "name": "AB CORE OPPORTUNITIES FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015278745337076393, "alpha_t_5y": -1.0377245676011033, "alpha_t_full": -0.0855050918691261, "r2_5y": 0.9554949938475876, "r2_full": 0.9413232044175464, "corr_portfolio": 0.2868417845433602, "corr_benchmark": 0.6114510239396592, "alpha_pos_frac": 0.5136186770428015, "fund_max_dd": -0.536509011014274, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.03, iwm +0.05, vnq -0.04, qqq -0.07", "ref_full": "ivv +0.85, efa +0.05, iwm +0.07, vnq -0.03, agg +0.19, tlt -0.05" }, "adjex": { "sym": "adjex", "name": "Azzad Ethical Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08606383777871605, "alpha_t_5y": -2.593012307630655, "alpha_t_full": -2.8107188827763774, "r2_5y": 0.8796170192909184, "r2_full": 0.8911492244394102, "corr_portfolio": 0.14264849899505036, "corr_benchmark": 0.6160857553605216, "alpha_pos_frac": 0.556420233463035, "fund_max_dd": -0.5562516402991526, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.69, iwm +0.41, vnq +0.12, ivv -0.23", "ref_full": "ivv +0.18, qqq +0.43, iwm +0.36, gld +0.05, vweax +0.14, vnq -0.04" }, "adsix": { "sym": "adsix", "name": "DISCIPLINED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03429908589999206, "alpha_t_5y": -2.0791090352108124, "alpha_t_full": -2.8295367870637063, "r2_5y": 0.9664181053520994, "r2_full": 0.9623769607372741, "corr_portfolio": 0.17008974404883306, "corr_benchmark": 0.6229810315671923, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5303521149001402, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.63, ivv +0.52, vea -0.32, vnq -0.05, efa +0.24", "ref_full": "qqq +0.51, ivv +0.57, vnq -0.04, gld +0.03, efa -0.04, agg +0.06" }, "advdx": { "sym": "advdx", "name": "abrdn Dynamic Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013670893044362207, "alpha_t_5y": -0.9837535989565518, "alpha_t_full": -2.1802370895732825, "r2_5y": 0.9426537670651527, "r2_full": 0.8737145053555657, "corr_portfolio": 0.3605177978215865, "corr_benchmark": 0.5795795290537561, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6203391195043721, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.14, ivv +0.59, qqq -0.16, vwo +0.09, vnq +0.06, efa +0.19", "ref_full": "ivv +0.39, efa +0.29, vweax +0.25, djp +0.07, iwm +0.08, vwo +0.06" }, "aedax": { "sym": "aedax", "name": "Invesco International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011196518005959078, "alpha_t_5y": -0.4699650033914734, "alpha_t_full": -0.5497829981655878, "r2_5y": 0.8950321703485173, "r2_full": 0.8992094141817504, "corr_portfolio": 0.34830500182759616, "corr_benchmark": 0.5183831340119257, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.6046242989202268, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.91, fxe +0.31, vweax +0.23, fxy -0.11, gsg -0.02", "ref_full": "efa +0.77, vweax +0.42, fxe +0.22, agg -0.07" }, "aedfx": { "sym": "aedfx", "name": "WATER ISLAND EVENT-DRIVEN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.1446404893808146, "r2_5y": NaN, "r2_full": 0.30676372727259693, "corr_portfolio": 0.2729964995426361, "corr_benchmark": 0.3649926993279209, "alpha_pos_frac": 0.5950413223140496, "fund_max_dd": -0.16718886669410016, "first": "2010-10-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ivv +0.06, vweax +0.18, iwm +0.05, vnq +0.02" }, "aepgx": { "sym": "aepgx", "name": "EUPAC FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03949750799680581, "alpha_t_5y": -1.826328586996332, "alpha_t_full": -0.823560974576737, "r2_5y": 0.9081367487439029, "r2_full": 0.9252662206696699, "corr_portfolio": 0.32092192361207794, "corr_benchmark": 0.5457121344983279, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5397539581503874, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.33, vwo +0.23, qqq +0.12, vweax +0.25, vnq -0.06, efa +0.31", "ref_full": "efa +0.56, vwo +0.16, vweax +0.33, qqq +0.13, vnq -0.05, fxe +0.11" }, "afcnx": { "sym": "afcnx", "name": "FOCUSED INTERNATIONAL GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09732284445605613, "alpha_t_5y": -4.022489849418432, "alpha_t_full": -2.255409376706441, "r2_5y": 0.9053078505421082, "r2_full": 0.8919703474224056, "corr_portfolio": 0.23890279616090604, "corr_benchmark": 0.5890586704374289, "alpha_pos_frac": 0.5546218487394958, "fund_max_dd": -0.399944673920414, "first": "2016-04-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.37, qqq +0.29, ivv -0.20, efa +0.49, vwo +0.09, gsg -0.04", "ref_full": "vea +0.40, qqq +0.28, ivv -0.26, vweax +0.25, vwo +0.10, efa +0.41" }, "affcx": { "sym": "affcx", "name": "Yorktown Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009248255718541614, "alpha_t_5y": -1.4135510566671114, "alpha_t_full": -1.468948604416377, "r2_5y": 0.8159421433750108, "r2_full": 0.6346330259036428, "corr_portfolio": 0.2480636274253497, "corr_benchmark": 0.605883193782797, "alpha_pos_frac": 0.5508474576271186, "fund_max_dd": -0.22898432590734652, "first": "2016-05-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.10, vweax +0.25, vblix +0.10, vmbix +0.12, vea +0.02, qqq -0.01", "ref_full": "vweax +0.43, agg +0.13, ivv +0.12, qqq -0.06, vwo +0.04, vblix +0.06" }, "afjax": { "sym": "afjax", "name": "Virtus NFJ International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.000963826124391896, "alpha_t_5y": 0.02863030611268189, "alpha_t_full": -1.887290187098048, "r2_5y": 0.7904947248862146, "r2_full": 0.9158692272640006, "corr_portfolio": 0.344992365183501, "corr_benchmark": 0.5141128563441288, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6110799716321762, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.49, vwo +0.43, vweax +0.46, djp +0.04, iwm -0.05", "ref_full": "efa +0.45, vwo +0.28, vweax +0.28, djp +0.06, ivv +0.13, fxe +0.06" }, "aflix": { "sym": "aflix", "name": "Anfield Universal Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010707980035625129, "alpha_t_5y": 0.1727060432007877, "alpha_t_full": 0.5438951038394215, "r2_5y": 0.4303675565485606, "r2_full": 0.30121329968503496, "corr_portfolio": 0.18201572446066663, "corr_benchmark": 0.3319239787425885, "alpha_pos_frac": 0.618421052631579, "fund_max_dd": -0.09433987136077193, "first": "2013-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.16, ief +0.22, tlt -0.04, vea +0.02, vmbix -0.08", "ref_full": "vweax +0.18, agg +0.12, tlt -0.05, ief +0.11, vmbix -0.07" }, "afocx": { "sym": "afocx", "name": "Archer Focus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03340222628710321, "alpha_t_5y": -1.610554538667692, "alpha_t_full": -1.4149084415427007, "r2_5y": 0.8934500443268364, "r2_full": 0.9217349463432348, "corr_portfolio": 0.3165979720060332, "corr_benchmark": 0.6437756356559866, "alpha_pos_frac": 0.5405405405405406, "fund_max_dd": -0.34034226949640145, "first": "2020-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.99, qqq -0.30, iwm +0.11, vnq +0.06, djp +0.03, vea +0.05", "ref_full": "ivv +0.93, qqq -0.19, iwm +0.09, vnq +0.05, djp +0.04, tlt +0.03" }, "afrax": { "sym": "afrax", "name": "Invesco Floating Rate ESG Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 0.22214759885143678, "r2_5y": NaN, "r2_full": 0.5371927261436309, "corr_portfolio": 0.32121391527356946, "corr_benchmark": 0.07807349131610312, "alpha_pos_frac": 0.6176470588235294, "fund_max_dd": -0.3600838453406485, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "vweax +0.53, tlt -0.03, iwm -0.01, agg +0.04" }, "aftex": { "sym": "aftex", "name": "TAX EXEMPT BOND FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01238730173540305, "alpha_t_5y": -1.0418853394187981, "alpha_t_full": 0.8081925364655873, "r2_5y": 0.3937990921703255, "r2_full": 0.3012769344478624, "corr_portfolio": 0.03480702450937875, "corr_benchmark": 0.35110064109633027, "alpha_pos_frac": 0.556420233463035, "fund_max_dd": -0.15018384141577013, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, ief +0.13, ivv -0.06, vnq +0.02", "ref_full": "vweax +0.27, ief +0.07, fxy +0.03, agg +0.10, efa -0.03, vnq +0.01" }, "agbvx": { "sym": "agbvx", "name": "GLOBAL BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012066097345435595, "alpha_t_5y": -1.5577796027716262, "alpha_t_full": -0.8306559691114668, "r2_5y": 0.8129918200499758, "r2_full": 0.7479384672568989, "corr_portfolio": -0.023905696684440016, "corr_benchmark": 0.6731968287776616, "alpha_pos_frac": 0.5680473372781065, "fund_max_dd": -0.16310312086773016, "first": "2012-02-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.30, vweax +0.21, ief +0.22, fxe -0.03, gsg -0.01, qqq -0.01", "ref_full": "agg +0.09, vweax +0.19, ief +0.14, vblix +0.07, vmbix +0.15, fxe -0.02" }, "agdax": { "sym": "agdax", "name": "AB HIGH INCOME FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004173378239109162, "alpha_t_5y": 0.532018710657737, "alpha_t_full": 1.5025114539236888, "r2_5y": 0.8501717375762641, "r2_full": 0.7614293098309166, "corr_portfolio": 0.3160413307227273, "corr_benchmark": 0.4651322132920176, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.4533398445202791, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.72, vblix +0.36, tlt -0.25, vwo +0.02", "ref_full": "vweax +0.85, vwo +0.04, agg +0.10, gsg +0.01, fxe +0.02, qqq -0.01" }, "aglox": { "sym": "aglox", "name": "Ariel Global Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02652177724835483, "alpha_t_5y": 0.989445787726221, "alpha_t_full": 0.6256842901275242, "r2_5y": 0.7581479697186198, "r2_full": 0.8245163092556709, "corr_portfolio": 0.36092956352207095, "corr_benchmark": 0.5621935151373775, "alpha_pos_frac": 0.4411764705882353, "fund_max_dd": -0.24719102195169984, "first": "2012-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.35, ivv +0.37, vwo +0.16, gsg -0.04, qqq -0.10, fxe -0.12", "ref_full": "vea +0.36, ivv +0.30, vwo +0.07, gsg -0.02" }, "agovx": { "sym": "agovx", "name": "INVESCO Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006153117345648813, "alpha_t_5y": 0.06956674600909178, "alpha_t_full": -0.795254184240801, "r2_5y": 0.6123726547516866, "r2_full": 0.4094042920840607, "corr_portfolio": 0.1044420954607835, "corr_benchmark": 0.37292871574544945, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.3341386805480785, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.16, vweax +0.14, ief +0.22, tlt -0.23, vblix +0.24, ivv -0.02", "ref_full": "ief +0.41, vweax +0.30, agg -0.11, fxy +0.03" }, "agrfx": { "sym": "agrfx", "name": "AB Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036894247778982, "alpha_t_5y": -1.6171584107398542, "alpha_t_full": -1.4835565976022949, "r2_5y": 0.9314628802189885, "r2_full": 0.9449207093324888, "corr_portfolio": 0.15590929207971896, "corr_benchmark": 0.6238856101572792, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.6768829800571199, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.58, ivv +0.44, djp -0.04", "ref_full": "qqq +0.49, ivv +0.44, iwm +0.07, agg +0.08, vnq -0.03, fxe +0.03" }, "agthx": { "sym": "agthx", "name": "GROWTH FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023577146046524857, "alpha_t_5y": -1.4353863833653873, "alpha_t_full": -0.7516959557347915, "r2_5y": 0.9630981132243928, "r2_full": 0.9615858359459243, "corr_portfolio": 0.1864873494906047, "corr_benchmark": 0.6188439967674874, "alpha_pos_frac": 0.4900398406374502, "fund_max_dd": -0.5190712895782572, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.48, iwm +0.16, ivv +0.34, vwo +0.06, vnq -0.04, vweax +0.08", "ref_full": "ivv +0.42, qqq +0.38, djp +0.05, iwm +0.11, vnq -0.05, efa +0.08" }, "aguax": { "sym": "aguax", "name": "American Beacon Developing World Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.048868366353691954, "alpha_t_5y": 2.80037050975215, "alpha_t_full": 2.7692006219153504, "r2_5y": 0.3014190129940273, "r2_full": 0.30472649062958335, "corr_portfolio": 0.24493035248834089, "corr_benchmark": 0.23472570799175585, "alpha_pos_frac": 0.5694444444444444, "fund_max_dd": -0.21233608073569488, "first": "2014-02-27", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vweax +0.52, vwo +0.04, qqq -0.04, efa +0.05, ief -0.06, gsg -0.02", "ref_full": "vweax +0.48, vwo +0.06, qqq -0.03" }, "ahitx": { "sym": "ahitx", "name": "AMERICAN HIGH INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008270542122454684, "alpha_t_5y": 1.103721868544526, "alpha_t_full": 0.18778455078966963, "r2_5y": 0.8625055584620944, "r2_full": 0.8166376315151185, "corr_portfolio": 0.32480057286639274, "corr_benchmark": 0.4451750735387104, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.3480509234593463, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.86, iwm +0.03, gsg +0.01", "ref_full": "vweax +0.87, efa +0.02, djp +0.02, vwo +0.02, gld -0.01" }, "aibax": { "sym": "aibax", "name": "INTERMEDIATE BOND FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0034133797716363176, "alpha_t_5y": -0.6089658500745888, "alpha_t_full": -1.6095154227832285, "r2_5y": 0.8904057807515945, "r2_full": 0.7800244662997484, "corr_portfolio": -0.10927922415149495, "corr_benchmark": 0.5484829161771173, "alpha_pos_frac": 0.4161849710982659, "fund_max_dd": -0.10992868801190814, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.55, tlt -0.26, vblix +0.16, vmbix +0.20, ivv -0.02, vweax +0.08", "ref_full": "ief +0.49, vweax +0.10, tlt -0.09, agg +0.06, fxy +0.02, vnq +0.00" }, "aidax": { "sym": "aidax", "name": "Diversified Municipal Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013508809177144247, "alpha_t_5y": -1.708579016664549, "alpha_t_full": 0.6250736820473394, "r2_5y": 0.33986601816051065, "r2_full": 0.2435241323034475, "corr_portfolio": 0.04471183762781839, "corr_benchmark": 0.3511412761149629, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.09579588967688868, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.13, vweax +0.19, ivv -0.04, vnq +0.01", "ref_full": "agg +0.07, vweax +0.14, ief +0.05, fxy +0.03, vnq +0.01, efa -0.01" }, "aiemx": { "sym": "aiemx", "name": "Alger Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.045762869705598286, "alpha_t_5y": -1.3437325871206736, "alpha_t_full": -1.8742884102922885, "r2_5y": 0.8455723949116172, "r2_full": 0.8440547521947714, "corr_portfolio": 0.23388171601651556, "corr_benchmark": 0.48748750268701074, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.4730912256898351, "first": "2010-12-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.78, qqq +0.33, ivv -0.32, vea +1.46, efa -1.24, gld -0.07", "ref_full": "vwo +0.66, qqq +0.29, vweax +0.27, ivv -0.24, vea +1.09, efa -0.96" }, "aifrx": { "sym": "aifrx", "name": "abrdn Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02803042455607641, "alpha_t_5y": 1.0587937616416927, "alpha_t_full": 1.506627586775007, "r2_5y": 0.7874190687700673, "r2_full": 0.7337800668639309, "corr_portfolio": 0.3673030447747285, "corr_benchmark": 0.5581227754887713, "alpha_pos_frac": 0.507177033492823, "fund_max_dd": -0.383822273715409, "first": "2008-10-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa -0.01, vnq +0.27, fxe +0.22, qqq -0.25, ivv +0.31, vea +0.43", "ref_full": "vea +0.40, vweax +0.48, iwm +0.13, djp +0.06, vnq +0.04, fxy +0.07" }, "aigox": { "sym": "aigox", "name": "Alger Growth & Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017971673695502764, "alpha_t_5y": 1.3894794889320616, "alpha_t_full": 0.5026832893164168, "r2_5y": 0.963708927263433, "r2_full": 0.975299361796035, "corr_portfolio": 0.3000463484489237, "corr_benchmark": 0.609759059336962, "alpha_pos_frac": 0.5102040816326531, "fund_max_dd": -0.7036312377289748, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, efa +0.05, iwm -0.03", "ref_full": "ivv +0.92, efa +0.03, agg +0.08, ief -0.04, gsg +0.01, fxe -0.02" }, "aigyx": { "sym": "aigyx", "name": "abrdn Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015387892801604285, "alpha_t_5y": 1.0005312729283184, "alpha_t_full": -0.19728764230986917, "r2_5y": 0.9601264128807803, "r2_full": 0.9675363942404803, "corr_portfolio": 0.2473995553544873, "corr_benchmark": 0.5567067902219384, "alpha_pos_frac": 0.5526315789473685, "fund_max_dd": -0.7993797087954877, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.00, agg -0.10, iwm -0.06, ivv +0.04, fxy -0.04", "ref_full": "vnq +0.93, ivv +0.07, vweax +0.12, gld -0.03, djp +0.03, iwm -0.03" }, "aiiex": { "sym": "aiiex", "name": "Invesco EQV International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05067894634092261, "alpha_t_5y": -2.8179918726115636, "alpha_t_full": -1.40620711872645, "r2_5y": 0.933015440639575, "r2_full": 0.8753738039366624, "corr_portfolio": 0.3015194079932693, "corr_benchmark": 0.5360892112611226, 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-0.08829259113155455, "alpha_t_5y": -4.073987852113556, "alpha_t_full": -1.8917548285776349, "r2_5y": 0.9205449592871247, "r2_full": 0.9159734277388014, "corr_portfolio": 0.24484433097144093, "corr_benchmark": 0.6185497429016388, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.8000757513751606, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.27, vea +0.33, qqq +0.24, iwm +0.14, gsg -0.03, vweax +0.16", "ref_full": "ivv +0.08, efa +0.25, qqq +0.36, iwm +0.17, vwo +0.11, fxe +0.07" }, "althx": { "sym": "althx", "name": "AB National Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01299200837198349, "alpha_t_5y": -1.0876848013589708, "alpha_t_full": 0.5777569182982709, "r2_5y": 0.4190648429135242, "r2_full": 0.27925396582259776, "corr_portfolio": 0.044021528621635574, "corr_benchmark": 0.3607867111915736, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.15207057417309022, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, ief +0.08, ivv -0.07, vnq +0.02, vblix +0.22, tlt -0.14", "ref_full": "agg +0.09, vweax +0.27, ief +0.09, iwm -0.02, vnq +0.01, fxy +0.03" }, "alvix": { "sym": "alvix", "name": "FOCUSED LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017009116713095258, "alpha_t_5y": 0.8514200438338999, "alpha_t_full": 0.8304519923828556, "r2_5y": 0.8579766992117894, "r2_full": 0.9356799371363518, "corr_portfolio": 0.39707812592441855, "corr_benchmark": 0.4900899644401174, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.5964223867598037, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.37, qqq -0.74, vnq +0.09, efa +0.13, fxe -0.08, gsg -0.02", "ref_full": "ivv +1.18, qqq -0.46, efa +0.16, vnq +0.06, ief -0.12, fxe -0.10" }, "alvox": { "sym": "alvox", "name": "Alger Capital Appreciation Portfolio", 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"fund_max_dd": -0.13989769853597278, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.23, vweax +0.28, ivv -0.06, vnq +0.02, tlt -0.13, vmbix +0.08", "ref_full": "agg +0.09, vweax +0.24, ief +0.11, fxy +0.03, gsg -0.01, efa -0.01" }, "amcpx": { "sym": "amcpx", "name": "AMCAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.031816813435174736, "alpha_t_5y": -1.7177696210524658, "alpha_t_full": -1.2973053064074338, "r2_5y": 0.9469460673873373, "r2_full": 0.9510730640292083, "corr_portfolio": 0.19284055498145847, "corr_benchmark": 0.6183507242749062, "alpha_pos_frac": 0.5361702127659574, "fund_max_dd": -0.5287446875724586, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.57, qqq +0.30, iwm +0.11, gsg -0.03, vweax +0.13, vwo +0.03", "ref_full": "ivv +0.57, qqq +0.23, iwm +0.12, vweax +0.08, fxe +0.04, vnq -0.02" }, "amczx": { "sym": "amczx", "name": "Alger Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.042833827675344785, "alpha_t_5y": -0.4436950168701933, "alpha_t_full": -0.5259071502242351, "r2_5y": 0.5218964222446765, "r2_full": 0.6179258862196781, "corr_portfolio": 0.0766143279687423, "corr_benchmark": 0.5050339532746038, "alpha_pos_frac": 0.5116279069767442, "fund_max_dd": -0.5399731817763815, "first": "2015-05-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.94, iwm +0.61, ivv -0.57", "ref_full": "qqq +0.81, iwm +0.53, ivv -0.39" }, "amecx": { "sym": "amecx", "name": "INCOME FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012334188300351809, "alpha_t_5y": 1.1427650708347044, "alpha_t_full": 1.232369392328452, "r2_5y": 0.9258474743984931, "r2_full": 0.9392057250711646, "corr_portfolio": 0.419776246363064, "corr_benchmark": 0.6114265281542928, "alpha_pos_frac": 0.5689655172413793, "fund_max_dd": -0.44177110852742085, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.20, vnq +0.07, ivv +0.68, qqq -0.33, djp +0.04, agg +0.14", "ref_full": "ivv +0.54, efa +0.18, qqq -0.17, vweax +0.20, ief +0.08, vnq +0.02" }, "amfex": { "sym": "amfex", "name": "AAMA Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0043840821259519104, "alpha_t_5y": -0.34502108287422256, "alpha_t_full": -0.7373036474754886, "r2_5y": 0.9540312554535927, "r2_full": 0.9690679442063469, "corr_portfolio": 0.26721415882565996, "corr_benchmark": 0.6332317277065871, "alpha_pos_frac": 0.38461538461538464, "fund_max_dd": -0.3041198671156412, "first": "2017-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.88, qqq -0.08, djp +0.03, vnq +0.03, efa +0.03", "ref_full": "ivv +0.88, gsg +0.02, qqq -0.05, vwo +0.03" }, "amgox": { "sym": "amgox", "name": "Alger Mid Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03779253261953439, "alpha_t_5y": -0.30414857274833906, "alpha_t_full": -1.1572632748199487, "r2_5y": 0.4127063446400452, "r2_full": 0.614972633949392, "corr_portfolio": 0.0826431750203498, "corr_benchmark": 0.4502660221624269, "alpha_pos_frac": 0.598705501618123, "fund_max_dd": -0.8469430791091727, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.00, iwm +0.63, ivv -0.63", "ref_full": "qqq +0.60, iwm +0.43, djp +0.06" }, "amhix": { "sym": "amhix", "name": "AMERICAN HIGH-INCOME MUNICIPAL BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016839910527581782, "alpha_t_5y": 0.11884462372860576, "alpha_t_full": 1.3528842087142658, "r2_5y": 0.4221583783037852, "r2_full": 0.3192994355975328, "corr_portfolio": 0.05273182089925123, "corr_benchmark": 0.35016655037035094, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.21728816693979547, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, ief +0.07, ivv -0.08, vnq +0.03, vblix +0.27, tlt -0.16", "ref_full": "vweax +0.33, ief +0.06, fxy +0.04, agg +0.12, efa -0.03, vnq +0.01" }, "amhyx": { "sym": "amhyx", "name": "INVESCO High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008802678210202723, "alpha_t_5y": -0.8787176438620827, "alpha_t_full": -0.8312906776075328, "r2_5y": 0.7842908883207654, "r2_full": 0.8209077459527295, "corr_portfolio": 0.3059228398230599, "corr_benchmark": 0.42680982845783216, "alpha_pos_frac": 0.4639175257731959, "fund_max_dd": -0.43748400364942686, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.90, ivv +0.03", "ref_full": "vweax +0.95, ivv +0.02, ief -0.07, agg +0.07, gsg +0.01" }, "amlpx": { "sym": "amlpx", "name": "MainGate MLP Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.11704665034777668, "alpha_t_5y": 1.9329222388479854, "alpha_t_full": 0.36229259362769567, "r2_5y": 0.536489739175792, "r2_full": 0.48962726948793145, "corr_portfolio": 0.28840987901622145, "corr_benchmark": 0.2951738132008128, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.767351021431719, "first": "2011-02-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.28, gsg +0.38, vnq -0.04, qqq -0.77, ivv +1.22", "ref_full": "iwm +0.39, gsg +0.40, vweax +0.75, qqq -0.49, ivv +0.64, fxe -0.26" }, "amrgx": { "sym": "amrgx", "name": "AMERICAN GROWTH FUND Series One", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05215867361370129, "alpha_t_5y": -0.9649058453636455, "alpha_t_full": -1.7351534540970008, "r2_5y": 0.6273792939917975, "r2_full": 0.8144184874816311, "corr_portfolio": 0.22758334358504806, "corr_benchmark": 0.559414377601383, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.7973426363529995, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.86, vea +1.01, efa -0.85, djp -0.09", "ref_full": "ivv +0.52, qqq +0.24, iwm +0.15, efa +0.08, vnq -0.03" }, "amrmx": { "sym": "amrmx", "name": "AMERICAN MUTUAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006828731833448907, "alpha_t_5y": 0.5301257753368543, "alpha_t_full": 1.3586954206767912, "r2_5y": 0.9388717366008745, "r2_full": 0.9498654126127917, "corr_portfolio": 0.37119657069970646, "corr_benchmark": 0.576167998550124, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.4875314969078335, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.18, qqq -0.46, vnq +0.06, vea +0.06", "ref_full": "ivv +0.92, qqq -0.21, efa +0.07, vnq +0.01, fxe -0.03" }, "amtax": { "sym": "amtax", "name": "AB All Market Real Return Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0031770886937910626, "alpha_t_5y": -0.21824391378189215, "alpha_t_full": -1.1577136593716109, "r2_5y": 0.9302461562794114, "r2_full": 0.9117413162656974, "corr_portfolio": 0.36040625403460225, "corr_benchmark": 0.4817714687550322, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.46655135255286295, "first": "2010-03-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vea +0.33, djp +0.29, vnq +0.17, iwm +0.08, gsg +0.05, vblix -0.04", "ref_full": "vea +0.26, djp +0.28, vnq +0.14, iwm +0.08, vwo +0.09, gsg +0.09" }, "amusx": { "sym": "amusx", "name": "U.S. Government Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003530406701835833, "alpha_t_5y": -0.551470806865331, "alpha_t_full": -1.104741673874675, "r2_5y": 0.9325460005715552, "r2_full": 0.8382716075161422, "corr_portfolio": -0.15991398197880557, "corr_benchmark": 0.611202206769455, "alpha_pos_frac": 0.42196531791907516, "fund_max_dd": -0.17023462381742793, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.56, vmbix +0.32, vweax +0.08, tlt -0.17, ivv -0.02, vblix +0.16", "ref_full": "ief +0.59, vweax +0.06, efa +0.00, agg +0.08, tlt -0.03, vnq +0.01" }, "anagx": { "sym": "anagx", "name": "AB GLOBAL BOND FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01311412145700408, "alpha_t_5y": -1.5949644783269756, "alpha_t_full": -0.06188257152742139, "r2_5y": 0.7924142882967307, "r2_full": 0.6171760169402642, "corr_portfolio": -0.028683816633699556, "corr_benchmark": 0.623774617191617, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.4519100018767849, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.41, vweax +0.32, fxe -0.08, gsg -0.01, ivv -0.04, vea +0.03", "ref_full": "agg +0.12, vweax +0.26, ief +0.27, vwo +0.03, qqq -0.02, vnq +0.01" }, "ancfx": { "sym": "ancfx", "name": "AMERICAN FUNDS FUNDAMENTAL INVESTORS", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00970428990181727, "alpha_t_5y": 0.6766761466771234, "alpha_t_full": 0.9646980652690755, "r2_5y": 0.9590748433492619, "r2_full": 0.972746928090719, "corr_portfolio": 0.2941062647402171, "corr_benchmark": 0.6143476980917392, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.532867931285504, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.80, vea +0.36, efa -0.22, vwo +0.04, iwm +0.06, vnq -0.05", "ref_full": "ivv +0.65, efa +0.16, djp +0.06, qqq +0.09, iwm +0.07, vnq -0.03" }, "anefx": { "sym": "anefx", "name": "NEW ECONOMY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01759889926380489, "alpha_t_5y": -0.7868652969062304, "alpha_t_full": -0.16148740289164307, "r2_5y": 0.9286975706549823, "r2_full": 0.9386194739223693, "corr_portfolio": 0.18842591426708236, "corr_benchmark": 0.6027686213789748, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6128070458059267, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.61, iwm +0.12, vwo +0.09, vea +0.50, efa -0.38, fxy -0.08", "ref_full": "ivv +0.16, qqq +0.44, efa +0.11, iwm +0.12, vwo +0.08, vweax +0.15" }, "angl": { "sym": "angl", "name": "VanEck Fallen Angel High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006269756957259691, "alpha_t_5y": -0.42623126856828925, "alpha_t_full": 0.26057612320690504, "r2_5y": 0.7773161848262933, "r2_full": 0.5163177625456429, "corr_portfolio": 0.20483498703200104, "corr_benchmark": 0.5901245823785086, "alpha_pos_frac": 0.41566265060240964, "fund_max_dd": -0.2930889356389057, "first": "2012-04-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.16, agg +1.12, vweax +0.34, iwm +0.04, ief -0.36, vblix -0.10", "ref_full": "vweax +0.60, ivv +0.16, agg +0.61, gsg +0.04, vnq +0.04, ief -0.19" }, "anglx": { "sym": "anglx", "name": "Angel Oak Multi-Strategy Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014131916452015574, "alpha_t_5y": 0.1579153068854662, "alpha_t_full": 2.8455134098862587, "r2_5y": 0.39715993564775576, "r2_full": 0.19056052808694735, "corr_portfolio": 0.07045150084116057, "corr_benchmark": 0.1662201645767697, "alpha_pos_frac": 0.5795454545454546, "fund_max_dd": -0.1639786247053283, "first": "2011-07-08", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vmbix +0.14, vweax +0.26, ivv -0.01, gsg -0.01, fxy +0.03, efa -0.02", "ref_full": "vweax +0.28, vmbix +0.20, efa -0.03, agg -0.13, fxy +0.04, gsg -0.01" }, "annpx": { "sym": "annpx", "name": "Virtus Convertible Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004857323190057269, "alpha_t_5y": -0.19160779257341554, "alpha_t_full": 0.8738524042248822, "r2_5y": 0.81064120243589, "r2_full": 0.8463142550694409, "corr_portfolio": 0.1565869339053387, "corr_benchmark": 0.5738221338006301, "alpha_pos_frac": 0.5617529880478087, "fund_max_dd": -0.5113587398154036, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.37, qqq +0.44, ivv -0.38, vwo +0.08", "ref_full": "qqq +0.26, iwm +0.28, vweax +0.26, vnq -0.06, vwo +0.04, gld +0.03" }, "anwpx": { "sym": "anwpx", "name": "NEW PERSPECTIVE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.031202295483066578, "alpha_t_5y": -2.051740536944388, "alpha_t_full": -1.0866044287921859, "r2_5y": 0.9568089321150061, "r2_full": 0.9575852489926374, "corr_portfolio": 0.25897191693061106, "corr_benchmark": 0.6158176649248205, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.5234499149239871, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.19, vea -0.15, qqq +0.32, vwo +0.10, efa +0.45, iwm +0.06", "ref_full": "ivv +0.28, efa +0.39, qqq +0.27, vweax +0.18, gld +0.05, vnq -0.04" }, "aotax": { "sym": "aotax", "name": "Virtus Emerging Markets Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007069115762635621, "alpha_t_5y": 0.017597211691382942, "alpha_t_full": -0.5744217863171932, "r2_5y": 0.6908725107884224, "r2_full": 0.8515376832547012, "corr_portfolio": 0.3274305623100404, "corr_benchmark": 0.42658431563156873, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.7119175271569294, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.67, ivv +0.11, fxe -0.25, vea +1.13, efa -0.94, iwm -0.10", "ref_full": "vwo +0.65, vweax +0.29, ivv +0.09, ief -0.10, efa +0.07, vnq -0.03" }, "apfdx": { "sym": "apfdx", "name": "Artisan Global Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.059804673997804945, "alpha_t_5y": -1.811168152915247, "alpha_t_full": -0.39652687501755995, "r2_5y": 0.8520491916542666, "r2_full": 0.8622492315365227, "corr_portfolio": 0.12110403488665698, "corr_benchmark": 0.6456568581609335, "alpha_pos_frac": 0.49019607843137253, "fund_max_dd": -0.4083002278213764, "first": "2017-08-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.35, iwm +0.31, qqq +0.56, efa +0.31, vweax +0.32, vnq +0.07", "ref_full": "ivv -0.18, vea +0.26, qqq +0.48, iwm +0.28, vweax +0.29, fxe +0.13" }, "apgax": { "sym": "apgax", "name": "AB LARGE CAP GROWTH FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03816339567351563, "alpha_t_5y": -1.9024273792404103, "alpha_t_full": -0.05600573138926721, "r2_5y": 0.9435554089438621, "r2_full": 0.9158867649889046, "corr_portfolio": 0.15590970757624298, "corr_benchmark": 0.6227320851165699, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.6718956218921375, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.51, ivv +0.59, iwm -0.06, djp -0.03, vblix +0.04, vea -0.05", "ref_full": "qqq +0.50, ivv +0.47, fxe +0.06" }, "aphmx": { "sym": "aphmx", "name": "Artisan Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07959307087115645, "alpha_t_5y": -1.9392542457881794, "alpha_t_full": -1.61192308401406, "r2_5y": 0.8359085684040284, "r2_full": 0.8489563343484382, "corr_portfolio": 0.10549465872117479, "corr_benchmark": 0.5950687157519657, "alpha_pos_frac": 0.5369649805447471, "fund_max_dd": -0.6445116079239371, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.80, iwm +0.43, vweax +0.23, ivv -0.37, vnq +0.10", "ref_full": "qqq +0.57, iwm +0.34, efa +0.07, vweax +0.10, gld +0.03" }, "apoix": { "sym": "apoix", "name": "SHORT DURATION INFLATION PROTECTION BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004202216480610032, "alpha_t_5y": 0.4871572038931206, "alpha_t_full": 0.9414896272688689, "r2_5y": 0.6128610485683619, "r2_full": 0.4701232484493807, "corr_portfolio": 0.034343896411683, "corr_benchmark": 0.4343611943089253, "alpha_pos_frac": 0.4717948717948718, "fund_max_dd": -0.14533998249621538, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix -0.01, gsg +0.04, ief +0.39, tlt -0.16, agg +0.28", "ref_full": "ief +0.61, gsg +0.04, tlt -0.11, vweax +0.11, vnq -0.02, iwm +0.02" }, "aqeax": { "sym": "aqeax", "name": "Columbia Disciplined Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007095126928764157, "alpha_t_5y": -0.6214521607128697, "alpha_t_full": -1.3327990224202722, "r2_5y": 0.9744285798258917, "r2_full": 0.977124958110856, "corr_portfolio": 0.30186867669294265, "corr_benchmark": 0.6082776501656708, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.5790410031685349, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.06, iwm +0.03, vnq -0.03, qqq -0.05", "ref_full": "ivv +0.98, vwo +0.02, iwm +0.02, gsg +0.01, fxy -0.03, agg +0.04" }, "aqeix": { "sym": "aqeix", "name": "LKCM Aquinas Catholic Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06278228216794486, "alpha_t_5y": -3.45726696957959, "alpha_t_full": -1.1639764085535467, "r2_5y": 0.9308354711567502, "r2_full": 0.9426896203186018, "corr_portfolio": 0.2942622468332189, "corr_benchmark": 0.5776910561738755, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.503975738866965, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.09, qqq -0.23, iwm +0.11, gsg +0.04, vblix +0.03", "ref_full": "ivv +0.80, iwm +0.15, gsg +0.03, tlt -0.06, vnq +0.02, agg +0.08" }, "arbfx": { "sym": "arbfx", "name": "ARBITRAGE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012565426836917476, "alpha_t_5y": -1.0633066451642361, "alpha_t_full": 0.098706988958643, "r2_5y": 0.37640821474405384, "r2_full": 0.4049452382515595, "corr_portfolio": 0.17090871277717415, "corr_benchmark": 0.3751412851192825, "alpha_pos_frac": 0.42105263157894735, "fund_max_dd": -0.3801214388149292, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.04, ivv +0.07, vweax +0.09, qqq -0.02, fxy -0.03, vnq +0.02", "ref_full": "ivv +0.06, vwo +0.05, vnq +0.03, agg +0.26, fxy -0.06, ief -0.13" }, "archx": { "sym": "archx", "name": "Archer Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005270365962190427, "alpha_t_5y": -0.4569154019855655, "alpha_t_full": -1.5887533027332923, "r2_5y": 0.9287843597782681, "r2_full": 0.9322092685141171, "corr_portfolio": 0.3218546440899444, "corr_benchmark": 0.6231696955178602, "alpha_pos_frac": 0.47346938775510206, "fund_max_dd": -0.4431303243642455, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, qqq -0.18, vnq +0.06, ief +0.05, gld +0.01", "ref_full": "ivv +0.66, qqq -0.10, agg +0.11, vnq +0.03, efa +0.06, fxe -0.04" }, "arcvx": { "sym": "arcvx", "name": "ONE CHOICE 2030 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014682930674685898, "alpha_t_5y": -2.5032111095970238, "alpha_t_full": -0.44506299605698363, "r2_5y": 0.9735606601833547, "r2_full": 0.9422479288379486, "corr_portfolio": 0.314931550060772, "corr_benchmark": 0.7035374430898339, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.39170222190061066, "first": "2008-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.27, vmbix +0.10, efa +0.14, iwm +0.06, ief +0.16, vweax +0.12", "ref_full": "ivv +0.29, efa +0.13, vnq +0.04, agg +0.18, iwm +0.06, vwo +0.05" }, "ardex": { "sym": "ardex", "name": "AMG River Road Dividend All Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010982155707028414, "alpha_t_5y": -0.04979750929346244, "alpha_t_full": 0.16312566895955521, "r2_5y": 0.8501650040207249, "r2_full": 0.9162617489610037, 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"ref_full": "ivv +1.17, qqq -0.56, vnq +0.19, gsg +0.03, efa +0.07, fxe -0.06" }, "ardsx": { "sym": "ardsx", "name": "ONE CHOICE 2040 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017548161624954744, "alpha_t_5y": -2.549612285338226, "alpha_t_full": -0.14944561186087588, "r2_5y": 0.9749592816638778, "r2_full": 0.9489170535796952, "corr_portfolio": 0.3158098469784318, "corr_benchmark": 0.6717152860971849, "alpha_pos_frac": 0.5539906103286385, "fund_max_dd": -0.4368232501914394, "first": "2008-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.32, vea +0.17, agg +0.22, iwm +0.06, vweax +0.13, vnq +0.03", "ref_full": "ivv +0.36, efa +0.14, iwm +0.08, vnq +0.04, agg +0.14, vwo +0.06" }, "arevx": { "sym": "arevx", "name": "ONE CHOICE 2055 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02116101388913064, "alpha_t_5y": -2.6402623298838312, "alpha_t_full": -0.9898897478105348, "r2_5y": 0.9784396968965322, "r2_full": 0.9524867800766329, "corr_portfolio": 0.316315045732053, "corr_benchmark": 0.6442895504497106, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.30155638793855777, "first": "2011-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.19, iwm +0.09, vblix +0.06, vwo +0.06, vnq +0.04", "ref_full": "ivv +0.45, vea +0.16, iwm +0.11, vweax +0.13, vwo +0.05, agg +0.10" }, "arfvx": { "sym": "arfvx", "name": "ONE CHOICE 2050 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020458080283212363, "alpha_t_5y": -2.6402874563525764, "alpha_t_full": -1.0200204673472686, "r2_5y": 0.9771871975913567, "r2_full": 0.9576243664069782, "corr_portfolio": 0.314738518616855, "corr_benchmark": 0.6497262664497923, "alpha_pos_frac": 0.5633802816901409, "fund_max_dd": -0.4682592404771232, "first": "2008-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vea +0.17, iwm +0.09, agg +0.15, vwo +0.05, vweax +0.13", "ref_full": "ivv +0.42, vea +0.14, iwm +0.10, vwo +0.06, vweax +0.13, vnq +0.03" }, "argvx": { "sym": "argvx", "name": "ONE CHOICE 2060 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021254968856646586, "alpha_t_5y": -2.566534531956864, "alpha_t_full": -2.4025105331715015, "r2_5y": 0.9782523891954704, "r2_full": 0.9836095618746276, "corr_portfolio": 0.2888538897463655, "corr_benchmark": 0.6622702913541155, "alpha_pos_frac": 0.576, "fund_max_dd": -0.30847971378669914, "first": "2015-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.19, iwm +0.09, vblix +0.05, vwo +0.06, vnq +0.04", "ref_full": "ivv +0.45, vea +0.19, iwm +0.10, vblix +0.05, vwo +0.06, vweax +0.10" }, "arhfx": { "sym": "arhfx", "name": "One Choice 2065 Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026597523812717766, "alpha_t_5y": -3.1695381162173493, "alpha_t_full": -2.9652332364355933, "r2_5y": 0.9785925441361786, "r2_full": 0.9785527550488596, "corr_portfolio": 0.12832723543030577, "corr_benchmark": 0.6991218947841387, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.26433493222894733, "first": "2020-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, vea +0.19, iwm +0.10, vblix +0.04, vwo +0.06, vnq +0.03", "ref_full": "ivv +0.45, vea +0.19, iwm +0.09, vblix +0.04, vwo +0.07, vnq +0.03" }, "ariix": { "sym": "ariix", "name": "AB Global Real Estate Investment Fund II", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014944076712229309, "alpha_t_5y": -0.9332562358225908, "alpha_t_full": -1.4521801175580913, "r2_5y": 0.9431774029358291, "r2_full": 0.9228639340132128, "corr_portfolio": 0.3015486347106098, "corr_benchmark": 0.5984826529217365, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.7035097729966395, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.71, vea +0.29, ivv -0.11, vweax +0.15", "ref_full": "vnq +0.46, efa +0.34, vweax +0.30, vwo +0.05, qqq -0.06, iwm +0.06" }, "arinx": { "sym": "arinx", "name": "Archer Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007665097029159457, "alpha_t_5y": -1.4404521980774163, "alpha_t_full": 0.5251506442148041, "r2_5y": 0.6067245479254955, "r2_full": 0.36078003751870513, "corr_portfolio": 0.0847722756188009, "corr_benchmark": 0.5764358084684477, "alpha_pos_frac": 0.5055555555555555, "fund_max_dd": -0.09372116318583112, "first": "2011-09-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, vweax +0.12, qqq -0.01, tlt -0.03, vea +0.01, ief +0.09", "ref_full": "vblix +0.06, vweax +0.10, agg +0.10, ief +0.15, vnq +0.01, tlt -0.07" }, "aroix": { "sym": "aroix", "name": "ONE CHOICE 2045 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01950247097857761, "alpha_t_5y": -2.687417830964725, "alpha_t_full": -0.587172952827536, "r2_5y": 0.9767261690253094, "r2_full": 0.9546448737702778, "corr_portfolio": 0.3164812810302356, "corr_benchmark": 0.6601082620896445, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.4895492205679943, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, vea +0.16, agg +0.20, iwm +0.08, vweax +0.13, vwo +0.04", "ref_full": "ivv +0.40, efa +0.14, iwm +0.10, vwo +0.07, ief +0.09, vnq +0.03" }, "arskx": { "sym": "arskx", "name": "Archer Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016802277669463773, "alpha_t_5y": -1.0016703842146266, "alpha_t_full": -2.136657630931929, "r2_5y": 0.9401051807275822, "r2_full": 0.9238035730982016, "corr_portfolio": 0.2500632859169881, "corr_benchmark": 0.596912563070691, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.32442582839546363, "first": "2011-03-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.85, iwm +0.06, vnq +0.03, vblix +0.03", "ref_full": "ivv +0.66, iwm +0.17, qqq +0.11, fxy -0.04, efa +0.27, vea -0.24" }, "artox": { "sym": "artox", "name": "ONE CHOICE IN RETIREMENT PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010767514277624153, "alpha_t_5y": -2.0665593709870964, "alpha_t_full": -0.954768011148965, "r2_5y": 0.9730619686784951, "r2_full": 0.9409174638390282, "corr_portfolio": 0.30206301935869606, "corr_benchmark": 0.7341892763480635, "alpha_pos_frac": 0.49224806201550386, "fund_max_dd": -0.2765553877320617, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, agg +0.33, efa +0.11, iwm +0.04, vweax +0.11, qqq -0.05", "ref_full": "ivv +0.27, ief +0.21, efa +0.09, iwm +0.06, vweax +0.12, fxe +0.03" }, "artrx": { "sym": "artrx", "name": "Artisan Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07435115744077626, "alpha_t_5y": -2.6581902218516005, "alpha_t_full": -0.8385518237381553, "r2_5y": 0.8729935456731361, "r2_full": 0.9099137986989214, "corr_portfolio": 0.21222457135615286, "corr_benchmark": 0.607453488685992, "alpha_pos_frac": 0.5119617224880383, "fund_max_dd": -0.4599999609389349, "first": "2008-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.22, efa +0.60, qqq +0.37, vweax +0.34, vwo +0.10, vea -0.35", "ref_full": "ivv +0.13, vea +0.23, qqq +0.40, vnq +0.05, vwo +0.07, iwm +0.07" }, "artsx": { "sym": "artsx", "name": "Artisan Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07551986888793091, "alpha_t_5y": -1.6822353128372052, "alpha_t_full": -1.3693306489284565, "r2_5y": 0.8510556652324488, "r2_full": 0.8680405595263603, "corr_portfolio": 0.07322123486962524, "corr_benchmark": 0.5747676052172008, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.6276587285834823, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.82, qqq +0.83, ivv -0.70, vblix +0.10, gsg -0.06, vwo +0.09", "ref_full": "iwm +0.75, qqq +0.58, ivv -0.33, agg +0.16, vnq -0.03, vweax +0.09" }, "aryix": { "sym": "aryix", "name": "ONE CHOICE 2035 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016807156142188046, "alpha_t_5y": -2.751621033500323, "alpha_t_full": -0.5343694117172532, "r2_5y": 0.9761177688817784, "r2_full": 0.9475160738481532, "corr_portfolio": 0.3178996694847194, "corr_benchmark": 0.6874201050854275, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.4509471437694327, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vmbix +0.09, efa +0.16, iwm +0.06, vweax +0.13, ief +0.15", "ref_full": "ivv +0.32, efa +0.13, vnq +0.04, agg +0.16, vwo +0.06, iwm +0.07" }, "asbax": { "sym": "asbax", "name": "Short-Term Bond Fund of America", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008923979789864771, "alpha_t_5y": -1.6518064074090695, "alpha_t_full": -1.6001093104792965, "r2_5y": 0.6446479755504975, "r2_full": 0.5269667159153055, "corr_portfolio": -0.10194378494399323, "corr_benchmark": 0.3440884309939334, "alpha_pos_frac": 0.37572254335260113, "fund_max_dd": -0.059665974440396785, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.30, tlt -0.21, vblix +0.11, efa -0.02, vweax +0.06, agg +0.15", "ref_full": "ief +0.28, tlt -0.07, vweax +0.07, fxy +0.01, agg +0.02" }, "ascgx": { "sym": "ascgx", "name": "Lisanti Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06454408586026168, "alpha_t_5y": -1.6237103391324696, "alpha_t_full": -1.2425237299622576, "r2_5y": 0.8755168436872726, "r2_full": 0.8860994224952954, 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false, "ref_5y": "ivv +1.12, qqq -0.30, iwm +0.06, vea +0.06", "ref_full": "ivv +1.02, efa +0.10, vnq -0.08, qqq -0.17, agg +0.25, tlt -0.06" }, "aunax": { "sym": "aunax", "name": "AB Municipal Bond Inflation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013224332725150998, "alpha_t_5y": -1.0475431639089143, "alpha_t_full": -0.08221795182476951, "r2_5y": 0.19449516149871804, "r2_full": 0.21603998360874654, "corr_portfolio": 0.1758125403949235, "corr_benchmark": 0.22724736677790008, "alpha_pos_frac": 0.5181347150259067, "fund_max_dd": -0.14218878942222746, "first": "2010-02-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.25, gsg +0.04", "ref_full": "vweax +0.22, djp +0.04, agg +0.14, tlt -0.03, efa -0.02, vnq +0.02" }, "auuyx": { "sym": "auuyx", "name": "AB Select US Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009343576881334486, "alpha_t_5y": 0.4927118026325176, "alpha_t_full": 0.7619111942935962, 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+0.12", "ref_full": "ivv +0.94, iwm +0.21, qqq -0.26, vwo -0.03, vweax +0.07, tlt -0.02" }, "avefx": { "sym": "avefx", "name": "Ave Maria Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013672343652584515, "alpha_t_5y": 0.16051984414132706, "alpha_t_full": 1.5141227854546875, "r2_5y": 0.76077403411546, "r2_full": 0.7608659693459391, "corr_portfolio": 0.2994274311223647, "corr_benchmark": 0.6889314419196622, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.10242722740084176, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.05, vmbix +0.12, iwm +0.08, gsg +0.03, ief +0.34, tlt -0.09", "ref_full": "ivv +0.17, ief +0.39, qqq -0.07, iwm +0.05, tlt -0.08, vweax +0.06" }, "avegx": { "sym": "avegx", "name": "Ave Maria Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022644899017181645, "alpha_t_5y": -0.8334448925604695, "alpha_t_full": 0.058065538470394376, "r2_5y": 0.8770091820079571, "r2_full": 0.9176147787763325, "corr_portfolio": 0.252497779481658, "corr_benchmark": 0.6186337838469783, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.49038482247753956, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.58, iwm +0.13, ief +0.08, vnq +0.09, qqq +0.13, vea +0.06", "ref_full": "ivv +0.68, iwm +0.20, vweax +0.10, qqq +0.05, ief +0.04" }, "avemx": { "sym": "avemx", "name": "Ave Maria Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0049917178864754275, "alpha_t_5y": 0.12281648925596331, "alpha_t_full": 0.05999958784635785, "r2_5y": 0.7265230280696251, "r2_full": 0.8707581242204949, "corr_portfolio": 0.3595137175867439, "corr_benchmark": 0.4816307755654023, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.6012215366159717, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.48, gsg +0.21, efa +0.22, vnq +0.11, agg -0.18, vwo -0.08", "ref_full": "iwm +0.41, ivv +0.54, gsg +0.10, qqq -0.21, efa +0.07, vnq +0.03" }, "averx": { "sym": "averx", "name": "Ave Maria Value Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05251228485817717, "alpha_t_5y": 0.8831118939441097, "alpha_t_full": 0.6880134856524105, "r2_5y": 0.5915809683234747, "r2_full": 0.7339613369787488, "corr_portfolio": 0.3276225907177993, "corr_benchmark": 0.42620466438793286, "alpha_pos_frac": 0.4595744680851064, "fund_max_dd": -0.5877152567857522, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.51, gsg +0.34, vnq +0.13, gld +0.09, ief -0.21", "ref_full": "iwm +0.36, gsg +0.11, ivv +0.54, qqq -0.19, gld +0.05, djp +0.07" }, "avewx": { "sym": "avewx", "name": "Ave Maria World Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022762438857951192, "alpha_t_5y": -1.0104573344515098, "alpha_t_full": -2.631997130722396, "r2_5y": 0.9020755330258815, "r2_full": 0.9260053584352336, "corr_portfolio": 0.34308242411368894, "corr_benchmark": 0.5937776665244057, "alpha_pos_frac": 0.5, "fund_max_dd": -0.40257358718224034, "first": "2010-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.64, vea +0.36, iwm +0.15, qqq -0.12, vweax +0.18, vnq -0.05", "ref_full": "ivv +0.69, vea +0.30, iwm +0.13, qqq -0.15, vweax +0.21, vnq -0.05" }, "awaax": { "sym": "awaax", "name": "AB Wealth Appreciation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01194674114758066, "alpha_t_5y": -1.1786665522058437, "alpha_t_full": -2.8443152638670823, "r2_5y": 0.9774982771050179, "r2_full": 0.9760675162644973, "corr_portfolio": 0.32516917759619807, "corr_benchmark": 0.6089355263149222, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6051321278227619, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, vea +0.25, vwo +0.08, iwm +0.06, vnq -0.04, fxy -0.04", "ref_full": "ivv +0.50, efa +0.23, iwm +0.11, vwo +0.07, djp +0.03, qqq +0.05" }, "awgix": { "sym": "awgix", "name": "CIBC ATLAS ALL CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044486562137005484, "alpha_t_5y": -1.4821916331044895, "alpha_t_full": -1.6574124107546413, "r2_5y": 0.8792795977690206, "r2_full": 0.8804815134325532, "corr_portfolio": 0.19909059202363766, "corr_benchmark": 0.6031917354415813, "alpha_pos_frac": 0.5203619909502263, "fund_max_dd": -0.5281774895085942, "first": "2007-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, qqq +0.34, iwm +0.09, djp -0.04", "ref_full": "qqq +0.53, iwm +0.18, ivv +0.28, vnq -0.03, gld +0.02, vweax +0.08" }, "awpax": { "sym": "awpax", "name": "AB SUSTAINABLE INTERNATIONAL THEMATIC FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08839876733417595, "alpha_t_5y": -4.069287112559861, "alpha_t_full": -3.1872792487170916, "r2_5y": 0.9135363222574621, "r2_full": 0.9192024091229067, "corr_portfolio": 0.27969258458992424, "corr_benchmark": 0.5805211173100417, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6300184034238479, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.68, qqq +0.17, vweax +0.23, gsg -0.04, vwo +0.09, fxe +0.12", "ref_full": "efa +0.59, vwo +0.16, qqq +0.12, vweax +0.27, fxe +0.10, gld +0.03" }, "awsax": { "sym": "awsax", "name": "INVESCO Global Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023640913301530876, "alpha_t_5y": -1.2869133901983842, "alpha_t_full": -2.4535378297822747, "r2_5y": 0.9216554988488593, "r2_full": 0.9275288060409617, "corr_portfolio": 0.30179109639654944, "corr_benchmark": 0.5783848830452537, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.569935927484411, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, efa +0.53, vwo +0.08, gsg -0.03, vea -0.28, vweax +0.14", "ref_full": "efa +0.41, ivv +0.46, vweax +0.18, vnq -0.04, iwm +0.05, vwo +0.03" }, "awshx": { "sym": "awshx", "name": "WASHINGTON MUTUAL INVESTORS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00946878012088054, "alpha_t_5y": 0.7027385662393647, "alpha_t_full": 1.1512386311354714, "r2_5y": 0.9475226012087801, "r2_full": 0.9612825458433361, "corr_portfolio": 0.3470041192963953, "corr_benchmark": 0.5756819139374112, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5395102071911104, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.20, qqq -0.36, efa +0.06, gsg +0.01", "ref_full": "ivv +1.05, qqq -0.21, efa +0.07, fxe -0.04, vnq +0.01" }, "axbax": { "sym": "axbax", "name": "Columbia Capital Allocation Aggressive Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010578444633113816, "alpha_t_5y": -1.3911587835206258, "alpha_t_full": -2.2283450335943837, "r2_5y": 0.9830965613800032, "r2_full": 0.9693641003283751, "corr_portfolio": 0.3052500649008229, "corr_benchmark": 0.6450782269989903, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.5310840265655017, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.59, vea +0.13, vwo +0.09, vmbix +0.15, iwm +0.05, vnq -0.03", "ref_full": "ivv +0.42, efa +0.17, iwm +0.08, vweax +0.16, qqq +0.09, djp +0.03" }, "azbax": { "sym": "azbax", "name": "Virtus Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016127457458082032, "alpha_t_5y": 0.07831896992184288, "alpha_t_full": -0.15176082470237734, "r2_5y": 0.9370151308691202, "r2_full": 0.9435061473042766, "corr_portfolio": 0.2897213963708376, "corr_benchmark": 0.5522290690396443, "alpha_pos_frac": 0.5, "fund_max_dd": -0.40806740892868987, "first": "2013-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.74, ivv +0.29, qqq -0.09, vnq -0.04", "ref_full": "iwm +0.75, ivv +0.11, qqq +0.06, vmbix -0.30, agg +0.23" }, "aznax": { "sym": "aznax", "name": "Virtus Income & Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02763863277774322, "alpha_t_5y": -2.085998598260641, "alpha_t_full": -2.2704962745698327, "r2_5y": 0.9179126361640099, "r2_full": 0.9385924993019759, "corr_portfolio": 0.23295714683976038, "corr_benchmark": 0.6317288741190431, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.4366871025830581, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.07, qqq +0.26, vweax +0.37, iwm +0.11, vwo +0.03", "ref_full": "ivv +0.26, vweax +0.40, qqq +0.17, iwm +0.09, djp +0.04, vnq -0.02" }, "bacix": { "sym": "bacix", "name": "BLACKROCK ENERGY OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04155391306799659, "alpha_t_5y": 0.7183783428344763, "alpha_t_full": 0.8616389577787806, "r2_5y": 0.6696999777983889, "r2_full": 0.7591179125089226, "corr_portfolio": 0.3953517693774375, "corr_benchmark": 0.2787691184623408, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.7781228333578925, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.60, iwm +0.17, efa +0.28, qqq -0.85, ivv +1.15, ief -0.34", "ref_full": "efa +0.21, gsg +0.56, iwm +0.20, qqq -0.58, ivv +0.82, vwo +0.21" }, "bagix": { "sym": "bagix", "name": "Baird Aggregate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 2.5394896609057405, "r2_5y": NaN, "r2_full": 0.8016331587869503, "corr_portfolio": -0.10349443677124642, "corr_benchmark": 0.5784224612496194, "alpha_pos_frac": 0.4589041095890411, "fund_max_dd": -0.08408877557685224, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ief +0.33, vweax +0.10, tlt +0.06, efa +0.01, agg +0.06, fxy +0.02" }, "batex": { "sym": "batex", "name": "BATS: High Income Municipal Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004998070005635363, "alpha_t_5y": 0.2596604398417302, "alpha_t_full": 1.6428454604256502, "r2_5y": 0.33757431145112937, "r2_full": 0.3368364826847149, "corr_portfolio": 0.06968535813486498, "corr_benchmark": 0.2893713441144254, "alpha_pos_frac": 0.5539568345323741, "fund_max_dd": -0.1901113715326992, "first": "2014-08-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.49, ivv -0.11, vblix +0.37, tlt -0.22, vnq +0.03", "ref_full": "vweax +0.25, vblix +0.57, tlt -0.37, fxy +0.07, vea -0.06, vnq +0.04" }, "batpx": { "sym": "batpx", "name": "BATS: Interest Rate Hedge Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00512515670040923, "alpha_t_5y": 0.6986701126861045, "alpha_t_full": 0.21802623314505407, "r2_5y": 0.9476323281951985, "r2_full": 0.8973248980495884, "corr_portfolio": 0.20521104552674088, "corr_benchmark": -0.5874279856057909, "alpha_pos_frac": 0.33548387096774196, "fund_max_dd": -0.2467352989596696, "first": "2013-03-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief -0.99", "ref_full": "ief -0.85, vweax +0.07, vmbix -0.16, gsg +0.01" }, "bbcpx": { "sym": "bbcpx", "name": "Bridge Builder Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0023642212419280346, "alpha_t_5y": 0.4677336033896487, "alpha_t_full": 0.7117235338617702, "r2_5y": 0.9569712043426813, "r2_full": 0.9408136318761524, "corr_portfolio": -0.046217446928404425, "corr_benchmark": 0.7110073266445393, "alpha_pos_frac": 0.4921875, "fund_max_dd": -0.1783548681699827, "first": "2015-07-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.01, vweax +0.12, ief +0.40, vmbix +0.20, vblix +0.35, tlt -0.21", "ref_full": "vblix +0.28, vmbix +0.22, vweax +0.16, ief +0.36, tlt -0.15, fxy +0.01" }, "bbhlx": { "sym": "bbhlx", "name": "BBH Partner Fund - International Equity", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04704295911157727, "alpha_t_5y": -1.1781905918250049, "alpha_t_full": -0.9572364217886041, "r2_5y": 0.7622900427394063, "r2_full": 0.7691007151406848, "corr_portfolio": 0.2553591554424498, "corr_benchmark": 0.5350999113185636, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.5461906768395763, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.13, qqq +0.29, efa +0.69, vweax +0.36, ivv -0.18", "ref_full": "efa +0.63, vweax +0.48, qqq +0.11, vnq -0.06, iwm +0.05, fxe +0.06" }, "bchyx": { "sym": "bchyx", "name": "CALIFORNIA HIGH-YIELD MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009782430002454712, "alpha_t_5y": -0.6494454366666743, "alpha_t_full": 0.7975815250509237, "r2_5y": 0.41475363055939163, "r2_full": 0.29732217376527703, "corr_portfolio": 0.03932388200017143, "corr_benchmark": 0.3536875591843055, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.17631242039370532, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.29, tlt -0.18", "ref_full": "vweax +0.34, ief +0.09, fxy +0.04, agg +0.12, efa -0.03, vnq +0.02" }, "bciix": { "sym": "bciix", "name": "The Brown Capital Management International All Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12111842460246161, "alpha_t_5y": -2.734181237011863, "alpha_t_full": -2.0056589028546004, "r2_5y": 0.6709397583236305, "r2_full": 0.6492259340076822, "corr_portfolio": 0.12488389324425411, "corr_benchmark": 0.5681247700904081, "alpha_pos_frac": 0.6666666666666666, "fund_max_dd": -0.432159093950811, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea -0.06, vweax +0.82, qqq +0.36, ivv -0.27, efa +0.59, fxe +0.18", "ref_full": "vea +0.53, vweax +0.59, qqq +0.38, ivv -0.38, fxe +0.23, vblix +0.11" }, "bcitx": { "sym": "bcitx", "name": "CALIFORNIA INTERMEDIATE-TERM TAX-FREE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015223551335518415, "alpha_t_5y": -1.6179581860792442, "alpha_t_full": 0.7385613769846128, "r2_5y": 0.4056974454610358, "r2_full": 0.2896864916775782, "corr_portfolio": 0.039737974046262066, "corr_benchmark": 0.337253851678768, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.11182616860112693, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, ief +0.06, ivv -0.05, vblix +0.20, tlt -0.13, vnq +0.02", "ref_full": "vweax +0.22, ief +0.05, fxy +0.03, agg +0.09, efa -0.02, vnq +0.01" }, "bcoix": { "sym": "bcoix", "name": "Baird Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0031618162234257944, "alpha_t_5y": 0.7984418150624468, "alpha_t_full": 1.9463655661714987, "r2_5y": 0.9703692974529529, "r2_full": 0.857791854323079, "corr_portfolio": -0.08115410658612981, "corr_benchmark": 0.722257823474074, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.18119399757278587, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.27, vblix +0.09, ief +0.24, vweax +0.08, vmbix +0.14, vnq -0.01", "ref_full": "ief +0.36, vweax +0.16, agg +0.12, tlt +0.05, ivv +0.02, fxy +0.02" }, "bdsix": { "sym": "bdsix", "name": "BlackRock Advantage Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0023601511001904046, "alpha_t_5y": 0.2002212770206681, "alpha_t_full": 0.8356380197631604, "r2_5y": 0.9847302066853829, "r2_full": 0.9796466466344801, "corr_portfolio": 0.263315077489379, "corr_benchmark": 0.5485685500991277, "alpha_pos_frac": 0.4967741935483871, "fund_max_dd": -0.4336059407333801, "first": "2013-03-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.97, ivv +0.06, vnq -0.02", "ref_full": "iwm +0.96, ivv +0.04, agg +0.35, ief -0.16, vmbix -0.16" }, "bearx": { "sym": "bearx", "name": "Federated Hermes Prudent Bear Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013028277486017497, "alpha_t_5y": -1.0495122416841922, "alpha_t_full": -2.562697280062783, "r2_5y": 0.9705079866194654, "r2_full": 0.922873944107486, "corr_portfolio": -0.24280372831359748, "corr_benchmark": -0.6007443415225678, "alpha_pos_frac": 0.36893203883495146, "fund_max_dd": -0.942660190731094, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.96, iwm -0.05", "ref_full": "ivv -0.63, iwm -0.14, qqq -0.09, gld +0.04, vnq +0.03, gsg +0.02" }, "bfiax": { "sym": "bfiax", "name": "AMERICAN FUNDS INFLATION LINKED BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00852892988202695, "alpha_t_5y": -0.5825465027180214, "alpha_t_full": 0.014638423271882578, "r2_5y": 0.6638999400896657, "r2_full": 0.6509619228855272, "corr_portfolio": -0.08284191240370377, "corr_benchmark": 0.5337207726065842, "alpha_pos_frac": 0.5, "fund_max_dd": -0.16084630654805476, "first": "2012-12-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.63, gsg +0.05, vweax +0.07", "ref_full": "ief +0.67, gsg +0.03, vweax +0.08, djp +0.02" }, "bflax": { "sym": "bflax", "name": "Lord Abbett Multi-Asset Balanced Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02913524619019993, "alpha_t_5y": -2.4522893199727935, "alpha_t_full": -2.230214575075896, "r2_5y": 0.9241136712627425, "r2_full": 0.9361166607606807, "corr_portfolio": 0.3206688120952309, "corr_benchmark": 0.6237577355062855, "alpha_pos_frac": 0.441025641025641, "fund_max_dd": -0.4235010445079658, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "ivv +0.30, vea +0.14, iwm +0.11, vmbix +0.13, vweax +0.14, fxy -0.03", "ref_full": "ivv +0.33, efa +0.13, vweax +0.25, iwm +0.09, djp +0.03, agg +0.05" }, "bgatx": { "sym": "bgatx", "name": "Baillie Gifford Global Alpha Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07726831062905067, "alpha_t_5y": -2.4642605636741246, "alpha_t_full": -0.3278069549980612, "r2_5y": 0.8670086064896145, "r2_full": 0.6604462464317136, "corr_portfolio": 0.16192565986093974, "corr_benchmark": 0.517508839521358, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.406817839522162, "first": "2015-04-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.14, vwo +0.27, qqq +0.34, iwm +0.16, vweax +0.25, efa +0.11", "ref_full": "ivv +0.05, vwo +0.24, qqq +0.36, iwm +0.18, efa +0.67, vea -0.48" }, "bgcbx": { "sym": "bgcbx", "name": "Baillie Gifford China Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08488278368729381, "alpha_t_5y": -1.1802641620341534, "alpha_t_full": -1.1802641620341534, "r2_5y": 0.6330462612180889, "r2_full": 0.6330462612180889, "corr_portfolio": -0.031437816100062695, "corr_benchmark": 0.24673545486516305, "alpha_pos_frac": 0.5178571428571429, "fund_max_dd": -0.5907098387685414, "first": "2021-07-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.62, vea -1.49, gsg +0.13, efa +1.05, ivv -0.18", "ref_full": "vwo +1.62, vea -1.49, gsg +0.13, efa +1.05, ivv -0.18" }, "bgehx": { "sym": "bgehx", "name": "Baillie Gifford Emerging Markets Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03284760956014324, "alpha_t_5y": -1.0006906443295613, "alpha_t_full": 0.5044399647863081, "r2_5y": 0.8784915107874572, "r2_full": 0.8102418450104738, "corr_portfolio": 0.252456398797194, "corr_benchmark": 0.46219772818703053, "alpha_pos_frac": 0.5, "fund_max_dd": -0.505301249681641, "first": "2015-04-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.96, qqq +0.10, vnq -0.11, vea +1.50, efa -1.28, fxe -0.19", "ref_full": "vwo +0.85, qqq +0.10, vweax +0.30, vnq -0.12, iwm +0.10" }, "bgeix": { "sym": "bgeix", "name": "GLOBAL GOLD FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021803398901011236, "alpha_t_5y": -0.28932931728388633, "alpha_t_full": -1.056094298943958, "r2_5y": 0.7293203332512255, "r2_full": 0.6787437425142898, "corr_portfolio": 0.04873713833195247, "corr_benchmark": 0.33527611680802527, "alpha_pos_frac": 0.42152466367713004, "fund_max_dd": -0.7869446563714617, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.27, vea +1.52, efa -0.96, vnq +0.10", "ref_full": "gld +1.49, vwo +0.26, efa +0.15, iwm +0.08, fxy +0.13, gsg +0.05" }, "bgetx": { "sym": "bgetx", "name": "Baillie Gifford International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1090303071213268, "alpha_t_5y": -2.4533889390957357, "alpha_t_full": -1.054856586394386, "r2_5y": 0.8276943285737859, "r2_full": 0.797947484744698, "corr_portfolio": 0.12008002762196797, "corr_benchmark": 0.5500515294351239, "alpha_pos_frac": 0.5153846153846153, "fund_max_dd": -0.5443521829605831, "first": "2015-04-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.58, qqq +0.65, efa +1.32, ivv -0.44, vea -0.91, vweax +0.47", "ref_full": "vea -0.35, qqq +0.67, vwo +0.36, ivv -0.58, efa +0.91, vweax +0.35" }, "bggsx": { "sym": "bggsx", "name": "Baillie Gifford U.S. Equity Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11662576007311101, "alpha_t_5y": -1.5817638452870832, "alpha_t_full": -0.6256927385041355, "r2_5y": 0.7437174819456387, "r2_full": 0.7506251525044655, "corr_portfolio": -0.0662094455318813, "corr_benchmark": 0.584019405357681, "alpha_pos_frac": 0.5377358490566038, "fund_max_dd": -0.663840312960132, "first": "2017-05-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.60, iwm +0.66, ivv -1.07, vweax +0.76, vea -1.67, efa +1.39", "ref_full": "qqq +1.51, iwm +0.58, ivv -0.94, vblix +0.22, vea -1.05, efa +0.87" }, "bgitx": { "sym": "bgitx", "name": "Baillie Gifford International Alpha Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06386423330589644, "alpha_t_5y": -2.2543616543987723, "alpha_t_full": -1.0533813995675998, "r2_5y": 0.8741068069388607, "r2_full": 0.8491272242577481, "corr_portfolio": 0.2308245524504255, "corr_benchmark": 0.5545915658966524, "alpha_pos_frac": 0.5923076923076923, "fund_max_dd": -0.44450523748058546, "first": "2015-04-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.06, vwo +0.31, qqq +0.31, vweax +0.38, ivv -0.27, efa +0.55", "ref_full": "vea +0.60, vwo +0.23, qqq +0.25, vweax +0.31, ivv -0.18, fxe +0.12" }, "bglax": { "sym": "bglax", "name": "Brookfield Global Listed Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004230486209961225, "alpha_t_5y": 0.14116294797954682, "alpha_t_full": -0.4444497896282518, "r2_5y": 0.7182850188862291, "r2_full": 0.7583890059005721, "corr_portfolio": 0.3164957100599383, "corr_benchmark": 0.5322463134275714, "alpha_pos_frac": 0.5176470588235295, "fund_max_dd": -0.3659638919688799, "first": "2011-12-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.33, vea +0.28, qqq -0.33, ivv +0.43, djp +0.06, ief +0.16", "ref_full": "vea +0.31, vnq +0.27, gsg +0.07, vweax +0.24, ivv +0.40, qqq -0.24" }, "bgnmx": { "sym": "bgnmx", "name": "GINNIE MAE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004601462222987161, "alpha_t_5y": -0.6544080853454125, "alpha_t_full": -1.2059738311379005, "r2_5y": 0.9268923508423651, "r2_full": 0.6749403999330104, "corr_portfolio": -0.08003202145349621, "corr_benchmark": 0.6390080952880187, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.17825752619092106, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.82, vweax +0.15, ief +0.09, qqq -0.01, djp -0.01", "ref_full": "ief +0.50, vweax +0.13, efa +0.01, agg +0.14, tlt -0.05, vnq +0.01" }, "bgsix": { "sym": "bgsix", "name": "BlackRock Technology Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04086417481504056, "alpha_t_5y": -1.2848457000530746, "alpha_t_full": 0.14232235893490164, "r2_5y": 0.9328741367651043, "r2_full": 0.9017963883828763, "corr_portfolio": 0.09273757751124205, "corr_benchmark": 0.5799980000148506, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.7348066584652827, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.47, ivv -0.67, vea +1.27, efa -1.03, iwm +0.15, vnq -0.12", "ref_full": "qqq +1.06, vnq -0.09, iwm +0.19, ivv -0.22, vwo +0.08, tlt +0.05" }, "bhiax": { "sym": "bhiax", "name": "HAWAII MUNICIPAL BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02366702199176715, "alpha_t_5y": -2.4248003565814917, "alpha_t_full": -0.2630096466515743, "r2_5y": 0.3300548663229347, "r2_full": 0.2591466572061162, "corr_portfolio": 0.03698338436401536, "corr_benchmark": 0.3167235387660607, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.11278151031214667, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.16, vweax +0.21, ivv -0.04, vmbix +0.07, tlt -0.09", "ref_full": "agg +0.11, vweax +0.20, efa -0.02, fxy +0.03, ief +0.05, vnq +0.01" }, "biiex": { "sym": "biiex", "name": "BRANDES INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08039848621804392, "alpha_t_5y": 2.8427081699826213, "alpha_t_full": 0.7482054369137963, "r2_5y": 0.806902887267151, "r2_full": 0.8725104765447678, "corr_portfolio": 0.41967649547512753, "corr_benchmark": 0.4545494282411486, "alpha_pos_frac": 0.4834710743801653, "fund_max_dd": -0.5876506695109158, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.66, qqq -0.34, ivv +0.41, vwo +0.16, fxe +0.20, gld -0.05", "ref_full": "efa +0.81, vweax +0.25, qqq -0.13, ivv +0.10, vwo +0.05, gld -0.03" }, "bils": { "sym": "bils", "name": "State Street(R) SPDR(R) Bloomberg 3-12 Month T-Bill ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00035470421561934823, "alpha_t_5y": -0.3757152072555004, "alpha_t_full": -0.3680849084287602, "r2_5y": 0.22457955442269095, "r2_full": 0.22217754526957612, "corr_portfolio": -0.1470531268014389, "corr_benchmark": 0.1917988232709761, "alpha_pos_frac": 0.6615384615384615, "fund_max_dd": -0.004097932524383285, "first": "2020-10-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.02, tlt -0.01, agg +0.03, vea -0.00", "ref_full": "ief +0.02, tlt -0.01, agg +0.02, vea -0.00" }, "bimix": { "sym": "bimix", "name": "Baird Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007394012038926696, "alpha_t_5y": 0.20220461436891773, "alpha_t_full": 1.2515315337117994, "r2_5y": 0.9467435317927779, "r2_full": 0.5853679079067027, "corr_portfolio": -0.1133116230887575, "corr_benchmark": 0.6191941909456905, "alpha_pos_frac": 0.5041322314049587, "fund_max_dd": -0.1275097673141814, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.46, tlt -0.10, agg +0.26, vweax +0.05, ivv -0.01, fxe +0.01", "ref_full": "ief +0.48, vweax +0.11, tlt -0.06, fxy +0.02, agg +0.06" }, "bizd": { "sym": "bizd", "name": "VanEck BDC Income ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011909880579296112, "alpha_t_5y": 0.22373358385911643, "alpha_t_full": -0.2751285862073773, "r2_5y": 0.47573571060171216, "r2_full": 0.5094235445353832, "corr_portfolio": 0.2982373368361338, "corr_benchmark": 0.41367135989136106, "alpha_pos_frac": 0.5448717948717948, "fund_max_dd": -0.5543920531144313, "first": "2013-02-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.21, ivv +0.93, qqq -0.44, vweax +0.39", "ref_full": "iwm +0.33, vweax +0.74, vnq +0.19, vmbix -1.05, agg +2.04, ief -0.99" }, "blpax": { "sym": "blpax", "name": "American Funds Moderate Growth and Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015083890592016223, "alpha_t_5y": -0.1995124400407349, "alpha_t_full": 0.36284889469263676, "r2_5y": 0.9699491507999088, "r2_full": 0.9715723655931013, "corr_portfolio": 0.33121390379354715, "corr_benchmark": 0.6941341899459263, "alpha_pos_frac": 0.5272727272727272, "fund_max_dd": -0.23212053010197242, "first": "2012-05-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.16, ief +0.20, qqq -0.08, iwm +0.03, vwo +0.04", "ref_full": "ivv +0.37, vea +0.20, ief +0.19, vweax +0.10, gsg +0.01, iwm +0.02" }, "bmbix": { "sym": "bmbix", "name": "Baird Quality Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015347576924873515, "alpha_t_5y": -1.8927774440567846, "alpha_t_full": 1.5810993358094654, "r2_5y": 0.3283988728648145, "r2_full": 0.21880409351055552, "corr_portfolio": 0.023989768251854015, "corr_benchmark": 0.3400250760619546, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.09307801152017259, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.13, vweax +0.18, ivv -0.04, vnq +0.01", "ref_full": "agg +0.08, vweax +0.11, ief +0.06, fxy +0.03, vnq +0.01, efa -0.01" }, "bmcix": { "sym": "bmcix", "name": "BLACKROCK HIGH EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00976799215062353, "alpha_t_5y": 0.5207231591081314, "alpha_t_full": 1.4237290447508661, "r2_5y": 0.8875514762685156, "r2_full": 0.9124453337177735, "corr_portfolio": 0.41865444924064255, "corr_benchmark": 0.511897232580181, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.72643421862846, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.03, qqq -0.56, vea +0.20, iwm +0.12, vweax +0.40, ief -0.11", "ref_full": "ivv +0.54, iwm +0.28, qqq -0.18, efa +0.17, vnq +0.08, tlt -0.07" }, "bmnix": { "sym": "bmnix", "name": "Baird Core Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008043774838468373, "alpha_t_5y": -0.9197210096578414, "alpha_t_full": 0.6740439149660822, "r2_5y": 0.3437591246191988, "r2_full": 0.29913784237915453, "corr_portfolio": 0.032155090280701557, "corr_benchmark": 0.35436116280381325, "alpha_pos_frac": 0.5396825396825397, "fund_max_dd": -0.0994863956040738, "first": "2015-09-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, vweax +0.20, ivv -0.04, vnq +0.02", "ref_full": "agg +0.14, vweax +0.18, fxy +0.03, gsg -0.01, vnq +0.03, iwm -0.02" }, "bmqix": { "sym": "bmqix", "name": "Baird Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002101539007830779, "alpha_t_5y": -0.18017165369008944, "alpha_t_full": 0.7036916200929864, "r2_5y": 0.3523667011522903, "r2_full": 0.3436206819900125, "corr_portfolio": 0.05860880915842941, "corr_benchmark": 0.361442779091899, "alpha_pos_frac": 0.52, "fund_max_dd": -0.1271771139040846, "first": "2019-11-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.28, ivv -0.05, vnq +0.02", "ref_full": "vweax +0.31, agg +0.27, iwm -0.04, vnq +0.03, fxy +0.05, ief -0.11" }, "bmsfx": { "sym": "bmsfx", "name": "MFS Blended Research Mid Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016524759313840325, "alpha_t_5y": 0.8007559167472367, "alpha_t_full": 0.06949612666069406, "r2_5y": 0.9277298099806929, "r2_full": 0.9414867601022666, "corr_portfolio": 0.32053787077144313, "corr_benchmark": 0.6154373971896723, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.4101345826192715, "first": "2016-08-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.40, ivv +0.77, qqq -0.27, vnq +0.06, vea +0.08, gld -0.04", "ref_full": "iwm +0.37, ivv +0.66, qqq -0.17, vnq +0.09, vea +0.08, fxy -0.05" }, "bndw": { "sym": "bndw", "name": "Vanguard Total World Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007078527808447968, "alpha_t_5y": -1.2083761241371163, "alpha_t_full": -1.2738615571887866, "r2_5y": 0.9245593586016203, "r2_full": 0.8930203760315932, "corr_portfolio": -0.1030686112694082, "corr_benchmark": 0.7643849147456302, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.17211503533105232, "first": "2018-09-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.43, ief +0.30, vweax +0.06, fxe -0.05, vea +0.02, gsg -0.01", "ref_full": "agg +0.45, vblix +0.20, tlt -0.15, ief +0.26, ivv +0.02, fxe -0.04" }, "bnglx": { "sym": "bnglx", "name": "UBS GLOBAL ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021526559371611017, "alpha_t_5y": -1.595003262836974, "alpha_t_full": -2.0033374057799382, "r2_5y": 0.9087506647708765, "r2_full": 0.9092186114736812, "corr_portfolio": 0.341106470754438, "corr_benchmark": 0.6558931754696289, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.5323052815138649, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.21, ivv +0.24, vwo +0.10, vblix +0.06, iwm +0.05, vweax +0.15", "ref_full": "efa +0.22, ivv +0.28, vmbix +0.04, vwo +0.09, vweax +0.17, tlt +0.06" }, "bniex": { "sym": "bniex", "name": "UBS International Sustainable Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008008064940308094, "alpha_t_5y": -0.3177008509612434, "alpha_t_full": -0.5725243097596838, "r2_5y": 0.8420320187117667, "r2_full": 0.8875434612997355, "corr_portfolio": 0.3821962016536943, "corr_benchmark": 0.5171807136831313, "alpha_pos_frac": 0.46808510638297873, "fund_max_dd": -0.6118458860229548, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.58, vwo +0.15, vweax +0.16, gsg +0.03, ivv +0.08, fxe +0.12", "ref_full": "efa +0.65, vwo +0.10, vweax +0.28, djp +0.04, fxe +0.09, ivv +0.06" }, "bogsx": { "sym": "bogsx", "name": "BLACK OAK EMERGING TECHNOLOGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008908777382549967, "alpha_t_5y": -0.24840205488869915, "alpha_t_full": -0.8512317658822737, "r2_5y": 0.8913127074856851, "r2_full": 0.8825505316195422, "corr_portfolio": 0.16068901313405165, "corr_benchmark": 0.5640265184913473, "alpha_pos_frac": 0.5298804780876494, "fund_max_dd": -0.928024507948035, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.04, iwm +0.52, ivv -0.57, vnq -0.09, vwo +0.09", "ref_full": "qqq +0.84, iwm +0.45, ivv -0.31, vwo +0.09, vnq -0.06, djp +0.03" }, "bosox": { "sym": "bosox", "name": "Boston Trust Walden Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015181959210946974, "alpha_t_5y": -0.06121543017888872, "alpha_t_full": 1.0576788276774136, "r2_5y": 0.8903680144259032, "r2_full": 0.926442221159432, "corr_portfolio": 0.312103700162483, "corr_benchmark": 0.5137701421041376, "alpha_pos_frac": 0.5172413793103449, "fund_max_dd": -0.5377685903562113, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.58, vnq +0.07, vwo -0.05, ivv +0.70, qqq -0.41, djp -0.03", "ref_full": "iwm +0.69, ivv +0.32, qqq -0.16, vnq +0.04, gld -0.02, tlt -0.03" }, "bracx": { "sym": "bracx", "name": "BATS: Corporate Credit Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021088116875691816, "alpha_t_5y": 0.3700494202397834, "alpha_t_full": -1.6257526225037917, "r2_5y": 0.9564742759005579, "r2_full": 0.8310866981068724, "corr_portfolio": -0.012112931604058548, "corr_benchmark": 0.7216456968072184, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.21621591470000556, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.64, tlt -0.29, ief +0.30, vweax +0.17, vnq -0.01", "ref_full": "ief +0.34, vweax +0.39, tlt +0.12, agg +0.16, fxy +0.02" }, "bramx": { "sym": "bramx", "name": "BATS: Mortgage Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003526978217422392, "alpha_t_5y": 0.5241847890660775, "alpha_t_full": -1.434191882078196, "r2_5y": 0.9314541879989615, "r2_full": 0.47849860377586884, "corr_portfolio": -0.07427194300288935, "corr_benchmark": 0.6509638892199003, "alpha_pos_frac": 0.8034682080924855, "fund_max_dd": -0.23933748147388134, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.63, agg +0.37, vweax +0.11, ivv -0.03, tlt -0.13, vblix +0.13", "ref_full": "ief +0.58, vweax +0.20, vnq +0.03, agg +0.14, tlt -0.04" }, "brasx": { "sym": "brasx", "name": "BATS: Short Duration Taxable Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017087556136823182, "alpha_t_5y": -0.3068798189708166, "alpha_t_full": -0.14353084082026485, "r2_5y": 0.6458168263410958, "r2_full": 0.442412605450596, "corr_portfolio": 0.0727174556951187, "corr_benchmark": 0.35538754272243217, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.10612261737662043, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.06, vweax +0.10, iwm -0.02, tlt -0.25, ief +0.27, vblix +0.21", "ref_full": "ief +0.28, vweax +0.17, tlt -0.08, fxy +0.03, djp -0.01, vnq +0.00" }, "brcax": { "sym": "brcax", "name": "Invesco Balanced-Risk Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012347329015821579, "alpha_t_5y": -0.4205048823796342, "alpha_t_full": -0.3622952934047038, "r2_5y": 0.8069705264329368, "r2_full": 0.7558934079136015, "corr_portfolio": 0.2570221795261163, "corr_benchmark": 0.12970198276818715, "alpha_pos_frac": 0.4426229508196721, "fund_max_dd": -0.6098478086401757, "first": "2010-12-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.34, gsg +0.30, gld +0.16, agg -0.17, vweax +0.23, vnq -0.04", "ref_full": "djp +0.42, gld +0.21, gsg +0.19, vweax +0.23, agg -0.20" }, "brkax": { "sym": "brkax", "name": "MFS Blended Research Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02987905755729834, "alpha_t_5y": 0.8233238366105655, "alpha_t_full": 0.9239229527885073, "r2_5y": 0.7348470797865383, "r2_full": 0.8005493778406862, "corr_portfolio": 0.30827940684020216, "corr_benchmark": 0.43032548249333535, "alpha_pos_frac": 0.416, "fund_max_dd": -0.39572451666654274, "first": "2015-09-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.78, fxy -0.08, vweax +0.31, agg -0.16", "ref_full": "vwo +0.75, vweax +0.36, agg -0.14, fxy -0.06" }, "brsdx": { "sym": "brsdx", "name": "MFS Blended Research Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013421690016455426, "alpha_t_5y": -0.6984994050241429, "alpha_t_full": -0.7864359871407259, "r2_5y": 0.9584446005788722, "r2_full": 0.9598012199174946, "corr_portfolio": 0.28325466994555876, "corr_benchmark": 0.5595327194168453, "alpha_pos_frac": 0.464, "fund_max_dd": -0.4524635018178047, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.86, ivv +0.27, qqq -0.13, fxy -0.05, vea +0.06, gld -0.03", "ref_full": "iwm +0.89, ivv +0.22, qqq -0.11, gld -0.02, vea +0.05, fxe -0.05" }, "brudx": { "sym": "brudx", "name": "MFS Blended Research Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023171492770709443, "alpha_t_5y": 1.4898508504834267, "alpha_t_full": 0.7689417409117049, "r2_5y": 0.937680566697615, "r2_full": 0.9517815180637625, "corr_portfolio": 0.3869012727262534, "corr_benchmark": 0.5492786962171395, "alpha_pos_frac": 0.472, "fund_max_dd": -0.38744584326744747, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.32, qqq -0.61, iwm +0.15, vea +0.27, agg -0.07, efa -0.17", "ref_full": "ivv +1.26, qqq -0.53, iwm +0.15, vea +0.09, ief -0.08, gsg +0.02" }, "brwax": { "sym": "brwax", "name": "MFS Blended Research Growth Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017272916520613427, "alpha_t_5y": -1.092158966067983, "alpha_t_full": -2.100701518921936, "r2_5y": 0.9685029406579353, "r2_full": 0.9665502041370183, "corr_portfolio": 0.1514470927055474, "corr_benchmark": 0.6398616993424874, "alpha_pos_frac": 0.496, "fund_max_dd": -0.3225611864103761, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.59, ivv +0.54, vea -0.27, vnq -0.04, efa +0.21", "ref_full": "qqq +0.57, ivv +0.51, vea -0.08, tlt +0.06, vmbix -0.15, fxe +0.05" }, "brxax": { "sym": "brxax", "name": "MFS Blended Research International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03632699285291522, "alpha_t_5y": 2.03679254003495, "alpha_t_full": 1.0117403115473724, "r2_5y": 0.9192328589937496, "r2_full": 0.9340364675801112, "corr_portfolio": 0.3908893793034419, "corr_benchmark": 0.5373069500026164, "alpha_pos_frac": 0.48, "fund_max_dd": -0.36586131080541406, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.64, vwo +0.22, vweax +0.18, tlt -0.04", "ref_full": "vea +0.69, vwo +0.17, vweax +0.25, vnq -0.03, vmbix -0.10, fxe +0.05" }, "bsbix": { "sym": "bsbix", "name": "Baird Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 2.645514784588638, "r2_5y": NaN, "r2_full": 0.44373291020396854, "corr_portfolio": -0.0969138704071855, "corr_benchmark": 0.311842233651157, "alpha_pos_frac": 0.4315068493150685, "fund_max_dd": -0.04591485709791521, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ief +0.20, vweax +0.06, tlt -0.05, agg +0.07, fxy +0.01" }, "bsnix": { "sym": "bsnix", "name": "Baird Strategic Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012590963204067648, "alpha_t_5y": -0.15042984627113787, "alpha_t_full": 0.9536799484807879, "r2_5y": 0.3758241206195422, "r2_full": 0.34919375328238844, "corr_portfolio": 0.06293023209942626, "corr_benchmark": 0.374716062994073, "alpha_pos_frac": 0.5066666666666667, "fund_max_dd": -0.09580545760994341, "first": "2019-11-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.16, vweax +0.20, ivv -0.04, vnq +0.01", "ref_full": "vweax +0.25, agg +0.23, qqq -0.02, fxy +0.04, ief -0.10, gsg -0.01" }, "btbfx": { "sym": "btbfx", "name": "Boston Trust Asset Management Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029164082547521175, "alpha_t_5y": -2.141334197844914, "alpha_t_full": -0.38959089916753936, "r2_5y": 0.9243292232675697, "r2_full": 0.9271487297567477, "corr_portfolio": 0.29031676763168085, "corr_benchmark": 0.6307344453040894, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.2787549013625352, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, qqq -0.23, ief +0.14, iwm -0.05, vnq +0.05, vea -0.04", "ref_full": "ivv +0.74, ief +0.10, vnq -0.03, vwo -0.03, qqq -0.04, vweax +0.07" }, "btefx": { "sym": "btefx", "name": "Boston Trust Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026419464525084542, "alpha_t_5y": -1.707550923351569, "alpha_t_full": 0.1848685970208576, "r2_5y": 0.9398735257938129, "r2_full": 0.9556465191850456, "corr_portfolio": 0.3102134274820844, "corr_benchmark": 0.5828695219380253, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.4767006118236323, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.29, qqq -0.31, iwm -0.03, vnq +0.05, vea -0.50, efa +0.46", "ref_full": "ivv +1.01, qqq -0.10, tlt -0.02, efa +0.03, vwo -0.02" }, "btiix": { "sym": "btiix", "name": "DWS Equity 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010893957938927139, "alpha_t_5y": -0.30541105489710174, "alpha_t_full": -0.4221065777606064, "r2_5y": 0.9974357771014417, "r2_full": 0.9924280878857307, "corr_portfolio": 0.28282764728644855, "corr_benchmark": 0.6165483206734501, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.5523776389791125, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01, fxy -0.01" }, "btmfx": { "sym": "btmfx", "name": "Boston Trust Midcap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013467753788946843, "alpha_t_5y": -0.5868003684219174, "alpha_t_full": 1.0234774607180568, "r2_5y": 0.8767862467009799, "r2_full": 0.9193880293871453, "corr_portfolio": 0.3319391498863168, "corr_benchmark": 0.5622587762080522, "alpha_pos_frac": 0.5113122171945701, "fund_max_dd": -0.5057141589168932, "first": "2007-10-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, qqq -0.44, iwm +0.19, vnq +0.16, gld -0.03, agg +0.09", "ref_full": "ivv +0.72, iwm +0.25, qqq -0.17, vnq +0.03, vea +0.06, gld -0.02" }, "btmix": { "sym": "btmix", "name": "Baird Short-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00943107872944248, "alpha_t_5y": -1.625799675136489, "alpha_t_full": -0.11487050054361422, "r2_5y": 0.2564138776621754, "r2_full": 0.2508811441034723, "corr_portfolio": 0.04877994949248887, "corr_benchmark": 0.3119727384381615, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.06340058474888499, "first": "2015-09-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.07, vweax +0.12, ivv -0.02, vnq +0.01", "ref_full": "vweax +0.10, agg +0.16, fxy +0.03, ief -0.08, efa -0.02, vnq +0.01" }, "btsmx": { "sym": "btsmx", "name": "Boston Trust SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037888350486720967, "alpha_t_5y": -0.1579972027783038, "alpha_t_full": 0.8452928604382082, "r2_5y": 0.8819144605916289, "r2_full": 0.7847975439400815, "corr_portfolio": 0.3068438211099643, "corr_benchmark": 0.5048408703047145, "alpha_pos_frac": 0.4152046783625731, "fund_max_dd": -0.38038144969605914, "first": "2011-12-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.34, vnq +0.14, ivv +0.91, qqq -0.44, gld -0.04, vblix +0.04", "ref_full": "iwm +0.43, ivv +0.74, qqq -0.30, vnq +0.07, gld -0.04" }, "bubsx": { "sym": "bubsx", "name": "Baird Ultra Short Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001559375258641401, "alpha_t_5y": 0.5599515036310804, "alpha_t_full": 1.953478407638318, "r2_5y": 0.13107606884345757, "r2_full": 0.12390653592532741, "corr_portfolio": 0.039249728754247065, "corr_benchmark": 0.16019893834935847, "alpha_pos_frac": 0.410958904109589, "fund_max_dd": -0.018848081804421213, "first": "2014-01-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.08, tlt -0.02", "ref_full": "agg +0.01, vweax +0.02, fxy +0.01, tlt -0.03, ief +0.05, vblix +0.02" }, "bufgx": { "sym": "bufgx", "name": "Buffalo Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04793390314930279, "alpha_t_5y": -2.2348761629640395, "alpha_t_full": -1.9228407196213306, "r2_5y": 0.9419816176693305, "r2_full": 0.9427338285191831, "corr_portfolio": 0.1629044849287588, "corr_benchmark": 0.6277052617606169, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.5065123626359362, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.54, ivv +0.61, vea -0.53, efa +0.40, vmbix +0.09, fxe +0.07", "ref_full": "ivv +0.55, qqq +0.42, iwm +0.04, fxe +0.05, vwo -0.02, vweax +0.05" }, "bufmx": { "sym": "bufmx", "name": "Buffalo Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09596725389684035, "alpha_t_5y": -2.9409108611067154, "alpha_t_full": -2.377884519243251, "r2_5y": 0.8534457068537182, "r2_full": 0.877329278347585, "corr_portfolio": 0.1832470852859033, "corr_benchmark": 0.6074947100590657, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.5764281171806743, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.16, iwm +0.34, qqq +0.31, vnq +0.15, vweax +0.21, djp -0.04", "ref_full": "ivv +0.23, iwm +0.37, qqq +0.30, vweax +0.15, gsg -0.03, vnq +0.03" }, "buftx": { "sym": "buftx", "name": "Buffalo Mid Cap Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11047715121239539, "alpha_t_5y": -3.453816128690837, "alpha_t_full": -1.8192101084583863, "r2_5y": 0.8720542074897013, "r2_full": 0.8966436673611307, "corr_portfolio": 0.16452743835989508, "corr_benchmark": 0.6117807994199662, "alpha_pos_frac": 0.556420233463035, "fund_max_dd": -0.6044963225041238, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.01, iwm +0.42, qqq +0.44, vnq +0.12", "ref_full": "ivv +0.12, iwm +0.36, qqq +0.42, vweax +0.10, fxe +0.05, agg +0.06" }, "bxfcx": { "sym": "bxfcx", "name": "MML Barings Global Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002148588960241616, "alpha_t_5y": 0.25484022858210803, "alpha_t_full": 0.364469997101404, "r2_5y": 0.43060559511216534, "r2_full": 0.578487151878075, "corr_portfolio": 0.3176191729169925, "corr_benchmark": 0.21481893995903636, "alpha_pos_frac": 0.4697986577181208, "fund_max_dd": -0.22324901580768086, "first": "2013-09-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.28, vmbix +0.01, qqq -0.01, vblix +0.36, tlt -0.21, agg -0.30", "ref_full": "vweax +0.35, vmbix -0.21, vblix +0.38, tlt -0.26, qqq -0.04, ivv +0.05" }, "bxitx": { "sym": "bxitx", "name": "MML Barings Unconstrained Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0044162295943261, "alpha_t_5y": 0.42357655995063487, "alpha_t_full": 1.2115661962254713, "r2_5y": 0.5044501725472237, "r2_full": 0.6221835771554609, "corr_portfolio": 0.31098166796243903, "corr_benchmark": 0.26962812340936443, "alpha_pos_frac": 0.5503355704697986, "fund_max_dd": -0.24863348369243166, "first": "2013-09-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, vmbix +0.03, vblix +0.53, tlt -0.32, agg -0.33", "ref_full": "vweax +0.48, vmbix -0.19, vblix +0.44, tlt -0.30, qqq -0.04, ivv +0.04" }, "cabdx": { "sym": "cabdx", "name": "AB RELATIVE VALUE FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014221885083175009, "alpha_t_5y": 0.782086855177506, "alpha_t_full": 0.7253133668375058, "r2_5y": 0.909814852945336, "r2_full": 0.9161905656444875, "corr_portfolio": 0.4020338058839423, "corr_benchmark": 0.5313385053392616, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5740208303115659, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "ivv +1.28, qqq -0.61, iwm +0.17, vea +0.08", "ref_full": "ivv +0.96, qqq -0.31, iwm +0.13, efa +0.14, fxe -0.06, tlt -0.02" }, "cabix": { "sym": "cabix", "name": "AB GLOBAL RISK ALLOCATION FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0026370425235100843, "alpha_t_5y": -0.20668975016644722, "alpha_t_full": -0.5190872788213131, "r2_5y": 0.8846995914175935, "r2_full": 0.8480560462650066, "corr_portfolio": 0.30433399548201784, "corr_benchmark": 0.7062567757399001, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.43568595855945036, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vea +0.20, vmbix +0.13, djp +0.13, ivv +0.13, ief +0.31, iwm +0.05", "ref_full": "efa +0.13, ivv +0.21, agg +0.36, djp +0.08, vnq +0.06, vwo +0.08" }, "caeax": { "sym": "caeax", "name": "Columbia Acorn European Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04419098262309127, "alpha_t_5y": -1.0707498562551925, "alpha_t_full": -0.3884884870103392, "r2_5y": 0.7907945196360961, "r2_full": 0.7800557176113374, "corr_portfolio": 0.23604839174006473, "corr_benchmark": 0.5328301964537524, "alpha_pos_frac": 0.5287356321839081, "fund_max_dd": -0.5112113867998018, "first": "2011-08-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.85, vweax +0.79, fxe +0.35, qqq +0.39, ivv -0.49, vnq +0.11", "ref_full": "vea +0.73, vweax +0.77, fxe +0.39, qqq +0.19, gsg -0.04, ivv -0.16" }, "caibx": { "sym": "caibx", "name": "CAPITAL INCOME BUILDER", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018683914260424653, "alpha_t_5y": 1.6293252677611205, "alpha_t_full": 0.31789898416646956, "r2_5y": 0.9242364964669197, "r2_full": 0.9322041369290884, "corr_portfolio": 0.40862954797602363, "corr_benchmark": 0.624624650766981, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.4322382118728304, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.24, vnq +0.06, ivv +0.57, qqq -0.27, vmbix +0.16, vwo +0.06", "ref_full": "efa +0.27, ivv +0.39, vweax +0.17, qqq -0.13, ief +0.13, vwo +0.04" }, "canax": { "sym": "canax", "name": "American Funds Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005017691460286228, "alpha_t_5y": -0.49079990504134524, "alpha_t_full": 1.3657894561909614, "r2_5y": 0.840936507474325, "r2_full": 0.8010429383949342, "corr_portfolio": -0.13472484858628656, "corr_benchmark": 0.5238826173570144, "alpha_pos_frac": 0.37815126050420167, "fund_max_dd": -0.19331479637359805, "first": "2016-03-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.47, vmbix +0.27, fxy +0.05, ivv -0.04, vweax +0.14", "ref_full": "ief +0.56, vweax +0.20, ivv -0.05, vmbix +0.26, fxy +0.04, tlt -0.05" }, "capax": { "sym": "capax", "name": "Federated Hermes Capital Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00782085988404461, "alpha_t_5y": -1.0214046360955142, "alpha_t_full": -1.6418990864775769, "r2_5y": 0.9466345159111762, "r2_full": 0.9263041658046015, "corr_portfolio": 0.3398230925944674, "corr_benchmark": 0.6680600164093814, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.5308023128796993, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vmbix +0.27, qqq -0.15, iwm +0.06, vweax +0.15, vea +0.05", "ref_full": "ivv +0.38, vweax +0.33, agg +0.16, qqq -0.08, iwm +0.04, efa +0.03" }, "cavax": { "sym": "cavax", "name": "Catholic Values Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017309581106799157, "alpha_t_5y": -1.6603358528839538, "alpha_t_full": -0.49636087205968893, "r2_5y": 0.9754517951197427, "r2_full": 0.9294936293252991, "corr_portfolio": 0.3277824326129511, "corr_benchmark": 0.5921719989472143, "alpha_pos_frac": 0.4153846153846154, "fund_max_dd": -0.36554309691318876, "first": "2015-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.71, iwm +0.15, efa +0.17, qqq -0.09, vweax +0.19, agg -0.08", "ref_full": "ivv +0.50, vea +0.21, iwm +0.17, vweax +0.33, gld -0.04, vmbix -0.12" }, "cbhcx": { "sym": "cbhcx", "name": "Victory Market Neutral Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007828611280352699, "alpha_t_5y": 0.4992212813930784, "alpha_t_full": 0.9187053098091466, "r2_5y": 0.07085434840909122, "r2_full": 0.03737552958963963, "corr_portfolio": 0.10648062246387816, "corr_benchmark": -0.06978128142804037, "alpha_pos_frac": 0.5220125786163522, "fund_max_dd": -0.08258422957506384, "first": "2012-11-20", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vwo -0.06, djp +0.03, fxe +0.05", "ref_full": "vwo -0.05, gsg +0.02, vmbix +0.07" }, "cblax": { "sym": "cblax", "name": "Columbia Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005048163615515492, "alpha_t_5y": -0.7137149934448438, "alpha_t_full": 0.1624235828120346, "r2_5y": 0.9769886739712921, "r2_full": 0.9713657648267516, "corr_portfolio": 0.25242536057339715, "corr_benchmark": 0.7050869550545731, "alpha_pos_frac": 0.5025641025641026, "fund_max_dd": -0.34706795606982377, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.61, agg +0.20, vmbix +0.15, vnq -0.03, efa +0.02, vweax +0.05", "ref_full": "ivv +0.55, ief +0.12, agg +0.09, vweax +0.07, efa +0.03, qqq +0.04" }, "cbon": { "sym": "cbon", "name": "VanEck China Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004151155013965987, "alpha_t_5y": 0.23360440894839293, "alpha_t_full": 0.5039943993348812, "r2_5y": 0.28252962491958156, "r2_full": 0.15105946291914862, "corr_portfolio": 0.06769148971140691, "corr_benchmark": 0.18985244827332473, "alpha_pos_frac": 0.5481481481481482, "fund_max_dd": -0.14128691044934494, "first": "2014-11-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.17, vwo +0.09, fxy +0.09, efa -0.06, vweax +0.11, djp +0.02", "ref_full": "vwo +0.08, fxy +0.08, fxe +0.09, vmbix +0.08" }, "cbsax": { "sym": "cbsax", "name": "Columbia Select Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03266650726095239, "alpha_t_5y": -0.7642483068220384, "alpha_t_full": -1.412901331404161, "r2_5y": 0.8368994960139767, "r2_full": 0.8862273656466362, "corr_portfolio": 0.11799380942141321, "corr_benchmark": 0.5941979928672352, "alpha_pos_frac": 0.4928571428571429, "fund_max_dd": -0.5661812934540207, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.78, iwm +0.49, ivv -0.25", "ref_full": "ivv +0.18, qqq +0.45, iwm +0.37, gld +0.05, vwo +0.05, vnq -0.04" }, "ccasx": { "sym": "ccasx", "name": "Conestoga Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07689155566836417, "alpha_t_5y": -2.2037558470260334, "alpha_t_full": -0.3211906291892566, "r2_5y": 0.8537652038223355, "r2_full": 0.8905660364532572, "corr_portfolio": 0.1597854724044828, "corr_benchmark": 0.5558375500306847, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.4801324623431552, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, qqq +0.20, vblix +0.10, djp -0.07, vnq +0.09, vwo -0.08", "ref_full": "iwm +0.80, qqq +0.18, vwo -0.04, vnq -0.03, gsg -0.02, fxy +0.04" }, "cccmx": { "sym": "cccmx", "name": "Capital Group California Core Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013527971553256078, "alpha_t_5y": -1.7335247811072572, "alpha_t_full": -0.19524953674574116, "r2_5y": 0.3180494382423844, "r2_full": 0.252924667959452, "corr_portfolio": 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+0.17, vblix +0.09, vwo +0.07, qqq +0.07, iwm +0.04" }, "ccrsx": { "sym": "ccrsx", "name": "Cantor Fitzgerald Commodity Return Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009178228663678949, "alpha_t_5y": 0.4527611180132677, "alpha_t_full": 0.2026327510122386, "r2_5y": 0.9096419615389771, "r2_full": 0.9136812878439692, "corr_portfolio": 0.21529015826697542, "corr_benchmark": 0.10841244251342742, "alpha_pos_frac": 0.4525862068965517, "fund_max_dd": -0.7309675891445069, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.81, iwm -0.03", "ref_full": "djp +0.83, vnq -0.01, vweax +0.15, iwm -0.03, ief -0.06, gsg +0.03" }, "ccsax": { "sym": "ccsax", "name": "Columbia Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021002604683417834, "alpha_t_5y": 0.86511882653908, "alpha_t_full": 0.4003438219357635, "r2_5y": 0.8840400098035365, "r2_full": 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false, "ref_5y": "vwo +0.49, djp +0.08, vea +0.69, fxy -0.14, efa -0.46, iwm -0.06", "ref_full": "vwo +0.44, vweax +0.48, vea +0.72, efa -0.60, agg -0.21, djp +0.04" }, "cemvx": { "sym": "cemvx", "name": "Causeway Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01779708931224627, "alpha_t_5y": 0.4705363049124205, "alpha_t_full": 0.17885761092543911, "r2_5y": 0.7839941475517813, "r2_full": 0.8707451732032545, "corr_portfolio": 0.31132981988565955, "corr_benchmark": 0.41429115077271045, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.7047792194731916, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.88, vnq -0.15, qqq +0.04, gld +0.07, fxe -0.26, vea +0.16", "ref_full": "vwo +0.73, vweax +0.36, qqq +0.05, vnq -0.04, agg -0.15, efa +0.07" }, "cenax": { "sym": "cenax", "name": "American Funds College Enrollment Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003860265083493239, "alpha_t_5y": -0.7072299327828697, "alpha_t_full": -0.7990541192904075, "r2_5y": 0.8653241422743242, "r2_full": 0.7921385213043155, "corr_portfolio": -0.08282129629361833, "corr_benchmark": 0.639868542336852, "alpha_pos_frac": 0.37888198757763975, "fund_max_dd": -0.1048312010051764, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.14, ivv +0.08, ief +0.33, tlt -0.12, agg +0.22, qqq -0.02", "ref_full": "vmbix +0.21, ief +0.37, tlt -0.07, ivv +0.02, vweax +0.03, gld +0.01" }, "cetfx": { "sym": "cetfx", "name": "Morningstar Conservative ETF Asset Allocation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011296981161052178, "alpha_t_5y": -2.410662192142263, "alpha_t_full": -3.914571214425893, "r2_5y": 0.9630285258238527, "r2_full": 0.9200866894866874, "corr_portfolio": 0.203258708962709, "corr_benchmark": 0.8816309733044663, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.16495394631935656, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.41, ivv +0.13, vea +0.07, gsg +0.02, iwm +0.02, ief +0.16", "ref_full": "ivv +0.14, agg +0.22, ief +0.25, efa +0.07, vweax +0.09, djp +0.02" }, "cfagx": { "sym": "cfagx", "name": "The MidCap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06386516226725951, "alpha_t_5y": -2.3314055767284882, "alpha_t_full": -1.4100665062666087, "r2_5y": 0.8746625538805654, "r2_full": 0.9209504129740071, "corr_portfolio": 0.23760368722835007, "corr_benchmark": 0.6136384921104272, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.6105441793333631, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, iwm +0.27, djp -0.04, vnq +0.09, qqq +0.11", "ref_full": "ivv +0.46, iwm +0.25, qqq +0.16, efa +0.04, vnq +0.02, gld +0.02" }, "cfbnx": { "sym": "cfbnx", "name": "The Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016504164406938291, "alpha_t_5y": -0.27394067065107924, "alpha_t_full": 0.7189146348752831, "r2_5y": 0.9292510775084584, "r2_full": 0.6750614171223495, "corr_portfolio": -0.07413933997885729, "corr_benchmark": 0.6642348098707745, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.17284720384081453, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.15, vblix +0.35, tlt -0.18, ief +0.46, vmbix +0.16, vweax +0.07", "ref_full": "ief +0.40, vweax +0.23, agg +0.08, fxy +0.02, tlt +0.03, djp -0.01" }, "cfgrx": { "sym": "cfgrx", "name": "The Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025226058817700635, "alpha_t_5y": -1.7742790692615311, "alpha_t_full": -1.239252537827646, "r2_5y": 0.9694756638588505, "r2_full": 0.9671560157827721, "corr_portfolio": 0.19465803678240173, "corr_benchmark": 0.6340787784905233, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.5644467174364575, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.43, ivv +0.70, vea -0.41, efa +0.32, iwm -0.05, vblix +0.03", "ref_full": "ivv +0.66, qqq +0.35, iwm -0.04, ief +0.04, gsg -0.01, fxe +0.02" }, "cfiax": { "sym": "cfiax", "name": "Columbia Flexible Capital Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002313595078760682, "alpha_t_5y": 0.19579476545636684, "alpha_t_full": 1.0025494533238282, "r2_5y": 0.9141969908372267, "r2_full": 0.9263952929210447, "corr_portfolio": 0.39431784807985487, "corr_benchmark": 0.576525039179415, "alpha_pos_frac": 0.4857142857142857, "fund_max_dd": -0.31216721204475395, "first": "2011-07-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.17, vnq +0.05, ivv +0.53, qqq -0.26, vweax +0.33, djp +0.03", "ref_full": "ivv +0.47, vweax +0.42, iwm +0.15, qqq -0.18, gsg +0.02, vnq +0.03" }, "cficx": { "sym": "cficx", "name": "Calvert Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002915784374115242, "alpha_t_5y": 0.5463045742372045, "alpha_t_full": -0.6937746102120708, "r2_5y": 0.9468100279394229, "r2_full": 0.7592695898310716, "corr_portfolio": 0.015888564198465346, "corr_benchmark": 0.7042332738321989, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2079567424858244, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.46, vweax +0.29, ief +0.25, tlt -0.23, ivv -0.01, vmbix +0.07", "ref_full": "ief +0.17, vweax +0.32, tlt +0.12, vnq +0.02, agg +0.10, fxy +0.02" }, "cfimx": { "sym": "cfimx", "name": "Clipper Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.17549385975720908, "alpha_t_5y": -1.0406094346566048, "alpha_t_full": -1.5735383834329801, "r2_5y": 0.10605594839407306, "r2_full": 0.4278755675463479, 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+0.08, iwm +0.04" }, "cfmox": { "sym": "cfmox", "name": "The Missouri Tax-Free Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017385351938791028, "alpha_t_5y": -1.5481426840996235, "alpha_t_full": 0.42420827697913305, "r2_5y": 0.3588142557805112, "r2_full": 0.28690368132393207, "corr_portfolio": 0.022439878603947822, "corr_benchmark": 0.34322588289711503, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.117201485687628, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, ief +0.13, ivv -0.04", "ref_full": "agg +0.06, vweax +0.20, ief +0.09, fxy +0.03, gsg -0.01" }, "cfnlx": { "sym": "cfnlx", "name": "The National Tax-Free Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016043300536516404, "alpha_t_5y": -1.5784371828680819, "alpha_t_full": 0.9180992931206353, "r2_5y": 0.4180068054739683, "r2_full": 0.3052674603155372, "corr_portfolio": 0.01832507354325999, 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tlt -0.21, vnq +0.01, qqq -0.01" }, "cfsix": { "sym": "cfsix", "name": "TOUCHSTONE SANDS CAPITAL SELECT GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11147944786972522, "alpha_t_5y": -2.217372699827077, "alpha_t_full": -1.8752220151192687, "r2_5y": 0.8417002264436905, "r2_full": 0.8659078570749045, "corr_portfolio": 0.03687364903187224, "corr_benchmark": 0.5758838793035987, "alpha_pos_frac": 0.5542635658914729, "fund_max_dd": -0.602446361406143, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.43, iwm +0.27, ivv -0.68, vweax +0.36", "ref_full": "qqq +0.93, iwm +0.18, ief +0.12, vwo +0.08, vnq -0.03, efa -0.06" }, "cfvax": { "sym": "cfvax", "name": "Catholic Values Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008745914496089024, "alpha_t_5y": -1.8646690641577321, "alpha_t_full": -1.5576408091886875, "r2_5y": 0.9675275233945968, "r2_full": 0.9249460344095989, "corr_portfolio": 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"ref_full": "ivv +1.19, qqq -0.47, vnq +0.06, iwm +0.06, efa +0.09, fxe -0.06" }, "cgafx": { "sym": "cgafx", "name": "Calvert Green Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008770856655407755, "alpha_t_5y": -1.5123950077850403, "alpha_t_full": -0.9038833999721502, "r2_5y": 0.917005808175894, "r2_full": 0.8786342454483136, "corr_portfolio": -0.07830314053756096, "corr_benchmark": 0.6686849689868236, "alpha_pos_frac": 0.5540540540540541, "fund_max_dd": -0.17397171727534122, "first": "2013-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.19, ief +0.38, ivv -0.02, tlt -0.19, vblix +0.24", "ref_full": "ief +0.37, vweax +0.11, vblix +0.26, tlt -0.16, vmbix +0.10, fxy +0.01" }, "cgoax": { "sym": "cgoax", "name": "Columbia Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03212747448979756, "alpha_t_5y": -0.793397434637466, "alpha_t_full": -0.45670748106996395, 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vea +0.20, vwo +0.05, efa +0.23, djp -0.02, vnq -0.03", "ref_full": "ivv +0.36, vea +0.13, vwo +0.05, efa +0.27, qqq +0.06, vweax +0.08" }, "chcgx": { "sym": "chcgx", "name": "The Chesapeake Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07821682899480374, "alpha_t_5y": -3.810840149721122, "alpha_t_full": -3.699849641094416, "r2_5y": 0.9272518275264143, "r2_full": 0.9395158049941892, "corr_portfolio": 0.21006977881343883, "corr_benchmark": 0.5881868425369062, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.601084686848129, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.68, qqq +0.22, iwm +0.07", "ref_full": "ivv +0.49, qqq +0.33, iwm +0.12, vwo +0.05, gsg +0.03, ief -0.06" }, "chclx": { "sym": "chclx", "name": "AB DISCOVERY GROWTH FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08062705905156956, "alpha_t_5y": -2.128100792775296, "alpha_t_full": -1.3578857524550925, "r2_5y": 0.88239986049249, "r2_full": 0.8997188621360027, "corr_portfolio": 0.1391082167024179, "corr_benchmark": 0.5726830741983071, "alpha_pos_frac": 0.5048543689320388, "fund_max_dd": -0.6385221952474616, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, qqq +0.73, ivv -0.45", "ref_full": "iwm +0.67, qqq +0.54, vnq -0.05, ivv -0.14, agg +0.09, vwo +0.03" }, "chtrx": { "sym": "chtrx", "name": "Invesco Charter Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0186699425761538, "alpha_t_5y": -1.6846015044238372, "alpha_t_full": -1.0351978179840156, "r2_5y": 0.9746975880864372, "r2_full": 0.8434156064548017, "corr_portfolio": 0.249148718749115, "corr_benchmark": 0.5533899799829015, "alpha_pos_frac": 0.56957928802589, "fund_max_dd": -0.5629758141581238, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, iwm +0.02", "ref_full": "ivv +0.84, vweax +0.13, qqq +0.04" }, "chusx": { "sym": "chusx", "name": "ALGER GLOBAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08664918942366251, "alpha_t_5y": -2.8891477385454407, "alpha_t_full": -2.6940354152862858, "r2_5y": 0.8918441206158204, "r2_full": 0.8790075244912529, "corr_portfolio": 0.20284846945399435, "corr_benchmark": 0.6051638101755797, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6609988992501596, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.53, vea +0.38, vwo +0.10, iwm +0.06, vweax +0.20", "ref_full": "ivv +0.09, vwo +0.22, qqq +0.41, efa +0.17, vweax +0.27, iwm +0.06" }, "cibr": { "sym": "cibr", "name": "First Trust NASDAQ Cybersecurity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020317278646553485, "alpha_t_5y": 0.32308216571186177, "alpha_t_full": 0.13345406529992962, "r2_5y": 0.645776810109348, "r2_full": 0.6872154865657328, "corr_portfolio": 0.0900177648008925, "corr_benchmark": 0.5471893808387889, "alpha_pos_frac": 0.4609375, "fund_max_dd": -0.3388776581024162, "first": "2015-07-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.75, iwm +0.29, vea -0.22, gsg +0.07, vblix +0.10", "ref_full": "qqq +0.79, iwm +0.34, ivv -0.28, gsg +0.05, vblix +0.21, vmbix -0.36" }, "cigyx": { "sym": "cigyx", "name": "AB International Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12864581201345887, "alpha_t_5y": -4.463393256496684, "alpha_t_full": -3.2155053147125, "r2_5y": 0.8717222572025498, "r2_full": 0.8748606183313471, "corr_portfolio": 0.23867671110891847, "corr_benchmark": 0.5753477865285921, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.4501823058669454, "first": "2015-04-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.11, qqq +0.15, gsg -0.06, vwo +0.15, efa +0.64, vweax +0.29", "ref_full": "vea +0.43, qqq +0.32, ivv -0.31, gsg -0.05, vweax +0.27, efa +0.47" }, "clazx": { "sym": "clazx", "name": "Columbia Multi Strategy Alternatives Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0024310448174518127, "alpha_t_5y": -0.13717455262651543, "alpha_t_full": -1.9099415325999654, "r2_5y": 0.11694364627055198, "r2_full": 0.08969262957795143, "corr_portfolio": 0.3536996714256518, "corr_benchmark": 0.13340323696408043, "alpha_pos_frac": 0.5338345864661654, "fund_max_dd": -0.2944760958467697, "first": "2015-01-30", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "gsg +0.04, fxe -0.14, vwo +0.05, qqq -0.06, vea +0.05", "ref_full": "vwo +0.03, fxe -0.10, vea +0.07, gsg +0.04, djp -0.04, qqq -0.02" }, "cldax": { "sym": "cldax", "name": "Calvert Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004614958392454045, "alpha_t_5y": -0.9324685413999381, "alpha_t_full": 2.481731272802405, "r2_5y": 0.9545548578121622, "r2_full": 0.7698525221360074, "corr_portfolio": -0.05912903549634408, "corr_benchmark": 0.6287563234942088, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1888287853036671, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.26, vweax +0.12, ief +0.37, ivv -0.02, vblix +0.31, tlt -0.19", "ref_full": "tlt +0.27, vweax +0.24, ief +0.19, vnq +0.02, fxy +0.04, agg +0.07" }, "clmax": { "sym": "clmax", "name": "Columbia Mortgage Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013874186690438826, "alpha_t_5y": 1.0296357814900288, "alpha_t_full": 2.1153675310437245, "r2_5y": 0.7579562657150671, "r2_full": 0.5360067318800346, "corr_portfolio": -0.046601577797095305, "corr_benchmark": 0.47490899198444986, "alpha_pos_frac": 0.47183098591549294, "fund_max_dd": -0.2276102076259009, "first": "2014-05-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.93, qqq -0.03, efa +0.03", "ref_full": "vmbix +0.86, vweax +0.12, vblix -0.10, qqq -0.02, agg +0.15" }, "clmpx": { "sym": "clmpx", "name": "Columbia Strategic California Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016379839257572425, "alpha_t_5y": -0.9599081921031773, "alpha_t_full": 0.33468528730108826, "r2_5y": 0.4049177672778217, "r2_full": 0.29218803915849234, "corr_portfolio": 0.034013605119420955, "corr_benchmark": 0.3572178473551318, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.2045318822467529, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.46, ief +0.09, ivv -0.09, vnq +0.04, vblix +0.26, tlt -0.15", "ref_full": "agg +0.11, vweax +0.34, ief +0.12, fxy +0.04, gsg -0.01, efa -0.01" }, "cmaix": { "sym": "cmaix", "name": "Invesco Select Risk: Moderately Conservative Investor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010367523040886617, "alpha_t_5y": -1.709948386371612, "alpha_t_full": -2.3776560429233324, "r2_5y": 0.9661641566132722, "r2_full": 0.8896073884974341, "corr_portfolio": 0.26013724291360324, "corr_benchmark": 0.7508078314395692, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.28882067784068843, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.17, agg +0.25, vea +0.12, iwm +0.07, vblix +0.10, vwo +0.04", "ref_full": "ivv +0.15, ief +0.27, efa +0.09, vweax +0.21, iwm +0.08, gld +0.02" }, "cmgix": { "sym": "cmgix", "name": "BLACKROCK MID CAP GROWTH EQUITY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10202720768170172, "alpha_t_5y": -2.415856551249213, "alpha_t_full": -1.7663884218366155, "r2_5y": 0.843143236475742, "r2_full": 0.8824168143168029, "corr_portfolio": 0.12572878999219636, "corr_benchmark": 0.6106419522497468, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.7384704995783037, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.68, iwm +0.40, vblix +0.09", "ref_full": "ivv +0.13, qqq +0.50, iwm +0.36, agg +0.14, vweax +0.13, vwo +0.04" }, "cmgux": { "sym": "cmgux", "name": "Columbia Ultra Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0054170710848839764, "alpha_t_5y": 1.1480337169771404, "alpha_t_full": 1.0619791859619878, "r2_5y": 0.21119646015430382, "r2_full": 0.1922890597579231, "corr_portfolio": 0.08262610435958427, "corr_benchmark": 0.1327659451114899, "alpha_pos_frac": 0.42045454545454547, "fund_max_dd": -0.034172050295477874, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.14, ivv -0.02", "ref_full": "vweax +0.09, ief +0.05, qqq -0.00, tlt -0.02, vwo +0.00, iwm -0.00" }, "cmiex": { "sym": "cmiex", "name": "Multi-Manager International Equity Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004604421020557565, "alpha_t_5y": 0.3481051625421294, "alpha_t_full": 0.8662707856475216, "r2_5y": 0.9638884578872182, "r2_full": 0.9670245324267496, "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", "alpha_name": true, "ref_5y": "efa +0.81, vwo +0.14, fxe +0.09, iwm +0.03, tlt -0.12, vblix +0.13", "ref_full": "vea +0.23, vwo +0.11, efa +0.60, vweax +0.07, fxe +0.07, iwm +0.03" }, "cmvix": { "sym": "cmvix", "name": "BLACKROCK ADVANTAGE LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01537188453396526, "alpha_t_5y": -1.0828382259737486, "alpha_t_full": -2.142005862109901, "r2_5y": 0.9754581039440845, "r2_full": 0.9353692520667509, "corr_portfolio": 0.17005198642697925, "corr_benchmark": 0.6209877739513741, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5840247556650069, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.65, ivv +0.47, vea -0.05, vnq -0.03", "ref_full": "ivv +0.68, qqq +0.34, iwm +0.05, vnq +0.03, gld +0.03, efa -0.04" }, "cnsax": { "sym": "cnsax", "name": "INVESCO CONVERTIBLE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020598332720173848, "alpha_t_5y": -0.7987140241901942, "alpha_t_full": -0.2979969908643489, "r2_5y": 0.7909961441024245, "r2_full": 0.7515720187554766, "corr_portfolio": 0.16525270547191712, "corr_benchmark": 0.5490378579410627, "alpha_pos_frac": 0.5059760956175299, "fund_max_dd": -0.3948657987186165, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.34, qqq +0.34, vwo +0.08, ivv -0.21, gld +0.05, vnq -0.04", "ref_full": "qqq +0.24, iwm +0.26, vweax +0.32, vnq -0.06, gld +0.04, agg +0.06" }, "cnxt": { "sym": "cnxt", "name": "VanEck ChiNext Innovators ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04424374666379782, "alpha_t_5y": 0.370934265342005, "alpha_t_full": 1.0346355151218174, "r2_5y": 0.374654112014171, "r2_full": 0.3149638784861377, "corr_portfolio": 0.0895312973950305, "corr_benchmark": 0.18206899295810386, "alpha_pos_frac": 0.43884892086330934, "fund_max_dd": -0.6898160282701138, "first": "2014-07-25", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.68, ivv -0.35, efa -0.41", "ref_full": "vwo +1.44, ivv -0.25, vea -0.30" }, "coeax": { "sym": "coeax", "name": "Columbia Oregon Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020874082107191872, "alpha_t_5y": -2.419501587009972, "alpha_t_full": 0.2181414710817347, "r2_5y": 0.37281281142987066, "r2_full": 0.27474785541115565, "corr_portfolio": 0.027366078343223875, "corr_benchmark": 0.3315492332543071, "alpha_pos_frac": 0.5291828793774319, "fund_max_dd": -0.10670693495070271, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.27, ief +0.08, ivv -0.09, vnq +0.02, qqq +0.03", "ref_full": "agg +0.08, vweax +0.20, ief +0.06, fxy +0.03, efa -0.02, vnq +0.01" }, "coiax": { "sym": "coiax", "name": "SIMT Conservative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00010993967521488542, "alpha_t_5y": -0.026449474516294674, "alpha_t_full": -0.008850810958167818, "r2_5y": 0.19345940307782883, "r2_full": 0.11620624508905908, "corr_portfolio": 0.05713621484344017, "corr_benchmark": 0.03664070584111344, "alpha_pos_frac": 0.5056179775280899, "fund_max_dd": -0.0019976608136713647, "first": "2018-10-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.13, vea -0.02, vmbix -0.03", "ref_full": "vweax +0.07, vea -0.01, vmbix -0.01" }, "colnx": { "sym": "colnx", "name": "Columbia Strategic New York Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015290146959344476, "alpha_t_5y": -0.900558282349283, "alpha_t_full": 0.2519394503019029, "r2_5y": 0.38179882769804385, "r2_full": 0.278299644126794, "corr_portfolio": 0.0348745816334198, "corr_benchmark": 0.34717010788942354, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.19802609969984275, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.50, vblix +0.12, ivv -0.09, vnq +0.03", "ref_full": "agg +0.14, vweax +0.33, ief +0.09, fxy +0.04, gsg -0.01, efa -0.01" }, "coltx": { "sym": "coltx", "name": "Columbia Total Return Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011740837754575283, "alpha_t_5y": -0.7077729311166174, "alpha_t_full": 0.2935057139899329, "r2_5y": 0.38124276856878136, "r2_full": 0.29228150871783365, "corr_portfolio": 0.04415948336824439, "corr_benchmark": 0.3402945756605481, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.17873193275084442, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, vblix +0.30, ivv -0.16, vnq +0.05, tlt -0.15, qqq +0.05", "ref_full": "vweax +0.34, ief +0.10, fxy +0.04, gsg -0.01, agg +0.10, efa -0.01" }, "comax": { "sym": "comax", "name": "DWS Digital Horizons Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06460544159178118, "alpha_t_5y": -1.6699763435102253, "alpha_t_full": -2.0703224819297668, "r2_5y": 0.8180608281596364, "r2_full": 0.8028877481059974, "corr_portfolio": 0.15260101179665342, "corr_benchmark": 0.5829328592974747, "alpha_pos_frac": 0.5598705501618123, "fund_max_dd": -0.8152354518735918, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.70, ivv +0.24", "ref_full": "ivv +0.36, vwo +0.11, qqq +0.32, efa +0.16, agg +0.23, fxe +0.12" }, "cosix": { "sym": "cosix", "name": "Columbia Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033536797472832067, "alpha_t_5y": 0.5088175597051444, "alpha_t_full": 1.6607384411291617, "r2_5y": 0.8662749727498671, "r2_full": 0.6394753389156, "corr_portfolio": 0.14900065311998206, "corr_benchmark": 0.5726198691530625, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.261588575393748, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.29, vweax +0.27, agg +0.14, efa +0.03, qqq -0.02, vblix +0.05", "ref_full": "vweax +0.42, agg +0.07, fxe +0.03, ief +0.15, efa +0.04, qqq -0.01" }, "cpoax": { "sym": "cpoax", "name": "Morgan Stanley Insight Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1033601258484894, "alpha_t_5y": -1.1810909766757534, "alpha_t_full": -0.9268944128921377, "r2_5y": 0.7179142192013683, "r2_full": 0.7410382981000473, "corr_portfolio": -0.04783552231926079, "corr_benchmark": 0.5400315946551595, "alpha_pos_frac": 0.4845360824742268, "fund_max_dd": -0.8457415819949012, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.76, iwm +0.86, ivv -1.56, vweax +0.53", "ref_full": "qqq +1.18, iwm +0.46, ivv -0.66, agg +0.33, vwo +0.06, vweax +0.16" }, "cppcx": { "sym": "cppcx", "name": "American Funds Preservation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012129304984585258, "alpha_t_5y": -2.4142461972821416, "alpha_t_full": -2.829738963801614, "r2_5y": 0.8351715701075164, "r2_full": 0.7829778481783654, "corr_portfolio": -0.1178745243515308, "corr_benchmark": 0.5078848908667623, "alpha_pos_frac": 0.4484848484848485, "fund_max_dd": -0.09747699191673409, "first": "2012-05-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.34, tlt -0.14, vmbix +0.10, agg +0.25, ivv -0.01", "ref_full": "ief +0.41, tlt -0.10, vmbix +0.09, vweax +0.03, fxy +0.01, agg +0.04" }, "cptnx": { "sym": "cptnx", "name": "GOVERNMENT BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036638410898420883, "alpha_t_5y": -0.6386303205843966, "alpha_t_full": -1.3111732652384114, "r2_5y": 0.9492385289697395, "r2_full": 0.8546559135767944, "corr_portfolio": -0.14367553545814413, "corr_benchmark": 0.6455895514221145, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.1915010432556281, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.43, vmbix +0.34, vweax +0.08, ivv -0.03, vblix +0.17, tlt -0.10", "ref_full": "ief +0.52, vweax +0.09, agg +0.10, vnq +0.01, fxe +0.01" }, "cpxax": { "sym": "cpxax", "name": "Cohen & Steers Preferred Securities & Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01203720088641426, "alpha_t_5y": -0.820388247838732, "alpha_t_full": 1.9310724723538273, "r2_5y": 0.3972649575929885, "r2_full": 0.5258966037534735, "corr_portfolio": 0.297230736431155, "corr_benchmark": 0.43120684115958297, "alpha_pos_frac": 0.5368421052631579, "fund_max_dd": -0.2551410892294047, "first": "2010-05-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.52, efa +0.04", "ref_full": "vweax +0.58, vnq +0.06, agg +0.63, ief -0.27, vmbix -0.23, qqq -0.02" }, "cracx": { "sym": "cracx", "name": "Columbia Adaptive Risk Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010701129855527734, "alpha_t_5y": -0.6993147361172886, "alpha_t_full": -0.6034762361687478, "r2_5y": 0.8234957091212181, "r2_full": 0.7256034226107375, "corr_portfolio": 0.22532847308145257, "corr_benchmark": 0.7462002315723436, "alpha_pos_frac": 0.573170731707317, "fund_max_dd": -0.19711747551724645, "first": "2012-06-20", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "ivv +0.18, ief +0.51, vea +0.19, djp +0.06, fxe -0.19, iwm +0.04", "ref_full": "vea +0.11, ief +0.54, ivv +0.20, djp +0.08, vwo +0.07, fxe -0.08" }, "craix": { "sym": "craix", "name": "CCM Community Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0072371061617907285, "alpha_t_5y": -1.741711224721595, "alpha_t_full": -1.0781575834726649, "r2_5y": 0.9503175100787055, "r2_full": 0.8211267641539269, "corr_portfolio": -0.12780976941594752, "corr_benchmark": 0.6314201954724312, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.1449042942236617, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.28, ief +0.31, tlt -0.06, agg +0.21, qqq -0.01, fxe +0.01", "ref_full": "ief +0.48, ivv +0.02, agg +0.07, tlt -0.03, fxy +0.02, vweax +0.03" }, "crak": { "sym": "crak", "name": "VanEck Oil Refiners ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03180077380734894, "alpha_t_5y": 0.5805781452419717, "alpha_t_full": 1.4084997915044333, "r2_5y": 0.6129427169705768, "r2_full": 0.6282014691337354, "corr_portfolio": 0.44154640834709485, "corr_benchmark": 0.3525777013180548, "alpha_pos_frac": 0.5476190476190477, "fund_max_dd": -0.5882284870356655, "first": "2015-08-21", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.51, gsg +0.39, iwm +0.15, ief -0.24, qqq -0.38, ivv +0.49", "ref_full": "vea +0.42, gsg +0.28, iwm +0.20, qqq -0.39, ivv +0.48, vwo +0.13" }, "creax": { "sym": "creax", "name": "Columbia Real Estate Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01545555345719037, "alpha_t_5y": 1.0819318565453726, "alpha_t_full": -0.10661664199506797, "r2_5y": 0.9671428848575042, "r2_full": 0.9779752696147426, "corr_portfolio": 0.23768212860082066, "corr_benchmark": 0.5681057918479416, "alpha_pos_frac": 0.4564102564102564, "fund_max_dd": -0.709283957114219, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.01, vmbix -0.08", "ref_full": "vnq +0.96, agg -0.20, tlt +0.05, qqq +0.04, vwo -0.02, djp +0.02" }, "crihx": { "sym": "crihx", "name": "CRM LONG/SHORT OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030323656365754167, "alpha_t_5y": -0.9530910904683232, "alpha_t_full": -0.4641195278669959, "r2_5y": 0.6036428499825773, "r2_full": 0.5771709033384603, "corr_portfolio": 0.23881152028192626, "corr_benchmark": 0.4717239779508285, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.2132648191040607, "first": "2016-08-23", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "iwm +0.36, vea +0.67, fxy -0.11, efa -0.50, vwo -0.07, vnq -0.05", "ref_full": "iwm +0.27, vea +0.45, efa -0.39, ivv +0.07" }, "crsox": { "sym": "crsox", "name": "Cantor Fitzgerald Commodity Return Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01232447226147838, "alpha_t_5y": 0.6156737150899204, "alpha_t_full": 0.39729587817869255, "r2_5y": 0.9114548053791072, "r2_full": 0.9189844530864741, "corr_portfolio": 0.21409020123230452, "corr_benchmark": 0.10791500045355475, "alpha_pos_frac": 0.5043103448275862, "fund_max_dd": -0.7266629200575665, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.81, iwm -0.02", "ref_full": "djp +0.86, iwm -0.02, vweax +0.16, ief -0.07, ivv -0.05, vwo +0.02" }, "csdax": { "sym": "csdax", "name": "Calvert Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0020536625409296335, "alpha_t_5y": 0.4567896175866684, "alpha_t_full": 1.7107582438776399, "r2_5y": 0.787794759598041, "r2_full": 0.537893517243898, "corr_portfolio": 0.05323246528588834, "corr_benchmark": 0.4373912242746285, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.09963300737426395, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.05, vweax +0.14, ief +0.27, tlt -0.25, vblix +0.23, ivv -0.02", "ref_full": "ief +0.21, vweax +0.18, tlt -0.04, fxy +0.02, vnq +0.01, iwm -0.01" }, "cseix": { "sym": "cseix", "name": "Cohen & Steers Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00993968590734722, "alpha_t_5y": 0.6540084862939752, "alpha_t_full": 0.9947861128047324, "r2_5y": 0.9612492490795813, "r2_full": 0.9776473571975932, "corr_portfolio": 0.2359617245755928, "corr_benchmark": 0.5626625461337378, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.7258172682312598, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.01, iwm -0.07, qqq +0.03", "ref_full": "vnq +0.96, agg -0.14, gsg +0.02, ief +0.07, ivv +0.05, vwo -0.02" }, "csfax": { "sym": "csfax", "name": "Cohen & Steers Global Realty Shares, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02026900142621158, "alpha_t_5y": -1.1441306351210625, "alpha_t_full": -1.8610247254904806, "r2_5y": 0.9275382427435832, "r2_full": 0.9130848658778334, "corr_portfolio": 0.3050305362528093, "corr_benchmark": 0.5893062224191481, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.738056784638371, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.70, vea +0.25, iwm -0.05, vweax +0.18, ivv -0.06, fxe +0.06", "ref_full": "vnq +0.52, efa +0.33, vweax +0.31, qqq -0.05, vwo +0.04, agg -0.07" }, "cshix": { "sym": "cshix", "name": "Credit Suisse Floating Rate High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018713398355137148, "alpha_t_5y": 1.9184607234843216, "alpha_t_full": 2.1167749763168375, "r2_5y": 0.37571093073919015, "r2_full": 0.60314063756109, "corr_portfolio": 0.29103328055713173, "corr_benchmark": 0.21214981858791168, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.3727029229833573, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, vmbix -0.12, iwm -0.01", "ref_full": "vweax +0.66, ief -0.16, agg +0.13, qqq -0.03, vwo +0.02" }, "cshtx": { "sym": "cshtx", "name": "AB Taxable Multi-Sector Income Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021518731088876622, "alpha_t_5y": 0.4479437837920934, "alpha_t_full": 0.1298913874415106, "r2_5y": 0.6804571880534287, "r2_full": 0.5719038849115463, "corr_portfolio": 0.006816165978215763, "corr_benchmark": 0.4175931835649003, "alpha_pos_frac": 0.453416149068323, "fund_max_dd": -0.05566604305410827, "first": "2012-10-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.07, vweax +0.08, tlt -0.22, ief +0.22, vblix +0.20, ivv -0.02", "ref_full": "vmbix +0.02, vweax +0.07, ief +0.24, tlt -0.18, vblix +0.17, efa -0.01" }, "csibx": { "sym": "csibx", "name": "Calvert Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003800517881894488, "alpha_t_5y": 0.7835713567993418, "alpha_t_full": -0.1332126892841694, "r2_5y": 0.9530951000676455, "r2_full": 0.8038918584484452, "corr_portfolio": -0.05935996297691614, "corr_benchmark": 0.6843261234584073, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.17180675892415864, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.26, vweax +0.19, ief +0.33, ivv -0.02, vblix +0.28, tlt -0.18", "ref_full": "ief +0.30, vweax +0.20, tlt +0.08, vnq +0.01, agg +0.06, fxy +0.02" }, "csmdx": { "sym": "csmdx", "name": "Copeland SMID Cap Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02931811310272635, "alpha_t_5y": -1.3197222001133884, "alpha_t_full": -0.6570605362827582, "r2_5y": 0.913400808086948, "r2_full": 0.9280957361051787, "corr_portfolio": 0.3022380150238775, "corr_benchmark": 0.5912426409653753, "alpha_pos_frac": 0.5833333333333334, "fund_max_dd": -0.3728300666000126, "first": "2017-02-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.52, vnq +0.09, ivv +0.66, qqq -0.32", "ref_full": "iwm +0.47, ivv +0.60, qqq -0.23, vnq +0.09" }, "csmix": { "sym": "csmix", "name": "Columbia Small Cap Value Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.052015816532279734, "alpha_t_5y": 1.9724730131208537, "alpha_t_full": 1.7276291535075639, "r2_5y": 0.916923978565741, "r2_full": 0.9237381508223138, "corr_portfolio": 0.31437704867992783, "corr_benchmark": 0.4688817513785984, "alpha_pos_frac": 0.46120689655172414, "fund_max_dd": -0.568837035176452, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.89, qqq -0.45, ivv +0.51, djp +0.04, efa +0.08, gld -0.04", "ref_full": "iwm +1.00, qqq -0.30, ivv +0.27, vweax -0.08, djp +0.04, gld -0.03" }, "csoax": { "sym": "csoax", "name": "Credit Suisse Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007915374331113221, "alpha_t_5y": 1.1228720129798706, "alpha_t_full": 3.446057630404481, "r2_5y": 0.7342868201516615, "r2_full": 0.7238351857980284, "corr_portfolio": 0.3199550604966908, "corr_benchmark": 0.30402825962683644, "alpha_pos_frac": 0.484472049689441, "fund_max_dd": -0.19955244536543137, "first": "2012-10-01", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.50, vmbix +0.00, vblix +0.33, tlt -0.20, agg -0.23", "ref_full": "vweax +0.51, vmbix -0.11, vblix +0.34, tlt -0.23, agg -0.07" }, "csrix": { "sym": "csrix", "name": "Cohen & Steers Institutional Realty Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016500093269141244, "alpha_t_5y": 1.0877697276091762, "alpha_t_full": 1.147981082335749, "r2_5y": 0.9609852808574378, "r2_full": 0.981268241681309, "corr_portfolio": 0.23396974002922233, "corr_benchmark": 0.5627418268692082, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.7232012097996072, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.01, iwm -0.07, vea +0.03", "ref_full": "vnq +1.00, agg -0.27, ief +0.13, iwm -0.05, ivv +0.05, gsg +0.01" }, "csrsx": { "sym": "csrsx", "name": "Cohen & Steers Realty Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013740538141000099, "alpha_t_5y": 0.9732988346845844, "alpha_t_full": 0.9720529022307809, "r2_5y": 0.9666406515039118, "r2_full": 0.9817883611535796, "corr_portfolio": 0.2338349034359993, "corr_benchmark": 0.5633677250551414, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.7250838134252138, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.02, iwm -0.07, vea +0.03, vblix -0.02", "ref_full": "vnq +1.01, agg -0.28, ief +0.14, iwm -0.05, ivv +0.05, gsg +0.01" }, "cstax": { "sym": "cstax", "name": "American Funds College 2027 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016914583262432207, "alpha_t_5y": -0.29632605748060287, "alpha_t_full": 0.8692914145736086, "r2_5y": 0.9284159004046065, "r2_full": 0.800422742932711, "corr_portfolio": 0.29097203798924515, "corr_benchmark": 0.7145958513955426, "alpha_pos_frac": 0.4720496894409938, "fund_max_dd": -0.14517388151214972, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.25, ivv +0.26, qqq -0.10, ief +0.37, tlt -0.06, vea +0.04", "ref_full": "vea +0.10, vmbix +0.24, ivv +0.31, qqq -0.11, ief +0.15, vwo +0.04" }, "csuax": { "sym": "csuax", "name": "Cohen & Steers Global Infrastructure Fund Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014976257182104073, "alpha_t_5y": 0.5325748612003027, "alpha_t_full": 0.11345041510236152, "r2_5y": 0.7251162300241709, "r2_full": 0.7778182067860915, "corr_portfolio": 0.335281436257169, "corr_benchmark": 0.5579063461106334, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5236271916431511, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.33, vea +0.21, djp +0.06, qqq -0.32, ivv +0.46, ief +0.16", "ref_full": "efa +0.38, vnq +0.08, vweax +0.20, ivv +0.53, qqq -0.27, ief +0.20" }, "csvax": { "sym": "csvax", "name": "Columbia International Dividend Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0066927095519452315, "alpha_t_5y": 0.42736032867589796, "alpha_t_full": -0.24593134637781064, "r2_5y": 0.9428336160311104, "r2_full": 0.9328212472408574, "corr_portfolio": 0.3811103660198612, "corr_benchmark": 0.5451520159247555, "alpha_pos_frac": 0.42152466367713004, "fund_max_dd": -0.5543990380038037, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.80, vwo +0.11, qqq -0.07, fxy -0.06, fxe +0.09, ivv +0.08", "ref_full": "efa +0.40, ivv +0.34, vwo +0.11, vnq +0.04, iwm +0.07, qqq -0.06" }, "ctagx": { "sym": "ctagx", "name": "Calamos Timpani SMID Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021416552783486354, "alpha_t_5y": -0.4222848784034116, "alpha_t_full": -0.5073648144411328, "r2_5y": 0.8164736243561306, "r2_full": 0.8185970149325058, "corr_portfolio": 0.08687582320090943, "corr_benchmark": 0.5765094563931232, "alpha_pos_frac": 0.569620253164557, "fund_max_dd": -0.46616997358146595, "first": "2019-08-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.87, qqq +0.78, ivv -0.53, vnq -0.13", "ref_full": "iwm +0.78, qqq +0.95, ivv -0.75" }, "ctcax": { "sym": "ctcax", "name": "Columbia Global Technology Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0075492615127686884, "alpha_t_5y": 0.3273218333083199, "alpha_t_full": -0.011295289069002241, "r2_5y": 0.9576868829553249, "r2_full": 0.9357897510683229, "corr_portfolio": 0.1353958588519295, "corr_benchmark": 0.5927231480121536, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6103735080626729, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.20, vnq -0.12, vwo +0.04, iwm +0.08, ivv -0.18, vea +0.07", "ref_full": "qqq +1.00, iwm +0.15, vnq -0.06, vwo +0.05, djp +0.03, ivv -0.08" }, "ctfax": { "sym": "ctfax", "name": "Columbia Thermostat Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010574283432642764, "alpha_t_5y": 0.9825089659307309, "alpha_t_full": 0.6094411576988712, "r2_5y": 0.8737713050113416, "r2_full": 0.7889227000158856, "corr_portfolio": 0.19533431960962236, "corr_benchmark": 0.7757812029679844, "alpha_pos_frac": 0.4669260700389105, "fund_max_dd": -0.47608616060833686, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.25, agg +0.34, iwm +0.04, ief +0.26, vnq -0.03, vweax +0.09", "ref_full": "ivv +0.18, vnq +0.13, efa +0.12, agg +0.18, vwo +0.08, ief +0.11" }, "cthax": { "sym": "cthax", "name": "American Funds College 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003010974250252283, "alpha_t_5y": -0.4697801641091124, "alpha_t_full": 0.8916817214379447, "r2_5y": 0.9473657030445733, "r2_full": 0.8718669321701216, "corr_portfolio": 0.3213946789819491, "corr_benchmark": 0.688690972827216, "alpha_pos_frac": 0.4720496894409938, "fund_max_dd": -0.17167364241103167, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.37, vmbix +0.19, qqq -0.12, vea +0.08, ief +0.23, vweax +0.08", "ref_full": "ivv +0.34, vea +0.15, vmbix +0.22, qqq -0.08, vwo +0.05, agg +0.14" }, "ctlax": { "sym": "ctlax", "name": "American Funds College 2033 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006236726060196059, "alpha_t_5y": -0.7810491803727553, "alpha_t_full": -0.27195751494439047, "r2_5y": 0.9531205361601095, "r2_full": 0.9325475026233965, "corr_portfolio": 0.2892663968944992, "corr_benchmark": 0.6808591418580229, "alpha_pos_frac": 0.5190839694656488, "fund_max_dd": -0.21426100921625013, "first": "2015-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.32, vmbix +0.15, efa +0.11, vnq +0.04, ief +0.16, vwo +0.03", "ref_full": "ivv +0.33, vea -0.06, agg +0.23, vwo +0.07, vweax +0.11, efa +0.22" }, "ctrzx": { "sym": "ctrzx", "name": "Multi-Manager Total Return Bond Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003138432109725065, "alpha_t_5y": -0.625867014540101, "alpha_t_full": -0.7907606998371255, "r2_5y": 0.9581148005999282, "r2_full": 0.9204024136971498, "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", "alpha_name": true, "ref_5y": "agg -0.06, vweax +0.09, ief +0.39, vblix +0.38, tlt -0.20, vmbix +0.20", "ref_full": "vblix +0.29, vmbix +0.17, vweax +0.15, ief +0.36, tlt -0.13, gsg -0.01" }, "cugax": { "sym": "cugax", "name": "abrdn Infrastructure Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 1.0079320253666877, "r2_5y": NaN, "r2_full": 0.46235420788835546, "corr_portfolio": 0.13683182532615717, "corr_benchmark": 0.31901902863821746, "alpha_pos_frac": 0.49390243902439024, "fund_max_dd": -0.13876766635421856, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "fxe +0.20, fxy +0.16, agg +0.04, vweax +0.10, ief +0.15, ivv +0.04" }, "cusex": { "sym": "cusex", "name": "Capital Group U.S. Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005929582364102896, "alpha_t_5y": -0.39118131437762377, "alpha_t_full": -0.338338146380308, "r2_5y": 0.9461578926899573, "r2_full": 0.9619283038146131, "corr_portfolio": 0.27967211508772066, "corr_benchmark": 0.6146069280071785, "alpha_pos_frac": 0.5027932960893855, "fund_max_dd": -0.30159879425816694, "first": "2011-04-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, vea +0.08, fxy -0.05", "ref_full": "ivv +0.85, vea +0.07, gld +0.02, fxy -0.03" }, "cwbfx": { "sym": "cwbfx", "name": "CAPITAL WORLD BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013710825557040155, "alpha_t_5y": -1.6989990222371285, "alpha_t_full": -1.0747580563427248, "r2_5y": 0.908632446130953, "r2_full": 0.8545747132679788, "corr_portfolio": 0.017548836695955257, "corr_benchmark": 0.6025150967524927, "alpha_pos_frac": 0.4605263157894737, "fund_max_dd": -0.27913623429064505, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.08, fxe +0.28, fxy +0.15, vweax +0.21, ief +0.37, vwo +0.03", "ref_full": "fxe +0.29, ief +0.33, vweax +0.21, fxy +0.14, vwo +0.03, gld +0.01" }, "cwgix": { "sym": "cwgix", "name": "CAPITAL WORLD GROWTH & INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006575499681927481, "alpha_t_5y": -0.5000742956314367, "alpha_t_full": 0.171937237084565, "r2_5y": 0.9583930534094567, "r2_full": 0.9621637719045796, "corr_portfolio": 0.3455265621097431, "corr_benchmark": 0.5976259262526823, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5406273954586027, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, vea +0.37, vwo +0.11, vnq -0.05, djp +0.02", "ref_full": "efa +0.37, ivv +0.46, vwo +0.08, vnq -0.05, vweax +0.18, fxe +0.09" }, "cxhyx": { "sym": "cxhyx", "name": "Nomura National High-Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005275788476768195, "alpha_t_5y": -0.2807883360291256, "alpha_t_full": 1.0714667551930228, "r2_5y": 0.40482256015539153, "r2_full": 0.27939625024545, "corr_portfolio": 0.05541654463553314, "corr_benchmark": 0.35972360048557855, "alpha_pos_frac": 0.5953307392996109, "fund_max_dd": -0.21814596862872238, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.65, ief +0.20, ivv -0.10, vnq +0.03", "ref_full": "vweax +0.38, ief +0.08, fxy +0.05, agg +0.14, efa -0.03, vnq +0.02" }, "cybax": { "sym": "cybax", "name": "Calvert High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009266365776293943, "alpha_t_5y": -1.6729885098630473, "alpha_t_full": 0.29876390745802367, "r2_5y": 0.9107395729772976, "r2_full": 0.7662737826271604, "corr_portfolio": 0.2903668700091865, "corr_benchmark": 0.47094654702161676, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.3041131787534861, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.74, iwm +0.01, vblix +0.23, tlt -0.15, agg -0.08, efa +0.01", "ref_full": "vweax +0.70, efa +0.01, agg +0.12, ief -0.06, ivv +0.03, qqq -0.01" }, "czmgx": { "sym": "czmgx", "name": "Columbia Integrated Large Cap Growth Fund II", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026818568369241864, "alpha_t_5y": -1.572478980004054, "alpha_t_full": -1.2901458826408, "r2_5y": 0.9640401227238035, "r2_full": 0.9662880689605193, "corr_portfolio": 0.11409922483904655, "corr_benchmark": 0.6453034994261324, "alpha_pos_frac": 0.5181818181818182, "fund_max_dd": -0.3522679178989334, "first": "2017-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.66, ivv +0.39, vnq -0.04", "ref_full": "qqq +0.66, ivv +0.35, iwm +0.04, vnq -0.04, tlt +0.06, vmbix -0.11" }, "czmsx": { "sym": "czmsx", "name": "Multi-Manager Small Cap Equity Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022182280666732963, "alpha_t_5y": -1.5308287393494295, "alpha_t_full": -0.8221323564584396, "r2_5y": 0.9742826780320858, "r2_full": 0.9776003352674115, "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", "alpha_name": true, "ref_5y": "iwm +0.87, vnq +0.01, gld -0.03, ivv +0.27, qqq -0.15", "ref_full": "iwm +0.89, ivv +0.22, qqq -0.10, gld -0.03" }, "czmvx": { "sym": "czmvx", "name": "Multi-Manager Value Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014217325549786266, "alpha_t_5y": -0.09290179061095917, "alpha_t_full": 0.37888391633902446, "r2_5y": 0.9385434772190683, "r2_full": 0.9581989791119522, "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", "alpha_name": true, "ref_5y": "ivv +1.35, qqq -0.64, iwm +0.15, gsg +0.04, vea +0.09, gld -0.03", "ref_full": "ivv +1.29, qqq -0.53, iwm +0.13, gsg +0.02, ief -0.09, efa +0.06" }, "dagvx": { "sym": "dagvx", "name": "BNY Mellon Dynamic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04195167545398709, "alpha_t_5y": 2.129069270523899, "alpha_t_full": 1.997016057494682, "r2_5y": 0.9102458053084723, "r2_full": 0.9494626017704948, "corr_portfolio": 0.3990619591523295, "corr_benchmark": 0.5025180335739345, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.550402249445293, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.42, qqq -0.68, iwm +0.21, djp +0.06, vnq -0.09, vea +0.10", "ref_full": "ivv +1.08, qqq -0.38, iwm +0.20, gsg +0.04, tlt -0.07, efa +0.09" }, "davpx": { "sym": "davpx", "name": "Davenport Core Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02265915600987152, "alpha_t_5y": -1.3506869389054084, "alpha_t_full": -0.9009198378626633, "r2_5y": 0.9415174203764517, "r2_full": 0.9660196842860197, "corr_portfolio": 0.26715307721690285, "corr_benchmark": 0.6143301770940472, "alpha_pos_frac": 0.4708171206225681, "fund_max_dd": -0.5180554947853084, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, vnq +0.04", "ref_full": "ivv +0.88, efa +0.04, vweax +0.05, qqq +0.02" }, "dbalx": { "sym": "dbalx", "name": "Davenport Balanced Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010263711884753935, "alpha_t_5y": -0.8751554613934291, "alpha_t_full": -0.5889934401275791, "r2_5y": 0.8943620045110944, "r2_full": 0.926583002442523, "corr_portfolio": 0.3587815708726959, "corr_benchmark": 0.6230696546604301, "alpha_pos_frac": 0.6065573770491803, "fund_max_dd": -0.2788811818902781, "first": "2016-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.08, vnq +0.09, efa +0.08, ivv +0.61, qqq -0.32, ief +0.13", "ref_full": "ivv +0.61, qqq -0.29, vnq +0.07, vea +0.08, agg +0.15, iwm +0.07" }, "dbicx": { "sym": "dbicx", "name": "DWS Global Macro Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023485956820961253, "alpha_t_5y": -2.0428624640575643, "alpha_t_full": -1.1794181059162892, "r2_5y": 0.8441870030381591, "r2_full": 0.8388010672394614, "corr_portfolio": 0.30334616811530735, "corr_benchmark": 0.5034606122491824, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.6394527499376437, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vea +0.05, gld +0.09, ivv +0.13, agg +0.12, djp -0.03, efa +0.17", "ref_full": "efa +0.50, vwo +0.14, gsg +0.03, fxe +0.13, fxy -0.09, vnq +0.02" }, "dbmix": { "sym": "dbmix", "name": "BNY Mellon Bond Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00707717093729227, "alpha_t_5y": -1.540436611856069, "alpha_t_full": -1.4803089998334498, "r2_5y": 0.965292380873764, "r2_full": 0.8707998800046651, "corr_portfolio": -0.11772772706375804, "corr_benchmark": 0.6890964385787227, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.19381479613484698, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.03, vblix +0.29, ief +0.39, tlt -0.14, vmbix +0.17, vweax +0.05", "ref_full": "ief +0.41, vweax +0.16, agg +0.11, vnq +0.01, tlt +0.05, fxy +0.02" }, "dboax": { "sym": "dboax", "name": "BNY Mellon Balanced Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010722599720699447, "alpha_t_5y": -1.093517668153606, "alpha_t_full": -2.202282959642518, "r2_5y": 0.9607984554299654, "r2_full": 0.9665632919028504, "corr_portfolio": 0.26024753055931127, "corr_benchmark": 0.6806589105482995, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.42425501582744496, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.53, agg +0.35, iwm +0.09, vwo +0.04, vnq -0.04, djp +0.02", "ref_full": "ivv +0.53, agg +0.12, iwm +0.09, efa +0.06, gsg +0.02, ief +0.09" }, "dccax": { "sym": "dccax", "name": "Nomura Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007281274436896146, "alpha_t_5y": 0.3987638720111437, "alpha_t_full": 0.2217304137438584, "r2_5y": 0.9572702511843761, "r2_full": 0.9461799498691109, "corr_portfolio": 0.2797211782632119, "corr_benchmark": 0.5305667684501791, "alpha_pos_frac": 0.6470588235294118, "fund_max_dd": -0.6033743954451982, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.86, vnq +0.09, gld -0.05", "ref_full": "iwm +0.88, ivv +0.20, qqq -0.08, vwo -0.04, ief -0.18, agg +0.20" }, "dcpyx": { "sym": "dcpyx", "name": "BNY Mellon Core Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001962536645891677, "alpha_t_5y": -0.3835461627237579, "alpha_t_full": -0.608585835243655, "r2_5y": 0.9536744073113418, "r2_full": 0.8733519068805812, "corr_portfolio": -0.016272728918928288, "corr_benchmark": 0.7194908855328394, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1900828860903102, "first": "2010-12-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.03, vweax +0.14, vblix +0.42, ief +0.26, tlt -0.20, vmbix +0.20", "ref_full": "agg +0.18, vweax +0.32, ief +0.16, vmbix +0.25, tlt +0.05, qqq -0.01" }, "dcsvx": { "sym": "dcsvx", "name": "Dunham Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021359685429928554, "alpha_t_5y": 0.8195228314755193, "alpha_t_full": 0.0744577856574391, "r2_5y": 0.9093333023414917, "r2_full": 0.934972252032386, "corr_portfolio": 0.3618114563621494, "corr_benchmark": 0.4841282647698109, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6282930510334706, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, qqq -0.53, ivv +0.73, ief -0.08", "ref_full": "iwm +0.85, vnq +0.05, qqq -0.31, ivv +0.36, gld -0.04, djp +0.02" }, "dcuax": { "sym": "dcuax", "name": "DWS CROCI U.S. Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010904524273579932, "alpha_t_5y": 0.4229475219423742, "alpha_t_full": -0.873072277461374, "r2_5y": 0.8518834654909513, "r2_full": 0.8839855539672946, "corr_portfolio": 0.3561586474358129, "corr_benchmark": 0.5562405727503742, "alpha_pos_frac": 0.48854961832061067, "fund_max_dd": -0.4190938206412135, "first": "2015-04-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.10, qqq -0.34, iwm +0.16", "ref_full": "ivv +1.18, qqq -0.41, iwm +0.16, efa +0.05" }, "dddax": { "sym": "dddax", "name": "13D Activist Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02157888345162921, "alpha_t_5y": -0.5838116799001137, "alpha_t_full": 0.19287617668332585, "r2_5y": 0.8054115257359625, "r2_full": 0.8455854487598768, "corr_portfolio": 0.29151716718119575, "corr_benchmark": 0.5391288980619449, "alpha_pos_frac": 0.5588235294117647, "fund_max_dd": -0.43831314666523946, "first": "2012-01-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.61, ivv +0.47, qqq -0.18, vweax +0.18", "ref_full": "iwm +0.58, ivv +0.37, qqq -0.13, vea +0.12, vweax +0.17, gld -0.03" }, "ddfax": { "sym": "ddfax", "name": "Nomura Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020546697003385246, "alpha_t_5y": 2.5038333645230635, "alpha_t_full": 1.441704471429834, "r2_5y": 0.43691504039732154, "r2_full": 0.45121696592696137, "corr_portfolio": 0.2782139573064615, "corr_benchmark": 0.21449920370657755, "alpha_pos_frac": 0.4375, "fund_max_dd": -0.1808905013062625, "first": "2010-03-01", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false, "ref_5y": "vweax +0.44, vmbix -0.10, iwm -0.02", "ref_full": "vweax +0.40, vmbix -0.09, vnq +0.01, qqq -0.01" }, "ddiax": { "sym": "ddiax", "name": "Nomura Wealth Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00610685924085941, "alpha_t_5y": 0.673421146659033, "alpha_t_full": -1.7319610477411351, "r2_5y": 0.9567782418023651, "r2_full": 0.9391972885794158, "corr_portfolio": 0.3564902135728801, "corr_benchmark": 0.6459200073292477, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.47216419966393997, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, iwm +0.09, vmbix +0.17, qqq -0.17, vea +0.09, vweax +0.10", "ref_full": "ivv +0.53, vweax +0.28, vnq +0.05, qqq -0.11, iwm +0.07, agg +0.08" }, "ddvax": { "sym": "ddvax", "name": "Nomura Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029133528261048574, "alpha_t_5y": -1.2898601616098588, "alpha_t_full": -0.2292283788157841, "r2_5y": 0.8616841615630201, "r2_full": 0.8873439058345787, "corr_portfolio": 0.3988104415560527, "corr_benchmark": 0.5172182781884438, "alpha_pos_frac": 0.5680933852140078, "fund_max_dd": -0.5373544319118111, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.52, qqq -0.77, iwm +0.12, vnq +0.05", "ref_full": "ivv +1.16, qqq -0.41, iwm +0.07, vweax +0.09, fxy -0.04, efa +0.03" }, "dedax": { "sym": "dedax", "name": "Nomura Emerging Markets Debt Corporate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0024809662626143693, "alpha_t_5y": -0.2497666014946063, "alpha_t_full": 1.4142443716657733, "r2_5y": 0.47612396450229877, "r2_full": 0.5073711328025495, "corr_portfolio": 0.2547809871673848, "corr_benchmark": 0.4115065436045657, "alpha_pos_frac": 0.5771812080536913, "fund_max_dd": -0.20320790845836378, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.28, vblix +0.19, vwo +0.04, qqq -0.03, tlt -0.09", "ref_full": "vweax +0.37, vblix +0.23, vwo +0.05, qqq -0.03, tlt -0.12" }, "deeax": { "sym": "deeax", "name": "Nomura Extended Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008741689518610945, "alpha_t_5y": -1.0016337214338766, "alpha_t_full": 0.04410081301441336, "r2_5y": 0.9667255056831693, "r2_full": 0.850075924290316, "corr_portfolio": -0.03530938114328294, "corr_benchmark": 0.737169557947635, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.3467735164930591, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.94, vweax +0.23, ief -0.42, agg +0.28, efa +0.01", "ref_full": "tlt +0.55, vweax +0.55, agg +0.16, efa +0.02, fxy +0.02" }, "deffx": { "sym": "deffx", "name": "Nomura Tax-Free Minnesota Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014482191063571027, "alpha_t_5y": -0.9640269888506026, "alpha_t_full": 0.49078863389521304, "r2_5y": 0.3685503816872153, "r2_full": 0.24910691164736753, "corr_portfolio": 0.0347045108061029, "corr_benchmark": 0.33993463840610777, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.14700191331347756, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.33, ivv -0.08, vnq +0.03, tlt -0.17, vmbix +0.09", "ref_full": "agg +0.08, vweax +0.24, ief +0.09, fxy +0.03, gsg -0.01" }, "deggx": { "sym": "deggx", "name": "Nomura Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001462236823471043, "alpha_t_5y": -0.1776219927607692, "alpha_t_full": 1.3208173385962645, "r2_5y": 0.7507190219630245, "r2_full": 0.6315125875089638, "corr_portfolio": 0.16807549200539695, "corr_benchmark": 0.5578936077181569, "alpha_pos_frac": 0.4262948207171315, "fund_max_dd": -0.1679588222682863, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.55, ief +0.18, vwo +0.02, qqq -0.01", "ref_full": "ief +0.34, vweax +0.38, fxy +0.02, vnq +0.01" }, "delix": { "sym": "delix", "name": "Nomura Tax-Free Pennsylvania Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00588614703126202, "alpha_t_5y": -0.3437830957732348, "alpha_t_full": 0.6925448019258857, "r2_5y": 0.39715601351437546, "r2_full": 0.26027135826983006, "corr_portfolio": 0.03155382856600083, "corr_benchmark": 0.35795300442927824, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.17299409643230312, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.42, vblix +0.28, ivv -0.10, vnq +0.03, tlt -0.16, vmbix +0.11", "ref_full": "agg +0.08, vweax +0.27, ief +0.12, gsg -0.01, fxy +0.04, vnq +0.01" }, "demax": { "sym": "demax", "name": "Nomura Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08240095802113384, "alpha_t_5y": 1.0503901066635293, "alpha_t_full": 0.8015690507899779, "r2_5y": 0.6136498607651306, "r2_full": 0.7252662321510253, "corr_portfolio": 0.24401351630599663, "corr_benchmark": 0.40265047451725144, "alpha_pos_frac": 0.4125560538116592, "fund_max_dd": -0.6322706754654585, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.78, qqq +0.10, vnq -0.22, vea +4.12, efa -3.58, fxe -0.46", "ref_full": "vwo +0.70, qqq +0.17, vweax +0.46, vnq -0.11, iwm +0.09, gld +0.05" }, "deopx": { "sym": "deopx", "name": "Davenport Equity Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03796110140415165, "alpha_t_5y": -1.1940461257837458, "alpha_t_full": -0.4603899770139832, "r2_5y": 0.8392634399908614, "r2_full": 0.8799004862473265, "corr_portfolio": 0.2572406006709522, "corr_benchmark": 0.6060807106177574, "alpha_pos_frac": 0.5769230769230769, "fund_max_dd": -0.37757335513903734, "first": "2011-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.35, ivv +0.62, vnq +0.16, gsg -0.05, qqq -0.15, vweax +0.21", "ref_full": "ivv +0.46, iwm +0.31, vnq +0.12, vweax +0.12, agg +0.11, efa +0.05" }, "deqax": { "sym": "deqax", "name": "BNY Mellon Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01839334657773953, "alpha_t_5y": 0.9421615214017038, "alpha_t_full": 1.2352834943134985, "r2_5y": 0.8675142240365642, "r2_full": 0.8753980764471258, "corr_portfolio": 0.4143968153077278, "corr_benchmark": 0.552164118154381, "alpha_pos_frac": 0.5136363636363637, "fund_max_dd": -0.5285464529052734, "first": "2007-10-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.43, vnq +0.06, ivv +0.68, qqq -0.39, vwo +0.06", "ref_full": "efa +0.25, ivv +0.39, qqq -0.16, vweax +0.23, vwo +0.06, vea +0.19" }, "dessx": { "sym": "dessx", "name": "DWS Enhanced Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01469821707507538, "alpha_t_5y": 1.4166889846431232, "alpha_t_full": -0.19077958787211668, "r2_5y": 0.9789210252402227, "r2_full": 0.9466392454979196, "corr_portfolio": 0.26947614275456194, "corr_benchmark": 0.5927596374182127, "alpha_pos_frac": 0.5748987854251012, "fund_max_dd": -0.5821335574744276, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, iwm +0.06", "ref_full": "ivv +0.86, iwm +0.16, djp +0.05, qqq -0.05, vweax +0.10, tlt -0.02" }, "devlx": { "sym": "devlx", "name": "Nomura Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011746527350398871, "alpha_t_5y": 0.44792355987583016, "alpha_t_full": 0.8526279933997261, "r2_5y": 0.9132163761277029, "r2_full": 0.9193741849714161, "corr_portfolio": 0.36246876752111673, "corr_benchmark": 0.47796694714956156, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.6008127858495343, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.75, qqq -0.60, ivv +0.86, ief -0.12, gld -0.05, vea +0.09", "ref_full": "iwm +0.81, efa +0.01, qqq -0.35, ivv +0.50, ief -0.26, agg +0.23" }, "dfac": { "sym": "dfac", "name": "Dimensional U.S. Core Equity 2 ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0024763065295681057, "alpha_t_5y": 0.2956825977770949, "alpha_t_full": 0.2956825977770949, "r2_5y": 0.9875348427318987, "r2_full": 0.9875348427318987, "corr_portfolio": 0.16747873728248439, "corr_benchmark": 0.6548113823430975, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.23113958654472233, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, iwm +0.24, qqq -0.19, vnq -0.03, fxy -0.03, vea +0.02", "ref_full": "ivv +0.95, iwm +0.24, qqq -0.19, vnq -0.03, fxy -0.03, vea +0.02" }, "dfas": { "sym": "dfas", "name": "Dimensional U.S. Small Cap ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017029241306224487, "alpha_t_5y": 1.0203167962472686, "alpha_t_full": 1.0203167962472686, "r2_5y": 0.9664293462753802, "r2_full": 0.9664293462753802, "corr_portfolio": 0.18879371269858014, "corr_benchmark": 0.5775836572097001, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.26129853679353865, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, gld -0.04, efa +0.04, qqq -0.30, ivv +0.48, vnq -0.04", "ref_full": "iwm +0.84, gld -0.04, efa +0.04, qqq -0.30, ivv +0.48, vnq -0.04" }, "dfat": { "sym": "dfat", "name": "Dimensional U.S. Targeted Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.038064739966180434, "alpha_t_5y": 1.4233771936843755, "alpha_t_full": 1.4233771936843755, "r2_5y": 0.9185220398061023, "r2_full": 0.9185220398061023, "corr_portfolio": 0.2707254645063862, "corr_benchmark": 0.5209493781776272, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.26116933725218905, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, qqq -0.54, ivv +0.75, ief -0.09, gsg +0.05, gld -0.06", "ref_full": "iwm +0.84, qqq -0.54, ivv +0.75, ief -0.09, gsg +0.05, gld -0.06" }, "dfeox": { "sym": "dfeox", "name": "U.S. CORE EQUITY 1 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005604383697114176, "alpha_t_5y": 0.86455105215799, "alpha_t_full": 0.9771948496461218, "r2_5y": 0.9915839007270397, "r2_full": 0.9641166448009733, "corr_portfolio": 0.30463920703149805, "corr_benchmark": 0.5665994340119563, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.5677201057180712, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, iwm +0.20, qqq -0.15, vnq -0.02, gsg +0.01, gld -0.01", "ref_full": "ivv +0.68, iwm +0.25, agg -0.13, djp +0.02, efa +0.03" }, "dffvx": { "sym": "dffvx", "name": "U.S. Targeted Value Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05007541865355011, "alpha_t_5y": 1.948369240084384, "alpha_t_full": 1.8221760212377778, "r2_5y": 0.9204343389612911, "r2_full": 0.9281534825852942, "corr_portfolio": 0.3561392477750663, "corr_benchmark": 0.4342961375901443, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.6513103748708418, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, qqq -0.60, ivv +0.82, ief -0.12, gsg +0.05, gld -0.05", "ref_full": "iwm +0.93, qqq -0.33, ivv +0.39, agg -0.17, gsg +0.05, gld -0.04" }, "dflax": { "sym": "dflax", "name": "BNY Mellon Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021292720827850147, "alpha_t_5y": 3.399155041686629, "alpha_t_full": 1.9830539389964237, "r2_5y": 0.3142421123447945, "r2_full": 0.5027221656368749, "corr_portfolio": 0.31587241732489957, "corr_benchmark": 0.24736221127793148, "alpha_pos_frac": 0.4899328859060403, "fund_max_dd": -0.1895822666532624, "first": "2013-09-30", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.19, ief -0.09, vwo +0.02, tlt +0.03", "ref_full": "vweax +0.36, vmbix -0.14, vnq +0.01, qqq -0.04, ivv +0.05, vblix +0.02" }, "dflex": { "sym": "dflex", "name": "DoubleLine Flexible Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0066841338000798835, "alpha_t_5y": 1.2734082749904803, "alpha_t_full": 1.8218344445759618, "r2_5y": 0.5630080382336304, "r2_full": 0.4191245657671121, "corr_portfolio": 0.16057088019139903, "corr_benchmark": 0.37341032895821474, "alpha_pos_frac": 0.6013986013986014, "fund_max_dd": -0.172953786181673, "first": "2014-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.09, vweax +0.13, ief +0.09, tlt -0.02, gld +0.01", "ref_full": "vweax +0.27, ief +0.10, fxy +0.03, agg -0.11, vnq +0.01, vblix +0.03" }, "dfqtx": { "sym": "dfqtx", "name": "U.S. CORE EQUITY 2 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0069059879502230285, "alpha_t_5y": 0.8887691681305152, "alpha_t_full": 0.960009556200298, "r2_5y": 0.988085865797183, "r2_full": 0.9605486264878871, "corr_portfolio": 0.31206193350712147, "corr_benchmark": 0.5533855720079288, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.5935120770438427, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, iwm +0.24, qqq -0.21, vnq -0.03, ief -0.03, vea +0.02", "ref_full": "ivv +0.72, iwm +0.32, qqq -0.08, agg -0.15, djp +0.02, efa +0.04" }, "dfrex": { "sym": "dfrex", "name": "DFA REAL ESTATE SECURITIES PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007401056990829028, "alpha_t_5y": 1.100213296096211, "alpha_t_full": 0.6412481343148015, "r2_5y": 0.9924545860484144, "r2_full": 0.9766360045614783, "corr_portfolio": 0.22431609337800076, "corr_benchmark": 0.5390872797266717, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.7435856892153729, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.04, iwm -0.05, vblix -0.02", "ref_full": "vnq +1.03, agg -0.45, ief +0.16, iwm -0.02, fxe +0.05, tlt +0.04" }, "dfstx": { "sym": "dfstx", "name": "U.S. SMALL CAP PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0251336997760011, "alpha_t_5y": 1.5402598695875698, "alpha_t_full": 1.4158351730072087, "r2_5y": 0.9648491236080019, "r2_full": 0.9479462081303421, "corr_portfolio": 0.30651412729276556, "corr_benchmark": 0.4844811662416213, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.609940920452767, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.83, qqq -0.35, ivv +0.57, vnq -0.05, gld -0.03", "ref_full": "iwm +0.93, agg -0.17, qqq -0.11, ivv +0.14" }, "dfsvx": { "sym": "dfsvx", "name": "U.S. SMALL CAP VALUE PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0585692108090555, "alpha_t_5y": 2.1656692617292665, "alpha_t_full": 1.7260805162172985, "r2_5y": 0.9121595549870158, "r2_full": 0.9222040852777844, "corr_portfolio": 0.3541278112011921, "corr_benchmark": 0.425867242120258, "alpha_pos_frac": 0.44680851063829785, "fund_max_dd": -0.6670292066979779, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.87, qqq -0.68, ivv +0.94, vnq -0.09, gsg +0.06, gld -0.06", "ref_full": "iwm +1.00, qqq -0.32, ivv +0.30, agg -0.22, gsg +0.05, gld -0.03" }, "dfusx": { "sym": "dfusx", "name": "U.S. LARGE COMPANY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007313456834199563, "alpha_t_5y": 0.14257333721468637, "alpha_t_full": 0.13172346141568536, "r2_5y": 0.9946896360368881, "r2_full": 0.9917422620559331, "corr_portfolio": 0.28268444464424947, "corr_benchmark": 0.6152884362612918, "alpha_pos_frac": 0.5372168284789643, "fund_max_dd": -0.5495964160160751, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.95, vnq +0.01, qqq +0.03, efa +0.01, ief -0.05, agg +0.04" }, "dfvex": { "sym": "dfvex", "name": "U.S. VECTOR EQUITY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01064461681015462, "alpha_t_5y": 0.7539045031243354, "alpha_t_full": 1.0702613071882248, "r2_5y": 0.9661535975423905, "r2_full": 0.9505986742354414, "corr_portfolio": 0.34908907495294184, "corr_benchmark": 0.49565547725828896, "alpha_pos_frac": 0.4851063829787234, "fund_max_dd": -0.6271446828981191, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.50, ivv +1.03, qqq -0.46, vnq -0.05, gsg +0.02, ief -0.07", "ref_full": "iwm +0.59, ivv +0.59, qqq -0.23, agg -0.18, gsg +0.03, efa +0.05" }, "dgagx": { "sym": "dgagx", "name": "BNY Mellon Appreciation Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.047463299774837354, "alpha_t_5y": -2.954056960319174, "alpha_t_full": -1.1913515069658158, "r2_5y": 0.9472472250800732, "r2_full": 0.9546511739156285, "corr_portfolio": 0.2534308050139968, "corr_benchmark": 0.619725330700004, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.4880058138124963, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, iwm -0.09, efa +0.36, vea -0.28", "ref_full": "ivv +0.98, iwm -0.10, efa +0.09, vnq -0.04, agg +0.10, gsg +0.02" }, "dgcax": { "sym": "dgcax", "name": "Nomura Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011326313732950533, "alpha_t_5y": -1.9551970225969868, "alpha_t_full": 0.22970330607099773, "r2_5y": 0.9524938977651123, "r2_full": 0.7643537066512229, "corr_portfolio": 0.02335937417244287, "corr_benchmark": 0.7199018585340871, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.23176997002078337, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.62, vweax +0.22, tlt -0.26, ief +0.12, agg +0.14", "ref_full": "ief +0.29, vweax +0.44, tlt +0.13, agg +0.12, efa +0.01, fxy +0.02" }, "dgeax": { "sym": "dgeax", "name": "BNY Mellon Global Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04926404829621898, "alpha_t_5y": -1.2603915594169954, "alpha_t_full": -0.21610706578426717, "r2_5y": 0.7255620401041487, "r2_full": 0.7538605255496652, "corr_portfolio": 0.25101831558617815, "corr_benchmark": 0.4478041964688626, "alpha_pos_frac": 0.43448275862068964, "fund_max_dd": -0.4321532826724248, "first": "2014-02-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.69, qqq +0.14, fxy -0.10, vweax +0.22", "ref_full": "vwo +0.63, qqq +0.16, vweax +0.38, agg -0.15" }, "dglax": { "sym": "dglax", "name": "BNY Mellon Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04902693884323747, "alpha_t_5y": -2.2522158700878396, "alpha_t_full": -0.6678292123022067, "r2_5y": 0.8957935346466646, "r2_full": 0.9070273483512833, "corr_portfolio": 0.26884547636106726, "corr_benchmark": 0.6140940047720933, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.4388489535023249, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.68, efa +0.79, vea -0.56, ief +0.10, vwo +0.05, gsg -0.02", "ref_full": "ivv +0.43, efa +0.37, qqq +0.09, vweax +0.15, vnq -0.04, ief +0.10" }, "dhgax": { "sym": "dhgax", "name": "BNY Mellon Global Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006047702703677517, "alpha_t_5y": -0.7451635433263645, "alpha_t_full": 0.08222033156281877, "r2_5y": 0.7443955996981846, "r2_full": 0.6379065742317279, "corr_portfolio": 0.018443089889281766, "corr_benchmark": 0.6402274363526256, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.14846417880357787, "first": "2009-12-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.16, vweax +0.16, ief +0.27, qqq -0.01", "ref_full": "agg +0.17, vweax +0.19, ief +0.15, vmbix +0.10, fxe -0.03, gld +0.01" }, "dhlax": { "sym": "dhlax", "name": "Diamond Hill Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02576607292642245, "alpha_t_5y": -1.1632429239098836, "alpha_t_full": 0.6835726560619579, "r2_5y": 0.8876505165402734, "r2_full": 0.9334019503142316, "corr_portfolio": 0.37413884182690993, "corr_benchmark": 0.5287589483814468, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5221163952892658, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.37, qqq -0.67, iwm +0.14, vnq +0.09, gld -0.05, efa +0.08", "ref_full": "ivv +1.10, qqq -0.35, iwm +0.12, gsg +0.04, efa +0.07, gld -0.03" }, "dhmbx": { "sym": "dhmbx", "name": "BNY Mellon High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012405279579343866, "alpha_t_5y": -0.6518926789551776, "alpha_t_full": -0.16321871489368323, "r2_5y": 0.3919567294225831, "r2_full": 0.30598052300549905, "corr_portfolio": 0.06541736603955979, "corr_benchmark": 0.3439629956282137, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.27661284244412654, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.50, vblix +0.34, ivv -0.10, vnq +0.04, tlt -0.17", "ref_full": "vweax +0.43, ief +0.08, fxy +0.05, agg +0.14, efa -0.04, vnq +0.02" }, "dhtax": { "sym": "dhtax", "name": "Diamond Hill Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0170122182865699, "alpha_t_5y": 0.48178655913890023, "alpha_t_full": 0.8156989833946058, "r2_5y": 0.835628536664707, "r2_full": 0.8848858163301434, "corr_portfolio": 0.34241889613018117, "corr_benchmark": 0.5103401976028332, "alpha_pos_frac": 0.4834710743801653, "fund_max_dd": -0.5142129870665421, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.50, ivv +1.14, qqq -0.57, gld -0.07, vweax +0.33, ief -0.11", "ref_full": "ivv +0.90, iwm +0.41, qqq -0.35, vnq -0.07, vweax +0.18, efa +0.05" }, "dial": { "sym": "dial", "name": "Columbia Diversified Fixed Income Allocation ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008472122832099215, "alpha_t_5y": -0.8612328106031648, "alpha_t_full": -0.07248144168356299, "r2_5y": 0.8817991175775783, "r2_full": 0.657556804484994, "corr_portfolio": 0.051727050486643424, "corr_benchmark": 0.6713931743073369, "alpha_pos_frac": 0.48, "fund_max_dd": -0.22186745794811102, "first": "2017-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.78, vweax +0.31, efa +0.03, ivv +0.06, fxe +0.05, fxy +0.03", "ref_full": "vmbix +0.38, vweax +0.41, agg +0.08, fxe +0.12, vnq +0.05, vblix +0.12" }, "dibax": { "sym": "dibax", "name": "BNY Mellon International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01259806932538996, "alpha_t_5y": -0.9831589271990273, "alpha_t_full": 1.6734154896923896, "r2_5y": 0.8251637472553073, "r2_full": 0.7509580959587372, "corr_portfolio": 0.06975656000439666, "corr_benchmark": 0.414924029102727, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.3099498897274241, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.42, fxy +0.26, vweax +0.22, ief +0.18, vea +0.07, ivv -0.04", "ref_full": "fxe +0.38, fxy +0.29, vweax +0.22, ief +0.12, efa +0.03, gld +0.02" }, "difax": { "sym": "difax", "name": "MFS Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00010652125991375261, "alpha_t_5y": -0.01520227570030954, "alpha_t_full": -0.47833417237809833, "r2_5y": 0.9369935205716488, "r2_full": 0.9470560160586599, "corr_portfolio": 0.33920779248964134, "corr_benchmark": 0.694429298012178, "alpha_pos_frac": 0.5527426160337553, "fund_max_dd": -0.35241227466974046, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vnq +0.14, vweax +0.44, agg +0.26, efa +0.09, qqq -0.07, ivv +0.11", "ref_full": "vnq +0.17, vweax +0.41, efa +0.07, agg +0.16, ivv +0.16, qqq -0.07" }, "diisx": { "sym": "diisx", "name": "BNY Mellon International Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00817060674683571, "alpha_t_5y": 0.44051575562892253, "alpha_t_full": -0.7086046288958919, "r2_5y": 0.9222021397670954, "r2_full": 0.9002604574502526, "corr_portfolio": 0.38436017062138594, "corr_benchmark": 0.5241935899711841, "alpha_pos_frac": 0.512396694214876, "fund_max_dd": -0.605981406407339, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.87, fxe +0.13, vweax +0.23, vnq -0.02, vwo +0.04, iwm -0.03", "ref_full": "efa +0.82, vweax +0.37, vnq -0.05, fxe +0.08, vwo +0.03" }, "disax": { "sym": "disax", "name": "BNY Mellon International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06879105865542176, "alpha_t_5y": -2.45654506057856, "alpha_t_full": -0.5152405761696353, "r2_5y": 0.834164218167567, "r2_full": 0.8520969012487281, "corr_portfolio": 0.2685181245126496, "corr_benchmark": 0.5536056275775565, "alpha_pos_frac": 0.591304347826087, "fund_max_dd": -0.45847016832989185, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.72, qqq +0.15, vweax +0.33, fxe +0.16, iwm -0.07", "ref_full": "efa +0.67, vweax +0.29, fxy +0.13, qqq +0.12, iwm -0.08, vwo +0.04" }, "dissx": { "sym": "dissx", "name": "BNY Mellon Smallcap Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013132932614346367, "alpha_t_5y": 0.6540886415085861, "alpha_t_full": 1.2673666568827484, "r2_5y": 0.9512186181969386, "r2_full": 0.9669723237844563, "corr_portfolio": 0.30841779164833555, "corr_benchmark": 0.5162245215448675, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.5829664061874964, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.92, qqq -0.30, ivv +0.39, gld -0.04", "ref_full": "iwm +0.95, qqq -0.13, ivv +0.16, vnq +0.02, gld -0.02, vwo -0.02" }, "ditex": { "sym": "ditex", "name": "BNY Mellon Intermediate Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01568815703470744, "alpha_t_5y": -1.5746039707823742, "alpha_t_full": 0.8212355936244463, "r2_5y": 0.3747366293481367, "r2_full": 0.27854881613896354, "corr_portfolio": 0.03340548286177864, "corr_benchmark": 0.3403893421352578, "alpha_pos_frac": 0.5265017667844523, "fund_max_dd": -0.11677739954810062, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, ief +0.11, ivv -0.04", "ref_full": "vweax +0.23, ief +0.07, fxy +0.03, gsg -0.01, agg +0.07, efa -0.01" }, "divhx": { "sym": "divhx", "name": "Cutler Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012945219842200458, "alpha_t_5y": 0.21023821752702826, "alpha_t_full": 0.20712382328412982, "r2_5y": 0.4469027818553414, "r2_full": 0.4536157705979095, "corr_portfolio": 0.17297900516203735, "corr_benchmark": 0.41060670265789856, "alpha_pos_frac": 0.484375, "fund_max_dd": -0.3315026878953691, "first": "2020-10-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.47, qqq -0.71, vwo +0.21", "ref_full": "ivv +1.45, qqq -0.69, vwo +0.21" }, "dlhax": { "sym": "dlhax", "name": "Nomura Healthcare Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007991450943147675, "alpha_t_5y": 0.16535454858709453, "alpha_t_full": 2.3198614014673984, "r2_5y": 0.5020380794323404, "r2_full": 0.6919341769339773, "corr_portfolio": 0.22129741856273794, "corr_benchmark": 0.49133203243323836, "alpha_pos_frac": 0.5067873303167421, "fund_max_dd": -0.3464478511220901, "first": "2007-10-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.24, efa +1.36, vea -1.26, vnq +0.11, ivv +0.20, gld +0.06", "ref_full": "ivv +0.43, iwm +0.23, efa +0.17, vnq -0.05, agg +0.13, djp -0.04" }, "dlqax": { "sym": "dlqax", "name": "BNY Mellon Large Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03921183330080471, "alpha_t_5y": -2.773541320709123, "alpha_t_full": -2.408961601440196, "r2_5y": 0.9628041929990855, "r2_full": 0.9638688746204088, "corr_portfolio": 0.2684712043554961, "corr_benchmark": 0.5973101938487969, "alpha_pos_frac": 0.543859649122807, "fund_max_dd": -0.6084888570091624, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96, iwm +0.06, vnq -0.04, fxy -0.04, vwo +0.03", "ref_full": "ivv +0.83, vwo +0.04, qqq +0.09, iwm +0.05, gsg +0.02, fxy -0.04" }, "dltrx": { "sym": "dltrx", "name": "Nomura Limited-Term Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008216369209544508, "alpha_t_5y": -1.649985577336352, "alpha_t_full": 0.18234778368490487, "r2_5y": 0.7110080988860843, "r2_full": 0.5388366206036641, "corr_portfolio": -0.023842928935355934, "corr_benchmark": 0.4670207303004375, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.0744118782838673, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "agg +0.10, vweax +0.10, tlt -0.20, ief +0.24, vblix +0.17, ivv -0.01", "ref_full": "ief +0.31, vweax +0.11, tlt -0.05, fxy +0.02" }, "dmcvx": { "sym": "dmcvx", "name": "BNY Mellon Midcap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02854182144040557, "alpha_t_5y": -1.2902179466203616, "alpha_t_full": 0.4142674523717028, "r2_5y": 0.9076813667630198, "r2_full": 0.9222523544382144, "corr_portfolio": 0.33320416418562776, "corr_benchmark": 0.5308071480829266, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5831109378408257, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.37, ivv +0.79, qqq -0.36, vea +0.18, fxy -0.08, djp +0.04", "ref_full": "ivv +0.59, iwm +0.42, efa +0.10, qqq -0.13, djp +0.06, tlt -0.05" }, "dmszx": { "sym": "dmszx", "name": "Destinations Multi Strategy Alternatives Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008004294698930266, "alpha_t_5y": 0.8380799715456135, "alpha_t_full": 0.5884969214232527, "r2_5y": 0.5667802960222272, "r2_full": 0.6189922491575603, "corr_portfolio": 0.27114533278059666, "corr_benchmark": 0.4543087195661785, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.2111802646567632, "first": "2018-07-19", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "iwm +0.10, vweax +0.14, ief -0.04", "ref_full": "iwm +0.09, vweax +0.40, vmbix -0.33, agg +0.22, vwo +0.03, qqq -0.02" }, "dmtfx": { "sym": "dmtfx", "name": "Nomura Tax-Free USA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008826340105176831, "alpha_t_5y": -0.43696301927570685, "alpha_t_full": 0.32345893149837074, "r2_5y": 0.418740787429169, "r2_full": 0.28384409297872804, "corr_portfolio": 0.036736675334167974, "corr_benchmark": 0.382730787321019, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.2191387404769738, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.11, vweax +0.60, ivv -0.11, vnq +0.04, vmbix +0.12", "ref_full": "vweax +0.33, ief +0.14, agg +0.11, fxy +0.04, gsg -0.02, vnq +0.01" }, "dmuax": { "sym": "dmuax", "name": "BNY Mellon AMT-Free Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014489704125983422, "alpha_t_5y": -1.1296018915793893, "alpha_t_full": 0.47972635430834865, "r2_5y": 0.3697786947612277, "r2_full": 0.290376405814316, "corr_portfolio": 0.03746674191228839, "corr_benchmark": 0.3457160976637616, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.14361555473881005, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, ief +0.13, ivv -0.12, vnq +0.03, qqq +0.04", "ref_full": "vweax +0.28, ief +0.08, fxy +0.04, efa -0.03, agg +0.10, vnq +0.01" }, "dmusx": { "sym": "dmusx", "name": "Nomura Tax-Free USA Intermediate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015079025626212883, "alpha_t_5y": -1.0856375648768926, "alpha_t_full": 0.38292055080194354, "r2_5y": 0.40461304931178244, "r2_full": 0.2702634270151212, "corr_portfolio": 0.034201496748888525, "corr_benchmark": 0.359683317496382, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16399318464431345, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, vblix +0.31, ivv -0.08, tlt -0.17, vnq +0.03", "ref_full": "agg +0.07, vweax +0.23, ief +0.10, fxy +0.03, gsg -0.01, vnq +0.01" }, "dnlax": { "sym": "dnlax", "name": "BNY Mellon Natural Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004336011549994977, "alpha_t_5y": 0.07846921203171128, "alpha_t_full": 0.6906573851696909, "r2_5y": 0.7409288589891423, "r2_full": 0.7969651514656109, "corr_portfolio": 0.40808297282880157, "corr_benchmark": 0.3925872954677195, "alpha_pos_frac": 0.3991031390134529, "fund_max_dd": -0.6914119234571507, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.42, djp +0.62, vea +0.36, ief -0.46, qqq -0.59, ivv +0.78", "ref_full": "efa +0.29, gsg +0.27, iwm +0.36, vwo +0.21, djp +0.22, gld +0.09" }, "dnldx": { "sym": "dnldx", "name": "BNY Mellon Active MidCap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003375192186133802, "alpha_t_5y": 0.18283767555683766, "alpha_t_full": -1.7328030180736762, "r2_5y": 0.9412957154271712, "r2_full": 0.9483876677493629, "corr_portfolio": 0.3173049122582174, "corr_benchmark": 0.5900722027722836, "alpha_pos_frac": 0.5680933852140078, "fund_max_dd": -0.6369021190727286, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.38, ivv +0.69, vnq +0.10, qqq -0.15", "ref_full": "ivv +0.65, iwm +0.35, qqq -0.08, vwo +0.04, vnq +0.03, djp +0.04" }, "dnmzx": { "sym": "dnmzx", "name": "PGIM NATIONAL MUNI FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013903692472970365, "alpha_t_5y": -1.4117527190320807, "alpha_t_full": 1.0310609698087918, "r2_5y": 0.3383975445167331, "r2_full": 0.23777325274414418, "corr_portfolio": 0.06565112484460696, "corr_benchmark": 0.2731984044179144, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.1266882352215838, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.25, ivv -0.10, vblix +0.22, tlt -0.14, vnq +0.02, qqq +0.03", "ref_full": "vweax +0.26, ief +0.04, efa -0.03, fxy +0.03, agg +0.08, vnq +0.01" }, "dodwx": { "sym": "dodwx", "name": "Dodge & Cox Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03256226861667297, "alpha_t_5y": 1.4510591323914879, "alpha_t_full": 1.5113961056402063, "r2_5y": 0.8862492405568785, "r2_full": 0.9366944951832243, "corr_portfolio": 0.40869798583939865, "corr_benchmark": 0.5042382991054778, "alpha_pos_frac": 0.4485981308411215, "fund_max_dd": -0.6299603238903883, "first": "2008-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.35, iwm +0.13, ivv +0.79, qqq -0.43, vwo +0.20, gld -0.05", "ref_full": "efa +0.41, ivv +0.60, qqq -0.26, vwo +0.14, iwm +0.14, gld -0.06" }, "domix": { "sym": "domix", "name": "Domini Impact International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019733513406065715, "alpha_t_5y": 0.10220012918101717, "alpha_t_full": -0.763870074197774, "r2_5y": 0.9175037089500246, "r2_full": 0.864607222753094, "corr_portfolio": 0.38584491300828866, "corr_benchmark": 0.5134959550669821, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.6503433920226953, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.59, vweax +0.27, gsg -0.04, vmbix -0.14, vea +0.32", "ref_full": "efa +0.80, vweax +0.44, vnq -0.04, ief -0.10, vwo +0.04" }, "dpcfx": { "sym": "dpcfx", "name": "Nomura Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013768835267568315, "alpha_t_5y": -2.469637175139625, "alpha_t_full": -0.6186965047637454, "r2_5y": 0.948299854852438, "r2_full": 0.4785734903599618, "corr_portfolio": -0.009656929667627531, "corr_benchmark": 0.7216922354923229, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.2062761957149597, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "agg +0.02, vweax +0.16, ief +0.25, vblix +0.34, vmbix +0.28, tlt -0.17", "ref_full": "ief +0.38, vweax +0.30, efa +0.02, tlt +0.04, fxe +0.03, agg +0.07" }, "dpiax": { "sym": "dpiax", "name": "Destra Flaherty & Crumrine Preferred and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006294292057082107, "alpha_t_5y": -0.3961048120602523, "alpha_t_full": 0.7611869503895994, "r2_5y": 0.4204835969198123, "r2_full": 0.49382724296264624, "corr_portfolio": 0.2620759028493733, "corr_benchmark": 0.4467454568168038, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2992446170973274, "first": "2011-04-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, iwm +0.03, vblix +0.15, ief -0.45, agg +0.33", "ref_full": "vweax +0.55, vnq +0.09, agg +0.99, ief -0.55, vmbix -0.34, tlt +0.05" }, "dpltx": { "sym": "dpltx", "name": "BNY Mellon High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004891841576789105, "alpha_t_5y": -0.6123231004170062, "alpha_t_full": -0.737384905602216, "r2_5y": 0.8526203825310146, "r2_full": 0.8502466916784909, "corr_portfolio": 0.3045541105076022, "corr_benchmark": 0.43779467998861443, "alpha_pos_frac": 0.4879725085910653, "fund_max_dd": -0.28790903609103113, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.93, ivv +0.02", "ref_full": "vweax +0.95, vwo +0.01, ief -0.10, agg +0.11" }, "dprex": { "sym": "dprex", "name": "Nomura Global Listed Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033797337180108953, "alpha_t_5y": 0.212326471541691, "alpha_t_full": 0.813088606531308, "r2_5y": 0.8664389655014405, "r2_full": 0.9009068643737075, "corr_portfolio": 0.3218496306006807, "corr_benchmark": 0.5589713649605147, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.7112247909054027, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.31, vnq +0.24, djp +0.14, ief +0.10, vweax +0.23, qqq -0.05", "ref_full": "vnq +0.84, agg -0.45, vwo +0.12, ivv -0.11, tlt +0.09, gsg +0.04" }, "dqiax": { "sym": "dqiax", "name": "BNY Mellon Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02011341413736666, "alpha_t_5y": 1.4113806220829133, "alpha_t_full": 0.49487770524121255, "r2_5y": 0.9531862303318512, "r2_full": 0.9581836644523508, "corr_portfolio": 0.3479695908320923, "corr_benchmark": 0.5885668263927838, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5097112787662614, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.14, qqq -0.21, gsg +0.04, vwo +0.02, vnq -0.04, iwm +0.03", "ref_full": "ivv +0.96, qqq -0.10, djp +0.03, iwm +0.04" }, "drcax": { "sym": "drcax", "name": "BNY Mellon California AMT-Free Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016255212080354648, "alpha_t_5y": -1.2751073307802407, "alpha_t_full": 0.27242345878271784, "r2_5y": 0.41326505787097, "r2_full": 0.3052771055141167, "corr_portfolio": 0.034329131261950294, "corr_benchmark": 0.3639811993788901, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15388195815049344, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, ief +0.09, ivv -0.07, vnq +0.02, vblix +0.23, tlt -0.14", "ref_full": "agg +0.12, vweax +0.30, ief +0.09, efa -0.03, fxy +0.04, vnq +0.01" }, "drcvx": { "sym": "drcvx", "name": "COMSTOCK CAPITAL VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004163608068462181, "alpha_t_5y": 0.3138467066290312, "alpha_t_full": -1.7858200854512238, "r2_5y": 0.4421035505891192, "r2_full": 0.5279211152835068, "corr_portfolio": -0.15244119638974044, "corr_benchmark": -0.11068108122953976, "alpha_pos_frac": 0.44329896907216493, "fund_max_dd": -0.9668306570465114, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.07, ivv +0.14, qqq -0.06, vweax +0.09", "ref_full": "ivv -0.19, vwo -0.16, ief +0.27, gld +0.06, efa -0.14, fxy +0.10" }, "dregx": { "sym": "dregx", "name": "DRIEHAUS EMERGING MARKETS GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027209920620103533, "alpha_t_5y": -0.9583010846572838, "alpha_t_full": -0.2322825925883493, "r2_5y": 0.8560994095548664, "r2_full": 0.857197188632799, "corr_portfolio": 0.2924649406410685, "corr_benchmark": 0.46803941523495624, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6543917964938011, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.66, qqq +0.11, vnq -0.10, vea +1.54, efa -1.31, fxe -0.16", "ref_full": "vwo +0.58, qqq +0.13, vweax +0.33, vnq -0.04, efa +0.08, djp +0.04" }, "dreqx": { "sym": "dreqx", "name": "BNY Mellon Research Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05043217611902663, "alpha_t_5y": -1.9528219620775364, "alpha_t_full": -1.994876631309125, "r2_5y": 0.933318853183292, "r2_full": 0.9438365506023179, "corr_portfolio": 0.12725585195737063, "corr_benchmark": 0.6154249836225658, "alpha_pos_frac": 0.47572815533980584, "fund_max_dd": -0.5201892772112281, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.80, iwm +0.12, ivv +0.16", "ref_full": "qqq +0.55, ivv +0.45, iwm +0.09, vnq -0.05, ief +0.06, gld +0.02" }, "drevx": { "sym": "drevx", "name": "BNY Mellon Large Cap Securities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008693127770355297, "alpha_t_5y": -0.5680097513436924, "alpha_t_full": -0.9519326862885539, "r2_5y": 0.961600868339027, "r2_full": 0.9681633857250752, "corr_portfolio": 0.2541088104083007, "corr_benchmark": 0.6029482922964576, "alpha_pos_frac": 0.5258620689655172, "fund_max_dd": -0.546778014744478, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, vnq -0.08, qqq +0.11, djp +0.03, iwm +0.03", "ref_full": "ivv +0.84, qqq +0.15, djp +0.03, iwm +0.03, ief -0.03, vnq -0.01" }, "drlix": { "sym": "drlix", "name": "BNY Mellon Developed Markets Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004543704775594621, "alpha_t_5y": -0.2560737116925876, "alpha_t_full": -1.3926989336278681, "r2_5y": 0.9307895961753373, "r2_full": 0.9153218369995844, "corr_portfolio": 0.29432039074532024, "corr_benchmark": 0.5896873656579755, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6797366464600246, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.74, vea +0.26, ivv -0.10, vweax +0.22, iwm -0.04", "ref_full": "vnq +0.50, efa +0.32, vweax +0.32, vwo +0.06, qqq -0.05, tlt +0.04" }, "drnjx": { "sym": "drnjx", "name": "BNY Mellon New Jersey Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0158989737553708, "alpha_t_5y": -1.1984965005493136, "alpha_t_full": 0.2723031224163093, "r2_5y": 0.36905694198164374, "r2_full": 0.2954024811890815, "corr_portfolio": 0.03351997154967943, "corr_benchmark": 0.3490311532860499, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.14480176413599744, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.14, ivv -0.07, vnq +0.02", "ref_full": "agg +0.11, vweax +0.27, ief +0.08, fxy +0.04, efa -0.03, vnq +0.01" }, "drrax": { "sym": "drrax", "name": "BNY Mellon Global Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 0.02057584448412516, "r2_5y": NaN, "r2_full": 0.6745130324430424, "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", "alpha_name": true, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "vea +0.18, gld +0.10, fxe -0.10, agg +0.21, ivv +0.08, vweax +0.09" }, "dscpx": { "sym": "dscpx", "name": "Davenport Small Cap Focus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036751908538213356, "alpha_t_5y": -1.1148009046088452, "alpha_t_full": 0.3167926707489035, "r2_5y": 0.8411670957358689, "r2_full": 0.8652350588827682, "corr_portfolio": 0.2565656977420842, "corr_benchmark": 0.5513194352597292, "alpha_pos_frac": 0.5746268656716418, "fund_max_dd": -0.41992677064757566, "first": "2015-01-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.66, vnq +0.07, gld -0.04, ivv +0.44, qqq -0.23", "ref_full": "iwm +0.70, vnq +0.08, efa +0.07, agg +0.52, ief -0.23, vmbix -0.22" }, "dsibx": { "sym": "dsibx", "name": "BNY Mellon Short Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01748489747049603, "alpha_t_5y": -3.5382983832673225, "alpha_t_full": -1.1237088572444585, "r2_5y": 0.3026303331501651, "r2_full": 0.20630882067341094, "corr_portfolio": 0.042088645703269444, "corr_benchmark": 0.2739841382499099, "alpha_pos_frac": 0.5123674911660777, "fund_max_dd": -0.05924076451734317, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.15, ivv -0.02, ief +0.04", "ref_full": "vweax +0.09, ief +0.01, fxy +0.01, agg +0.03, gsg -0.00" }, "dspix": { "sym": "dspix", "name": "BNY Mellon Institutional S&P 500 Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0004379939167831865, "alpha_t_5y": -0.07131344218012502, "alpha_t_full": -0.11184531002468065, "r2_5y": 0.9924055437218591, "r2_full": 0.9876609206136832, "corr_portfolio": 0.27933354213830136, "corr_benchmark": 0.6165400903951814, "alpha_pos_frac": 0.48220064724919093, "fund_max_dd": -0.5531542458373537, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02", "ref_full": "ivv +0.95, vwo +0.01, vnq +0.01, qqq +0.02, gsg +0.01" }, "dstix": { "sym": "dstix", "name": "BNY Mellon Short Term Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003718464289773201, "alpha_t_5y": -0.7543635523512342, "alpha_t_full": -1.176228761953656, "r2_5y": 0.7757578837812, "r2_full": 0.6273669859354133, "corr_portfolio": 0.06714814425872993, "corr_benchmark": 0.49263164043081403, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.08591386879643392, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.04, vweax +0.15, ief +0.31, tlt -0.22, vblix +0.19, ivv -0.02", "ref_full": "ief +0.30, vweax +0.20, tlt -0.07, fxy +0.02, agg +0.02" }, "dtcax": { "sym": "dtcax", "name": "BNY Mellon Sustainable U.S. Equity Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028043014080990237, "alpha_t_5y": -1.9343984707610409, "alpha_t_full": -1.3878181497722561, "r2_5y": 0.9622311111843495, "r2_full": 0.9639724111705104, "corr_portfolio": 0.24616118011124877, "corr_benchmark": 0.61508306985, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.644111222865915, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.92, qqq +0.11, gsg -0.02, vnq -0.02", "ref_full": "ivv +0.72, qqq +0.18, efa +0.03, iwm +0.04, vnq -0.01" }, "dtgrx": { "sym": "dtgrx", "name": "BNY Mellon Technology Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025343521894613998, "alpha_t_5y": -0.7544567963767183, "alpha_t_full": -1.3130886985824277, "r2_5y": 0.9269833087202292, "r2_full": 0.9080497801151062, "corr_portfolio": 0.08230918368104896, "corr_benchmark": 0.5716362418983703, "alpha_pos_frac": 0.4701195219123506, "fund_max_dd": -0.8323281591115329, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.54, ivv -0.78, iwm +0.25, vwo +0.16, vnq -0.08", "ref_full": "qqq +1.15, iwm +0.19, ivv -0.28, vwo +0.09, vnq -0.06, tlt +0.03" }, "dtlgx": { "sym": "dtlgx", "name": "LARGE COMPANY GROWTH PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02619357875519018, "alpha_t_5y": -1.3043364210647361, "alpha_t_full": -1.3658990576543362, "r2_5y": 0.9524174282310127, "r2_full": 0.9011859171067722, "corr_portfolio": 0.155855961606925, "corr_benchmark": 0.583197759067117, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.5584415867898354, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.64, ivv +0.46, vnq -0.06", "ref_full": "qqq +0.55, ivv +0.46, vnq -0.04, iwm +0.04, gld +0.02" }, "dultx": { "sym": "dultx", "name": "Nomura Ultrashort Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0004718160779103034, "alpha_t_5y": -0.10721140629362466, "alpha_t_full": 0.3653500068904407, "r2_5y": 0.2646170024761686, "r2_full": 0.2253047108419669, "corr_portfolio": 0.10322573220202592, "corr_benchmark": 0.11225008197521752, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.054335432014206875, "first": "2016-03-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.07, vea -0.01, iwm -0.01, tlt -0.14, vblix +0.18", "ref_full": "vweax +0.14, vea -0.02, fxy +0.02, vmbix -0.02" }, "dura": { "sym": "dura", "name": "VanEck Durable High Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032054495481098184, "alpha_t_5y": 0.09618869271149515, "alpha_t_full": 0.18233980988480297, "r2_5y": 0.6510520851865067, "r2_full": 0.7956118707396435, "corr_portfolio": 0.35947040355437215, "corr_benchmark": 0.49885233979163407, "alpha_pos_frac": 0.5113636363636364, "fund_max_dd": -0.33145309656420685, "first": "2018-11-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.17, ivv +1.25, qqq -0.66", "ref_full": "ivv +1.39, qqq -0.66, vnq +0.12, iwm -0.05, gsg +0.02" }, "durpx": { "sym": "durpx", "name": "U.S. High Relative Profitability Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003386629099458596, "alpha_t_5y": -0.22683179765646444, "alpha_t_full": 0.6725285555680535, "r2_5y": 0.9491082048050049, "r2_full": 0.7017558604363506, "corr_portfolio": 0.23017095661758966, "corr_benchmark": 0.5890524088113159, "alpha_pos_frac": 0.47619047619047616, "fund_max_dd": -0.3101604741821373, "first": "2017-05-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.13, qqq -0.17, tlt +0.02, djp -0.02", "ref_full": "ivv +0.81, tlt +0.18, agg -0.96, vnq -0.12, iwm +0.13, ief +0.60" }, "dusa": { "sym": "dusa", "name": "Davis Select U.S. Equity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010568809997977477, "alpha_t_5y": 0.30630318653077654, "alpha_t_full": 0.39832567660550544, "r2_5y": 0.7999638856567043, "r2_full": 0.8328499372784434, "corr_portfolio": 0.3048620383627722, "corr_benchmark": 0.5419894985594372, "alpha_pos_frac": 0.5779816513761468, "fund_max_dd": -0.3670695856081796, "first": "2017-01-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.99, iwm +0.18, ief -0.18, qqq -0.25, vwo +0.13, gld -0.06", "ref_full": "ivv +0.57, iwm +0.20, ief -0.49, efa +0.17, gld -0.06, agg +0.42" }, "dvipx": { "sym": "dvipx", "name": "Davenport Value & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016539419107889985, "alpha_t_5y": -0.8933051155823063, "alpha_t_full": 0.48649360632237554, "r2_5y": 0.8977044107177983, "r2_full": 0.9348771743993222, 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tlt -0.18", "ref_full": "vweax +0.29, ief +0.07, fxy +0.04, agg +0.12, efa -0.03, vnq +0.01" }, "dvrkx": { "sym": "dvrkx", "name": "MFS Global Alternative Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008373106601612506, "alpha_t_5y": -0.7373056482833834, "alpha_t_full": -0.5677363384227232, "r2_5y": 0.6958473975845467, "r2_full": 0.6017250729707732, "corr_portfolio": 0.28939483231244806, "corr_benchmark": 0.528260982200822, "alpha_pos_frac": 0.44954128440366975, "fund_max_dd": -0.36526493436948204, "first": "2007-12-20", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "efa +0.17, ivv +0.16, iwm -0.08, agg +0.27, fxy -0.09, tlt -0.05", "ref_full": "ivv +0.21, vwo +0.09, vnq +0.08, iwm -0.09, fxy -0.13, agg +0.22" }, "dvrux": { "sym": "dvrux", "name": "UBS US Dividend Ruler Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019736789705127687, "alpha_t_5y": 0.10625914778405823, "alpha_t_full": -0.09677543253286879, "r2_5y": 0.9083357970963273, "r2_full": 0.91072676610889, "corr_portfolio": 0.19992630810397963, "corr_benchmark": 0.6236122961622179, "alpha_pos_frac": 0.45588235294117646, "fund_max_dd": -0.19057961597769368, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.18, qqq -0.31, vea +0.24, efa -0.18, vweax -0.09", "ref_full": "ivv +1.19, qqq -0.32, vea +0.07, vweax -0.09" }, "dvtax": { "sym": "dvtax", "name": "Nomura Tax-Free California Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008240863789410082, "alpha_t_5y": -0.46264315550061386, "alpha_t_full": 0.5612769285861557, "r2_5y": 0.4124780700421372, "r2_full": 0.2796492760573628, "corr_portfolio": 0.03034395265203771, "corr_benchmark": 0.381125863100558, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.18377893301306059, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.10, vweax +0.53, ivv -0.09, vnq +0.03, vmbix +0.11", "ref_full": "agg +0.10, vweax +0.30, ief +0.14, fxy +0.04, gsg -0.01, vnq +0.01" }, "dwas": { "sym": "dwas", "name": "Invesco Dorsey Wright SmallCap Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014416820866688303, "alpha_t_5y": -0.33984998391433624, "alpha_t_full": -0.21613850593644943, "r2_5y": 0.8627415259020299, "r2_full": 0.8505484710543156, "corr_portfolio": 0.23412808528516077, "corr_benchmark": 0.5115177118320464, "alpha_pos_frac": 0.49079754601226994, "fund_max_dd": -0.46164202155985146, "first": "2012-07-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.18, vnq -0.18, djp +0.10, qqq +0.21, ivv -0.24", "ref_full": "iwm +1.13, vnq -0.11, qqq +0.36, ivv -0.40, djp +0.06, agg +0.14" }, "dxhyx": { "sym": "dxhyx", "name": "DIREXION MONTHLY HIGH YIELD BULL 1.2X FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02646810097979815, "alpha_t_5y": -1.6871665623753258, "alpha_t_full": -2.2309854230771338, "r2_5y": 0.7953743984220363, "r2_full": 0.7800340392291704, "corr_portfolio": 0.23914444356402656, "corr_benchmark": 0.649509388155997, "alpha_pos_frac": 0.43333333333333335, "fund_max_dd": -0.2639900428798184, "first": "2016-02-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.18, agg +1.38, vweax +0.49, ief -0.49, vblix -0.17, iwm +0.05", "ref_full": "ivv +0.18, vweax +0.61, agg +0.51, vnq +0.05, tlt -0.10, iwm +0.04" }, "dxklx": { "sym": "dxklx", "name": "Direxion Monthly 7-10 Year Treasury Bull 1.75X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028205450087331795, "alpha_t_5y": -5.116833031038227, "alpha_t_full": -2.3479157151511885, "r2_5y": 0.9909923162910909, "r2_full": 0.9607284378878537, "corr_portfolio": -0.1957721594969771, "corr_benchmark": 0.6164582690638762, "alpha_pos_frac": 0.6046511627906976, "fund_max_dd": -0.4764276570083107, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +1.87, vmbix -0.10, vblix +0.09, tlt -0.06, vea -0.02, qqq +0.01", "ref_full": "ief +2.10, vwo -0.02, agg -0.15, vnq -0.02, ivv +0.02, tlt +0.03" }, "dxksx": { "sym": "dxksx", "name": "Direxion Monthly 7-10 Year Treasury Bear 1.75X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011864621229821919, "alpha_t_5y": -1.9300662580234644, "alpha_t_full": -2.2205728033961853, "r2_5y": 0.9884938914806947, "r2_full": 0.9214685067967889, "corr_portfolio": 0.1950823168815919, "corr_benchmark": -0.6028588758320356, "alpha_pos_frac": 0.41237113402061853, "fund_max_dd": -0.8423255545801098, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief -1.87, vmbix +0.10, efa +0.01", "ref_full": "ief -2.09, vwo +0.02, agg +0.17, tlt -0.06, vnq +0.01" }, "dxnlx": { "sym": "dxnlx", "name": "Direxion Monthly NASDAQ-100(R) Bull 1.25X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02254030750467562, "alpha_t_5y": -1.8816330254358982, "alpha_t_full": 1.7922224225150005, "r2_5y": 0.9902698024010178, "r2_full": 0.8077896952479315, "corr_portfolio": 0.08683276086212995, "corr_benchmark": 0.5740753526707119, "alpha_pos_frac": 0.0847457627118644, "fund_max_dd": -0.43773529004162626, "first": "2016-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.25, gsg +0.01, fxy -0.04, vmbix +0.05", "ref_full": "qqq +1.25" }, "eaalx": { "sym": "eaalx", "name": "Eaton Vance Atlanta Capital Focused Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03902574919121787, "alpha_t_5y": -1.1961476511203577, "alpha_t_full": -0.20717614598953438, "r2_5y": 0.7867855674086175, "r2_full": 0.867233125921143, "corr_portfolio": 0.2230849197328193, "corr_benchmark": 0.5984765949694, "alpha_pos_frac": 0.5086206896551724, "fund_max_dd": -0.5115264766751066, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.04, vnq +0.22, iwm -0.13, djp -0.06, qqq -0.14", "ref_full": "ivv +0.71, qqq +0.15, vnq +0.05, efa +0.04" }, "eaamx": { "sym": "eaamx", "name": "Eaton Vance Multi-Asset Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004198784423117845, "alpha_t_5y": 0.681776480132464, "alpha_t_full": -0.09863399457587538, "r2_5y": 0.7794390686951447, "r2_full": 0.5763170815922121, "corr_portfolio": 0.3597123650486147, "corr_benchmark": 0.4237519485096767, "alpha_pos_frac": 0.5581395348837209, "fund_max_dd": -0.20878691672365368, "first": "2011-11-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.48, vmbix +0.02, vblix +0.32, tlt -0.20, agg -0.21", "ref_full": "vweax +0.48, vwo +0.05, ivv +0.08, qqq -0.04, vblix +0.07, vmbix -0.17" }, "eaasx": { "sym": "eaasx", "name": "Eaton Vance Atlanta Capital SMID-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02456985609475852, "alpha_t_5y": -0.7991227631106096, "alpha_t_full": 1.8076326375415845, "r2_5y": 0.819600463741506, "r2_full": 0.8934767648044832, "corr_portfolio": 0.3177014082475925, "corr_benchmark": 0.5410859922282494, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.4554757423842022, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.31, ivv +1.13, qqq -0.54, gsg -0.05, vnq +0.09, gld -0.05", "ref_full": "iwm +0.42, ivv +0.58, qqq -0.17, vnq +0.06, gld -0.05, vweax +0.08" }, "eablx": { "sym": "eablx", "name": "Eaton Vance Floating-Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004415676372175182, "alpha_t_5y": 0.5682831718858598, "alpha_t_full": 0.7868040367353953, "r2_5y": 0.5091383398710768, "r2_full": 0.5496718322088343, "corr_portfolio": 0.2986668557019146, "corr_benchmark": 0.23175272300793182, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.3276498858898982, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.28, vmbix -0.00, fxe -0.02, vblix +0.38, tlt -0.24, agg -0.24", "ref_full": "vweax +0.51, ief -0.05, iwm -0.01" }, "eacax": { "sym": "eacax", "name": "Eaton Vance California Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010453381780916907, "alpha_t_5y": -0.8558771988765369, "alpha_t_full": 0.24096230878156935, "r2_5y": 0.40948823788301714, "r2_full": 0.21262706349449678, "corr_portfolio": 0.007281130014724794, "corr_benchmark": 0.36780226576336006, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2540129726852789, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.25, ivv -0.07, ief +0.11, tlt -0.17, vnq +0.02", "ref_full": "vweax +0.30, agg +0.20, efa -0.04, vnq +0.02, iwm -0.03, vwo +0.02" }, "eacox": { "sym": "eacox", "name": "Eaton Vance Emerging and Frontier Countries Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06837427829199291, "alpha_t_5y": 2.0896494831612515, "alpha_t_full": 0.8635031793496631, "r2_5y": 0.7234403222491543, "r2_full": 0.7622758034948836, "corr_portfolio": 0.3503994721720836, "corr_benchmark": 0.44029665974088145, "alpha_pos_frac": 0.5441176470588235, "fund_max_dd": -0.3905782377809244, "first": "2014-11-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.34, vea +1.90, efa -1.50, vnq -0.11, gsg -0.04, vweax +0.22", "ref_full": "vwo +0.34, vea +1.51, efa -1.20, vweax +0.28, vnq -0.06, fxy -0.08" }, "eacpx": { "sym": "eacpx", "name": "Eaton Vance Tax-Managed Multi-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052430081203174404, "alpha_t_5y": -2.4915026647849015, "alpha_t_full": -1.864972138775805, "r2_5y": 0.9395698656603282, "r2_full": 0.905891410579469, "corr_portfolio": 0.16248589674323227, "corr_benchmark": 0.6097871953101764, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6338962265080781, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.71, qqq +0.44, vea -0.69, efa +0.55, fxe +0.09, gsg -0.02", "ref_full": "ivv +0.39, qqq +0.49, gsg +0.05, iwm +0.08, vwo +0.05, vnq +0.03" }, "eadix": { "sym": "eadix", "name": "Eaton Vance Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013730122711066507, "alpha_t_5y": -1.0532571733416305, "alpha_t_full": -1.9862153990657943, "r2_5y": 0.9655205942376601, "r2_full": 0.9475260808991776, "corr_portfolio": 0.3245131044438337, "corr_benchmark": 0.607675358776761, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.524640441925373, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, efa +0.43, fxy -0.06, fxe +0.08", "ref_full": "ivv +0.64, efa +0.29, vweax +0.22, vnq -0.05, fxe +0.05, vwo -0.03" }, "eaeax": { "sym": "eaeax", "name": "Eaton Vance Tax-Managed Equity Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02174988358439045, "alpha_t_5y": -2.1062402789241483, "alpha_t_full": -1.6060521474279446, "r2_5y": 0.9748854377631391, "r2_full": 0.9721128405740038, "corr_portfolio": 0.30164070103259244, "corr_benchmark": 0.6123462762401266, "alpha_pos_frac": 0.47844827586206895, "fund_max_dd": -0.5470898860237592, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.86, iwm +0.09, qqq -0.08, efa +0.06, djp -0.01", "ref_full": "ivv +0.67, efa +0.11, iwm +0.12, gsg +0.02, vwo +0.02, vweax +0.05" }, "eaemx": { "sym": "eaemx", "name": "Parametric Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00978423242416039, "alpha_t_5y": 0.5055119117851344, "alpha_t_full": -1.2448700873059582, "r2_5y": 0.8513210965370875, "r2_full": 0.8918166286922005, "corr_portfolio": 0.3687978123369471, "corr_benchmark": 0.4574574727293512, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.6269482355167912, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.46, vea +0.67, efa -0.47, vweax +0.21, qqq -0.04, vblix -0.04", "ref_full": "vwo +0.44, vweax +0.43, efa +0.15, djp +0.06, ief -0.09, fxe +0.07" }, "eaerx": { "sym": "eaerx", "name": "Eaton Vance Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015589134980480967, "alpha_t_5y": -1.2000382234512355, "alpha_t_full": -0.7868955094084702, "r2_5y": 0.9664646706253173, "r2_full": 0.9747280330378979, "corr_portfolio": 0.2602336920205062, "corr_benchmark": 0.6174188508050293, "alpha_pos_frac": 0.4691780821917808, "fund_max_dd": -0.48717755936188534, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, qqq +0.07, iwm -0.04", "ref_full": "ivv +0.89, qqq +0.08, djp +0.01, fxe +0.02, vnq -0.01, gld +0.01" }, "eafgx": { "sym": "eafgx", "name": "Eaton Vance Focused Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0524089670062287, "alpha_t_5y": -2.433448740522965, "alpha_t_full": -2.5934582891700484, "r2_5y": 0.9449988074938767, "r2_full": 0.9481194059744327, "corr_portfolio": 0.16805590928470746, "corr_benchmark": 0.6001436445062068, "alpha_pos_frac": 0.5444444444444444, "fund_max_dd": -0.3708790250245646, "first": "2011-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.61, ivv +0.55, vnq -0.06, vea -0.36, efa +0.31", "ref_full": "qqq +0.57, ivv +0.46, iwm +0.06, vnq -0.05, vea -0.03" }, "eafhx": { "sym": "eafhx", "name": "Eaton Vance Floating-Rate & High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005483343292019595, "alpha_t_5y": 0.7834915549191676, "alpha_t_full": 0.7170187913393634, "r2_5y": 0.6298323389553602, "r2_full": 0.64265620274634, "corr_portfolio": 0.3144001347038375, "corr_benchmark": 0.29842362994861904, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.3379761447333196, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, vmbix -0.00, vblix +0.39, tlt -0.24, agg -0.23", "ref_full": "vweax +0.57, ief -0.05, iwm -0.01" }, "eafvx": { "sym": "eafvx", "name": "Eaton Vance Focused Value Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016983609320788782, "alpha_t_5y": 0.07812626824329157, "alpha_t_full": 0.9533216071257558, "r2_5y": 0.8908833364947311, "r2_full": 0.9333460244244334, "corr_portfolio": 0.39404311760646044, "corr_benchmark": 0.5240789764244876, "alpha_pos_frac": 0.5166666666666667, "fund_max_dd": -0.4066058126549581, "first": "2011-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.16, qqq -0.56, iwm +0.20, vea +0.12, ief -0.14, vnq +0.05", "ref_full": "ivv +1.15, qqq -0.47, iwm +0.17, vea +0.09, ief -0.09, vnq +0.03" }, "eagmx": { "sym": "eagmx", "name": "Eaton Vance Global Macro Absolute Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02551722537889847, "alpha_t_5y": 2.409338761406889, "alpha_t_full": 3.628854820791867, "r2_5y": 0.0746366931316853, "r2_full": 0.1581242883502605, "corr_portfolio": 0.23667567422802827, "corr_benchmark": -0.02151029112701147, "alpha_pos_frac": 0.44223107569721115, "fund_max_dd": -0.0931393650735658, "first": "2007-06-04", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": true, "ref_5y": "vwo +0.03, ief -0.07, qqq -0.02, vweax +0.10", "ref_full": "vweax +0.18, tlt -0.02, fxe -0.05, gld +0.01, efa +0.04, ivv -0.03" }, "eaiix": { "sym": "eaiix", "name": "Eaton Vance Diversified Currency Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01737175013957089, "alpha_t_5y": 1.2003072780314634, "alpha_t_full": 1.1875916174215906, "r2_5y": 0.7130293814631671, "r2_full": 0.4620376601491989, "corr_portfolio": 0.09900715819469041, "corr_benchmark": 0.4160120270383883, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.25325049297944235, "first": "2007-06-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.35, vmbix +0.27, fxy +0.16, vweax +0.25, vwo +0.04, qqq -0.02", "ref_full": "fxe +0.21, fxy +0.16, vweax +0.20, ief +0.14, efa +0.04, gld +0.02" }, "eaisx": { "sym": "eaisx", "name": "Parametric International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006946835067789766, "alpha_t_5y": 0.5029260675653118, "alpha_t_full": 0.46700718997987645, "r2_5y": 0.9462923085014275, "r2_full": 0.9542360101633734, "corr_portfolio": 0.37272659803094654, "corr_benchmark": 0.541307347168251, "alpha_pos_frac": 0.47643979057591623, "fund_max_dd": -0.3338057847479746, "first": "2010-04-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.69, fxe +0.31, vnq +0.06, vweax +0.19, qqq -0.04, vwo +0.03", "ref_full": "efa +0.75, fxe +0.18, vweax +0.24, vnq +0.03, fxy +0.05, gsg +0.02" }, "ealbx": { "sym": "ealbx", "name": "Parametric TABS 1-to-10 Year Laddered Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00973326432264995, "alpha_t_5y": -1.079884802714414, "alpha_t_full": -0.1527713466785051, "r2_5y": 0.3550005605196155, "r2_full": 0.3296549176396548, "corr_portfolio": 0.03614008240448274, "corr_benchmark": 0.32628457956604495, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.09121672699689676, "first": "2015-05-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.19, vweax +0.19, ivv -0.05, tlt -0.10, vnq +0.01", "ref_full": "vweax +0.11, vblix +0.21, tlt -0.15, fxy +0.03, efa -0.02, agg +0.11" }, "ealcx": { "sym": "ealcx", "name": "Eaton Vance Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04217021828172202, "alpha_t_5y": -2.4063714867198627, "alpha_t_full": -2.4623739810733665, "r2_5y": 0.9604971953134412, "r2_full": 0.9629853102205151, "corr_portfolio": 0.17175278684910453, "corr_benchmark": 0.6086309405475732, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5016369271424237, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.59, ivv +0.55, vea -0.33, efa +0.24, vnq -0.05, fxe +0.06", "ref_full": "qqq +0.48, ivv +0.55, vnq -0.04, agg +0.10, tlt -0.02, iwm +0.02" }, "ealdx": { "sym": "ealdx", "name": "Eaton Vance Short Duration Government Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0040210373978471015, "alpha_t_5y": -0.38040868413493506, "alpha_t_full": 0.3935427772236747, "r2_5y": 0.38180265780756417, "r2_full": 0.2705543500333252, "corr_portfolio": 0.0013074657175294587, "corr_benchmark": 0.24407888685112553, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.05688164376336924, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.35, vweax +0.07, tlt -0.24, vblix +0.24, qqq -0.02, djp -0.01", "ref_full": "ief +0.21, vweax +0.13, tlt -0.06, ivv -0.01, agg +0.04" }, "ealtx": { "sym": "ealtx", "name": "Parametric TABS 5-to-15 Year Laddered Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01108690511618804, "alpha_t_5y": -0.8774181413829661, "alpha_t_full": 2.1315614306890183, "r2_5y": 0.38276073001433664, "r2_full": 0.29356061622010565, "corr_portfolio": 0.016455493216809204, "corr_benchmark": 0.34537871764698747, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.13522807898881806, "first": "2010-02-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.22, vweax +0.29, ivv -0.07, vnq +0.02, tlt -0.13, vmbix +0.09", "ref_full": "agg +0.24, vweax +0.25, efa -0.04, fxy +0.05, vnq +0.04, iwm -0.02" }, "eanax": { "sym": "eanax", "name": "Eaton Vance National Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01282252076177615, "alpha_t_5y": -0.8840834629676135, "alpha_t_full": -0.32046044977317617, "r2_5y": 0.39637835168103164, "r2_full": 0.20065457054783142, "corr_portfolio": 0.029268195799753982, "corr_benchmark": 0.3370989959417019, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.401348657486046, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.22, tlt -0.13", "ref_full": "vweax +0.41, agg +0.28, iwm -0.04, tlt -0.04, vnq +0.02" }, "earax": { "sym": "earax", "name": "Eaton Vance All Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013816853455926353, "alpha_t_5y": -1.235168680555782, "alpha_t_full": -1.839989368992304, "r2_5y": 0.9112817633438758, "r2_full": 0.8612338110227145, "corr_portfolio": 0.2861148464460332, "corr_benchmark": 0.7029205406492305, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.19987118960568562, "first": "2011-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.15, agg +0.55, ivv +0.24, vwo +0.04, vnq -0.05, iwm +0.04", "ref_full": "ivv +0.32, vmbix +0.23, vea +0.14, tlt +0.09, vwo +0.06, vnq -0.05" }, "earrx": { "sym": "earrx", "name": "Eaton Vance Short Duration Inflation-Protected Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005287727711728735, "alpha_t_5y": 0.6262294405228672, "alpha_t_full": 0.7621233211652498, "r2_5y": 0.4637592408603822, "r2_full": 0.41326841878884757, "corr_portfolio": 0.1740512995312191, "corr_benchmark": 0.3407776619640481, "alpha_pos_frac": 0.4397905759162304, "fund_max_dd": -0.10274703432721466, "first": "2010-04-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.01, gsg +0.04, vweax +0.08, ief +0.19, tlt -0.10, agg +0.20", "ref_full": "vweax +0.20, vmbix +0.07, gsg +0.04, ief +0.29, tlt -0.06, agg -0.09" }, "eascx": { "sym": "eascx", "name": "Eaton Vance South Carolina Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014376538674273711, "alpha_t_5y": -1.1666773644287243, "alpha_t_full": -0.0376512722311191, "r2_5y": 0.34991629752828557, "r2_full": 0.17186492924739238, "corr_portfolio": 0.026128940466246968, "corr_benchmark": 0.331081847188618, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.29698615475028334, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.29, vweax +0.24, ivv -0.06, tlt -0.16, vnq +0.02", "ref_full": "vweax +0.31, agg +0.21, efa -0.05, vwo +0.03, fxy +0.04, tlt -0.03" }, "eatvx": { "sym": "eatvx", "name": "Eaton Vance Tax-Managed Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003732979989917843, "alpha_t_5y": -0.21662875059621617, "alpha_t_full": 0.19471026544929118, "r2_5y": 0.9263693816093623, "r2_full": 0.9523352553149455, "corr_portfolio": 0.38241232550792503, "corr_benchmark": 0.551173261233534, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5299926433865081, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.25, qqq -0.55, iwm +0.12, vea +0.53, efa -0.37, fxe -0.10", "ref_full": "ivv +1.12, qqq -0.34, iwm +0.09, efa +0.08, gsg +0.02, ief -0.06" }, "ebabx": { "sym": "ebabx", "name": "Eaton Vance Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008204913872875199, "alpha_t_5y": 1.3696193648496529, "alpha_t_full": 0.5664323205979942, "r2_5y": 0.924042437706291, "r2_full": 0.657848086302536, "corr_portfolio": 0.0437455195288118, "corr_benchmark": 0.6327621974655508, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.17203507336777002, "first": "2009-11-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.22, ief +0.30, vblix +0.30, tlt -0.18, ivv -0.02", "ref_full": "ief +0.45, vweax +0.48, tlt +0.16, agg -0.24, fxe -0.03, vnq -0.01" }, "ebnd": { "sym": "ebnd", "name": "State Street(R) SPDR(R) Bloomberg Emerging Markets Local Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005537435503256779, "alpha_t_5y": -0.30265890032208204, "alpha_t_full": -0.7204849441301457, "r2_5y": 0.7616431880666754, "r2_full": 0.602731253844075, "corr_portfolio": 0.18737519696763094, "corr_benchmark": 0.5245250879003722, "alpha_pos_frac": 0.4777777777777778, "fund_max_dd": -0.29504746876441723, "first": "2011-02-25", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.12, agg +0.54, fxe +0.34, vwo +0.16, qqq -0.03, fxy +0.06", "ref_full": "vwo +0.26, fxe +0.30, agg +0.37, vweax +0.26, fxy +0.06, qqq -0.03" }, "ebsax": { "sym": "ebsax", "name": "Campbell Systematic Macro Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02010450621343457, "alpha_t_5y": 0.5550931936430439, "alpha_t_full": 0.7721205916966224, "r2_5y": 0.19246675203861685, "r2_full": 0.07117598944137882, "corr_portfolio": 0.16552819228588075, "corr_benchmark": -0.0169361883908226, "alpha_pos_frac": 0.4551282051282051, "fund_max_dd": -0.30758982702341153, "first": "2013-03-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.40, gsg +0.08, fxe -0.25, vea +0.12, vweax -0.29", "ref_full": "fxe -0.24, vmbix -0.72, qqq +0.08, ief +0.35, vweax -0.14" }, "ecbsx": { "sym": "ecbsx", "name": "Parametric TABS Short-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01675691246362439, "alpha_t_5y": -1.963308542425405, "alpha_t_full": -1.8504362990161374, "r2_5y": 0.44528303222025867, "r2_full": 0.30293319967315013, "corr_portfolio": 0.0065621686361041825, "corr_benchmark": 0.3664444918693958, "alpha_pos_frac": 0.5123152709359606, "fund_max_dd": -0.10269103142615188, "first": "2009-03-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.07, vweax +0.24, ivv -0.04, ief +0.11", "ref_full": "agg +0.17, vweax +0.14, fxy +0.03, efa -0.02, vnq +0.02, iwm -0.01" }, "ecctx": { "sym": "ecctx", "name": "Eaton Vance Connecticut Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01758657449863252, "alpha_t_5y": -1.361922471070465, "alpha_t_full": -0.6523743233496027, "r2_5y": 0.3637191414226312, "r2_full": 0.22859503215770816, "corr_portfolio": 0.031128764697784188, "corr_benchmark": 0.33028381612877916, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.18962768259788387, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.20, vweax +0.28, ivv -0.07, vmbix +0.11, vnq +0.02, tlt -0.12", "ref_full": "vweax +0.26, ief +0.03, agg +0.14, efa -0.03, fxy +0.03, vnq +0.01" }, "ediax": { "sym": "ediax", "name": "Eaton Vance Global Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009063826516883233, "alpha_t_5y": -0.9573792689527025, "alpha_t_full": -1.657361409469399, "r2_5y": 0.9613547448199209, "r2_full": 0.9435573818618961, "corr_portfolio": 0.34682943452982234, "corr_benchmark": 0.6088959642504187, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.5152707236472343, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.12, vweax +0.24, fxe +0.10, efa +0.16, vnq -0.02", "ref_full": "efa +0.31, ivv +0.49, vwo +0.05, fxe +0.08, qqq -0.07, vweax +0.07" }, "ediv": { "sym": "ediv", "name": "State Street(R) SPDR(R) S&P Emerging Markets Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06036265325060452, "alpha_t_5y": 1.9609832864890975, "alpha_t_full": -0.15988943518242832, "r2_5y": 0.7222321511895645, "r2_full": 0.838539168743535, "corr_portfolio": 0.3199748749556711, "corr_benchmark": 0.4276554627646021, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.5335315909503671, "first": "2011-02-25", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.54, vea +0.24, qqq -0.07, vnq +0.06, iwm -0.05", "ref_full": "vwo +0.74, vea +0.16, qqq -0.08, vnq +0.06, gsg +0.03, iwm -0.04" }, "eeiax": { "sym": "eeiax", "name": "Eaton Vance Emerging Markets Local Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017267126264694888, "alpha_t_5y": 0.7482183978258444, "alpha_t_full": 1.1956786125083674, "r2_5y": 0.5666324855335165, "r2_full": 0.6021241988011127, "corr_portfolio": 0.25244039499299076, "corr_benchmark": 0.3956343531237362, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.3159673133994575, "first": "2007-06-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.39, vwo +0.14, vweax +0.32, qqq -0.08, vea +0.12, vblix +0.06", "ref_full": "efa +0.08, fxe +0.33, vweax +0.48, vwo +0.16, ivv -0.12, djp +0.05" }, "eeldx": { "sym": "eeldx", "name": "Eaton Vance Emerging Markets Debt Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03782644472713255, "alpha_t_5y": 2.4319449114809486, "alpha_t_full": 3.3821752536146343, "r2_5y": 0.32009986706347926, "r2_full": 0.450644005734528, "corr_portfolio": 0.33522567386556074, "corr_benchmark": 0.18883646870425844, "alpha_pos_frac": 0.5859872611464968, "fund_max_dd": -0.19128348530746953, "first": "2013-02-05", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vea +0.09, vweax +0.39, ief -0.18, ivv -0.08, vwo +0.04", "ref_full": "vweax +0.40, vwo +0.09, ief -0.15, qqq -0.06, vea +0.05, fxy +0.03" }, "eelv": { "sym": "eelv", "name": "Invesco S&P Emerging Markets Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.034424422492185, "alpha_t_5y": 1.420925518978464, "alpha_t_full": -0.2028693109366764, "r2_5y": 0.7510147547183746, "r2_full": 0.8095741722566138, "corr_portfolio": 0.32022259847507667, "corr_benchmark": 0.47243729432130466, "alpha_pos_frac": 0.5088757396449705, "fund_max_dd": -0.36348149243908456, "first": "2012-01-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.35, vea +0.22, fxy +0.11, vnq +0.05, qqq -0.11, ivv +0.12", "ref_full": "vwo +0.52, vea +0.19, qqq -0.07, vnq +0.05, vweax +0.11, fxy +0.05" }, "eemgx": { "sym": "eemgx", "name": "MFS Emerging Markets Equity Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010912347988215518, "alpha_t_5y": 0.0290929731751412, "alpha_t_full": 0.0290929731751412, "r2_5y": 0.7231514972202069, "r2_full": 0.7231514972202069, "corr_portfolio": 0.15473111892155827, "corr_benchmark": 0.3769680254158223, "alpha_pos_frac": 0.38333333333333336, "fund_max_dd": -0.38135196229497603, "first": "2021-02-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.78, fxy -0.07, vweax +0.31, agg -0.19", "ref_full": "vwo +0.78, fxy -0.07, vweax +0.31, agg -0.19" }, "eemx": { "sym": "eemx", "name": "State Street(R) SPDR(R) MSCI Emerging Markets Fossil Fuel Reserves Free ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006871438253851882, "alpha_t_5y": 0.040863332237623416, "alpha_t_full": 0.2278105469664714, "r2_5y": 0.9609537612283984, "r2_full": 0.8238310071593423, "corr_portfolio": 0.21010918539523793, "corr_benchmark": 0.47106390630772793, "alpha_pos_frac": 0.36936936936936937, "fund_max_dd": -0.39903348498594526, "first": "2016-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.94, vea +1.62, efa -1.45, vnq -0.08, gsg -0.04, qqq +0.03", "ref_full": "vwo +0.81, vea +1.51, efa -1.29, vnq -0.06, gsg -0.04" }, "efax": { "sym": "efax", "name": "State Street(R) SPDR(R) MSCI EAFE Fossil Fuel Reserves Free ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025180526710960995, "alpha_t_5y": -0.3010702115208966, "alpha_t_full": -0.08959040962723168, "r2_5y": 0.9855717422871227, "r2_full": 0.9183926196466051, "corr_portfolio": 0.3158306247120682, "corr_benchmark": 0.5731622667177632, "alpha_pos_frac": 0.5625, "fund_max_dd": -0.32528469292541673, "first": "2016-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.00, gsg -0.03, vweax +0.05", "ref_full": "efa +0.79, gsg -0.03, vweax +0.08, vwo -0.05, vea +0.20" }, "egrix": { "sym": "egrix", "name": "Eaton Vance Global Macro Absolute Return Advantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0517129804641666, "alpha_t_5y": 3.21777951884379, "alpha_t_full": 3.204683201361889, "r2_5y": 0.0668815977159597, "r2_full": 0.17163107809905576, "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", "alpha_name": true, "ref_5y": "vwo +0.06, qqq -0.04, vweax +0.12, tlt -0.02", "ref_full": "vweax +0.23, ief -0.11, fxe -0.10, vwo +0.05, gld +0.02, ivv -0.03" }, "ehstx": { "sym": "ehstx", "name": "Eaton Vance Large-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003185743292397857, "alpha_t_5y": 0.17925720965785147, "alpha_t_full": 0.5159346683273472, "r2_5y": 0.9171905817916244, "r2_full": 0.9500943386165389, "corr_portfolio": 0.39669004664227214, "corr_benchmark": 0.5327133391260312, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5347110976658067, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.28, qqq -0.62, iwm +0.17, vea +0.36, ief -0.08, efa -0.25", "ref_full": "ivv +1.12, qqq -0.40, iwm +0.13, efa +0.10, gsg +0.02, ief -0.07" }, "eigix": { "sym": "eigix", "name": "Eaton Vance Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.000160325174094896, "alpha_t_5y": 0.02980578821995015, "alpha_t_full": -1.8516479089440891, "r2_5y": 0.9439316513494174, "r2_full": 0.828538415878743, "corr_portfolio": -0.054562728902114596, "corr_benchmark": 0.6834188296548367, "alpha_pos_frac": 0.4277456647398844, "fund_max_dd": -0.17721119308865552, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.03, vweax +0.10, ief +0.37, vblix +0.34, tlt -0.18, vmbix +0.17", "ref_full": "ief +0.40, vweax +0.23, agg +0.08, tlt +0.04, vnq +0.01, fxy +0.01" }, "eimgx": { "sym": "eimgx", "name": "Eaton Vance Tax-Managed Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03812259414796029, "alpha_t_5y": -1.4554678902195357, "alpha_t_full": -0.6116705172509546, "r2_5y": 0.8907282606135392, "r2_full": 0.9185327982718685, "corr_portfolio": 0.28163695375428943, "corr_benchmark": 0.5332469639055404, "alpha_pos_frac": 0.5532994923857868, "fund_max_dd": -0.3702248788013227, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.60, vnq +0.11, djp -0.08, ivv +0.61, qqq -0.33", "ref_full": "iwm +0.66, ivv +0.37, qqq -0.15, vnq +0.07, djp -0.03, ief -0.07" }, "einc": { "sym": "einc", "name": "VanEck Energy Income ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.11646755287329323, "alpha_t_5y": 1.9654684681204295, "alpha_t_full": -0.7510132244702091, "r2_5y": 0.4991001062585687, "r2_full": 0.475200439174577, "corr_portfolio": 0.2785385639464503, "corr_benchmark": 0.3146424436497608, "alpha_pos_frac": 0.5269461077844312, "fund_max_dd": -0.8778981992255861, "first": "2012-03-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.37, iwm +0.26, vnq +0.24, ief -0.23, vea +0.21, qqq -0.14", "ref_full": "iwm +0.42, gsg +0.40, vweax +0.60, qqq -0.61, ivv +0.73, agg +0.36" }, "eipcx": { "sym": "eipcx", "name": "Parametric Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03686703664886579, "alpha_t_5y": 1.4189607406409177, "alpha_t_full": 1.233320818108781, "r2_5y": 0.8199083000563898, "r2_full": 0.8206877569731157, "corr_portfolio": 0.2448952420816305, "corr_benchmark": 0.14998745961638046, "alpha_pos_frac": 0.4745762711864407, "fund_max_dd": -0.5416608193303986, "first": "2011-05-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.63, vwo +0.07, gld +0.07, vweax +0.28, agg -0.72, ief +0.43", "ref_full": "djp +0.65, vweax +0.31, gld +0.07, agg -0.17, vwo +0.06, ivv -0.06" }, "eipix": { "sym": "eipix", "name": "EIP Growth and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.053385724393731675, "alpha_t_5y": 1.4325584584995894, "alpha_t_full": 0.5572052672372431, "r2_5y": 0.6734499182081182, "r2_full": 0.7119187693533926, "corr_portfolio": 0.3782233394782601, "corr_benchmark": 0.46835646415510823, "alpha_pos_frac": 0.5267857142857143, "fund_max_dd": -0.43977762097405404, "first": "2016-10-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.18, gsg +0.23, iwm +0.09, vea +0.11, qqq -0.56, ivv +0.91", "ref_full": "vnq +0.22, gsg +0.22, vea +0.15, iwm +0.09, qqq -0.50, ivv +0.80" }, "eitax": { "sym": "eitax", "name": "Parametric TABS Intermediate-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009408417214206202, "alpha_t_5y": -0.7566777561325632, "alpha_t_full": 1.1592277006720335, "r2_5y": 0.4520914157751299, "r2_full": 0.3403851775719693, "corr_portfolio": 0.006865553426098434, "corr_benchmark": 0.38788435064033, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.1307680608925934, "first": "2010-02-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.20, vweax +0.31, ivv -0.07, ief +0.13, vnq +0.02, tlt -0.12", "ref_full": "agg +0.26, vweax +0.24, vea -0.03, fxy +0.04, vnq +0.03, iwm -0.02" }, "eitex": { "sym": "eitex", "name": "Parametric Tax-Managed Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010205826003166822, "alpha_t_5y": 0.526545510473339, "alpha_t_full": -0.7245807768503472, "r2_5y": 0.8558127218955491, "r2_full": 0.8872692915246763, "corr_portfolio": 0.36553572604288354, "corr_benchmark": 0.45759723698363075, "alpha_pos_frac": 0.5695067264573991, "fund_max_dd": -0.6170110742007304, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.47, vea +0.70, efa -0.50, vweax +0.20, qqq -0.04, agg -0.10", "ref_full": "vwo +0.44, vweax +0.44, efa +0.15, djp +0.06, ief -0.09, fxe +0.07" }, "eivpx": { "sym": "eivpx", "name": "Parametric Volatility Risk Premium - Defensive Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004147492884000941, "alpha_t_5y": 0.4103286375309721, "alpha_t_full": -1.202907515523673, "r2_5y": 0.9381401969567243, "r2_full": 0.9285103413541824, "corr_portfolio": 0.26024034281045877, "corr_benchmark": 0.6025988104299452, "alpha_pos_frac": 0.6111111111111112, "fund_max_dd": -0.26672107477182483, "first": "2017-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, fxy -0.03", "ref_full": "ivv +0.70, fxe -0.07, qqq -0.06, iwm -0.05, vwo +0.02, vnq +0.02" }, "emaax": { "sym": "emaax", "name": "Enterprise Mergers and Acquisitions Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030534102520868075, "alpha_t_5y": -0.1673024431701481, "alpha_t_full": -0.6380134426951135, "r2_5y": 0.8351080054884404, "r2_full": 0.7911479517189196, "corr_portfolio": 0.34458663331372796, "corr_benchmark": 0.5614557046906035, "alpha_pos_frac": 0.45098039215686275, "fund_max_dd": -0.4833897104934678, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.29, efa +0.12, vnq +0.05, qqq -0.22, ivv +0.31, gld +0.04", "ref_full": "iwm +0.24, efa +0.16, vnq +0.09, agg +0.18, fxy -0.07, djp +0.03" }, "emdax": { "sym": "emdax", "name": "PGIM Emerging Markets Debt Local Currency Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007815230842320442, "alpha_t_5y": -0.343261112967662, "alpha_t_full": -0.855970333775902, "r2_5y": 0.5487701117121611, "r2_full": 0.5988230755653112, "corr_portfolio": 0.2678043713363414, "corr_benchmark": 0.38722216651942254, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.33456215181878124, "first": "2011-04-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.11, fxe +0.32, vweax +0.42, vwo +0.13, qqq -0.08, vblix +0.07", "ref_full": "vwo +0.26, fxe +0.34, vweax +0.58, qqq -0.09, tlt +0.04, gld +0.03" }, "emlax": { "sym": "emlax", "name": "MFS Emerging Markets Debt Local Currency Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0012747028726913835, "alpha_t_5y": 0.06601310376601965, "alpha_t_full": -1.1310289818973347, "r2_5y": 0.6410474254818401, "r2_full": 0.6548666574788151, 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Morgan EM Local Currency Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0035285880463082862, "alpha_t_5y": 0.1695808235046075, "alpha_t_full": -0.9057611268934902, "r2_5y": 0.7092412562713171, "r2_full": 0.6291362913064524, "corr_portfolio": 0.2163830133430265, "corr_benchmark": 0.5035802521243311, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.32333744299437517, "first": "2010-07-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.13, fxe +0.39, agg +0.42, vwo +0.17, qqq -0.03, fxy +0.05", "ref_full": "vwo +0.26, fxe +0.33, agg +0.42, vweax +0.25, qqq -0.06, vea +0.07" }, "emoax": { "sym": "emoax", "name": "Eaton Vance Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008271843971441324, "alpha_t_5y": -0.6662484926382071, "alpha_t_full": 1.5730728883426954, "r2_5y": 0.3985428032054319, "r2_full": 0.32981378551638973, "corr_portfolio": 0.04257153587133872, "corr_benchmark": 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MARKETS EQUITIES FUND, INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019564310321564048, "alpha_t_5y": -0.5459058835427778, "alpha_t_full": -0.043688035082756975, "r2_5y": 0.7653242262325235, "r2_full": 0.8073193678722842, "corr_portfolio": 0.2577044950509996, "corr_benchmark": 0.43523255213190276, "alpha_pos_frac": 0.5514705882352942, "fund_max_dd": -0.4284021353871794, "first": "2014-11-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.81, qqq +0.04, fxy -0.11, vweax +0.22", "ref_full": "vwo +0.72, vweax +0.39, qqq +0.06, agg -0.16" }, "emsqx": { "sym": "emsqx", "name": "Shelton Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024565142888224707, "alpha_t_5y": 0.5095183372625851, "alpha_t_full": -0.26097141377467176, "r2_5y": 0.5683476464455284, "r2_full": 0.7254970228626645, "corr_portfolio": 0.30110318777288325, "corr_benchmark": 0.4103405480988789, "alpha_pos_frac": 0.4900398406374502, "fund_max_dd": 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-0.7152948826580698, "alpha_t_full": -0.7471351532218589, "r2_5y": 0.9465196639549719, "r2_full": 0.947090125822144, "corr_portfolio": 0.1763822494321909, "corr_benchmark": 0.6080053522055117, "alpha_pos_frac": 0.4940239043824701, "fund_max_dd": -0.629946962544641, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.54, ivv +0.38, vwo +0.07, vnq -0.07, iwm +0.06", "ref_full": "qqq +0.52, ivv +0.35, iwm +0.08, djp +0.03, vwo +0.03, gld +0.02" }, "eqal": { "sym": "eqal", "name": "Invesco Russell 1000 Equal Weight ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011075279944703956, "alpha_t_5y": -0.6904681947504079, "alpha_t_full": -0.0945865113976768, "r2_5y": 0.9499907324881687, "r2_full": 0.9371549045535678, "corr_portfolio": 0.3124760080274654, "corr_benchmark": 0.5777675332065305, "alpha_pos_frac": 0.5074626865671642, "fund_max_dd": -0.4044193242524696, "first": "2014-12-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.37, vnq +0.15, ivv +0.70, qqq -0.28, djp +0.06, vweax +0.11", "ref_full": "iwm +0.38, ivv +0.76, qqq -0.29, djp +0.07, vnq +0.08, vweax +0.15" }, "eqnax": { "sym": "eqnax", "name": "MFS Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018172715568688113, "alpha_t_5y": 1.2036578972943146, "alpha_t_full": 0.535083182418067, "r2_5y": 0.9406053372820079, "r2_full": 0.9497391095777674, "corr_portfolio": 0.3802058118675553, "corr_benchmark": 0.5777139914984077, "alpha_pos_frac": 0.45962732919254656, "fund_max_dd": -0.36674365638731876, "first": "2012-09-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.02, qqq -0.37, vea +0.19, iwm +0.11, gsg +0.02, gld -0.02", "ref_full": "ivv +0.90, qqq -0.22, vea +0.17, iwm +0.07, vnq +0.03, gsg +0.02" }, "eqwl": { "sym": "eqwl", "name": "Invesco S&P 100 Equal Weight ETF", "bucket": "all", 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"sym": "erth", "name": "Invesco MSCI Sustainable Future ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1113265767122249, "alpha_t_5y": -2.26297415690788, "alpha_t_full": -1.4375274940675768, "r2_5y": 0.7439957003783311, "r2_full": 0.8022781107394165, "corr_portfolio": 0.1735398376660114, "corr_benchmark": 0.5420871309942716, "alpha_pos_frac": 0.5301724137931034, "fund_max_dd": -0.6446013288076338, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.45, vwo +0.49, vweax +0.49, fxe +0.25, qqq +0.31, ivv -0.35", "ref_full": "efa +0.24, iwm +0.40, vwo +0.19, vweax +0.32, fxe +0.22, qqq +0.14" }, "eseax": { "sym": "eseax", "name": "Eaton Vance Atlanta Capital Select Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05595492279981824, "alpha_t_5y": -1.6658898223547898, "alpha_t_full": -0.19877966020151813, "r2_5y": 0.7652743821147159, "r2_full": 0.840766147456297, "corr_portfolio": 0.2896752147122143, "corr_benchmark": 0.5693033339965798, "alpha_pos_frac": 0.5588235294117647, "fund_max_dd": -0.34678835040699385, "first": "2012-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.22, qqq -0.44, vnq +0.11, djp -0.09, iwm +0.08", "ref_full": "ivv +0.98, qqq -0.25, vnq +0.09, gsg -0.05, iwm +0.11, gld -0.03" }, "esge": { "sym": "esge", "name": "iShares ESG Aware MSCI EM ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009223836994200511, "alpha_t_5y": -0.6253675620281596, "alpha_t_full": -0.12219578093259614, "r2_5y": 0.9696276744991515, "r2_full": 0.9370571545858719, "corr_portfolio": 0.22484781397822062, "corr_benchmark": 0.5027935333810469, "alpha_pos_frac": 0.41739130434782606, "fund_max_dd": -0.4107308411407662, "first": "2016-07-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.94, vea +1.54, efa -1.36, djp -0.05, vnq -0.06, qqq +0.03", "ref_full": "vwo +0.88, vea +1.30, efa -1.14, gsg -0.04, vnq -0.05, qqq +0.03" }, "esgv": { "sym": "esgv", "name": "Vanguard ESG U.S. Stock ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00896211816599052, "alpha_t_5y": -1.422303426705926, "alpha_t_full": -0.5581557792658379, "r2_5y": 0.9932328316430047, "r2_full": 0.9930042918576741, "corr_portfolio": 0.1946332394520856, "corr_benchmark": 0.6699948302298984, "alpha_pos_frac": 0.47191011235955055, "fund_max_dd": -0.33660179159499803, "first": "2018-09-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.74, qqq +0.20, iwm +0.07, gsg -0.03, vnq +0.02, vea -0.02", "ref_full": "ivv +0.72, qqq +0.20, iwm +0.08, gsg -0.02, agg +0.13, vmbix -0.09" }, "eshix": { "sym": "eshix", "name": "Eaton Vance Short Duration High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009279045934231159, "alpha_t_5y": 1.578237339466106, "alpha_t_full": 1.2803932671099778, "r2_5y": 0.7878279073656768, "r2_full": 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+0.54, fxe +0.40, vweax +0.48, vwo +0.05, ivv -0.11, iwm +0.04" }, "espo": { "sym": "espo", "name": "VanEck Video Gaming and eSports ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007526627289413066, "alpha_t_5y": 0.12266133337573272, "alpha_t_full": 0.866464860562047, "r2_5y": 0.6733636116437572, "r2_full": 0.69978011164582, "corr_portfolio": 0.0034314772185579626, "corr_benchmark": 0.5387479847565696, "alpha_pos_frac": 0.5681818181818182, "fund_max_dd": -0.5099029615163619, "first": "2018-10-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.85, vwo +0.57, fxy +0.16, ivv -0.69, iwm +0.15, vnq +0.12", "ref_full": "qqq +0.93, vwo +0.46, ivv -0.74, fxy +0.16, iwm +0.14, efa +0.14" }, "etazx": { "sym": "etazx", "name": "Eaton Vance Arizona Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01287629214400616, "alpha_t_5y": -1.0595464158208918, "alpha_t_full": 0.28662812860765147, "r2_5y": 0.38936871620953406, 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qqq -0.35", "ref_full": "iwm +0.64, ivv +0.27, efa +0.07, qqq -0.08, gsg +0.03" }, "etgax": { "sym": "etgax", "name": "Eaton Vance Georgia Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014331381974038195, "alpha_t_5y": -1.19560906044517, "alpha_t_full": -0.14049810446911112, "r2_5y": 0.38225438114891896, "r2_full": 0.1915057462090387, "corr_portfolio": 0.03367015698722151, "corr_benchmark": 0.32048360607310045, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.27080115671355365, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.25, vweax +0.28, ivv -0.06, tlt -0.13, vnq +0.02", "ref_full": "vweax +0.31, agg +0.24, tlt -0.07, efa -0.03, vnq +0.01, fxy +0.03" }, "etgix": { "sym": "etgix", "name": "Eaton Vance Greater India Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00979833070753419, "alpha_t_5y": -0.18663206768106524, "alpha_t_full": 0.02641963729484163, "r2_5y": 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efa +0.03, djp +0.02, fxe -0.03, ief -0.10, agg +0.11" }, "ethsx": { "sym": "ethsx", "name": "Eaton Vance Worldwide Health Sciences Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014597979653395274, "alpha_t_5y": -0.3561100375560949, "alpha_t_full": 0.7842733500064614, "r2_5y": 0.5822647298493231, "r2_full": 0.6680375947497499, "corr_portfolio": 0.240725263562113, "corr_benchmark": 0.5065256772592373, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.4094813299412384, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.82, qqq -0.35, vnq +0.15, efa +1.21, vea -1.03, gsg -0.06", "ref_full": "ivv +0.56, efa +0.21, vwo -0.10, gsg -0.04, agg +0.14, iwm +0.07" }, "ethyx": { "sym": "ethyx", "name": "Eaton Vance High Yield Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0041312172182767564, "alpha_t_5y": -0.270239352231887, "alpha_t_full": -0.028114312438710976, "r2_5y": 0.4199049757427955, "r2_full": 0.2310267234310519, "corr_portfolio": 0.048929629904924776, "corr_benchmark": 0.3497636664716599, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.4398265340029561, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.36, vweax +0.39, ivv -0.09, tlt -0.19, vnq +0.03", "ref_full": "vweax +0.41, agg +0.18, efa -0.05, vnq +0.03, iwm -0.03, vwo +0.03" }, "etmax": { "sym": "etmax", "name": "Eaton Vance Massachusetts Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02060847115086169, "alpha_t_5y": -1.5217058769637228, "alpha_t_full": -0.49930326441786416, "r2_5y": 0.4058768262921266, "r2_full": 0.19814633175505603, "corr_portfolio": 0.011349907894668686, "corr_benchmark": 0.33667700683331037, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2950348508285432, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.31, ivv -0.07, tlt -0.18, vnq +0.02, ief +0.10", "ref_full": "vweax +0.33, agg +0.17, efa -0.06, vwo +0.03, fxy +0.03, vnq +0.01" }, "etmbx": { "sym": "etmbx", "name": "Eaton Vance AMT-Free Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018473715499224216, "alpha_t_5y": -1.2144807643679338, "alpha_t_full": -0.30576662842912, "r2_5y": 0.3857315412188168, "r2_full": 0.20479838881186874, "corr_portfolio": 0.033233419229256184, "corr_benchmark": 0.31909614876967507, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.3253164434807271, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.24, tlt -0.14", "ref_full": "vweax +0.39, agg +0.25, efa -0.04, fxy +0.04, tlt -0.04, vnq +0.01" }, "etmdx": { "sym": "etmdx", "name": "Eaton Vance Maryland Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011121472974705325, "alpha_t_5y": -0.8495149354524824, "alpha_t_full": -0.14238240074497638, "r2_5y": 0.40118519782483864, "r2_full": 0.23262167769775466, "corr_portfolio": 0.024676631096766644, "corr_benchmark": 0.34789040715680136, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.2274010193455952, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.28, ivv -0.07, vnq +0.02, tlt -0.16, vmbix +0.09", "ref_full": "vweax +0.31, agg +0.15, efa -0.02, vnq +0.02, fxy +0.02, iwm -0.02" }, "etmnx": { "sym": "etmnx", "name": "Eaton Vance Minnesota Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014447663959320187, "alpha_t_5y": -1.0841019731594563, "alpha_t_full": 0.3107747368813649, "r2_5y": 0.3456494204643278, "r2_full": 0.2263386534625983, "corr_portfolio": 0.02873546839697446, "corr_benchmark": 0.3174063526527581, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.17244344992740412, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.26, ivv -0.07, tlt -0.17, vnq +0.02, vmbix +0.08", "ref_full": "vweax +0.29, agg +0.15, efa -0.02, fxy +0.03, vnq +0.01, iwm -0.02" }, "etmox": { "sym": "etmox", "name": "Eaton Vance Missouri Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015449596013453994, "alpha_t_5y": -1.2550894547881482, "alpha_t_full": -0.04855259420123232, "r2_5y": 0.40565298585570086, "r2_full": 0.2191654714661192, "corr_portfolio": 0.033733671206616675, "corr_benchmark": 0.3366856421405463, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.21736126152582724, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.23, vweax +0.29, ivv -0.07, vnq +0.02, tlt -0.13, vmbix +0.07", "ref_full": "vweax +0.31, agg +0.15, efa -0.02, vnq +0.02, fxy +0.03, iwm -0.02" }, "etncx": { "sym": "etncx", "name": "Eaton Vance North Carolina Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015495308497172846, "alpha_t_5y": -1.219809567644781, "alpha_t_full": 0.08602308837576848, "r2_5y": 0.3542487218247399, "r2_full": 0.2060820616065101, "corr_portfolio": 0.031616235356986246, "corr_benchmark": 0.33088480241237234, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.23803112487066658, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.25, vweax +0.28, ivv -0.07, vnq +0.02, tlt -0.13", "ref_full": "vweax +0.31, agg +0.16, efa -0.05, vnq +0.01, fxy +0.03, vwo +0.02" }, "etnjx": { "sym": "etnjx", "name": "Eaton Vance New Jersey Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016699439157278433, "alpha_t_5y": -1.3052906492779088, "alpha_t_full": -0.2707580216438587, "r2_5y": 0.3931876430853142, "r2_full": 0.19815760254353998, "corr_portfolio": 0.04070918578125772, "corr_benchmark": 0.32182136952917645, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.3132153453350861, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.28, ivv -0.07, tlt -0.19, ief +0.11, vnq +0.02", "ref_full": "vweax +0.33, agg +0.23, tlt -0.05, efa -0.03, vnq +0.01, fxy +0.03" }, "etnyx": { "sym": "etnyx", "name": "Eaton Vance New York Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01488797967789901, "alpha_t_5y": -0.9340848553994929, "alpha_t_full": 0.049920595280258814, "r2_5y": 0.34674342540202374, "r2_full": 0.20109725090705233, "corr_portfolio": 0.02932107808342956, "corr_benchmark": 0.3270126949826522, "alpha_pos_frac": 0.5758754863813229, "fund_max_dd": -0.3169171002401683, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.48, ief +0.15, ivv -0.08, vnq +0.03", "ref_full": "vweax +0.37, agg +0.23, efa -0.05, vwo +0.03, fxy +0.04, ief -0.08" }, "etohx": { "sym": "etohx", "name": "Eaton Vance Ohio Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01853451418141113, "alpha_t_5y": -1.457346325850253, "alpha_t_full": 0.14837097593518014, "r2_5y": 0.3415419117436659, "r2_full": 0.20823559489385102, "corr_portfolio": 0.04482242614897429, "corr_benchmark": 0.29578586219062314, "alpha_pos_frac": 0.5477031802120141, "fund_max_dd": -0.21706472814353628, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.12, ivv -0.05", "ref_full": "vweax +0.33, agg +0.15, efa -0.02, fxy +0.03, vnq +0.02, iwm -0.02" }, "etorx": { "sym": "etorx", "name": "Eaton Vance Oregon Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015966863600314966, "alpha_t_5y": -1.371757494421079, "alpha_t_full": -0.10991332640381989, "r2_5y": 0.4004779671992814, "r2_full": 0.1980257549035186, "corr_portfolio": 0.02885830268350444, "corr_benchmark": 0.3406907126324785, "alpha_pos_frac": 0.5603112840466926, "fund_max_dd": -0.2839262706188187, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.37, ief +0.14, ivv -0.06, vnq +0.02", "ref_full": "vweax +0.32, agg +0.18, efa -0.05, vwo +0.02, fxy +0.03, vnq +0.01" }, "etpax": { "sym": "etpax", "name": "Eaton Vance Pennsylvania Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012460036803998438, "alpha_t_5y": -0.8988577081997677, "alpha_t_full": -0.22630069562985203, "r2_5y": 0.38543321693496857, "r2_full": 0.184693979919475, "corr_portfolio": 0.025046369879028064, "corr_benchmark": 0.32224960816929404, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.28707464143327455, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.30, vweax +0.31, ivv -0.14, tlt -0.16, vnq +0.04, qqq +0.04", "ref_full": "vweax +0.32, agg +0.24, tlt -0.07, ivv -0.08, vnq +0.03, qqq +0.03" }, "etsix": { "sym": "etsix", "name": "Eaton Vance Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023501254178775903, "alpha_t_5y": 2.2512724353575426, "alpha_t_full": 3.175213254481371, "r2_5y": 0.37891827512479814, "r2_full": 0.2989133633826061, "corr_portfolio": 0.16987947446299345, "corr_benchmark": 0.2138806066000507, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.12621791594506238, "first": "2007-06-04", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vmbix +0.21, vea +0.04, qqq -0.03, vweax +0.11, vwo +0.03, gsg -0.01", "ref_full": "vweax +0.29, efa +0.05, ivv -0.04, fxe -0.04, gld +0.01, agg +0.03" }, "ettgx": { "sym": "ettgx", "name": "Eaton Vance Tax-Managed Growth Fund 1.1", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013936101008298939, "alpha_t_5y": -1.4722075007454516, "alpha_t_full": -0.9411816796370699, "r2_5y": 0.9828229745328251, "r2_full": 0.9796550210896754, "corr_portfolio": 0.2604757771360321, "corr_benchmark": 0.6081904904791313, "alpha_pos_frac": 0.48638132295719844, "fund_max_dd": -0.5201407051886027, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, qqq +0.08, vnq -0.03", "ref_full": "ivv +0.91, qqq +0.07, vnq -0.03, iwm +0.02, gld -0.01" }, "etvax": { "sym": "etvax", "name": "Eaton Vance Virginia Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01461731304881298, "alpha_t_5y": -1.1294559616865958, "alpha_t_full": -0.5679967504888729, "r2_5y": 0.37756593957493867, "r2_full": 0.20343582027730012, "corr_portfolio": 0.04799583417715261, "corr_benchmark": 0.3101955890572366, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.30827313307970716, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.24, vweax +0.28, ivv -0.07, vnq +0.02, tlt -0.14, vmbix +0.09", "ref_full": "vweax +0.31, tlt -0.06, agg +0.27, iwm -0.04, vnq +0.03, ief -0.09" }, "evcgx": { "sym": "evcgx", "name": "Eaton Vance China Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06997402866392724, "alpha_t_5y": -1.2499032076851173, "alpha_t_full": -0.10533837883690346, "r2_5y": 0.7188124860956848, "r2_full": 0.6737000869310935, "corr_portfolio": 0.17268411749891205, "corr_benchmark": 0.31796818318818754, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.683733246137826, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.61, vea -1.70, efa +1.27, qqq -0.13, gsg +0.08", "ref_full": "vwo +0.78, fxe -0.14, vweax +0.23, vnq -0.05, gld -0.05" }, "evfax": { "sym": "evfax", "name": "Eaton Vance Floating-Rate Advantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009154080280791439, "alpha_t_5y": 1.0776046555764214, "alpha_t_full": 1.694888570367947, "r2_5y": 0.5479468290785212, "r2_full": 0.5677459186969825, "corr_portfolio": 0.29869390204325696, "corr_benchmark": 0.2258236719921, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.382227164695354, "first": "2008-03-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, vmbix +0.02, fxe -0.02, vblix +0.44, tlt -0.27, agg -0.32", "ref_full": "vweax +0.65, ief -0.08, iwm -0.02, vnq +0.01, efa -0.01" }, "evibx": { "sym": "evibx", "name": "Eaton Vance Income Fund of Boston", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033264701848843494, "alpha_t_5y": 0.40694341013511226, "alpha_t_full": 0.26411188399054514, "r2_5y": 0.8314175080883823, "r2_full": 0.8360460811371997, "corr_portfolio": 0.3100889943584041, "corr_benchmark": 0.4472616460605401, "alpha_pos_frac": 0.3917525773195876, "fund_max_dd": -0.36749081489536306, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.87, iwm +0.02", "ref_full": "vweax +0.91, vwo +0.01, djp +0.01, ief -0.10, agg +0.12" }, "evifx": { "sym": "evifx", "name": "Eaton Vance Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00854777821411399, "alpha_t_5y": -0.5547292516635882, "alpha_t_full": -0.8937299027838091, "r2_5y": 0.8902349794278788, "r2_full": 0.9200334921316141, "corr_portfolio": 0.23962413445236072, "corr_benchmark": 0.699215552917389, "alpha_pos_frac": 0.4628975265017668, "fund_max_dd": -0.4269042312437241, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, ief +0.25, qqq +0.06", "ref_full": "ivv +0.50, ief +0.18, vwo +0.05, vnq +0.02, qqq +0.05, djp +0.02" }, "evtmx": { "sym": "evtmx", "name": "Eaton Vance Dividend Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019427912851093833, "alpha_t_5y": -1.109205164380234, "alpha_t_full": -0.7399769636657944, "r2_5y": 0.9110414089511033, "r2_full": 0.9338857919408174, "corr_portfolio": 0.34464828061221303, "corr_benchmark": 0.5954258697915347, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.5373554575806381, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.09, qqq -0.33, vnq +0.09, vea +0.05", "ref_full": "ivv +0.88, efa +0.13, qqq -0.12, gsg +0.03, agg +0.07, gld +0.02" }, "evvcx": { "sym": "evvcx", "name": "The E-Valuator Very Conservative (0%-15%) RMS Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010529507528671277, "alpha_t_5y": -0.9990385875767915, "alpha_t_full": -0.08942158026443663, "r2_5y": 0.6369948010303702, "r2_full": 0.4040678087488144, "corr_portfolio": 0.17121927716575955, "corr_benchmark": 0.5676574019199958, "alpha_pos_frac": 0.49572649572649574, "fund_max_dd": -0.1570482899340091, "first": "2016-05-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.22, vea +0.28, efa -0.20, vweax +0.09, iwm +0.02, vblix +0.05", "ref_full": "vweax +0.29, agg +0.03, iwm +0.07, tlt 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{ "sym": "extgx", "name": "Eaton Vance Tax-Managed Growth Fund 1.2", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015422953924812723, "alpha_t_5y": -1.6217883438056004, "alpha_t_full": -1.1709235565832825, "r2_5y": 0.9826529553891447, "r2_full": 0.9788582406797632, "corr_portfolio": 0.2608453934673268, "corr_benchmark": 0.6073640322410885, "alpha_pos_frac": 0.490272373540856, "fund_max_dd": -0.5216534709796947, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, qqq +0.08, vnq -0.03", "ref_full": "ivv +0.92, qqq +0.07, vnq -0.03, iwm +0.02, gld -0.01" }, "facdx": { "sym": "facdx", "name": "Fidelity Advisor Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010864563821824267, "alpha_t_5y": -0.22107207003722515, "alpha_t_full": 0.9497200085029388, "r2_5y": 0.5840601039175325, "r2_full": 0.6967310519495418, "corr_portfolio": 0.1584172014378725, "corr_benchmark": 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"corr_benchmark": 0.41609589226677446, "alpha_pos_frac": 0.49019607843137253, "fund_max_dd": -0.7568907112010624, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.41, ivv +1.61, qqq -0.95, ief -0.27, gld -0.10, efa +0.13", "ref_full": "ivv +1.36, qqq -0.70, iwm +0.39, vnq +0.16, gld -0.10, ief -0.26" }, "fafrx": { "sym": "fafrx", "name": "FRANKLIN FLOATING RATE DAILY ACCESS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022954891982640134, "alpha_t_5y": 2.1113960806669856, "alpha_t_full": 0.5295897877872027, "r2_5y": 0.3711964631845559, "r2_full": 0.4670530461506571, "corr_portfolio": 0.25034999241740596, "corr_benchmark": 0.20864848078718998, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.25916238268819036, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, vmbix -0.00, vblix +0.40, tlt -0.23, agg -0.32", "ref_full": "vweax +0.47, ief -0.07, iwm -0.01, agg +0.04" }, "fagax": { "sym": "fagax", "name": "Fidelity Advisor Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03390179533373587, "alpha_t_5y": -1.2184604742898182, "alpha_t_full": -0.3587704448994575, "r2_5y": 0.9308842062577278, "r2_full": 0.9118411761897247, "corr_portfolio": 0.12142345178805553, "corr_benchmark": 0.5984048180295308, "alpha_pos_frac": 0.49800796812749004, "fund_max_dd": -0.6523576145651425, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.93, iwm +0.21, vnq -0.09, vwo +0.11, efa -0.09", "ref_full": "qqq +0.78, iwm +0.21, vwo +0.11, gsg +0.06, vnq -0.05, agg +0.15" }, "fagix": { "sym": "fagix", "name": "Fidelity Capital & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011840605193678666, "alpha_t_5y": 1.1112962646429874, "alpha_t_full": 0.6882485912531298, "r2_5y": 0.8561766122292912, "r2_full": 0.8598282395401691, "corr_portfolio": 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vweax +0.19" }, "famex": { "sym": "famex", "name": "FAM Dividend Focus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03378232960786369, "alpha_t_5y": -1.1501159008805144, "alpha_t_full": -0.12703488747678965, "r2_5y": 0.824905079627178, "r2_full": 0.8784334230839524, "corr_portfolio": 0.2888610222554051, "corr_benchmark": 0.572325009785842, "alpha_pos_frac": 0.5617021276595745, "fund_max_dd": -0.5468467499332202, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.03, vnq +0.13, qqq -0.31, iwm +0.13, gsg -0.06", "ref_full": "ivv +0.73, iwm +0.28, vnq +0.06, qqq -0.14, gsg -0.04, vwo -0.05" }, "fascx": { "sym": "fascx", "name": "Franklin Alternative Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0190421744292769, "alpha_t_5y": -1.7874603691324094, "alpha_t_full": -1.4366663351180287, "r2_5y": 0.6021901501087661, "r2_full": 0.6549079502862036, "corr_portfolio": 0.28780292636448235, "corr_benchmark": 0.4760109942304396, "alpha_pos_frac": 0.47619047619047616, "fund_max_dd": -0.11600516970554242, "first": "2013-11-21", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "ivv +0.03, vwo +0.05, iwm +0.04, vweax +0.11, vmbix -0.06, qqq +0.04", "ref_full": "ivv -0.04, iwm +0.06, vea +0.06, qqq +0.08, vweax +0.13, vmbix -0.09" }, "faztx": { "sym": "faztx", "name": "Nuveen Arizona Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01678883305850498, "alpha_t_5y": -1.3256571236215027, "alpha_t_full": 0.5214627964986025, "r2_5y": 0.3932340443178928, "r2_full": 0.2443532567661454, "corr_portfolio": 0.034841296493306466, "corr_benchmark": 0.36225107437544346, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.15616600086571886, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, vblix +0.26, ivv -0.12, tlt -0.13, vnq +0.03, qqq +0.04", "ref_full": "vweax +0.26, ief +0.15, fxy 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0.6543477187611954, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.4487957007534765, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, vmbix +0.37, qqq -0.30, efa +0.06, vnq +0.05, vweax +0.16", "ref_full": "ivv +0.48, vweax +0.22, qqq -0.16, agg +0.21, efa +0.09, iwm +0.04" }, "fbnd": { "sym": "fbnd", "name": "Fidelity Total Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016759635953207481, "alpha_t_5y": 0.2909682662492228, "alpha_t_full": 0.10209301518814244, "r2_5y": 0.9435717392859491, "r2_full": 0.8552439622617313, "corr_portfolio": -0.0009964047501210768, "corr_benchmark": 0.7554662838270836, "alpha_pos_frac": 0.4306569343065693, "fund_max_dd": -0.17254692560716944, "first": "2014-10-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.68, vweax +0.09, vnq +0.01, vblix +0.05, efa +0.02, ief +0.08", "ref_full": "agg +1.30, ief -0.19, vweax +0.13, vmbix -0.16, vea +0.01" }, "fbtax": { "sym": "fbtax", "name": "Fidelity Advisor Biotechnology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08419794263865252, "alpha_t_5y": 1.1058505922498891, "alpha_t_full": 1.1109075969598479, "r2_5y": 0.4244712712630191, "r2_full": 0.5301455470329657, "corr_portfolio": 0.0938475100637796, "corr_benchmark": 0.4038614049451485, "alpha_pos_frac": 0.4765957446808511, "fund_max_dd": -0.6289918622825176, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.68, gsg -0.07, agg +0.26", "ref_full": "iwm +0.60, qqq +0.37, vnq -0.12, agg +0.21, vwo -0.06" }, "fcamx": { "sym": "fcamx", "name": "FRANKLIN CALIFORNIA HIGH YIELD MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011249948792297354, "alpha_t_5y": -0.7789056202143914, "alpha_t_full": 0.9665845260886519, "r2_5y": 0.42589468206651515, "r2_full": 0.2698202912397005, "corr_portfolio": 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"ivv +0.35, vea +0.18, iwm +0.08, qqq +0.13, vweax +0.17, vwo +0.05" }, "fcfix": { "sym": "fcfix", "name": "FROST CREDIT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017973664535101852, "alpha_t_5y": 2.9834783391990674, "alpha_t_full": 2.17031107351624, "r2_5y": 0.7188471038783687, "r2_full": 0.4155270742145907, "corr_portfolio": 0.16484050675681672, "corr_benchmark": 0.4371833316696329, "alpha_pos_frac": 0.46540880503144655, "fund_max_dd": -0.1629283070149985, "first": "2012-12-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.29, vweax +0.19", "ref_full": "vweax +0.22, ief +0.15, vnq +0.01, tlt -0.16, vblix +0.20" }, "fclax": { "sym": "fclax", "name": "Fidelity Advisor Industrials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015149185042905135, "alpha_t_5y": 0.3852811866833245, "alpha_t_full": 1.0749525840829517, "r2_5y": 0.797520053724927, "r2_full": 0.8814844865118943, "corr_portfolio": 0.3309650341145926, "corr_benchmark": 0.5141021587520699, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6094768004876102, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.37, ivv +1.17, qqq -0.48, vnq -0.11, vea +0.20, fxe -0.20", "ref_full": "ivv +0.78, iwm +0.34, qqq -0.20, efa +0.11, agg -0.20, vweax +0.16" }, "fcntx": { "sym": "fcntx", "name": "Fidelity Contrafund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003021580508344075, "alpha_t_5y": 0.014747181525429698, "alpha_t_full": -0.2817297307151391, "r2_5y": 0.9348944607339281, "r2_full": 0.9480033761291506, "corr_portfolio": 0.20170175767252355, "corr_benchmark": 0.5989765749811644, "alpha_pos_frac": 0.48249027237354086, "fund_max_dd": -0.49190812210089196, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.36, ivv +0.68, vnq -0.08", "ref_full": "qqq +0.43, ivv +0.55, vnq -0.05, gld +0.04, gsg +0.02" }, "fcotx": { "sym": "fcotx", "name": "Nuveen Colorado Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0162715512411039, "alpha_t_5y": -1.2395644179342666, "alpha_t_full": 0.6705902555605122, "r2_5y": 0.4011447104110152, "r2_full": 0.24121245725234186, "corr_portfolio": 0.03413350893354209, "corr_benchmark": 0.34940796650289535, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.15654470309847024, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, ief +0.07, ivv -0.07, vnq +0.03, vblix +0.25, tlt -0.15", "ref_full": "vweax +0.28, ief +0.15, fxy +0.04, gsg -0.01, vnq +0.02, efa -0.02" }, "fcspx": { "sym": "fcspx", "name": "Federated Hermes Corporate Bond Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005048539361298459, "alpha_t_5y": 1.0037887242071843, "alpha_t_full": -2.8027189334427334, "r2_5y": 0.9671062424243626, "r2_full": 0.8636057898131848, "corr_portfolio": 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"fcstx", "name": "Fidelity California Limited Term Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016264857258776494, "alpha_t_5y": -2.4678817248902805, "alpha_t_full": 0.6050897404379775, "r2_5y": 0.34514290822407523, "r2_full": 0.23792112303928192, "corr_portfolio": 0.050262834855465253, "corr_benchmark": 0.3031346008553022, "alpha_pos_frac": 0.4959016393442623, "fund_max_dd": -0.07509145610850854, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.21, ief +0.07, ivv -0.03", "ref_full": "vweax +0.13, ief +0.03, fxy +0.02, agg +0.04, gsg -0.01, vnq +0.00" }, "fcttx": { "sym": "fcttx", "name": "Nuveen Connecticut Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01695160612872977, "alpha_t_5y": -1.2269353276904005, "alpha_t_full": 0.1848077200003492, "r2_5y": 0.3826161046528378, "r2_full": 0.2404765368505295, "corr_portfolio": 0.035952118268702454, "corr_benchmark": 0.3558047168963356, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.16259228522126123, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, ief +0.07, ivv -0.07, vnq +0.03, vblix +0.24, tlt -0.14", "ref_full": "vweax +0.27, ief +0.16, fxy +0.03, gsg -0.01" }, "fcvsx": { "sym": "fcvsx", "name": "Fidelity Convertible Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0023100455982079495, "alpha_t_5y": 0.09560102005390253, "alpha_t_full": 0.06140011645136923, "r2_5y": 0.8388379976109717, "r2_full": 0.8306946451898225, "corr_portfolio": 0.1885307532130471, "corr_benchmark": 0.5699837163675809, "alpha_pos_frac": 0.5338645418326693, "fund_max_dd": -0.5876181961889296, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.39, qqq +0.36, ivv -0.23, vwo +0.08, gld +0.05, vnq -0.05", "ref_full": "ivv +0.05, iwm +0.24, vwo +0.11, qqq +0.20, djp +0.08, vweax +0.26" }, "fdbax": { "sym": "fdbax", "name": "Federated Hermes Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003901944162584248, "alpha_t_5y": -0.680712620594124, "alpha_t_full": 0.18154807856459995, "r2_5y": 0.9393567813231465, "r2_full": 0.8472780864473888, "corr_portfolio": 0.026181063107477583, "corr_benchmark": 0.7506800983815016, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.20072330473352673, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.35, vweax +0.15, vblix +0.29, tlt -0.11, ief +0.13, vwo +0.01", "ref_full": "ief +0.30, vweax +0.41, tlt +0.08, agg +0.10, efa +0.01, gsg +0.01" }, "fdcax": { "sym": "fdcax", "name": "Fidelity Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016543345079866034, "alpha_t_5y": 0.09858602263810874, "alpha_t_full": -0.19252800625155317, "r2_5y": 0.954063613575389, "r2_full": 0.93442891825276, 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"ivv +0.31, iwm +0.33, qqq +0.38, gld +0.05, vnq -0.03, vweax +0.09" }, "fdetx": { "sym": "fdetx", "name": "Fidelity Advisor Capital Development Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02908158556386658, "alpha_t_5y": 1.813919016611665, "alpha_t_full": 1.7547369603816063, "r2_5y": 0.9490395634190206, "r2_full": 0.9475102735070378, "corr_portfolio": 0.3605439910561396, "corr_benchmark": 0.5268509478436089, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5771539975262909, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.30, qqq -0.41, iwm +0.14, vnq -0.15, vea +0.14, gsg +0.05", "ref_full": "ivv +0.74, iwm +0.17, gsg +0.06, efa +0.09, tlt -0.06, qqq -0.07" }, "fdgfx": { "sym": "fdgfx", "name": "Fidelity Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02793383145869089, "alpha_t_5y": 1.4745976029030325, "alpha_t_full": 0.7658266931083223, "r2_5y": 0.9265232465895122, "r2_full": 0.9410843978905061, "corr_portfolio": 0.33917921494523523, "corr_benchmark": 0.5557222813201049, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.6077405108376344, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, vea +0.71, efa -0.57, iwm +0.09, vnq -0.08, qqq -0.13", "ref_full": "ivv +0.90, iwm +0.19, qqq -0.15, efa +0.10, djp +0.04, tlt -0.04" }, "fdgrx": { "sym": "fdgrx", "name": "Fidelity Growth Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013920074460362777, "alpha_t_5y": 0.6270049470357714, "alpha_t_full": 1.0473654265197831, "r2_5y": 0.9511797783837656, "r2_full": 0.9433221485602405, "corr_portfolio": 0.12394418778043025, "corr_benchmark": 0.5980032114589615, "alpha_pos_frac": 0.45136186770428016, "fund_max_dd": -0.7160962192820404, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.93, iwm +0.17, vnq -0.08", "ref_full": "qqq +0.75, iwm +0.20, djp +0.04, vnq -0.05, ivv +0.13, agg +0.06" }, "fdiax": { "sym": "fdiax", "name": "Fidelity Advisor Limited Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0033994375657386165, "alpha_t_5y": -0.7944720294355098, "alpha_t_full": 0.0197458265523185, "r2_5y": 0.8555031289488081, "r2_full": 0.743761828681454, "corr_portfolio": -0.018102776527452603, "corr_benchmark": 0.546594315268974, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.12359661213019124, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.36, tlt -0.23, vblix +0.16, vweax +0.08, ivv -0.01, agg +0.13", "ref_full": "ief +0.42, vweax +0.20, tlt -0.08, fxy +0.01, qqq -0.01, agg +0.04" }, "fdivx": { "sym": "fdivx", "name": "Fidelity Diversified International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024858894311284317, "alpha_t_5y": -1.50724330213499, "alpha_t_full": -1.7681248677529977, "r2_5y": 0.9482562410301831, "r2_full": 0.9503263255512597, "corr_portfolio": 0.3275521002238399, "corr_benchmark": 0.5706807075409515, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.6061358295416244, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.49, qqq +0.20, efa +0.43, ivv -0.12, gsg -0.02, vnq -0.03", "ref_full": "efa +0.74, qqq +0.12, vweax +0.27, gld +0.04, vwo +0.04, vnq -0.02" }, "fdmmx": { "sym": "fdmmx", "name": "Fidelity Massachusetts Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01659075689794425, "alpha_t_5y": -1.4472761359441446, "alpha_t_full": 0.6984404530001478, "r2_5y": 0.3914505928591643, "r2_full": 0.2860698661403478, "corr_portfolio": 0.025630498160248337, "corr_benchmark": 0.3568399651005173, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.15424407274094143, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, ief +0.12, ivv -0.11, vnq +0.03, qqq +0.04", "ref_full": "agg +0.13, vweax +0.25, ief +0.07, fxy +0.04, efa -0.03, vnq +0.01" }, "fdvax": { "sym": "fdvax", "name": "Fidelity Advisor Diversified International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027994041905155864, "alpha_t_5y": -1.6354955639862383, "alpha_t_full": -1.8065240676278642, "r2_5y": 0.9442936356641148, "r2_full": 0.9471105813708922, "corr_portfolio": 0.32879646650734784, "corr_benchmark": 0.569276083799587, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6134486944944495, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.49, qqq +0.20, efa +0.43, ivv -0.12, vnq -0.04, gsg -0.02", "ref_full": "efa +0.76, qqq +0.11, vweax +0.24, gld +0.04, vnq -0.02, vwo +0.03" }, "fedax": { "sym": "fedax", "name": "Fidelity Emerging Markets Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030931192646971462, "alpha_t_5y": 1.1144878957735944, "alpha_t_full": 0.6967303814204109, "r2_5y": 0.7962958477121467, "r2_full": 0.8031477427906044, "corr_portfolio": 0.34162157917271996, "corr_benchmark": 0.4723803465147453, "alpha_pos_frac": 0.5058139534883721, "fund_max_dd": -0.4334868260688586, "first": "2011-11-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.55, vea +0.65, efa -0.47, vweax +0.21", "ref_full": "vwo +0.49, vweax +0.46, vea +0.79, efa -0.64" }, "felax": { "sym": "felax", "name": "Fidelity Advisor Semiconductors Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.15053435276452348, "alpha_t_5y": 2.109993409918964, "alpha_t_full": 1.0134073902976608, "r2_5y": 0.8150877188981039, "r2_full": 0.7738398679201817, "corr_portfolio": 0.12357542132193626, "corr_benchmark": 0.5211266686995956, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.7133442700324912, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.88, vnq -0.30, iwm +0.37, ivv -0.95, vea +0.98, efa -0.71", "ref_full": "qqq +1.18, iwm +0.39, vnq -0.14, ivv -0.29, vwo +0.08" }, "femdx": { "sym": "femdx", "name": "Franklin Emerging Market Debt Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04591033861140869, "alpha_t_5y": 2.285696152401563, "alpha_t_full": 3.2070292023582603, "r2_5y": 0.31731768524162585, "r2_full": 0.36585582373222625, "corr_portfolio": 0.2779203240903428, "corr_benchmark": 0.33892249219330767, "alpha_pos_frac": 0.5914893617021276, "fund_max_dd": -0.31805876057279303, "first": "2007-06-04", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vweax +0.42, vwo +0.08, fxe +0.05, gsg -0.03, qqq -0.05, efa +0.07", "ref_full": "vweax +0.41, vwo +0.07, fxe +0.05, ivv -0.04, tlt +0.02, efa +0.03" }, "femgx": { "sym": "femgx", "name": "Templeton Sustainable Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00863013014271886, "alpha_t_5y": 0.4092548279042015, "alpha_t_full": -0.25120768619226497, "r2_5y": 0.5823020060542048, "r2_full": 0.367798817749181, "corr_portfolio": 0.21856443755349889, "corr_benchmark": 0.3307613733122681, "alpha_pos_frac": 0.5197368421052632, "fund_max_dd": -0.3373578518252792, "first": "2013-06-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.15, fxe +0.26, vweax +0.30, vwo +0.12, qqq -0.08, vmbix +0.17", "ref_full": "vwo +0.15, vmbix +0.23, vweax +0.17, fxe +0.06, qqq -0.06, vea +0.08" }, "feqmx": { "sym": "feqmx", "name": "Fidelity Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01691989307112026, "alpha_t_5y": -0.6551954665835341, "alpha_t_full": -0.6551954665835341, "r2_5y": 0.9114734156136401, "r2_full": 0.9114734156136401, "corr_portfolio": 0.041991760606344894, "corr_benchmark": 0.5045930583729181, "alpha_pos_frac": 0.5, "fund_max_dd": -0.4135828622684036, "first": "2021-05-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.78, qqq +0.45, ivv -0.45, vea +1.25, efa -1.06, gld -0.06", "ref_full": "vwo +0.78, qqq +0.45, ivv -0.45, vea +1.25, efa -1.06, gld -0.06" }, "feqtx": { "sym": "feqtx", "name": "Fidelity Equity Dividend Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.031244418843982512, "alpha_t_5y": 1.7743781445842042, "alpha_t_full": 1.295740235678384, "r2_5y": 0.9024968125247602, "r2_full": 0.9477575207395706, "corr_portfolio": 0.42123668014508014, "corr_benchmark": 0.5139673475288897, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.6085816602963456, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.13, vnq +0.09, efa +0.15, ivv +1.20, qqq -0.68, gld -0.02", "ref_full": "ivv +1.06, qqq -0.45, vnq +0.08, efa +0.15, iwm +0.11, gld -0.04" }, "feugx": { "sym": "feugx", "name": "FEDERATED HERMES ADJUSTABLE RATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007332948363833321, "alpha_t_5y": -0.13210620405564494, "alpha_t_full": 0.39937653452962874, "r2_5y": 0.25559192742305303, "r2_full": 0.1803148151565781, "corr_portfolio": 0.0260029236951217, "corr_benchmark": 0.2366487782712872, "alpha_pos_frac": 0.3745583038869258, "fund_max_dd": -0.12825629299357133, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.14, ief +0.05, efa -0.02", "ref_full": "ief +0.09, vweax +0.08, tlt -0.02, djp -0.00" }, "ffalx": { "sym": "ffalx", "name": "FRANKLIN GLOBAL ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0031993498461132266, "alpha_t_5y": -0.3499725986221737, "alpha_t_full": -0.993136810535482, "r2_5y": 0.9543426742459927, "r2_full": 0.8348837172985025, "corr_portfolio": 0.3270600187158144, "corr_benchmark": 0.5435994404182711, "alpha_pos_frac": 0.49743589743589745, "fund_max_dd": -0.5314484690991006, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.17, vmbix +0.18, vwo +0.06, qqq -0.06, vnq -0.03", "ref_full": "efa +0.30, ivv +0.23, vweax +0.28, gsg +0.03, iwm +0.07, vnq -0.02" }, "ffrsx": { "sym": "ffrsx", "name": "Federated Hermes Floating Rate Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003261888089070371, "alpha_t_5y": 0.45496158606260223, "alpha_t_full": 1.0502779196591336, "r2_5y": 0.48904149846015776, "r2_full": 0.583492507896562, "corr_portfolio": 0.29407866487899664, "corr_benchmark": 0.22891958358552295, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.1712664979912586, "first": "2010-12-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, vmbix -0.02, vblix +0.37, tlt -0.23, agg -0.22", "ref_full": "vweax +0.46, vmbix -0.12, qqq -0.01, vnq +0.01" }, "ffsax": { "sym": "ffsax", "name": "Touchstone Flexible Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003655159251096774, "alpha_t_5y": 0.42301229372465676, "alpha_t_full": 0.09984093422367941, "r2_5y": 0.6277003157494196, "r2_full": 0.49473140743445276, "corr_portfolio": 0.18088247837182012, "corr_benchmark": 0.5993567197173731, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.37651836016373874, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.17, vweax +0.14, vblix +0.08, vnq +0.01, fxy +0.02", "ref_full": "efa +0.02, agg +0.50, vweax +0.29, vnq +0.05, ief -0.15, vwo +0.04" }, "fftfx": { "sym": "fftfx", "name": "FRANKLIN FEDERAL LIMITED-TERM TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012741702297788165, "alpha_t_5y": -2.247628409014119, "alpha_t_full": 0.28128595905172216, "r2_5y": 0.37348960360531114, "r2_full": 0.21922490763711866, "corr_portfolio": 0.05755949120148044, "corr_benchmark": 0.32465944651043854, "alpha_pos_frac": 0.44074074074074077, "fund_max_dd": -0.06517007617473558, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.19, ief +0.06, ivv -0.02", "ref_full": "vweax +0.11, agg +0.06, fxy +0.02, gsg -0.00" }, "ffxsx": { "sym": "ffxsx", "name": "Fidelity Limited Term Government Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0065148379584859945, "alpha_t_5y": -1.325332462718205, "alpha_t_full": -0.37346126864834517, "r2_5y": 0.8417001013733718, "r2_full": 0.7178951215560967, "corr_portfolio": -0.16616767517191267, "corr_benchmark": 0.4852882739335249, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.0948285812724915, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.45, tlt -0.22, vblix +0.14, vmbix +0.10, efa -0.02, fxy +0.02", "ref_full": "ief +0.41, tlt -0.09, vweax +0.04, fxy +0.02, agg +0.04" }, "fgatx": { "sym": "fgatx", "name": "Nuveen Georgia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02231769877193875, "alpha_t_5y": -1.6850947183723148, "alpha_t_full": -0.18811628657751525, "r2_5y": 0.4052078964100758, "r2_full": 0.24393363092384912, "corr_portfolio": 0.032318706815332124, "corr_benchmark": 0.3568452459259301, "alpha_pos_frac": 0.630057803468208, "fund_max_dd": -0.16907229091287612, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.25, vweax +0.31, ivv -0.07, vnq +0.02, tlt -0.14, vmbix +0.08", "ref_full": "vweax +0.28, ief +0.16, fxy +0.04, gsg -0.01, vnq +0.01, efa -0.02" }, "fgcsx": { "sym": "fgcsx", "name": "Federated Hermes Short-Intermediate Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0049643068854209535, "alpha_t_5y": -1.0662962991586888, "alpha_t_full": 0.7353973563740497, "r2_5y": 0.8369196787798794, "r2_full": 0.6134897824339128, "corr_portfolio": -0.04608286499029638, "corr_benchmark": 0.42466712748349456, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.08511607163258161, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.39, tlt -0.22, vblix +0.16, vmbix +0.09, ivv -0.02, vweax +0.07", "ref_full": "ief +0.50, vweax +0.16, tlt -0.09, ivv -0.01" }, "fgfax": { "sym": "fgfax", "name": "Federated Hermes International Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012395444113161715, "alpha_t_5y": -0.603840395418193, "alpha_t_full": 0.39607865472556264, "r2_5y": 0.9176933542932959, "r2_full": 0.9175060077133547, "corr_portfolio": 0.3805931616410568, "corr_benchmark": 0.49968564669050536, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6146854013350171, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.72, fxe +0.16, vnq -0.05, vweax +0.15, vea +0.25, fxy -0.06", "ref_full": "efa +0.84, vweax +0.27, fxe +0.16, fxy -0.06, iwm +0.05, tlt -0.03" }, "fgiax": { "sym": "fgiax", "name": "Nuveen Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020208221042509276, "alpha_t_5y": 0.7100373696519954, "alpha_t_full": 0.5544268896213962, "r2_5y": 0.734588145818061, "r2_full": 0.8128948711645527, "corr_portfolio": 0.3381279296996438, "corr_benchmark": 0.5592125070555943, "alpha_pos_frac": 0.5412844036697247, "fund_max_dd": -0.4934974147206159, "first": "2007-12-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.30, vea +0.30, gsg +0.05, qqq -0.26, ivv +0.38, fxy +0.12", "ref_full": "efa +0.42, vnq +0.07, vweax +0.34, gsg +0.05, ivv +0.35, qqq -0.17" }, "fgilx": { "sym": "fgilx", "name": "Fidelity Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005780319035064754, "alpha_t_5y": 0.4942205562806286, "alpha_t_full": 1.409092806040852, "r2_5y": 0.9572746990688342, "r2_full": 0.9592765562099896, "corr_portfolio": 0.37670632423538847, "corr_benchmark": 0.5906822857188216, "alpha_pos_frac": 0.5180722891566265, "fund_max_dd": -0.3059045335062318, "first": "2012-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.73, efa +0.11, qqq -0.23, vea +0.26, vwo +0.02", "ref_full": "ivv +0.58, vea +0.23, qqq -0.11, vweax +0.08, efa +0.13" }, "fginx": { "sym": "fginx", "name": "Nomura Growth and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.055227999008865, "alpha_t_5y": 2.424718051536888, "alpha_t_full": 1.5410044935237246, "r2_5y": 0.8661383568407696, "r2_full": 0.9332950059842497, "corr_portfolio": 0.4225712991117054, "corr_benchmark": 0.5141104912380355, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.5480011413538514, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.35, qqq -0.65, iwm +0.15, gsg +0.04, vea +0.38, efa -0.31", "ref_full": "ivv +0.89, qqq -0.26, iwm +0.19, tlt -0.05, efa +0.09, fxe -0.06" }, "fgrax": { "sym": "fgrax", "name": "FRANKLIN GROWTH OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0645948395268709, "alpha_t_5y": -2.470523960050479, "alpha_t_full": -2.09449929608554, "r2_5y": 0.925519318987142, "r2_full": 0.9283708182324054, "corr_portfolio": 0.11181137587730096, "corr_benchmark": 0.615937543576532, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.7869469659662806, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.88, iwm +0.11, vblix +0.06", "ref_full": "qqq +0.69, iwm +0.15, ivv +0.16, djp +0.03, vwo +0.03, agg +0.08" }, "fgrix": { "sym": "fgrix", "name": "Fidelity Growth & Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021404194200755716, "alpha_t_5y": 1.5160848799338718, "alpha_t_full": 0.31620082866135935, "r2_5y": 0.9524480493684695, "r2_full": 0.944812388213359, "corr_portfolio": 0.383795104572071, "corr_benchmark": 0.5239910458103776, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6710297049395815, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.30, qqq -0.50, vea +0.15, iwm +0.12, vnq -0.09, gsg +0.04", "ref_full": "ivv +0.98, qqq -0.24, iwm +0.13, vwo +0.05, ief -0.14, efa +0.08" }, "fgsax": { "sym": "fgsax", "name": "Federated Hermes MDT Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016585838360558998, "alpha_t_5y": -0.46189527560668997, "alpha_t_full": -1.248243647642304, "r2_5y": 0.8585285923966005, "r2_full": 0.8913425791431037, "corr_portfolio": 0.17710111824068858, "corr_benchmark": 0.5951487922604605, "alpha_pos_frac": 0.5686274509803921, "fund_max_dd": -0.6616477923954933, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.10, iwm +0.39, qqq +0.50, gld -0.04, vnq +0.06", "ref_full": "ivv +0.36, iwm +0.35, qqq +0.33, djp +0.04, agg +0.12, vnq -0.03" }, "fgtax": { "sym": "fgtax", "name": "Fidelity Mega Cap Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017845622039327803, "alpha_t_5y": 1.0602433494930628, "alpha_t_full": 1.702333462978892, "r2_5y": 0.9422484931246282, "r2_full": 0.9646564129356154, "corr_portfolio": 0.35468380919499554, "corr_benchmark": 0.5380637862395192, "alpha_pos_frac": 0.5161290322580645, "fund_max_dd": -0.5295284548947112, "first": "2008-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.33, vnq -0.16, vea +0.14, gsg +0.05, iwm +0.07", "ref_full": "ivv +0.98, qqq -0.13, vea +0.08, tlt -0.06, gsg +0.03, iwm +0.05" }, "fgtix": { "sym": "fgtix", "name": "Franklin Templeton SMACS: Series I", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011174785277940493, "alpha_t_5y": -0.9962287347952514, "alpha_t_full": -0.16354564442913586, "r2_5y": 0.9596230490508398, "r2_full": 0.8584865237413029, "corr_portfolio": 0.28342589693421244, "corr_benchmark": 0.6155066139315757, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.46172362533895317, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.58, vea +0.14, vblix +0.06, vwo +0.05, iwm +0.03", "ref_full": "ivv +0.16, efa +0.18, qqq +0.16, iwm +0.09, vweax +0.19, djp +0.04" }, "fgtzx": { "sym": "fgtzx", "name": "FRANKLIN GROWTH ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008726526877767725, "alpha_t_5y": -0.836473697601523, "alpha_t_full": -0.37219943123261545, "r2_5y": 0.9650158380048962, "r2_full": 0.853078531181335, "corr_portfolio": 0.2826435217565014, "corr_benchmark": 0.6173419936139665, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.46635273371735475, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.58, vea +0.14, agg +0.14, vwo +0.05, iwm +0.02", "ref_full": "ivv +0.16, efa +0.17, qqq +0.16, iwm +0.10, vweax +0.19, djp +0.05" }, "fguax": { "sym": "fguax", "name": "Federated Hermes Government Ultrashort Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000966002753436938, "alpha_t_5y": -0.19220328108259724, "alpha_t_full": -0.7607825933588988, "r2_5y": 0.18626556286770124, "r2_full": 0.08291962078113424, "corr_portfolio": 0.06311740463444661, "corr_benchmark": 0.14136015368780425, "alpha_pos_frac": 0.39855072463768115, "fund_max_dd": -0.013090829749479171, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.14, iwm -0.01", "ref_full": "vweax +0.05, ief +0.04, tlt -0.01" }, "fhaix": { "sym": "fhaix", "name": "FRANKLIN HIGH INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009473954147941263, "alpha_t_5y": 0.5485542041451361, "alpha_t_full": 0.6556133509945936, "r2_5y": 0.47722732423059355, "r2_full": 0.5492401320977217, "corr_portfolio": 0.24284850322206605, "corr_benchmark": 0.37723785967647916, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.31375141427641917, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.66, vea +0.05, agg +0.07", "ref_full": "vweax +0.81, efa +0.02, agg +0.17, ief -0.11, djp +0.02" }, "fhcox": { "sym": "fhcox", "name": "Federated Hermes Conservative Microshort Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003736264271181548, "alpha_t_5y": 0.7442872477928579, "alpha_t_full": 0.7442872477928579, "r2_5y": 0.19430432432460631, "r2_full": 0.19430432432460631, "corr_portfolio": 0.05353899990294209, "corr_benchmark": 0.09186294454473376, "alpha_pos_frac": 0.6885245901639344, "fund_max_dd": -0.005894314476778795, "first": "2021-02-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.15, efa -0.02", "ref_full": "vweax +0.15, efa -0.02" }, "fhesx": { "sym": "fhesx", "name": "Federated Hermes SDG Engagement Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04306753263046254, "alpha_t_5y": -1.8259234526855002, "alpha_t_full": -1.3045191752580103, "r2_5y": 0.8882605807873578, "r2_full": 0.9150058607508377, "corr_portfolio": 0.33825517474865674, "corr_benchmark": 0.6086140817274468, "alpha_pos_frac": 0.5909090909090909, "fund_max_dd": -0.40759932804448706, "first": "2018-11-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.42, iwm +0.28, vnq +0.04, ivv +0.36, qqq -0.18, vweax +0.21", "ref_full": "vea +0.46, iwm +0.31, vnq +0.08, vweax +0.23, gld -0.04, ivv +0.05" }, "fhhix": { "sym": "fhhix", "name": "Federated Hermes SDG Engagement High Yield Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004233314501907544, "alpha_t_5y": -0.472309378776284, "alpha_t_full": 0.1116960010277188, "r2_5y": 0.7046387890044059, "r2_full": 0.7914604230734026, "corr_portfolio": 0.3280656346818803, "corr_benchmark": 0.47745195335413165, "alpha_pos_frac": 0.4805194805194805, "fund_max_dd": -0.2336193243690433, "first": "2019-09-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.52, efa +0.05, agg +0.28, ief -0.17", "ref_full": "vweax +0.74, vea +0.06, qqq -0.03, vnq +0.02, ief -0.13, vblix +0.06" }, "fhiix": { "sym": "fhiix", "name": "Federated Hermes Sustainable High Yield Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006671030623158053, "alpha_t_5y": -0.7208602545293596, "alpha_t_full": 0.5455334652029, "r2_5y": 0.7829028559391686, "r2_full": 0.7673890376501444, "corr_portfolio": 0.3041317619362033, "corr_benchmark": 0.4675489348735679, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.3260816251622094, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.72, vea +0.03, iwm +0.02, agg +0.05", "ref_full": "vweax +0.80, efa +0.01, djp +0.01, ivv +0.03, vnq -0.01, agg +0.03" }, "fhjux": { "sym": "fhjux", "name": "Fidelity Europe Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02935196799854991, "alpha_t_5y": -1.3086697998809638, "alpha_t_full": -0.29666688138763025, "r2_5y": 0.9043688874102591, "r2_full": 0.8820910995326147, "corr_portfolio": 0.3446897917774869, "corr_benchmark": 0.5013771220848262, "alpha_pos_frac": 0.5244755244755245, "fund_max_dd": -0.38240233193594975, "first": "2014-03-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.98, fxe +0.22, fxy -0.11, vweax +0.25, vnq -0.04, iwm -0.03", "ref_full": "efa +0.93, fxe +0.22, vweax +0.39, vnq -0.05, fxy -0.07, ivv -0.05" }, "fhkax": { "sym": "fhkax", "name": "Fidelity China Region Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03145721313198825, "alpha_t_5y": 0.8397824531744593, "alpha_t_full": 0.7745669783811201, "r2_5y": 0.8703579089056898, "r2_full": 0.7301030757752807, "corr_portfolio": 0.19096113445151713, "corr_benchmark": 0.3841693061760854, "alpha_pos_frac": 0.5420560747663551, "fund_max_dd": -0.5861715355086026, "first": "2008-05-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +1.42, efa -0.15, vnq -0.05, qqq +0.26, ivv -0.33, gld -0.06", "ref_full": "vwo +0.79, qqq +0.32, vnq -0.07, fxe -0.17, ivv -0.25, vweax +0.24" }, "fhmix": { "sym": "fhmix", "name": "Federated Hermes Conservative Municipal Microshort Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0034589317688614807, "alpha_t_5y": -0.8724426739436106, "alpha_t_full": -0.8724426739436106, "r2_5y": 0.1875899958471935, "r2_full": 0.1875899958471935, "corr_portfolio": 0.05644161193443383, "corr_benchmark": 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"alpha_name": false, "ref_5y": "vweax +0.87, iwm +0.06, efa +0.02", "ref_full": "vweax +0.91, iwm +0.06, efa +0.03, tlt -0.04, djp +0.02, agg +0.07" }, "fhyvx": { "sym": "fhyvx", "name": "FRANKLIN HIGH YIELD TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004130366528665656, "alpha_t_5y": -0.2640956958183903, "alpha_t_full": 0.8690907118981122, "r2_5y": 0.42886461836648593, "r2_full": 0.2870614813600668, "corr_portfolio": 0.04266392680069761, "corr_benchmark": 0.3576628770921608, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.2109145766329138, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.44, vblix +0.36, ivv -0.09, tlt -0.19, vnq +0.03", "ref_full": "vweax +0.33, ief +0.12, iwm -0.03, agg +0.09, vnq +0.01, fxy +0.03" }, "fiasx": { "sym": "fiasx", "name": "Fidelity International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006027881712038612, "alpha_t_5y": -0.3078226054644951, "alpha_t_full": 0.25239786306103335, "r2_5y": 0.8839338197640592, "r2_full": 0.8572399397277073, "corr_portfolio": 0.3993664161988218, "corr_benchmark": 0.5132370289788291, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6098551672839287, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.60, vweax +0.30, fxe +0.17, vwo +0.09, tlt -0.03", "ref_full": "efa +0.55, vweax +0.49, fxe +0.14, vwo +0.07, vnq -0.03, gld +0.03" }, "fibpx": { "sym": "fibpx", "name": "Federated Hermes International Bond Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015523336030678235, "alpha_t_5y": -0.12416590178930105, "alpha_t_full": -0.355038100452983, "r2_5y": 0.7878507377225288, "r2_full": 0.5851706607690632, "corr_portfolio": 0.11262855631457803, "corr_benchmark": 0.5284194976653248, "alpha_pos_frac": 0.555, "fund_max_dd": -0.2921969979308625, "first": "2009-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.24, agg -0.00, vweax +0.39, fxy +0.20, vea +0.06, ief +0.22", "ref_full": "fxe +0.22, vweax +0.38, fxy +0.16, agg +0.24, vwo +0.04, gld +0.02" }, "ficgx": { "sym": "ficgx", "name": "Cantor Fitzgerald Large Cap Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009008445769611139, "alpha_t_5y": 0.4111418833815136, "alpha_t_full": -0.7056173702303957, "r2_5y": 0.9218595037244424, "r2_full": 0.9311678981607373, "corr_portfolio": 0.2560173242722527, "corr_benchmark": 0.59761741437018, "alpha_pos_frac": 0.490272373540856, "fund_max_dd": -0.5418985171718194, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.79, qqq +0.15, iwm +0.10, vnq -0.04", "ref_full": "ivv +0.66, qqq +0.24, iwm +0.13, vnq -0.07" }, "ficmx": { "sym": "ficmx", "name": "Federated Hermes Government Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00211738908214854, "alpha_t_5y": -0.33635313113748094, "alpha_t_full": -1.5428257566429437, "r2_5y": 0.9481011879428812, "r2_full": 0.6767781130776596, "corr_portfolio": -0.07929210277190167, "corr_benchmark": 0.6460200673648697, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.19110482233814297, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.79, agg +0.32, vweax +0.05, qqq -0.02, tlt -0.11, vblix +0.10", "ref_full": "ief +0.52, vweax +0.13, efa +0.02, agg +0.16, tlt -0.06, vnq +0.01" }, "ficnx": { "sym": "ficnx", "name": "Fidelity Connecticut Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01410358563821163, "alpha_t_5y": -1.2747339223964858, "alpha_t_full": 0.8321665772378516, "r2_5y": 0.385482080936388, "r2_full": 0.2847753489513303, "corr_portfolio": 0.023796426796007783, "corr_benchmark": 0.34554801287970843, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.14208848140582608, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.19, vweax +0.25, ivv -0.06, vnq +0.02, tlt -0.11, vmbix +0.07", "ref_full": "agg +0.12, vweax +0.24, ief +0.07, fxy +0.04, efa -0.03, vnq +0.01" }, "fidpx": { "sym": "fidpx", "name": "Federated Hermes International Dividend Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05456351057966343, "alpha_t_5y": 1.87512979769986, "alpha_t_full": 0.8756956160254454, "r2_5y": 0.743196985612577, "r2_full": 0.7593446057727268, "corr_portfolio": 0.3663726768624107, "corr_benchmark": 0.47400422660165936, "alpha_pos_frac": 0.49624060150375937, "fund_max_dd": -0.3127474232092581, "first": "2015-02-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.67, fxe +0.41, qqq -0.16, vnq +0.14, iwm -0.08, vweax +0.19", "ref_full": "efa +0.71, qqq -0.20, vnq +0.13, fxe +0.25, iwm -0.12, ivv +0.20" }, "fidsx": { "sym": "fidsx", "name": 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-0.02" }, "figkx": { "sym": "figkx", "name": "Federated Hermes Short-Intermediate Government Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017611915169488845, "alpha_t_5y": -3.2162621360304704, "alpha_t_full": -2.08001820138645, "r2_5y": 0.8986688429555929, "r2_full": 0.6195924570770495, "corr_portfolio": -0.12543125832710775, "corr_benchmark": 0.4114183920436006, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.14623238533517602, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.56, tlt -0.26, vmbix +0.11, vblix +0.12, ivv -0.02, agg +0.19", "ref_full": "ief +0.63, tlt -0.11, vweax +0.05, fxy +0.02" }, "figrx": { "sym": "figrx", "name": "Fidelity International Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02911271447857765, "alpha_t_5y": -1.5836780614246757, "alpha_t_full": -1.15066100905891, "r2_5y": 0.9353183082320655, "r2_full": 0.9391131594358075, 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mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.58, vwo +0.06, vea +0.25, vweax +0.12", "ref_full": "efa +0.65, vweax +0.42, qqq +0.09, vnq -0.04, gld +0.03" }, "fimyx": { "sym": "fimyx", "name": "Federated Hermes Intermediate Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011798877108144442, "alpha_t_5y": -1.1976489963524835, "alpha_t_full": 0.71970852018739, "r2_5y": 0.3908903868285779, "r2_full": 0.26969341466941466, "corr_portfolio": 0.04143770092798555, "corr_benchmark": 0.3245734987179667, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.11875713502924523, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, ief +0.10, ivv -0.05, vnq +0.02", "ref_full": "vweax +0.24, ief +0.07, fxy +0.03, gsg -0.01, agg +0.07, efa -0.01" }, "fisax": { "sym": "fisax", "name": "FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND", "bucket": "all", "in_portfolio": false, 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"verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.29, qqq +0.28, vwo +0.09, ivv -0.16, vblix +0.10, vmbix -0.13", "ref_full": "ivv +0.04, iwm +0.22, qqq +0.22, vweax +0.33, vwo +0.06, vnq -0.03" }, "fisex": { "sym": "fisex", "name": "FRANKLIN EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009087141742066715, "alpha_t_5y": 0.6373544793027887, "alpha_t_full": 0.13798254976685773, "r2_5y": 0.9389867651102446, "r2_full": 0.9405750280008724, "corr_portfolio": 0.37683528230834645, "corr_benchmark": 0.5621860262838744, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.5646168310984256, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.28, qqq -0.56, iwm +0.06, vea +0.07, vnq +0.05, gsg +0.02", "ref_full": "ivv +0.96, qqq -0.26, efa +0.10, iwm +0.06, vweax +0.08, fxe -0.05" }, "fite": { "sym": "fite", "name": "State Street(R) SPDR(R) S&P Kensho Future Security 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-0.5630195257969415, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.40, ivv +1.10, qqq -0.57, vea +0.36, fxy -0.07, efa -0.24", "ref_full": "iwm +0.47, ivv +0.66, qqq -0.23, djp +0.04, vweax +0.13, efa +0.06" }, "fivlx": { "sym": "fivlx", "name": "Fidelity International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02698601928450429, "alpha_t_5y": 1.4773538733893505, "alpha_t_full": -0.14017207965889586, "r2_5y": 0.9302730705301101, "r2_full": 0.947767775385198, "corr_portfolio": 0.4537226698844224, "corr_benchmark": 0.486447790427597, "alpha_pos_frac": 0.46382978723404256, "fund_max_dd": -0.6521016810682754, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.01, qqq -0.21, gsg +0.04, tlt -0.04, ivv +0.23, vnq -0.05", "ref_full": "efa +0.94, vweax +0.22, gsg +0.04, qqq -0.10, ief -0.07, ivv +0.08" }, "fkasx": { "sym": "fkasx", "name": "Federated Hermes Kaufmann Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06627941085752535, "alpha_t_5y": -1.808583545660236, "alpha_t_full": -0.733272030021736, "r2_5y": 0.8719321762919319, "r2_full": 0.8753572222122351, "corr_portfolio": 0.12008726721656038, "corr_benchmark": 0.560808168727835, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.6020882537392077, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, qqq +0.63, ivv -0.57, vwo +0.09, djp -0.04", "ref_full": "iwm +0.71, qqq +0.47, ivv -0.34, vweax +0.21, vwo +0.06, agg +0.09" }, "fkbax": { "sym": "fkbax", "name": "FRANKLIN TOTAL RETURN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007634012790651394, "alpha_t_5y": -1.4132865298868489, "alpha_t_full": -2.2529550614428766, "r2_5y": 0.9489153009507432, "r2_full": 0.8070859749261245, "corr_portfolio": -0.021287601943781445, "corr_benchmark": 0.710055963341464, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.20163029013688039, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.13, vweax +0.07, vblix +0.39, ief +0.28, tlt -0.21, vmbix +0.15", "ref_full": "agg +0.13, vweax +0.34, ief +0.35, vwo +0.01, tlt +0.04, vnq +0.01" }, "fkcix": { "sym": "fkcix", "name": "FRANKLIN CALIFORNIA INTERMEDIATE-TERM TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015953661606933144, "alpha_t_5y": -1.7215769030510446, "alpha_t_full": 0.7443046137220333, "r2_5y": 0.4081030144031863, "r2_full": 0.2793071662058223, "corr_portfolio": 0.02355173155235927, "corr_benchmark": 0.3586772911915385, "alpha_pos_frac": 0.5300353356890459, "fund_max_dd": -0.11490272854740402, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, ief +0.12, ivv -0.04", "ref_full": "agg +0.11, vweax 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0.1931121147672275, "corr_benchmark": 0.6338445522583172, "alpha_pos_frac": 0.5148936170212766, "fund_max_dd": -0.5107061010369804, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.61, qqq +0.32, vnq +0.05, gsg -0.02, vweax +0.09, iwm +0.03", "ref_full": "ivv +0.64, qqq +0.26, iwm +0.07, vweax +0.10, vnq -0.03, gsg -0.02" }, "fkinx": { "sym": "fkinx", "name": "FRANKLIN INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012935366311048718, "alpha_t_5y": 0.80826724467572, "alpha_t_full": -0.11258489343511427, "r2_5y": 0.7694262690809609, "r2_full": 0.7927257843088992, "corr_portfolio": 0.37506785017261673, "corr_benchmark": 0.550255248797732, "alpha_pos_frac": 0.47692307692307695, "fund_max_dd": -0.4294949517970694, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.64, qqq -0.33, vmbix +0.25, vweax +0.27, efa +0.08, gsg +0.03", "ref_full": "ivv +0.47, vweax +0.51, qqq -0.19, efa +0.09, agg +0.14, gsg +0.03" }, "fkitx": { "sym": "fkitx", "name": "FRANKLIN FEDERAL INTERMEDIATE-TERM TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012201349963839852, "alpha_t_5y": -1.2070935155660796, "alpha_t_full": 0.7233513650286439, "r2_5y": 0.43013558845359523, "r2_full": 0.2815697706798057, "corr_portfolio": 0.02674321420755038, "corr_benchmark": 0.35969213995216764, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.12762616698637042, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.23, vweax +0.25, ivv -0.05, tlt -0.15, ief +0.08, vnq +0.02", "ref_full": "agg +0.11, vweax +0.20, ief +0.07, efa -0.02, fxy +0.03, vnq +0.01" }, "fklax": { "sym": "fklax", "name": "FRANKLIN LOUISIANA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01617974604972608, "alpha_t_5y": -1.1571381012968103, "alpha_t_full": 0.1328247628634225, "r2_5y": 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+0.32, ief +0.11, ivv -0.05, vnq +0.02", "ref_full": "agg +0.11, vweax +0.21, ief +0.07, efa -0.03, fxy +0.03, vnq +0.01" }, "fkrcx": { "sym": "fkrcx", "name": "FRANKLIN GOLD & PRECIOUS METALS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022959213474164786, "alpha_t_5y": -0.3138993297272366, "alpha_t_full": -0.827452263442145, "r2_5y": 0.7387942743788581, "r2_full": 0.6837705144118758, "corr_portfolio": 0.08327335667154538, "corr_benchmark": 0.35239425561062854, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.7884796053465501, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.15, vea +1.79, efa -1.07, djp +0.09", "ref_full": "gld +1.23, vwo +0.28, efa +0.26, djp +0.12, fxy +0.14, vweax +0.24" }, "fkstx": { "sym": "fkstx", "name": "Nuveen Kansas Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011423193553926183, "alpha_t_5y": -0.9383676793791881, "alpha_t_full": 0.9826737520134214, "r2_5y": 0.363583699783642, "r2_full": 0.25225587030396435, "corr_portfolio": 0.04525520716702755, "corr_benchmark": 0.3339600389971773, "alpha_pos_frac": 0.5229681978798587, "fund_max_dd": -0.1455371103282962, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.13, ivv -0.05", "ref_full": "vweax +0.25, ief +0.13, fxy +0.03, gsg -0.01, vnq +0.01, iwm -0.02" }, "fktfx": { "sym": "fktfx", "name": "FRANKLIN CALIFORNIA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013696711253311154, "alpha_t_5y": -0.9689997334911498, "alpha_t_full": 0.8539244737547971, "r2_5y": 0.40233985844662834, "r2_full": 0.25181253539960835, "corr_portfolio": 0.022989600764578136, "corr_benchmark": 0.364282279105939, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.2171537400669863, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, vblix +0.30, ivv -0.14, tlt -0.16, vnq +0.03, qqq +0.04", "ref_full": "agg +0.16, vweax +0.27, ief +0.08, gsg -0.01, fxy +0.04, efa -0.01" }, "fktix": { "sym": "fktix", "name": "FRANKLIN FEDERAL TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011538189992930908, "alpha_t_5y": -0.7915362780342164, "alpha_t_full": 0.7275531327469174, "r2_5y": 0.40140475571012024, "r2_full": 0.25465537833216756, "corr_portfolio": 0.013271103082671484, "corr_benchmark": 0.3546875894824156, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.1707370382231851, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, vblix +0.31, ivv -0.14, vnq +0.04, tlt -0.17, qqq +0.04", "ref_full": "agg +0.14, vweax +0.24, ief +0.08, gsg -0.01, fxy +0.03, efa -0.01" }, "fkusx": { "sym": "fkusx", "name": "FRANKLIN U.S. GOVERNMENT SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006785997268036411, "alpha_t_5y": -0.9961822673219403, "alpha_t_full": -0.9431431168574008, "r2_5y": 0.9186198967957627, "r2_full": 0.6298489140532839, "corr_portfolio": -0.09173085737296217, "corr_benchmark": 0.628828154150103, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.2295751560403131, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.76, agg +0.14", "ref_full": "ief +0.45, efa +0.01, agg +0.16, tlt -0.05, iwm +0.02, vweax +0.04" }, "fkutx": { "sym": "fkutx", "name": "FRANKLIN UTILITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028033398374565022, "alpha_t_5y": 0.5799968677209126, "alpha_t_full": 0.8459710855042532, "r2_5y": 0.5160313383292439, "r2_full": 0.5631579453899052, "corr_portfolio": 0.24849461315670016, "corr_benchmark": 0.47489143178392096, "alpha_pos_frac": 0.5372549019607843, "fund_max_dd": -0.43104975323324346, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.46, gld +0.08, iwm -0.17, ivv +1.01, qqq -0.56, ief +0.19", "ref_full": "ivv +1.14, qqq -0.45, agg +0.43, vnq +0.14, iwm -0.17, gld +0.06" }, "fkytx": { "sym": "fkytx", "name": "Nuveen Kentucky Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016745790195132525, "alpha_t_5y": -1.1341536373065453, "alpha_t_full": 0.2095965536848936, "r2_5y": 0.3653919762667496, "r2_full": 0.2640188412525114, "corr_portfolio": 0.028148757960405855, "corr_benchmark": 0.33703656794937964, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.15217626616910584, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.29, vweax +0.30, ivv -0.08, vnq +0.03, tlt -0.18, vmbix +0.11", "ref_full": "vweax +0.28, ief +0.14, efa -0.02, vnq +0.01, fxy +0.03, gsg -0.01" }, "flaax": { "sym": "flaax", "name": "Nuveen All-American Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024550101994070827, "alpha_t_5y": -1.6864002441183639, "alpha_t_full": 0.45781628335315455, "r2_5y": 0.38810813399586797, "r2_full": 0.0979532570983056, "corr_portfolio": 0.047378915544202524, "corr_benchmark": 0.33901428720498755, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.2098899215148109, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.51, vblix +0.09, ivv -0.06", "ref_full": "vweax +0.31, ief +0.17, gsg -0.01" }, "fldax": { "sym": "fldax", "name": "FRANKLIN LOW DURATION TOTAL RETURN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00369228491589174, "alpha_t_5y": -0.7008737285574232, "alpha_t_full": 0.017835044044637757, "r2_5y": 0.6471652891994197, "r2_full": 0.4394296405836672, "corr_portfolio": 0.09648299329217484, "corr_benchmark": 0.3139301661826249, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.12836424864651963, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.02, vweax +0.09, ief +0.26, tlt -0.25, vblix +0.24, ivv -0.01", "ref_full": "vweax +0.22, ief +0.22, tlt -0.06, fxe +0.01" }, "flerx": { "sym": "flerx", "name": "Franklin LifeSmart 2030 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007225949007726391, "alpha_t_5y": -0.8107278236558706, "alpha_t_full": -0.1674342575953301, "r2_5y": 0.9626147957243254, "r2_full": 0.6465332811647857, "corr_portfolio": 0.2547448057012771, "corr_benchmark": 0.5902522142071095, "alpha_pos_frac": 0.5673758865248227, "fund_max_dd": -0.2538294414496378, "first": "2014-05-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vea +0.16, agg +0.27, vwo +0.06, iwm +0.01", "ref_full": "ivv +0.37, vea +0.20, tlt +0.50, vnq -0.09, vweax +0.46, vblix -0.51" }, "fljsx": { "sym": "fljsx", "name": "Franklin LifeSmart 2060 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010483861155157509, "alpha_t_5y": -0.9144422040379215, "alpha_t_full": -0.9144422040379215, "r2_5y": 0.9672345178733819, "r2_full": 0.9672345178733819, "corr_portfolio": 0.14943359245391985, "corr_benchmark": 0.6709969068408418, "alpha_pos_frac": 0.5409836065573771, "fund_max_dd": -0.2499153478268329, "first": "2021-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, vea +0.24, vwo +0.09, vnq -0.02, iwm +0.03", "ref_full": "ivv +0.60, vea +0.24, vwo +0.09, vnq -0.02, iwm +0.03" }, "flncx": { "sym": "flncx", "name": "Nuveen North Carolina Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021058766784275613, "alpha_t_5y": -1.5264746210805633, "alpha_t_full": 0.1372260700479042, "r2_5y": 0.38782145144840885, "r2_full": 0.23831945705411695, "corr_portfolio": 0.028965735782885728, "corr_benchmark": 0.35234945289145464, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.17714811313244938, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.23, vweax +0.33, ivv -0.07, vnq +0.02, tlt -0.14, ief +0.09", "ref_full": "vweax +0.28, ief +0.16, fxy +0.04, gsg -0.01, vnq +0.01, efa -0.02" }, "flpsx": { "sym": "flpsx", "name": "Fidelity Low-Priced Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01415318668920659, "alpha_t_5y": 0.7990759450762098, "alpha_t_full": 1.9209663974908189, "r2_5y": 0.9201952206256334, "r2_full": 0.938049775534367, "corr_portfolio": 0.4301521797881466, "corr_benchmark": 0.5339420332127395, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5480573470118593, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.30, efa +0.03, gsg +0.04, qqq -0.42, ivv +0.72, vea +0.24", "ref_full": "ivv +0.41, iwm +0.31, efa +0.21, qqq -0.15, vweax +0.17, djp +0.04" }, "flrex": { "sym": "flrex", "name": "Franklin LifeSmart 2040 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009871002193001494, "alpha_t_5y": -0.9671625328748399, "alpha_t_full": 0.2684468658838803, "r2_5y": 0.9665424848434181, "r2_full": 0.6413230510932384, "corr_portfolio": 0.2674140587662955, "corr_benchmark": 0.5649891212465954, "alpha_pos_frac": 0.5886524822695035, "fund_max_dd": -0.29901954014376364, "first": "2014-05-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.54, vea +0.20, vwo +0.08, ief +0.10", "ref_full": "ivv +0.20, vea +0.24, qqq +0.12, tlt +0.11, iwm +0.11, vnq -0.08" }, "flrn": { "sym": "flrn", "name": "State Street(R) SPDR(R) Bloomberg Investment Grade Floating Rate ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002615973782030513, "alpha_t_5y": 0.4152236349892942, "alpha_t_full": 0.2613927287843034, "r2_5y": 0.1428867367269676, "r2_full": 0.20747959032814234, "corr_portfolio": 0.15087752136975396, "corr_benchmark": 0.30202451621541776, "alpha_pos_frac": 0.49122807017543857, "fund_max_dd": -0.146437038498485, "first": "2011-12-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.02, ief -0.10, vblix +0.05, efa +0.02", "ref_full": "vea +0.01, agg +1.00, ief -0.50, vmbix -0.31, vweax +0.06" }, "fltdx": { "sym": "fltdx", "name": "Nuveen Limited Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013830468149803583, "alpha_t_5y": -1.9197000125790082, "alpha_t_full": 0.861561652563193, "r2_5y": 0.36718480608352144, "r2_full": 0.2362192434008653, "corr_portfolio": 0.060791547953353404, "corr_benchmark": 0.32101129462943345, "alpha_pos_frac": 0.5175097276264592, "fund_max_dd": -0.08566377313230544, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, ief +0.07, ivv -0.04, vnq +0.01", "ref_full": "vweax +0.15, ief +0.05, fxy +0.02, vnq +0.01, iwm -0.01, agg +0.03" }, "fltfx": { "sym": "fltfx", "name": "Franklin LifeSmart 2055 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012270732900436175, "alpha_t_5y": -1.032852571678189, "alpha_t_full": 0.2510601496042657, "r2_5y": 0.9651047979367041, "r2_full": 0.6365703579119937, "corr_portfolio": 0.2611843841923876, "corr_benchmark": 0.5603630244225022, "alpha_pos_frac": 0.4846153846153846, "fund_max_dd": -0.31454228316706956, "first": "2015-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, vea +0.23, vwo +0.09", "ref_full": "ivv +0.20, vea +0.26, qqq +0.15, iwm +0.13, tlt +0.11, vnq -0.10" }, "fltmx": { "sym": "fltmx", "name": "Fidelity Intermediate Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013216031803390779, "alpha_t_5y": -1.377405694293796, "alpha_t_full": 1.111842911337438, "r2_5y": 0.3713816310576248, "r2_full": 0.2908470438736932, "corr_portfolio": 0.04456910784556028, "corr_benchmark": 0.3378424551747977, "alpha_pos_frac": 0.5300353356890459, "fund_max_dd": -0.1297451360200933, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, ief +0.11, ivv -0.04", "ref_full": "vweax +0.21, ief +0.05, fxy +0.03, agg +0.09, efa -0.02, vnq +0.01" }, "fltr": { "sym": "fltr", "name": "VanEck IG Floating Rate ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004234660671757121, "alpha_t_5y": 0.526177060508895, "alpha_t_full": 0.4486756430159039, "r2_5y": 0.14546859783879784, "r2_full": 0.31214454416599335, "corr_portfolio": 0.145253641889904, "corr_benchmark": 0.272160803939042, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.1783716241542872, "first": "2011-04-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.05, ief -0.11, vblix +0.05, efa +0.02, qqq -0.02", "ref_full": "ivv -0.00, agg +1.22, ief -0.64, vmbix -0.36, vweax +0.09, fxe -0.03" }, "flvcx": { "sym": "flvcx", "name": "Fidelity Leveraged Company Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009094240216845814, "alpha_t_5y": -0.2785065391145005, "alpha_t_full": -0.6542193123629784, "r2_5y": 0.8887872317270546, "r2_full": 0.8987020776943019, "corr_portfolio": 0.25392523031296393, "corr_benchmark": 0.5763282808736145, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.7002471338952535, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.58, iwm +0.34, vnq -0.17, qqq +0.24, vea +1.06, efa -0.94", "ref_full": "ivv +0.56, iwm +0.37, djp +0.13, qqq +0.15, vwo +0.11, vnq -0.07" }, "fmagx": { "sym": "fmagx", "name": "Fidelity Magellan Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04006738357801621, "alpha_t_5y": -1.8580810423915164, "alpha_t_full": -2.798651986838967, "r2_5y": 0.9342076397016162, "r2_full": 0.9497726984211065, "corr_portfolio": 0.18824281846246044, "corr_benchmark": 0.6149847669645675, "alpha_pos_frac": 0.5603448275862069, "fund_max_dd": -0.6162321507850019, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.42, ivv +0.66, djp -0.03, iwm -0.04", "ref_full": "ivv +0.64, qqq +0.34, vwo +0.05, gld +0.03, gsg +0.02, vnq +0.02" }, "fmbpx": { "sym": "fmbpx", "name": "Federated Hermes Mortgage Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0049659891887563505, "alpha_t_5y": 0.7215794829994749, "alpha_t_full": -3.3898161830932985, "r2_5y": 0.9365334076123547, "r2_full": 0.8869265332773475, "corr_portfolio": -0.08957037751888076, "corr_benchmark": 0.6389782859386306, "alpha_pos_frac": 0.6666666666666666, "fund_max_dd": -0.17247800417003623, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.79, ief +0.21, vweax +0.15, ivv -0.02, gsg -0.01, tlt -0.02", "ref_full": "vmbix +0.87, vweax +0.08, ief +0.11, qqq 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djp -0.04, iwm +0.04, vweax +0.13", "ref_full": "efa +0.74, vweax +0.28, iwm +0.07, qqq -0.17, ivv +0.23, gsg -0.03" }, "fmihx": { "sym": "fmihx", "name": "Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022741858176991363, "alpha_t_5y": -0.8716305978032889, "alpha_t_full": 1.056283560750548, "r2_5y": 0.8486899838752654, "r2_full": 0.881094463080537, "corr_portfolio": 0.33790912839241377, "corr_benchmark": 0.5319287208116809, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.4779381424818364, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.22, qqq -0.54, iwm +0.17, efa +0.58, djp -0.06, vea -0.44", "ref_full": "ivv +0.88, qqq -0.26, iwm +0.14, efa +0.11, gsg -0.03, gld -0.03" }, "fmijx": { "sym": "fmijx", "name": "International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02779198999267627, "alpha_t_5y": -1.1074540932892738, "alpha_t_full": -0.20521298633042437, "r2_5y": 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false, "ref_5y": "vweax +0.42, ief +0.14, ivv -0.13, vnq +0.04, qqq +0.04", "ref_full": "agg +0.15, vweax +0.25, ief +0.08, efa -0.03, fxy +0.04, vnq +0.01" }, "fmitx": { "sym": "fmitx", "name": "Nuveen Michigan Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021912542351669385, "alpha_t_5y": -1.6391886285005624, "alpha_t_full": 0.2804567442069924, "r2_5y": 0.3773516525233451, "r2_full": 0.26199285295091623, "corr_portfolio": 0.026617862478606993, "corr_benchmark": 0.3551748159205123, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.15476961987606708, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.14, ivv -0.12, vnq +0.03, qqq +0.04", "ref_full": "vweax +0.28, ief +0.15, fxy +0.04, efa -0.03, vnq +0.01" }, "fmndx": { "sym": "fmndx", "name": "Fidelity Conservative Income Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010384605865569316, "alpha_t_5y": 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false, "ref_5y": "ivv +0.69, efa +1.03, vea -0.93, agg +0.21, vwo +0.09, iwm -0.07", "ref_full": "ivv +0.39, efa +0.86, vea -0.67, qqq +0.20, vnq +0.10, iwm -0.10" }, "fmtzx": { "sym": "fmtzx", "name": "FRANKLIN MODERATE ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008372024572715814, "alpha_t_5y": -1.0022490020640298, "alpha_t_full": -0.6928573696052007, "r2_5y": 0.9644829646375311, "r2_full": 0.834443782061121, "corr_portfolio": 0.2693530060667577, "corr_benchmark": 0.6580484465144768, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.34714778755581555, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, agg +0.31, vea +0.12, vwo +0.03, iwm +0.02, vnq -0.01", "ref_full": "ivv +0.12, efa +0.14, ief +0.14, vweax +0.21, qqq +0.12, iwm +0.07" }, "fmuax": { "sym": "fmuax", "name": "Federated Hermes Muni and Stock Advantage Fund", "bucket": "all", "in_portfolio": false, 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qqq +0.05, djp +0.02" }, "focpx": { "sym": "focpx", "name": "Fidelity OTC Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011325406691543333, "alpha_t_5y": 0.5680884588868753, "alpha_t_full": 0.835096972121016, "r2_5y": 0.9569669297521862, "r2_full": 0.9493428249330877, "corr_portfolio": 0.13344952105134059, "corr_benchmark": 0.5905223847972457, "alpha_pos_frac": 0.4940239043824701, "fund_max_dd": -0.7024894538929924, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.85, vwo +0.08, vnq -0.08, ivv +0.17", "ref_full": "qqq +0.86, iwm +0.14, vwo +0.04, gsg +0.02" }, "fohtx": { "sym": "fohtx", "name": "Nuveen Ohio Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017526308314634996, "alpha_t_5y": -1.4109307919985137, "alpha_t_full": 0.5389043923662906, "r2_5y": 0.39267869290512547, "r2_full": 0.26279329304006527, "corr_portfolio": 0.038222900934000284, 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gsg -0.01, vnq +0.02, efa -0.02" }, "fqchx": { "sym": "fqchx", "name": "Franklin Templeton SMACS: Series CH", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003976447836503284, "alpha_t_5y": -0.22625236921438818, "alpha_t_full": -0.3358252534079458, "r2_5y": 0.39852817247204053, "r2_full": 0.3873940319030569, "corr_portfolio": 0.059486636779894575, "corr_benchmark": 0.33146974610952645, "alpha_pos_frac": 0.5679012345679012, "fund_max_dd": -0.21040929058316304, "first": "2019-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.48, vblix +0.37, ivv -0.09, tlt -0.21, vnq +0.03", "ref_full": "vweax +0.41, vblix +0.36, iwm -0.07, tlt -0.27, agg +0.23, vnq +0.04" }, "fqtex": { "sym": "fqtex", "name": "Franklin Templeton SMACS: Series E", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023329486258415206, "alpha_t_5y": 1.230024082406109, "alpha_t_full": 1.123363468731747, "r2_5y": 0.8781104636725579, "r2_full": 0.8320127130347075, 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"alpha_t_full": 0.04330308939929363, "r2_5y": 0.3820140507340115, "r2_full": 0.25904803857012726, "corr_portfolio": 0.02122564764361773, "corr_benchmark": 0.3299739911129245, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.16339148388571, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, vblix +0.32, ivv -0.15, tlt -0.18, vnq +0.04, qqq +0.05", "ref_full": "agg +0.11, vweax +0.27, ief +0.09, iwm -0.01, fxy +0.03, gsg -0.01" }, "frnjx": { "sym": "frnjx", "name": "FRANKLIN NEW JERSEY TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01437462965534876, "alpha_t_5y": -1.1116287246614842, "alpha_t_full": 0.07778081239595734, "r2_5y": 0.40682922578384106, "r2_full": 0.2662360964940731, "corr_portfolio": 0.03789976619329536, "corr_benchmark": 0.3537552320545036, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.15520804434634627, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, vblix +0.28, ivv -0.12, tlt -0.15, vnq +0.04, qqq +0.04", "ref_full": "agg +0.14, vweax +0.27, ief +0.07, efa -0.03, fxy +0.03, vnq +0.01" }, "frorx": { "sym": "frorx", "name": "FRANKLIN OREGON TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01747292438947478, "alpha_t_5y": -1.2956978222685405, "alpha_t_full": 0.2075576769621905, "r2_5y": 0.39103035830472, "r2_full": 0.2616925775315968, "corr_portfolio": 0.02727136816522233, "corr_benchmark": 0.3471248859843644, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1528057586340269, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, vblix +0.31, ivv -0.13, tlt -0.17, vnq +0.04, qqq +0.04", "ref_full": "agg +0.11, vweax +0.25, ief +0.09, efa -0.02, fxy +0.03, vnq +0.01" }, "frpax": { "sym": "frpax", "name": "FRANKLIN PENNSYLVANIA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016823982680151634, "alpha_t_5y": -1.135767917908753, "alpha_t_full": 0.10355453210280352, "r2_5y": 0.38288808675115127, "r2_full": 0.2650525644859292, "corr_portfolio": 0.009625748087209618, "corr_benchmark": 0.3471525728666763, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.1703481629807806, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.31, vweax +0.34, ivv -0.08, tlt -0.16, vnq +0.03", "ref_full": "agg +0.11, vweax +0.26, ief +0.11, iwm -0.01, gsg -0.01, fxy +0.02" }, "frsgx": { "sym": "frsgx", "name": "FRANKLIN SMALL-MID CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0907531475635673, "alpha_t_5y": -2.570391270789141, "alpha_t_full": -2.2447516664885074, "r2_5y": 0.8603781773556523, "r2_full": 0.9036328666677487, "corr_portfolio": 0.12386082761189199, "corr_benchmark": 0.5999009829500813, "alpha_pos_frac": 0.5447470817120622, "fund_max_dd": -0.6907255971033097, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.69, iwm +0.40, vnq +0.12, ivv -0.24", "ref_full": "ivv +0.14, iwm +0.38, qqq +0.43, vwo +0.04, vweax +0.11" }, "frstx": { "sym": "frstx", "name": "FRANKLIN CORE PLUS BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003685424991096124, "alpha_t_5y": -0.5103612566344744, "alpha_t_full": -0.4560832022074398, "r2_5y": 0.8147977305032501, "r2_full": 0.661164621722434, "corr_portfolio": 0.17129477054094516, "corr_benchmark": 0.593169052926885, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.19086457510209887, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.19, vweax +0.25, vea +0.05, qqq -0.02, vmbix +0.17, vblix +0.05", "ref_full": "vweax +0.45, agg +0.11, vwo +0.02, ief +0.13, fxe +0.02, efa +0.01" }, "frtsx": { "sym": "frtsx", "name": "Franklin LifeSmart 2020 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005165850337849297, "alpha_t_5y": -0.5953634235062462, "alpha_t_full": -0.2786573306331854, "r2_5y": 0.9450347602990571, "r2_full": 0.6592215964277875, "corr_portfolio": 0.24296520751700718, "corr_benchmark": 0.6450148811613365, "alpha_pos_frac": 0.5815602836879432, "fund_max_dd": -0.19695763915405173, "first": "2014-05-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.31, agg +0.34, vea +0.13, vwo +0.03, vmbix +0.09", "ref_full": "ivv +0.22, ief +0.32, vea +0.14, vnq -0.08, vweax +0.20, iwm +0.07" }, "frvax": { "sym": "frvax", "name": "FRANKLIN VIRGINIA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018892806408348266, "alpha_t_5y": -1.3644520920708687, "alpha_t_full": -0.23797694583841292, "r2_5y": 0.39364466992980585, "r2_full": 0.26199895149380636, "corr_portfolio": 0.01715915792224081, "corr_benchmark": 0.3543617784518996, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.16446656916501567, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.34, ivv -0.14, vnq +0.04, qqq +0.05, tlt -0.12", "ref_full": "agg +0.12, vweax +0.26, ief +0.09, iwm -0.01, fxy +0.03, gsg -0.01" }, "frvlx": { "sym": "frvlx", "name": "FRANKLIN SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018004818854341995, "alpha_t_5y": 0.6328179848146088, "alpha_t_full": 1.0148243266419064, "r2_5y": 0.8996340312573387, "r2_full": 0.9225576190449638, "corr_portfolio": 0.36177010923479935, "corr_benchmark": 0.4811910223515999, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6027390318934945, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, qqq -0.53, ivv +0.70, vea +0.15, ief -0.12, gld -0.04", "ref_full": "iwm +0.81, efa +0.07, qqq -0.29, ivv +0.39, tlt -0.05, djp +0.03" }, "fsamx": { "sym": "fsamx", "name": "Strategic Advisers Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004008657340945081, "alpha_t_5y": 0.1398431960333783, "alpha_t_full": -0.45158095609592946, "r2_5y": 0.8620142725514865, "r2_full": 0.7378041585646602, "corr_portfolio": 0.27295007160391915, "corr_benchmark": 0.46399286589155186, "alpha_pos_frac": 0.5027027027027027, "fund_max_dd": -0.408692639472626, "first": "2010-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.79, qqq +0.06, vnq -0.08, vea +1.32, efa -1.19, djp -0.03", "ref_full": "vwo +0.66, vweax +0.37, qqq +0.11, vnq -0.06" }, "fsazx": { "sym": "fsazx", "name": "Fidelity Arizona Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014907420185349081, "alpha_t_5y": -1.3269553472199387, "alpha_t_full": 0.86126904705831, "r2_5y": 0.3951720217884802, "r2_full": 0.28549245206862994, "corr_portfolio": 0.022907380352472844, "corr_benchmark": 0.3432448451891157, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.13514483502395325, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.24, vweax +0.27, ivv -0.12, tlt -0.12, vnq +0.03, qqq +0.04", "ref_full": "agg +0.11, vweax +0.26, ief +0.08, iwm -0.01, fxy +0.03, gsg -0.01" }, "fscdx": { "sym": "fscdx", "name": "Fidelity Advisor Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01729282723092868, "alpha_t_5y": 0.8421932311644301, "alpha_t_full": 0.0653167415106184, "r2_5y": 0.9489530980230554, "r2_full": 0.8874071376721215, "corr_portfolio": 0.2721055399898308, "corr_benchmark": 0.5423305175718263, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.4989274411868425, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.79, ivv +0.15, vea +0.07, gld -0.03", "ref_full": "iwm +0.71, vnq -0.12, ivv +0.20, vweax +0.23, fxy +0.06, efa +0.04" }, "fsgrx": { "sym": "fsgrx", "name": "FRANKLIN SMALL CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04647473549393058, "alpha_t_5y": -1.5579091156529168, "alpha_t_full": -0.8280369780999663, "r2_5y": 0.9143057202817275, "r2_full": 0.9271264137534773, "corr_portfolio": 0.16242631954178588, "corr_benchmark": 0.5500691717161271, "alpha_pos_frac": 0.49411764705882355, "fund_max_dd": -0.5974876306071866, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.87, qqq +0.44, ivv -0.34, gld -0.04, vweax +0.15", "ref_full": "iwm +0.85, qqq +0.32, vnq -0.04, ivv -0.15, vweax +0.10" }, "fshix": { "sym": "fshix", "name": "Federated Hermes Short-Intermediate Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012442656972453217, "alpha_t_5y": -2.171533965665826, "alpha_t_full": 0.14641410627846113, "r2_5y": 0.34643434020865305, "r2_full": 0.24068415489668404, 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+0.19, gld -0.07, fxy -0.12" }, "fsoax": { "sym": "fsoax", "name": "Fidelity Advisor Value Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03279655306838777, "alpha_t_5y": 1.1141823735196197, "alpha_t_full": 0.7082864228906677, "r2_5y": 0.8782128004146204, "r2_full": 0.9358632838775289, "corr_portfolio": 0.38433603057043403, "corr_benchmark": 0.5302547988136777, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.7002277987270853, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.54, efa +0.16, vnq +0.17, ief -0.21, gsg +0.06, ivv +0.13", "ref_full": "iwm +0.48, ivv +0.67, qqq -0.27, vnq +0.08, djp +0.07, efa +0.10" }, "fspcx": { "sym": "fspcx", "name": "Insurance Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.046645956808386395, "alpha_t_5y": 1.0182689531037006, "alpha_t_full": 1.5681181456039537, "r2_5y": 0.6227536868037192, "r2_full": 0.7858818714018694, 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-0.95, ivv +1.33, gld -0.18" }, "fstbx": { "sym": "fstbx", "name": "Federated Hermes Global Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017121476561988282, "alpha_t_5y": -1.9956506188685512, "alpha_t_full": -2.302550047637646, "r2_5y": 0.9624534854546588, "r2_full": 0.9361372717785064, "corr_portfolio": 0.3359353016434706, "corr_benchmark": 0.6640146975002685, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.37350965507884193, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.29, vea +0.19, ief +0.18, iwm +0.06, vwo +0.07, vweax +0.07", "ref_full": "ivv +0.33, efa +0.18, iwm +0.09, ief +0.10, vweax +0.14, gld +0.03" }, "fstkx": { "sym": "fstkx", "name": "Federated Hermes MDT Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04379161575687758, "alpha_t_5y": 2.416387166376078, "alpha_t_full": 2.119282425774248, "r2_5y": 0.9227061956707253, "r2_full": 0.9381253052427604, "corr_portfolio": 0.38752070665304267, "corr_benchmark": 0.5364893582343886, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.532118648701316, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.24, qqq -0.56, iwm +0.18, vea +0.08, vnq +0.04, gsg +0.02", "ref_full": "ivv +1.10, qqq -0.39, iwm +0.20, efa +0.06, tlt -0.04, vnq -0.02" }, "fsvlx": { "sym": "fsvlx", "name": "Fintech Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0851524537069291, "alpha_t_5y": -1.5664483962270825, "alpha_t_full": -1.8515192452915692, "r2_5y": 0.7270071775430751, "r2_full": 0.7506713371575178, "corr_portfolio": 0.26358596306519483, "corr_benchmark": 0.5148710290591477, "alpha_pos_frac": 0.5686274509803921, "fund_max_dd": -0.8384446035540318, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.19, iwm +0.33, qqq -0.30, gld -0.09, vweax +0.33", "ref_full": "iwm +0.46, ivv +0.98, qqq -0.38, vnq +0.12, gld -0.09, gsg -0.07" }, "ftazx": { "sym": "ftazx", "name": "FRANKLIN ARIZONA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015346472313949826, "alpha_t_5y": -1.1392306567600443, "alpha_t_full": 0.3418713028863759, "r2_5y": 0.3809938284771206, "r2_full": 0.2635959811324151, "corr_portfolio": 0.03161666841450128, "corr_benchmark": 0.3448503352254402, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1526453638015024, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.31, vweax +0.29, ivv -0.07, tlt -0.17, vnq +0.03", "ref_full": "agg +0.14, vweax +0.27, ief +0.07, efa -0.02, fxy +0.03, gsg -0.01" }, "ftbfx": { "sym": "ftbfx", "name": "Fidelity Total Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009827057134188207, "alpha_t_5y": 0.22693122904464116, "alpha_t_full": 0.743174080570912, "r2_5y": 0.9647802748111112, "r2_full": 0.7790469533412199, "corr_portfolio": -0.029365959342688035, "corr_benchmark": 0.7280827065896481, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.17607808965489224, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.01, vweax +0.16, vblix +0.31, ief +0.30, tlt -0.13, vmbix +0.13", "ref_full": "ief +0.33, vweax +0.31, agg +0.13, tlt +0.04, vnq +0.01, fxe +0.01" }, "ftcex": { "sym": "ftcex", "name": "Fidelity Total International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013667805454180918, "alpha_t_5y": -1.1013417046265708, "alpha_t_full": -1.9818571449222708, "r2_5y": 0.9674546007738082, "r2_full": 0.9622432856710008, "corr_portfolio": 0.3672585313567008, "corr_benchmark": 0.5540901940726115, "alpha_pos_frac": 0.5727272727272728, "fund_max_dd": -0.6238739403000115, "first": "2007-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.71, vwo +0.26, fxy -0.05, qqq +0.03, vnq -0.03, vweax +0.09", "ref_full": "vea +0.40, vwo +0.17, vweax +0.24, efa +0.26, qqq +0.05, gld +0.03" }, "ftcox": { "sym": "ftcox", "name": "FRANKLIN COREFOLIO ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04026943315621924, "alpha_t_5y": -3.513452602641438, "alpha_t_full": -1.0740928679015769, "r2_5y": 0.9737457693097606, "r2_full": 0.8821782320068228, "corr_portfolio": 0.2500957047432057, "corr_benchmark": 0.5916306697965633, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5424774005243002, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, vea -0.04, iwm +0.10, qqq +0.08, efa +0.17, vweax +0.09", "ref_full": "ivv +0.37, efa +0.20, qqq +0.15, iwm +0.14, vnq -0.04, vweax +0.13" }, "ftczx": { "sym": "ftczx", "name": "FRANKLIN CONSERVATIVE ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009454213540651278, "alpha_t_5y": -1.3466144734571164, "alpha_t_full": -1.2547134331893672, "r2_5y": 0.9567417344323352, "r2_full": 0.818942399159625, "corr_portfolio": 0.24777174545202987, "corr_benchmark": 0.7099145247822851, "alpha_pos_frac": 0.57847533632287, "fund_max_dd": -0.2629795119396787, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.31, agg +0.28, vea +0.09, vwo +0.03, vweax +0.06, ief +0.14", "ref_full": "ivv +0.08, ief +0.19, efa +0.12, vweax +0.19, qqq +0.08, iwm +0.06" }, "ftfmx": { "sym": "ftfmx", "name": "Fidelity New York Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011984484758110158, "alpha_t_5y": -0.874139942746777, "alpha_t_full": 0.6530683924941246, "r2_5y": 0.38849597119045465, "r2_full": 0.2866317256801527, "corr_portfolio": 0.019806408170131743, "corr_benchmark": 0.35290859016383225, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1943956098398617, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.32, ivv -0.07, vnq +0.03, tlt -0.13", "ref_full": "agg +0.15, vweax +0.28, ief +0.07, efa -0.03, fxy +0.04, vnq +0.01" }, "ftgax": { "sym": "ftgax", "name": "FRANKLIN GEORGIA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015523029709634751, "alpha_t_5y": -1.0663183658778697, "alpha_t_full": 0.06350917924923312, "r2_5y": 0.3991979656277639, "r2_full": 0.2704102509101224, "corr_portfolio": 0.018390127439754576, "corr_benchmark": 0.3593082447302564, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16447053047446725, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.36, ivv -0.14, vnq +0.04, tlt -0.13, qqq +0.04", "ref_full": "agg +0.13, vweax +0.28, ief +0.09, efa -0.01, fxy +0.03, gsg -0.01" }, "ftgsx": { "sym": "ftgsx", "name": "Federated Hermes Total Return Government Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0093289104576406, "alpha_t_5y": -1.8819776835479043, "alpha_t_full": -1.8026332584571934, "r2_5y": 0.9579563556811357, "r2_full": 0.8913153073142549, "corr_portfolio": -0.16596085921787743, "corr_benchmark": 0.6382446621312179, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.20526447832468653, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.43, vmbix +0.24, vblix +0.21, tlt -0.11, ivv -0.02, vweax +0.04", "ref_full": "ief +0.49, vweax +0.08, tlt +0.04, agg +0.06, fxe +0.02, gsg -0.00" }, "ftiax": { "sym": "ftiax", "name": "Federated Hermes Short-Term Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00036800600837686966, "alpha_t_5y": -0.07063405468625951, "alpha_t_full": 0.18415110709201357, "r2_5y": 0.6347880075025557, "r2_full": 0.49337530936780893, "corr_portfolio": -0.033250572639175864, "corr_benchmark": 0.40672993756969905, "alpha_pos_frac": 0.3930635838150289, "fund_max_dd": -0.05343091160125346, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.29, tlt -0.22, vblix +0.19, ivv -0.02, vweax +0.06", "ref_full": "ief +0.20, vweax +0.12, tlt -0.05, ivv -0.01, agg +0.05, fxy +0.01" }, "ftlax": { "sym": "ftlax", "name": "Nuveen Louisiana Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009952981831267825, "alpha_t_5y": -0.7110459265193688, "alpha_t_full": 0.6830927242443673, "r2_5y": 0.36792337946844855, "r2_full": 0.2694576764842145, "corr_portfolio": 0.042525847059877574, "corr_benchmark": 0.341290652044643, "alpha_pos_frac": 0.5836575875486382, "fund_max_dd": -0.17059618409561295, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.44, ief +0.14, ivv -0.07, vnq +0.03", "ref_full": "vweax +0.29, ief +0.15, efa -0.03, vnq +0.01, fxy +0.03" }, "ftnyx": { "sym": "ftnyx", "name": "Nomura Tax-Free New York Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010160311043484182, "alpha_t_5y": -0.6075477946609172, "alpha_t_full": 0.6464675644856412, "r2_5y": 0.39225383099617395, "r2_full": 0.2731408517939583, "corr_portfolio": 0.03421045614263646, "corr_benchmark": 0.37092838478649454, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.17107662393375034, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.12, vweax +0.49, ivv -0.09, vnq +0.03", "ref_full": "agg +0.09, vweax +0.27, ief +0.13, gsg -0.01, fxy +0.04, vnq +0.01" }, "ftoix": { "sym": "ftoix", "name": "FRANKLIN OHIO TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01789069769572365, "alpha_t_5y": -1.3305329451371475, "alpha_t_full": 0.3365405470979467, "r2_5y": 0.3948596076994134, "r2_full": 0.27392497503236446, "corr_portfolio": 0.015404188956118737, "corr_benchmark": 0.3614007185778522, "alpha_pos_frac": 0.5992217898832685, "fund_max_dd": -0.16399834578061057, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.43, ief +0.15, ivv -0.13, vnq +0.03, qqq +0.04", "ref_full": "agg +0.12, vweax +0.25, ief +0.10, efa -0.01, fxy +0.03, gsg -0.01" }, "ftorx": { "sym": "ftorx", "name": "Nomura Tax-Free Oregon Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010128420967294683, "alpha_t_5y": -0.6516416511171053, "alpha_t_full": 0.14744893216751925, "r2_5y": 0.3810552723287084, "r2_full": 0.2889083507838571, "corr_portfolio": 0.04259101417997382, "corr_benchmark": 0.3595973425633313, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.14647579836619007, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.29, vweax +0.34, ivv -0.09, vnq +0.03, tlt -0.17, vmbix +0.10", "ref_full": "agg +0.14, vweax +0.29, ief +0.09, efa -0.01, fxy +0.03, gsg -0.01" }, "ftrax": { "sym": "ftrax", "name": "Franklin LifeSmart Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00839518862268479, "alpha_t_5y": -1.144437355131548, "alpha_t_full": -0.7359766394942775, "r2_5y": 0.9375455550483867, "r2_full": 0.8342086344017099, "corr_portfolio": 0.2723652241397532, "corr_benchmark": 0.7081608500276022, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.38461447372427426, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.31, agg +0.37, vea +0.08, vweax +0.12, qqq -0.06, vwo +0.03", "ref_full": "efa +0.13, ivv +0.11, tlt +0.07, vwo +0.07, iwm +0.07, vweax +0.12" }, "ftrcx": { "sym": "ftrcx", "name": "Franklin LifeSmart 2035 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01851643078127936, "alpha_t_5y": -1.805851708353053, "alpha_t_full": -0.9101932404389667, "r2_5y": 0.9598080210309473, "r2_full": 0.8256878609453597, "corr_portfolio": 0.2792491283593437, "corr_benchmark": 0.593349919369904, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.5170495813112018, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.46, vea +0.18, agg +0.20, vwo +0.07, iwm +0.02", "ref_full": "ivv +0.17, efa +0.21, iwm +0.10, qqq +0.10, vwo +0.07, tlt +0.05" }, "ftrfx": { "sym": "ftrfx", "name": "Federated Hermes Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0023663803355168074, "alpha_t_5y": -0.446206172654417, "alpha_t_full": -0.7149773100155233, "r2_5y": 0.950070403885602, "r2_full": 0.8175673424150512, "corr_portfolio": -0.04190120176301571, "corr_benchmark": 0.6953018657429701, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.17158848595537513, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.16, vweax +0.22, ief +0.26, vmbix +0.24, ivv -0.02, vblix +0.06", "ref_full": "ief +0.41, vweax +0.28, agg +0.10, vnq +0.00, tlt +0.02, fxe +0.01" }, "ftrnx": { "sym": "ftrnx", "name": "Fidelity Trend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01556697060877739, "alpha_t_5y": -0.6329916396009692, "alpha_t_full": -0.9053456446138891, "r2_5y": 0.9465493459729687, "r2_full": 0.9246599459524264, "corr_portfolio": 0.1370489391994637, "corr_benchmark": 0.5979637484025647, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.562562563714947, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.97, iwm +0.15, vnq -0.07, vea +0.06", "ref_full": "qqq +0.65, ivv +0.33, iwm +0.11, vnq -0.05, gld +0.04, vweax +0.07" }, "ftrtx": { "sym": "ftrtx", "name": "Franklin LifeSmart 2025 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01181573058778953, "alpha_t_5y": -1.4261251075974568, "alpha_t_full": -0.7562959880847917, "r2_5y": 0.9601098920817888, "r2_full": 0.8591899964491563, "corr_portfolio": 0.28039372144725155, "corr_benchmark": 0.6477594146247166, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.4594764532663549, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, agg +0.33, vea +0.14, vwo +0.05, vweax +0.05, iwm +0.01", "ref_full": "ivv +0.23, efa +0.16, vwo +0.08, iwm +0.08, tlt +0.06, vweax +0.14" }, "ftsd": { "sym": "ftsd", "name": "Franklin Short Duration U.S. Government ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0029269111654663138, "alpha_t_5y": -0.511996426901745, "alpha_t_full": 0.19805962116742887, "r2_5y": 0.4269946199197796, "r2_full": 0.26687677661005127, "corr_portfolio": -0.06619646753337831, "corr_benchmark": 0.2667055114219655, "alpha_pos_frac": 0.4527027027027027, "fund_max_dd": -0.05319164713731206, "first": "2013-11-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.23, tlt -0.07, vmbix +0.08, iwm -0.01", "ref_full": "vmbix +0.05, ief +0.15, tlt -0.06, agg +0.09, ivv -0.01" }, "fttax": { "sym": "fttax", "name": "Franklin LifeSmart 2045 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01277556194418608, "alpha_t_5y": -1.0939687345129425, "alpha_t_full": -0.7489208214603256, "r2_5y": 0.9626048365451022, "r2_full": 0.8627905427906661, "corr_portfolio": 0.2966844959383955, "corr_benchmark": 0.5961400697104088, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.532313010343341, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.58, vea +0.21, vwo +0.09, vmbix +0.08", "ref_full": "ivv +0.20, efa +0.24, iwm +0.10, qqq +0.14, djp +0.05, vweax +0.16" }, "fttmx": { "sym": "fttmx", "name": "FRANKLIN MICHIGAN TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01777738108494693, "alpha_t_5y": -1.3966580971981526, "alpha_t_full": 0.05251536204931632, "r2_5y": 0.4091351768831635, "r2_full": 0.2665475519474225, "corr_portfolio": 0.030386064276062247, "corr_benchmark": 0.35009940033145737, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.15648909898365393, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, ief +0.07, ivv -0.07, vblix +0.24, tlt -0.14, vnq +0.02", "ref_full": "agg +0.12, vweax +0.26, ief +0.07, efa -0.01, fxy +0.03, gsg -0.01" }, "fulax": { "sym": "fulax", "name": "Federated Hermes Ultrashort Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016388444990301564, "alpha_t_5y": 0.3457220725629058, "alpha_t_full": 0.1677759721015144, "r2_5y": 0.3339152253838774, "r2_full": 0.2309149714255081, "corr_portfolio": 0.05345494877391817, "corr_benchmark": 0.23860152422219072, "alpha_pos_frac": 0.3468208092485549, "fund_max_dd": -0.05723176673681474, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.06, ief +0.14, tlt -0.15, vblix +0.18, vea -0.01, agg -0.10", "ref_full": "vweax +0.11, ief +0.10, tlt -0.03, iwm -0.00" }, "fusgx": { "sym": "fusgx", "name": "Federated Hermes Fund for U.S. Government Securities", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036177428321389478, "alpha_t_5y": -0.5679672876877913, "alpha_t_full": -1.6431983672053767, "r2_5y": 0.9445125972791396, "r2_full": 0.6694291434314147, "corr_portfolio": -0.09558513282930542, "corr_benchmark": 0.6400200128223943, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.24644487112967772, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.76, agg +0.41, vblix -0.06, qqq -0.01", "ref_full": "ief +0.52, efa +0.02, agg +0.17, tlt -0.06, vweax +0.05, iwm +0.01" }, "fusix": { "sym": "fusix", "name": "Strategic Advisers Fidelity International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006337909968720381, "alpha_t_5y": 0.05676721888922551, "alpha_t_full": -0.8825857828780361, "r2_5y": 0.9720490338950241, "r2_full": 0.9567498151076428, "corr_portfolio": 0.38027089593579194, "corr_benchmark": 0.5560726587789968, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.6509161948085842, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.67, vea +0.25, qqq +0.07, ivv -0.08, vweax +0.07, fxe +0.04", "ref_full": "efa +0.77, vweax +0.24, vwo +0.04, fxe +0.06, qqq +0.04, djp +0.02" }, "fvatx": { "sym": "fvatx", "name": "Nuveen Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0162675321498863, "alpha_t_5y": -1.1602919638493119, "alpha_t_full": 0.38445524075639587, "r2_5y": 0.3974144740605775, "r2_full": 0.28569013653704567, "corr_portfolio": 0.041970416178658876, "corr_benchmark": 0.3639985638322567, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.1613521895460085, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, ief +0.09, ivv -0.07, vnq +0.02, vblix +0.25, tlt -0.16", "ref_full": "agg +0.12, vweax +0.29, ief +0.08, fxy +0.04, efa -0.03, vnq +0.01" }, "fvdfx": { "sym": "fvdfx", "name": "Fidelity Value Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012825522485251796, "alpha_t_5y": 0.708080959237154, "alpha_t_full": 1.2777215352392521, "r2_5y": 0.8969773194165902, "r2_full": 0.9401373982278146, "corr_portfolio": 0.40881937648319316, "corr_benchmark": 0.5104414450959458, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.6088490157383509, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.38, qqq -0.73, vea +0.13, iwm +0.10", "ref_full": "ivv +0.97, qqq -0.38, iwm +0.15, vnq +0.09, efa +0.13, ief -0.13" }, "fvilx": { "sym": "fvilx", "name": "Forester Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030056991521060263, "alpha_t_5y": 1.058304647094212, "alpha_t_full": 1.5762927323727123, "r2_5y": 0.3834398513846109, "r2_full": 0.2644275111974552, "corr_portfolio": 0.22307425623849597, "corr_benchmark": -0.015831433092475873, "alpha_pos_frac": 0.4527363184079602, "fund_max_dd": -0.1671974783780389, "first": "2009-06-09", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq -0.52, ivv +0.47, gld +0.06, fxy +0.08, vnq +0.05, gsg +0.03", "ref_full": "vnq +0.07, qqq -0.35, ivv +0.43, fxe +0.09, vweax -0.17, djp +0.03" }, "fvrmx": { "sym": "fvrmx", "name": "FRANKLIN MUTUAL SMALL-MID CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03287024979180572, "alpha_t_5y": 1.0374702141573267, "alpha_t_full": 0.7629693296604331, "r2_5y": 0.8616076096710938, "r2_full": 0.8366420232778514, "corr_portfolio": 0.31873132086378847, "corr_benchmark": 0.4475609861136934, "alpha_pos_frac": 0.5327868852459017, "fund_max_dd": -0.5660838951786051, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.86, qqq -0.53, ivv +0.66, vnq -0.08, agg -0.12", "ref_full": "iwm +0.89, qqq -0.25, vnq -0.08, ivv +0.20, vweax +0.13, vwo -0.04" }, "fwiax": { "sym": "fwiax", "name": "Nuveen Wisconsin Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005940987319150568, "alpha_t_5y": -0.33833777648471425, "alpha_t_full": 0.5154314189677865, "r2_5y": 0.34880956797179863, "r2_full": 0.2581414295597878, "corr_portfolio": 0.030345632717429637, "corr_benchmark": 0.3211927562260082, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.15044906965191762, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, ief +0.17, ivv -0.10, vnq +0.04", "ref_full": "agg +0.12, vweax +0.29, ief +0.09, fxy +0.04, efa -0.03, vnq +0.01" }, "fwwfx": { "sym": "fwwfx", "name": "Fidelity Worldwide Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02439787331718331, "alpha_t_5y": -1.0525924183091429, "alpha_t_full": -0.6187762845634324, "r2_5y": 0.9177754306128466, "r2_full": 0.9394030880155806, "corr_portfolio": 0.2652367378066896, "corr_benchmark": 0.6017865957547447, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5654438003798539, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.67, qqq +0.30, vnq -0.12, iwm +0.09, efa -0.32", "ref_full": "ivv +0.25, efa +0.33, qqq +0.31, djp +0.04, vweax +0.11, iwm +0.05" }, "fxctx": { "sym": "fxctx", "name": "FRANKLIN CONNECTICUT TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016139700461547786, "alpha_t_5y": -1.0546671121194842, "alpha_t_full": -0.29731657762581454, "r2_5y": 0.3740945170289278, "r2_full": 0.24879808843662987, "corr_portfolio": 0.018336792545990025, "corr_benchmark": 0.34708750771906993, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.16497528293361308, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.25, vweax +0.34, ivv -0.08, vnq +0.03, tlt -0.14, vmbix +0.09", "ref_full": "agg +0.14, vweax +0.26, ief +0.08, efa -0.02, fxy +0.03" }, "fxidx": { "sym": "fxidx", "name": "Fixed Income SHares: Series LD", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005381169864935086, "alpha_t_5y": -0.6300545530369532, "alpha_t_full": 1.9373575139637316, "r2_5y": 0.28702816361214467, "r2_full": 0.30935026896122686, "corr_portfolio": 0.09284711189289317, "corr_benchmark": -0.12599743994756638, "alpha_pos_frac": 0.6027397260273972, "fund_max_dd": -0.10488051887813243, "first": "2013-12-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "tlt -0.37, ief +0.34, vblix +0.29, ivv -0.02, vmbix -0.12", "ref_full": "vweax +0.15, vea -0.04, tlt -0.29, vblix +0.24, ief +0.28, vmbix -0.18" }, "fxncx": { "sym": "fxncx", "name": "FRANKLIN NORTH CAROLINA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016918248616159235, "alpha_t_5y": -1.1967533453774857, "alpha_t_full": -0.2326663911020339, "r2_5y": 0.39294849571032286, "r2_full": 0.2570971376628324, "corr_portfolio": 0.01843905074162645, "corr_benchmark": 0.35662441543946566, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16109332141622723, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.33, ivv -0.07, vnq +0.03, tlt -0.13", "ref_full": "agg +0.14, vweax +0.27, ief +0.07, efa -0.02, fxy +0.03, gsg -0.01" }, "fyhtx": { "sym": "fyhtx", "name": "Fidelity Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 2.364499843271453, "alpha_t_5y": 0.8834448624264606, "alpha_t_full": 0.7734501550161837, "r2_5y": 3.3306690738754696e-16, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.024713011317094843, "corr_benchmark": -0.0036996827778513035, "alpha_pos_frac": NaN, "fund_max_dd": -1.4368015725411327, "first": "2017-05-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "pure alpha (no sleeve selected)" }, "gaaex": { "sym": "gaaex", "name": "Guinness Atkinson Alternative Energy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0750169199823589, "alpha_t_5y": -1.5152369102758787, "alpha_t_full": -2.664693018313213, "r2_5y": 0.740870058196194, "r2_full": 0.7139356470730979, "corr_portfolio": 0.2260170661068926, "corr_benchmark": 0.49742320828616154, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.859284916338576, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.47, iwm +0.41, vwo +0.22, qqq +0.33, ivv -0.38", "ref_full": "efa +0.39, iwm +0.36, vwo +0.29, vweax +0.45, vnq -0.08, fxe +0.19" }, "gaawx": { "sym": "gaawx", "name": "GMO International Developed Equity Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.054871855577572515, "alpha_t_5y": 2.7003170021968494, "alpha_t_full": 2.7003170021968494, "r2_5y": 0.9025794340147949, "r2_full": 0.9025794340147949, "corr_portfolio": 0.3164268708590185, "corr_benchmark": 0.535632431242472, "alpha_pos_frac": 0.4918032786885246, "fund_max_dd": -0.29681872663613906, "first": "2021-01-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.43, vea +0.54, qqq -0.06, vnq -0.04", "ref_full": "efa +0.43, vea +0.54, qqq -0.06, vnq -0.04" }, "gabcx": { "sym": "gabcx", "name": "THE GABELLI ABC FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002994367367043579, "alpha_t_5y": 0.2968994000038619, "alpha_t_full": 0.9354264334894556, "r2_5y": 0.6759798482363197, "r2_full": 0.6725258321317436, "corr_portfolio": 0.30202108643448183, "corr_benchmark": 0.528479332637161, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.10797674851771588, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.11, efa +0.05, qqq -0.08, ivv +0.11, gld +0.02, vblix +0.02", "ref_full": "iwm +0.07, efa +0.06, agg +0.14, ief -0.07, vweax +0.05, ivv +0.03" }, "gabvx": { "sym": "gabvx", "name": "THE GABELLI VALUE 25 FUND INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004706727567946531, "alpha_t_5y": 0.15472441117061808, "alpha_t_full": -0.7251015746307943, "r2_5y": 0.7957447751357071, "r2_full": 0.8883849132899403, "corr_portfolio": 0.35375802962779046, "corr_benchmark": 0.5360506060514046, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.6309228889434342, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.30, efa +0.27, vnq +0.15, djp +0.05, tlt -0.05, ivv +0.09", "ref_full": "ivv +0.56, iwm +0.28, efa +0.24, qqq -0.20, gld +0.06, vweax +0.14" }, "gagax": { "sym": "gagax", "name": "The Gabelli Global Rising Income and Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004661137748972688, "alpha_t_5y": 0.20612141134612894, "alpha_t_full": -0.1362440211868193, "r2_5y": 0.8454335120745202, "r2_full": 0.6479700235966097, "corr_portfolio": 0.41212339849778756, "corr_benchmark": 0.5251957917519559, "alpha_pos_frac": 0.49586776859504134, "fund_max_dd": -0.4925311936427267, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.47, iwm +0.18, qqq -0.32, vweax +0.39, ivv +0.37, fxe +0.14", "ref_full": "efa +0.21, vweax +0.57, iwm +0.23, vnq -0.06, fxy +0.08, gld +0.04" }, "gaigx": { "sym": "gaigx", "name": "GABELLI INTERNATIONAL GROWTH FUND, INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07263854876148096, "alpha_t_5y": -2.5506172507204843, "alpha_t_full": -1.6053031026566231, "r2_5y": 0.851738844602953, "r2_full": 0.8791393679943331, "corr_portfolio": 0.27221411673735507, "corr_benchmark": 0.564477196009506, "alpha_pos_frac": 0.548936170212766, "fund_max_dd": -0.5820408677647737, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.90, gld +0.10, gsg -0.05, qqq +0.08, vweax +0.21, iwm -0.06", "ref_full": "efa +0.71, gld +0.08, vweax +0.23, vwo +0.07, fxy +0.10, qqq +0.05" }, "gaiox": { "sym": "gaiox", "name": "American Funds Growth and Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025517023822019674, "alpha_t_5y": -0.310246409532503, "alpha_t_full": -0.31591855017640497, "r2_5y": 0.9754967020458946, "r2_full": 0.973914616518961, "corr_portfolio": 0.3089997246219954, "corr_benchmark": 0.6589185555334338, "alpha_pos_frac": 0.5212121212121212, "fund_max_dd": -0.26545889843302173, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.17, ief +0.10, iwm +0.05, vwo +0.04, vweax +0.07", "ref_full": "ivv +0.46, vea +0.20, ief +0.12, vwo +0.03, vweax +0.09, qqq +0.04" }, "gatax": { "sym": "gatax", "name": "THE GABELLI ASSET FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013924446554388644, "alpha_t_5y": -0.8242838256717854, "alpha_t_full": 0.5787226477107078, "r2_5y": 0.9274853806569482, "r2_full": 0.949899243811008, "corr_portfolio": 0.37558967055293235, "corr_benchmark": 0.5664102434682181, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.5544607237320961, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.23, efa -0.11, ivv +0.92, qqq -0.48, vea +0.35, vweax +0.11", "ref_full": "ivv +0.62, iwm +0.24, efa +0.20, qqq -0.20, vweax +0.13, djp +0.03" }, "gauax": { "sym": "gauax", "name": "THE GABELLI UTILITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005942782074161795, "alpha_t_5y": -0.16095906059839762, "alpha_t_full": -1.1465149614108017, "r2_5y": 0.6350841727788281, "r2_full": 0.7053803543166304, "corr_portfolio": 0.3114266966469097, "corr_benchmark": 0.5113272444092892, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.4714244661170689, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.37, vea +0.53, qqq -0.58, ivv +0.85, ief +0.18, efa -0.44", "ref_full": "ivv +0.85, qqq -0.38, agg +0.31, vnq +0.09, efa +0.10, gld +0.04" }, "gbcix": { "sym": "gbcix", "name": "THE GABELLI DIVIDEND GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025875898908715583, "alpha_t_5y": -0.13740279666670144, "alpha_t_full": -0.5040096357623268, "r2_5y": 0.9049437983705054, "r2_full": 0.9356607344457237, "corr_portfolio": 0.3722541339424277, "corr_benchmark": 0.5444529323409357, "alpha_pos_frac": 0.47307692307692306, "fund_max_dd": -0.540889866314059, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.56, iwm +0.17, efa +0.09", "ref_full": "ivv +1.02, qqq -0.30, iwm +0.12, efa +0.12, gsg +0.03, fxe -0.06" }, "gblax": { "sym": "gblax", "name": "AMERICAN FUNDS GLOBAL BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0080921465804174, "alpha_t_5y": -0.8370315154610665, "alpha_t_full": -0.7628636145803972, "r2_5y": 0.9446575322842881, "r2_full": 0.9490670304248123, "corr_portfolio": 0.3436925226928844, "corr_benchmark": 0.6682375680523283, "alpha_pos_frac": 0.4861878453038674, "fund_max_dd": -0.23362103298539916, "first": "2011-02-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.21, ivv +0.38, ief +0.18, fxe +0.11, vwo +0.06, qqq -0.07", "ref_full": "vea +0.24, ivv +0.26, ief +0.17, vweax +0.16, fxe +0.10, vwo +0.04" }, "gbonx": { "sym": "gbonx", "name": "JPMorgan Global Bond Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010118594965522146, "alpha_t_5y": 0.11310055914962726, "alpha_t_full": 1.6792563741333486, "r2_5y": 0.6530929536898411, "r2_full": 0.6030614381620993, "corr_portfolio": 0.20130997377520285, "corr_benchmark": 0.5292734929982655, "alpha_pos_frac": 0.46405228758169936, "fund_max_dd": -0.11564664439812866, "first": "2013-06-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, vmbix +0.20, vwo +0.04, gsg -0.02, fxy +0.03, gld +0.01", "ref_full": "vweax +0.38, agg +0.08, vwo +0.02, ivv -0.04, vea +0.04, vblix +0.05" }, "gcaex": { "sym": "gcaex", "name": "THE GABELLI EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010292181195497166, "alpha_t_5y": -0.5391131541071462, "alpha_t_full": -0.17336505273494204, "r2_5y": 0.9047035301926898, "r2_full": 0.9475266674436276, "corr_portfolio": 0.4080728713690798, "corr_benchmark": 0.5390647219333305, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.5223162534449217, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.21, efa +0.00, vnq +0.00, ivv +1.03, qqq -0.58, vea +0.25", "ref_full": "ivv +0.76, qqq -0.29, efa +0.19, iwm +0.18, vweax +0.10, djp +0.03" }, "gcasx": { "sym": "gcasx", "name": "THE GABELLI SMALL CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.032392872661698595, "alpha_t_5y": 1.175641563461382, "alpha_t_full": 1.0954681159352853, "r2_5y": 0.8825838419388499, "r2_full": 0.9401720785050295, "corr_portfolio": 0.34394131719473475, "corr_benchmark": 0.545979220850759, "alpha_pos_frac": 0.47410358565737054, "fund_max_dd": -0.516580122617339, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.69, efa +0.24, vwo -0.08, vnq +0.08, gld -0.05, qqq -0.05", "ref_full": "iwm +0.65, efa +0.08, vweax +0.17, ivv +0.31, qqq -0.16, vnq -0.03" }, "gcblx": { "sym": "gcblx", "name": "GREEN CENTURY BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029671917723063556, "alpha_t_5y": -3.1892315026961886, "alpha_t_full": -2.1906351743123285, "r2_5y": 0.9617513647837752, "r2_full": 0.955908244848627, "corr_portfolio": 0.24647119185403502, "corr_benchmark": 0.6622157659995321, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.6430537617476542, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, vmbix +0.13, iwm +0.05, gsg -0.02, efa +0.03, ief +0.10", "ref_full": "ivv +0.40, iwm +0.10, agg +0.14, qqq +0.08, gsg -0.02, efa +0.04" }, "gcecx": { "sym": "gcecx", "name": "AB Global Core Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.046212484573730186, "alpha_t_5y": -2.6135581663559195, "alpha_t_full": -1.9068781944367217, "r2_5y": 0.9328089234523111, "r2_full": 0.942535897605294, "corr_portfolio": 0.31085149580706256, "corr_benchmark": 0.6024377345758922, "alpha_pos_frac": 0.5185185185185185, "fund_max_dd": -0.3354430310049824, "first": "2014-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, vea -0.01, vwo +0.16, efa +0.29, qqq -0.06", "ref_full": "ivv +0.52, vea +0.06, vwo +0.10, iwm +0.05, efa +0.23, fxe +0.05" }, "gceqx": { "sym": "gceqx", "name": "GREEN CENTURY EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01393727448229081, "alpha_t_5y": -1.015128334840519, "alpha_t_full": -1.8186735273585708, "r2_5y": 0.9672208865073582, "r2_full": 0.9782723982737658, "corr_portfolio": 0.24874460454943245, "corr_benchmark": 0.625312635934006, "alpha_pos_frac": 0.4765957446808511, "fund_max_dd": -0.5687302647776794, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.85, qqq +0.17, gsg -0.02", "ref_full": "ivv +0.82, qqq +0.15, vnq +0.03, gsg -0.02, iwm +0.02" }, "gcinx": { "sym": "gcinx", "name": "Green Century MSCI International Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036850778291283956, "alpha_t_5y": -2.380959549718081, "alpha_t_full": -1.7854874986241744, "r2_5y": 0.949252263049923, "r2_full": 0.95515876623529, "corr_portfolio": 0.2934184139102037, "corr_benchmark": 0.6160944166415099, "alpha_pos_frac": 0.5486725663716814, "fund_max_dd": -0.34260027791044656, "first": "2016-10-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.82, qqq +0.09, fxe +0.10, gsg -0.03, gld +0.03, vweax +0.11", "ref_full": "efa +0.60, qqq +0.08, fxe +0.10, ief +0.08, vea +0.25, gsg -0.02" }, "gcpax": { "sym": "gcpax", "name": "Gateway Equity Call Premium Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01242908638407942, "alpha_t_5y": -1.1020323775342469, "alpha_t_full": -1.6995677873719048, "r2_5y": 0.9482942459589829, "r2_full": 0.9346760286769296, "corr_portfolio": 0.27500067747889867, "corr_benchmark": 0.6073907736090779, "alpha_pos_frac": 0.5182481751824818, "fund_max_dd": -0.25241994320840033, "first": "2014-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, fxy -0.03, efa +0.06, fxe -0.07", "ref_full": "ivv +0.62, fxe -0.03, qqq +0.03" }, "gdxj": { "sym": "gdxj", "name": "VanEck Junior Gold Miners ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07082409564101871, "alpha_t_5y": -0.7652670525592081, "alpha_t_full": -1.1421725097846813, "r2_5y": 0.7277138249176238, "r2_full": 0.6351777352801755, "corr_portfolio": 0.05008198972720657, "corr_benchmark": 0.33240001506962613, "alpha_pos_frac": 0.4512820512820513, "fund_max_dd": -0.8866281012211849, "first": "2009-11-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.59, vea +1.69, efa -1.08, iwm +0.13", "ref_full": "gld +1.93, vea +0.14, vwo +0.25, agg +1.50, ief -0.84, iwm +0.13" }, "gegax": { "sym": "gegax", "name": "abrdn Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04663396002272305, "alpha_t_5y": -1.7256778492064497, "alpha_t_full": -1.1595156639867161, "r2_5y": 0.8870148679799615, "r2_full": 0.804895135457958, "corr_portfolio": 0.26799279259527387, "corr_benchmark": 0.459752076763232, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.7366461344329192, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.80, qqq +0.07, vnq -0.11, vea +1.56, efa -1.34, fxe -0.14", "ref_full": "vwo +0.64, vweax +0.46, qqq +0.05, djp +0.05, vnq -0.05, iwm +0.06" }, "geosx": { "sym": "geosx", "name": "Pear Tree Essex Environmental Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06204932373546015, "alpha_t_5y": -1.2120035814979166, "alpha_t_full": -0.6748659430251316, "r2_5y": 0.7782856436255275, "r2_full": 0.8013633362395733, "corr_portfolio": 0.14548082640740237, "corr_benchmark": 0.5709977575297908, "alpha_pos_frac": 0.5686274509803921, "fund_max_dd": -0.49978013633813667, "first": "2017-09-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.75, vwo +0.12, qqq +0.55, ivv -0.75, vweax +0.55, vea +0.24", "ref_full": "iwm +0.73, vwo +0.10, qqq +0.45, ivv -0.62, vea +0.28, vweax +0.34" }, "ggbfx": { "sym": "ggbfx", "name": "Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013487691535834713, "alpha_t_5y": -1.5374832058924044, "alpha_t_full": -1.3050194574273386, "r2_5y": 0.8178586566283272, "r2_full": 0.7385140884484234, "corr_portfolio": 0.1441072344148912, "corr_benchmark": 0.657244868076768, "alpha_pos_frac": 0.5131578947368421, "fund_max_dd": -0.2761696922676983, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.22, fxe +0.10, vweax +0.26, fxy +0.08, vwo +0.03, ief +0.19", "ref_full": "vweax +0.44, agg +0.14, fxe +0.10, ief +0.17, vwo +0.04, fxy +0.06" }, "ggcax": { "sym": "ggcax", "name": "The Gabelli Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.048400844406349106, "alpha_t_5y": -2.0026884309207538, "alpha_t_full": -2.218611100492048, "r2_5y": 0.940167662563896, "r2_full": 0.9366888908194845, "corr_portfolio": 0.12745366081566153, "corr_benchmark": 0.6148934785045322, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5718098686904413, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.85, ivv +0.34, iwm -0.06, vea -0.61, efa +0.53", "ref_full": "qqq +0.56, ivv +0.58, fxe +0.08, iwm -0.08, djp +0.03, gld +0.03" }, "gghcx": { "sym": "gghcx", "name": "INVESCO Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044342175691540094, "alpha_t_5y": -0.9840686747262344, "alpha_t_full": -0.04667147096960561, "r2_5y": 0.5534088156297399, "r2_full": 0.676354721282873, "corr_portfolio": 0.1953237815136779, "corr_benchmark": 0.49968424535300676, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.4023139561120408, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.82, vnq +0.16, gsg -0.06, qqq -0.19", "ref_full": "ivv +0.58, iwm +0.16, agg +0.16, vnq -0.05, gsg -0.04, efa +0.07" }, "gglix": { "sym": "gglix", "name": "abrdn U.S. Sustainable Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08189586951898632, "alpha_t_5y": -3.4757416150222276, "alpha_t_full": -2.141688894950509, "r2_5y": 0.90079098728049, "r2_full": 0.8824421029667471, "corr_portfolio": 0.25109942277533287, "corr_benchmark": 0.6018182801835296, "alpha_pos_frac": 0.5, "fund_max_dd": -0.590189813792706, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.82, iwm +0.14, vweax +0.18", "ref_full": "ivv +0.77, iwm +0.11, vweax +0.12, qqq +0.04" }, "ggmmx": { "sym": "ggmmx", "name": "Gabelli Global Mini Mites Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06054450074354957, "alpha_t_5y": 1.5029213342142145, "alpha_t_full": 1.131186609022767, "r2_5y": 0.6961913076758608, "r2_full": 0.7348856695620414, "corr_portfolio": 0.3026621833723879, "corr_benchmark": 0.49339679493122335, "alpha_pos_frac": 0.4606741573033708, "fund_max_dd": -0.4160650832489341, "first": "2018-10-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.61, vweax +0.34, vea +0.15, qqq -0.08, vnq -0.06", "ref_full": "iwm +0.62, vweax +0.37, qqq -0.13, vea +0.19, vnq -0.05" }, "gibax": { "sym": "gibax", "name": "Guggenheim Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006483581080873902, "alpha_t_5y": -0.13682403763217163, "alpha_t_full": 2.576102521871857, "r2_5y": 0.9605545086620949, "r2_full": 0.8131584500639973, "corr_portfolio": -0.09976891827423345, "corr_benchmark": 0.6737235926665867, "alpha_pos_frac": 0.52046783625731, "fund_max_dd": -0.20876337967794267, "first": "2011-12-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.37, vmbix +0.07, vweax +0.18, ief +0.33, tlt -0.15, ivv -0.02", "ref_full": "vblix +0.22, vmbix +0.21, vweax +0.11, ief +0.18, tlt -0.07, agg +0.08" }, "gifax": { "sym": "gifax", "name": "Guggenheim Floating Rate Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01232232426142022, "alpha_t_5y": 1.6322613713598746, "alpha_t_full": 3.061453757521722, "r2_5y": 0.5162660371038466, "r2_full": 0.6107482810139331, "corr_portfolio": 0.30690248217219446, "corr_benchmark": 0.21438188196318053, "alpha_pos_frac": 0.4853801169590643, "fund_max_dd": -0.19063688473733653, "first": "2011-12-01", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.27, vmbix +0.02, vblix +0.39, tlt -0.23, agg -0.32", "ref_full": "vweax +0.32, vmbix -0.14, vblix +0.38, tlt -0.25, agg -0.06, qqq -0.01" }, "gijax": { "sym": "gijax", "name": "Guggenheim Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024720144194410227, "alpha_t_5y": -1.5927602437384285, "alpha_t_full": -0.518020832678104, "r2_5y": 0.31263999248092467, "r2_full": 0.25825745048027327, "corr_portfolio": 0.044223639837432854, "corr_benchmark": 0.3290076729710267, "alpha_pos_frac": 0.4717948717948718, "fund_max_dd": -0.5178840488042821, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, vmbix +0.15, ivv -0.04", "ref_full": "efa +0.11, vnq +0.13, agg +0.19, vwo +0.10, iwm -0.09, vweax +0.22" }, "gildx": { "sym": "gildx", "name": "Guggenheim Limited Duration Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019318280477145556, "alpha_t_5y": 0.47118000911652924, "alpha_t_full": 0.7261806302097913, "r2_5y": 0.7896070128388343, "r2_full": 0.1476759915585878, "corr_portfolio": -0.024132619708872777, "corr_benchmark": 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"giyix": { "sym": "giyix", "name": "Guggenheim Ultra Short Duration Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00809665924076966, "alpha_t_5y": 1.6516989379219567, "alpha_t_full": 1.306257382516042, "r2_5y": 0.40244838679298445, "r2_full": 0.3306770333621434, "corr_portfolio": 0.0522512101758764, "corr_benchmark": 0.20457675577473325, "alpha_pos_frac": 0.5057471264367817, "fund_max_dd": -0.035034337039059005, "first": "2018-12-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.09, ivv -0.01, ief +0.12, tlt -0.18, vblix +0.24, agg -0.12", "ref_full": "vweax +0.09, vea -0.02, ief +0.11, agg -0.07, tlt -0.09, vblix +0.11" }, "gldax": { "sym": "gldax", "name": "GABELLI GOLD FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006527756577256536, "alpha_t_5y": -0.08619078099732756, "alpha_t_full": -0.6578289978740796, "r2_5y": 0.7122851821238716, "r2_full": 0.6874973346360305, "corr_portfolio": 0.05496567799534564, 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"glrbx": { "sym": "glrbx", "name": "James Balanced: Golden Rainbow Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007761398408490788, "alpha_t_5y": -0.9459158239775228, "alpha_t_full": -1.8664612804730512, "r2_5y": 0.9471405052720141, "r2_full": 0.9048810886145571, "corr_portfolio": 0.27684173601884055, "corr_benchmark": 0.712611212408904, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.21584786181885696, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, ief +0.18, iwm +0.06, gld +0.04, vea +0.03, qqq -0.04", "ref_full": "ivv +0.33, ief +0.32, iwm +0.11, vnq -0.03, gld +0.03, agg -0.06" }, "gmdyx": { "sym": "gmdyx", "name": "MEDIUM-DURATION BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0035434271004090878, "alpha_t_5y": -0.5812497613954289, "alpha_t_full": -2.8001841998931507, "r2_5y": 0.9376784048289537, "r2_full": 0.6635885235467732, "corr_portfolio": 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+0.10, qqq -0.25, agg +0.27, fxe +0.10" }, "gpgix": { "sym": "gpgix", "name": "Grandeur Peak Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07384535572168535, "alpha_t_5y": -2.23819792351854, "alpha_t_full": 0.10493283766545819, "r2_5y": 0.7891636760555434, "r2_full": 0.8266027305110479, "corr_portfolio": 0.2733460673625462, "corr_benchmark": 0.5663148846283723, "alpha_pos_frac": 0.5348837209302325, "fund_max_dd": -0.432140700672211, "first": "2011-10-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.35, iwm +0.17, vweax +0.57, qqq +0.12, fxe +0.19, vwo +0.09", "ref_full": "vea +0.33, iwm +0.21, vweax +0.52, qqq +0.11, vwo +0.09, fxy +0.09" }, "gpmfx": { "sym": "gpmfx", "name": "GuidePath(R) Managed Futures Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11837106114006196, "alpha_t_5y": -2.282907722825249, "alpha_t_full": -1.5345349478665224, "r2_5y": 0.2847249373987334, "r2_full": 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+0.12, fxe +0.15, vblix +0.07, ivv +0.04, ief +0.28, vweax +0.08" }, "gsxax": { "sym": "gsxax", "name": "abrdn U.S. Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00029001086356031245, "alpha_t_5y": -0.010510476170589035, "alpha_t_full": -0.8678353186822155, "r2_5y": 0.906161081765471, "r2_full": 0.8850541024717031, "corr_portfolio": 0.26147082437191355, "corr_benchmark": 0.5428532696502717, "alpha_pos_frac": 0.5732758620689655, "fund_max_dd": -0.7320049140210402, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.75, ivv +0.20, djp -0.05, vnq +0.05", "ref_full": "iwm +0.76, ivv +0.27, vweax +0.10, qqq -0.06, vwo -0.03" }, "gtcix": { "sym": "gtcix", "name": "Disciplined International Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08482781518813241, "alpha_t_5y": 2.8267399412738263, "alpha_t_full": 0.3919892923366583, "r2_5y": 0.7127573196016992, "r2_full": 0.8906248874983144, "corr_portfolio": 0.45501145588195124, "corr_benchmark": 0.42734486264122223, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.6399686188609854, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.64, qqq -0.17, fxe +0.29, vweax +0.56, tlt -0.09, fxy +0.08", "ref_full": "efa +0.84, qqq -0.12, vwo +0.11, vweax +0.25, tlt -0.07, fxe +0.09" }, "gtddx": { "sym": "gtddx", "name": "Invesco Emerging Markets ex-China Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01140823865694952, "alpha_t_5y": -0.3520909646368596, "alpha_t_full": -0.5775034823063087, "r2_5y": 0.8072530363507888, "r2_full": 0.8356192756129199, "corr_portfolio": 0.28447610987018424, "corr_benchmark": 0.4608936937984891, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6289090080020558, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.64, vea +1.87, efa -1.57, vnq -0.09, djp -0.05, fxy -0.09", "ref_full": "vwo +0.55, vweax +0.47, qqq +0.05, vnq -0.06, iwm +0.05, efa +0.06" }, "gtfbx": { "sym": "gtfbx", "name": "T. Rowe Price Georgia Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009374043948604827, "alpha_t_5y": -0.6777785380750401, "alpha_t_full": 0.4780417738123513, "r2_5y": 0.4130234468852587, "r2_full": 0.3060165946784289, "corr_portfolio": 0.023185623784760447, "corr_benchmark": 0.36524547758609166, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.15214944257724206, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, ief +0.08, ivv -0.07, vnq +0.03, vblix +0.24, tlt -0.14", "ref_full": "agg +0.12, vweax +0.29, ief +0.09, efa -0.03, fxy +0.03, vnq +0.01" }, "gtrax": { "sym": "gtrax", "name": "PGIM Global Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014235949196973359, "alpha_t_5y": -1.2025701539125506, "alpha_t_full": 1.316061143158355, "r2_5y": 0.8091101403731098, "r2_full": 0.6727984608022382, "corr_portfolio": 0.06309700945316615, "corr_benchmark": 0.5666284503559398, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.330473321048141, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.10, fxe +0.30, vweax +0.25, fxy +0.15, vblix +0.38, tlt -0.16", "ref_full": "fxe +0.34, ief +0.22, vweax +0.33, fxy +0.21, vwo +0.03, agg +0.13" }, "gtsax": { "sym": "gtsax", "name": "INVESCO Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08486068385471413, "alpha_t_5y": -2.420703851138378, "alpha_t_full": -1.533397937043904, "r2_5y": 0.892556858286787, "r2_full": 0.8938165774667679, "corr_portfolio": 0.15488961593978354, "corr_benchmark": 0.5574586495890111, "alpha_pos_frac": 0.5577689243027888, "fund_max_dd": -0.6362237151721164, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.85, qqq +0.67, ivv -0.57, vwo +0.05", "ref_full": "iwm +0.75, qqq +0.38, vnq -0.05, ief +0.05, vweax +0.10, ivv -0.09" }, "gwlix": { "sym": "gwlix", "name": "abrdn Emerging Markets Ex-China Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02799121986704158, "alpha_t_5y": 0.7922754182179349, "alpha_t_full": -0.5494920117443587, "r2_5y": 0.7942708865168812, "r2_full": 0.8376989399360405, "corr_portfolio": 0.29267992380277275, "corr_benchmark": 0.5243325064009561, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.6186991751982767, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +2.66, efa -2.15, qqq +0.22, vwo +0.23, vnq -0.11, djp -0.06", "ref_full": "efa +0.37, qqq +0.12, vwo +0.17, ivv +0.25, gld +0.04, vnq -0.03" }, "gyld": { "sym": "gyld", "name": "Arrow Dow Jones Global Yield ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02144536793004088, "alpha_t_5y": 0.4310232475320443, "alpha_t_full": -0.5573447693287338, "r2_5y": 0.26539177751058785, "r2_full": 0.43636877610017877, "corr_portfolio": 0.2879099144262629, "corr_benchmark": 0.3311953598080287, "alpha_pos_frac": 0.5783132530120482, "fund_max_dd": -0.5411620370667024, "first": "2012-05-09", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.18, gsg +0.14, vweax +0.47, vnq +0.10", "ref_full": "vea +0.30, vweax +0.78, gsg +0.14, vnq +0.10, qqq -0.15, iwm +0.11" }, "hacsx": { "sym": "hacsx", "name": "Harbor Ares Systematic Convertible Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000588714716811895, "alpha_t_5y": -0.02654238515460865, "alpha_t_full": 0.06416397629665269, "r2_5y": 0.8046999285906781, "r2_full": 0.743791991206175, "corr_portfolio": 0.15980383876556412, "corr_benchmark": 0.5555206607765426, "alpha_pos_frac": 0.5, "fund_max_dd": -0.2324532248646497, "first": "2011-05-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.32, qqq +0.36, ivv -0.35, vea +0.74, efa -0.65", "ref_full": "iwm +0.26, qqq +0.29, vweax +0.30, ivv -0.20, gld +0.04, vnq -0.03" }, "hadax": { "sym": "hadax", "name": "HARTFORD BALANCED HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022894005733698607, "alpha_t_5y": -1.2448108998426408, "alpha_t_full": -2.2001368625614433, "r2_5y": 0.857126199740868, "r2_full": 0.9164901361094482, "corr_portfolio": 0.302734634080271, "corr_benchmark": 0.671739663060453, "alpha_pos_frac": 0.6394052044609665, "fund_max_dd": -0.5057239171221977, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.72, agg +0.31, qqq -0.15, iwm +0.06", "ref_full": "ivv +0.57, agg +0.22, vnq +0.04, efa +0.06, iwm +0.04, qqq -0.03" }, "hcegx": { "sym": "hcegx", "name": "The U.S. Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.053510991989993054, "alpha_t_5y": -2.2622788591076, "alpha_t_full": -2.8245482431554803, "r2_5y": 0.9082737830381598, "r2_full": 0.8967033779741744, "corr_portfolio": 0.2180095346448567, "corr_benchmark": 0.5830519235423596, "alpha_pos_frac": 0.6472491909385113, "fund_max_dd": -0.6944565708065166, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.81, qqq +0.19", "ref_full": "ivv +0.61, qqq +0.30, iwm +0.04, agg +0.13, tlt -0.03" }, "hcemx": { "sym": "hcemx", "name": "The Emerging Markets Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021173703164551937, "alpha_t_5y": -0.6147562853010333, "alpha_t_full": -2.106267774328736, "r2_5y": 0.7817976848086421, "r2_full": 0.8261648939527148, "corr_portfolio": 0.2920326065467385, "corr_benchmark": 0.4272114074484849, "alpha_pos_frac": 0.4896907216494845, "fund_max_dd": -0.48367952522255164, "first": "2009-12-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.86, fxe -0.11, qqq +0.06, vnq -0.05", "ref_full": "vwo +0.74, vweax +0.37, ief -0.09, qqq +0.04, vnq -0.03" }, "hcesx": { "sym": "hcesx", "name": "The ESG Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06462964119124712, "alpha_t_5y": -1.8340587687431733, "alpha_t_full": -2.730865718926405, "r2_5y": 0.7744328338037805, "r2_full": 0.8619236020747615, "corr_portfolio": 0.2898270895944922, "corr_benchmark": 0.5934156027910316, "alpha_pos_frac": 0.6875, "fund_max_dd": -0.37207425343018496, "first": "2015-07-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.69, efa +0.28", "ref_full": "ivv +0.65, efa +0.31, fxe +0.08" }, "hchyx": { "sym": "hchyx", "name": "The Corporate Opportunities Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.050701299204967305, "alpha_t_5y": -2.2000285741689383, "alpha_t_full": -4.414666033842968, "r2_5y": 0.5472381861865115, "r2_full": 0.4469482230727251, "corr_portfolio": 0.15713348018647716, "corr_benchmark": 0.5569889100087806, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.47764234829408936, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.29, vmbix +0.33, fxe +0.12, vnq +0.06, iwm -0.04", "ref_full": "vweax +0.51, ivv +0.17, agg +0.28, vnq -0.03, vwo -0.03, tlt -0.03" }, "hciex": { "sym": "hciex", "name": "The International Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017639987711118642, "alpha_t_5y": -0.8520967792796119, "alpha_t_full": -2.4460346473119676, "r2_5y": 0.9042101096917697, "r2_full": 0.8672841569766968, "corr_portfolio": 0.37479665018767877, "corr_benchmark": 0.5137967031110203, "alpha_pos_frac": 0.631578947368421, "fund_max_dd": -0.6587537091988165, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.84, ivv +0.08, fxy +0.06, djp +0.02", "ref_full": "efa +0.78, vweax +0.29, fxe +0.08, vwo +0.04, djp +0.03" }, "hcigx": { "sym": "hcigx", "name": "The Institutional U.S. Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 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sleeve selected)", "ref_full": "tlt +0.37" }, "hcimx": { "sym": "hcimx", "name": "The Intermediate Term Municipal Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03675814021779828, "alpha_t_5y": -3.3329998729431294, "alpha_t_full": -3.214841960679095, "r2_5y": 0.17262678302607215, "r2_full": 0.15334406759065955, "corr_portfolio": 0.012626396237010437, "corr_benchmark": 0.28019123277507396, "alpha_pos_frac": 0.5464684014869888, "fund_max_dd": -0.1612593796511962, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.13, vweax +0.17, ivv -0.02", "ref_full": "agg +0.08, fxy +0.02, vweax +0.08, ief +0.06, gsg -0.01" }, "hcinx": { "sym": "hcinx", "name": "The Institutional International Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052496591558833, "alpha_t_5y": -1.7437805154297998, "alpha_t_full": -3.344728961281488, "r2_5y": 0.8168014758284983, "r2_full": 0.8570280049027739, 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"hcmgx": { "sym": "hcmgx", "name": "HCM Tactical Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026630037195277678, "alpha_t_5y": -0.6656958765753133, "alpha_t_full": -1.3384151195485299, "r2_5y": 0.8487403084951938, "r2_full": 0.8553720252664555, "corr_portfolio": 0.1496846800246356, "corr_benchmark": 0.5542356487813331, "alpha_pos_frac": 0.5683453237410072, "fund_max_dd": -0.40416447830303326, "first": "2014-08-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.95, vnq -0.15, iwm +0.14", "ref_full": "qqq +0.80, iwm +0.16, vnq -0.15, ivv +0.16, vwo +0.05, vweax -0.12" }, "hcmnx": { "sym": "hcmnx", "name": "HCM Sector Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009745837423223002, "alpha_t_5y": -0.2947262345708092, "alpha_t_full": 0.23169090194135764, "r2_5y": 0.8157743555622476, "r2_full": 0.804216357904357, "corr_portfolio": 0.2544213265042605, "corr_benchmark": 0.5508864218334764, "alpha_pos_frac": 0.45038167938931295, "fund_max_dd": -0.28892207013806537, "first": "2015-03-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.87, iwm +0.15, vnq -0.07", "ref_full": "ivv +0.83, iwm +0.16, vnq -0.10, djp +0.04, vwo +0.04" }, "hcrb": { "sym": "hcrb", "name": "Hartford Core Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006279126797593092, "alpha_t_5y": -0.1284240262194923, "alpha_t_full": 0.23928537099333053, "r2_5y": 0.961885850010277, "r2_full": 0.9250875190257193, "corr_portfolio": -0.11410706527521192, "corr_benchmark": 0.7588506548052818, "alpha_pos_frac": 0.5, "fund_max_dd": -0.19899941362914797, "first": "2020-02-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.61, ief +0.13, vweax +0.04, vmbix +0.12, vblix +0.04", "ref_full": "ief +0.25, agg +0.22, vweax +0.03, vmbix +0.25, vblix +0.19, tlt -0.08" }, "hcsbx": { "sym": "hcsbx", "name": "The Short-Term Municipal Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03646832967422717, "alpha_t_5y": -5.138257303051203, "alpha_t_full": -4.907611001473238, "r2_5y": 0.06287252237264473, "r2_full": 0.06019469658530596, "corr_portfolio": 0.013273237070412428, "corr_benchmark": 0.19259155945261192, "alpha_pos_frac": 0.46443514644351463, "fund_max_dd": -0.09274851259013872, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.07", "ref_full": "agg +0.04, vweax +0.02, fxy +0.01, vnq +0.00" }, "hcsrx": { "sym": "hcsrx", "name": "The Catholic SRI Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08410058245916659, "alpha_t_5y": -1.4778637027757762, "alpha_t_full": -2.2737181456797124, "r2_5y": 0.6092519467659712, "r2_full": 0.739255980803901, "corr_portfolio": 0.2641260775424393, "corr_benchmark": 0.546843308600453, "alpha_pos_frac": 0.743801652892562, "fund_max_dd": -0.5126581998077213, "first": "2016-02-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.78, efa +0.28", "ref_full": "ivv +0.72, vea +0.29, fxe +0.10" }, "hdvax": { "sym": "hdvax", "name": "Hartford International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007153339940781914, "alpha_t_5y": 0.0583675326172202, "alpha_t_full": -1.4740614152740066, "r2_5y": 0.9623406113826362, "r2_full": 0.9640797233295759, "corr_portfolio": 0.3788054405350635, "corr_benchmark": 0.5446526004044718, "alpha_pos_frac": 0.5377358490566038, "fund_max_dd": -0.5491735952213346, "first": "2008-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.69, vwo +0.22, vweax +0.10, vnq -0.02", "ref_full": "vea +0.41, vwo +0.16, vweax +0.24, efa +0.27, agg -0.09, gld +0.02" }, "heomx": { "sym": "heomx", "name": "Hartford Climate Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.046753597929446014, "alpha_t_5y": -2.0628690454058107, "alpha_t_full": -0.5494422401900814, "r2_5y": 0.9041419819991257, "r2_full": 0.9100983215480123, "corr_portfolio": 0.28755074344440584, "corr_benchmark": 0.6322642039903114, "alpha_pos_frac": 0.5083333333333333, "fund_max_dd": -0.3473863136896418, "first": "2016-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.84, ivv +0.35, iwm +0.16, efa -0.36, vblix +0.06", "ref_full": "vea +0.76, ivv +0.31, iwm +0.16, vblix +0.07, efa -0.31, vweax +0.12" }, "herix": { "sym": "herix", "name": "Hartford Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014952613270491447, "alpha_t_5y": 0.6010901570373655, "alpha_t_full": -0.41481046927430665, "r2_5y": 0.8886977699943409, "r2_full": 0.8680027472511109, "corr_portfolio": 0.31545554833879136, "corr_benchmark": 0.441251236010804, "alpha_pos_frac": 0.5028248587570622, "fund_max_dd": -0.3954537064972816, "first": "2011-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.80, vnq -0.09, vea +1.54, efa -1.36, fxe -0.11, fxy -0.07", "ref_full": "vwo +0.69, vweax +0.32, qqq +0.06, vnq -0.07, vea +1.12, efa -1.03" }, "hfcgx": { "sym": "hfcgx", "name": "Hennessy Cornerstone Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023459700954382108, "alpha_t_5y": 0.4251583606715445, "alpha_t_full": -0.24261881245191466, "r2_5y": 0.7225658490751511, "r2_full": 0.8265231852725747, "corr_portfolio": 0.3629103084587785, "corr_benchmark": 0.47284085522308117, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.6234891934877902, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.83, gsg +0.19, agg -0.31, vea +0.11", "ref_full": "iwm +0.84, djp +0.11, vnq -0.12, ivv +0.29, qqq -0.10, efa +0.05" }, "hfqax": { "sym": "hfqax", "name": "Janus Henderson Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026548635262769214, "alpha_t_5y": 1.268373040322541, "alpha_t_full": 0.40557642151308404, "r2_5y": 0.853151477505386, "r2_full": 0.8831584037316098, "corr_portfolio": 0.4451446410112785, "corr_benchmark": 0.4998394481470464, "alpha_pos_frac": 0.4935064935064935, "fund_max_dd": -0.48922436602895014, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.63, djp +0.04, qqq -0.27, ivv +0.38, vwo +0.06", "ref_full": "efa +0.59, vweax +0.27, ivv +0.23, qqq -0.11, djp +0.02, vnq -0.02" }, "hgxax": { "sym": "hgxax", "name": "Hartford Global Impact Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04724857063037367, "alpha_t_5y": -2.073361275217876, "alpha_t_full": -0.20622395401780874, "r2_5y": 0.8941230356772067, "r2_full": 0.8915025203997721, "corr_portfolio": 0.23377034234522157, "corr_benchmark": 0.6554392977447591, "alpha_pos_frac": 0.49074074074074076, "fund_max_dd": -0.3607342214301986, "first": "2017-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vea +0.32, iwm +0.24, vnq +0.08, vblix +0.07, gsg -0.03", "ref_full": "ivv +0.26, vea +0.25, iwm +0.23, vblix +0.11, vwo +0.09, vnq +0.07" }, "hhccx": { "sym": "hhccx", "name": "NexPoint Event Driven Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0684376977892044, "alpha_t_5y": -1.6035103786437488, "alpha_t_full": -0.6064935873741599, "r2_5y": 0.21114208914828403, "r2_full": 0.270463355301492, "corr_portfolio": 0.16753661541792386, "corr_benchmark": 0.32446519803240725, "alpha_pos_frac": 0.5046728971962616, "fund_max_dd": -0.3469944337912898, "first": "2008-05-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.22, vwo +0.08, vnq -0.06", "ref_full": "iwm +0.24, qqq +0.02, vnq -0.08, fxe -0.12, vweax +0.17, ivv +0.16" }, "hiabx": { "sym": "hiabx", "name": "HARTFORD TOTAL RETURN BOND HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00949520633347168, "alpha_t_5y": -0.9368862069681815, "alpha_t_full": -1.8251198963765853, "r2_5y": 0.8404000880086069, "r2_full": 0.6844709674584933, "corr_portfolio": -0.04836787545419665, "corr_benchmark": 0.6833684739743359, "alpha_pos_frac": 0.7167630057803468, "fund_max_dd": -Infinity, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.18, vweax +0.13, ief +0.23, vmbix +0.27, vblix +0.07", "ref_full": "ief +0.34, vweax +0.22, agg +0.16, vnq +0.01, tlt +0.04, fxy +0.03" }, "hiacx": { "sym": "hiacx", "name": "HARTFORD CAPITAL APPRECIATION HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04331226782280835, "alpha_t_5y": -2.644629284967322, "alpha_t_full": -2.620903300241392, "r2_5y": 0.9467302319492448, "r2_full": 0.9164609660975704, "corr_portfolio": 0.26793326527025774, "corr_benchmark": 0.5915528174487058, "alpha_pos_frac": 0.6374501992031872, "fund_max_dd": -66390.20134983156, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, iwm +0.11, vwo +0.03", "ref_full": "ivv +0.65, efa +0.11, iwm +0.13, vwo +0.07, vweax +0.10, qqq +0.05" }, "hiadx": { "sym": "hiadx", "name": "HARTFORD DIVIDEND AND GROWTH HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01442033623327178, "alpha_t_5y": -0.4787646740958107, "alpha_t_full": 0.2529171789492576, "r2_5y": 0.7887556285749338, "r2_full": 0.9311770726247479, "corr_portfolio": 0.361267248093254, "corr_benchmark": 0.542556491025278, "alpha_pos_frac": 0.4897959183673469, "fund_max_dd": -0.5582510344289178, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.34, qqq -0.54, efa +0.09, iwm +0.06", "ref_full": "ivv +1.11, qqq -0.31, efa +0.11, iwm +0.04, tlt -0.05, agg +0.09" }, "hiagx": { "sym": "hiagx", "name": "HARTFORD DISCIPLINED EQUITY HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04030870095755859, "alpha_t_5y": -1.761494886645007, "alpha_t_full": -1.2271947000870953, "r2_5y": 0.8974025087646824, "r2_full": 0.9444306736961788, "corr_portfolio": 0.2810048902978362, "corr_benchmark": 0.5991189106611468, "alpha_pos_frac": 0.48220064724919093, "fund_max_dd": -0.5618069904071546, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96", "ref_full": "ivv +0.96" }, "hiahx": { "sym": "hiahx", "name": "HARTFORD HEALTHCARE HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03532897588279994, "alpha_t_5y": -0.7706777394101725, "alpha_t_full": -0.07227182478656484, "r2_5y": 0.553527817705181, "r2_full": 0.6724429112488355, "corr_portfolio": 0.20701274267115943, "corr_benchmark": 0.5087535761811314, "alpha_pos_frac": 0.451063829787234, "fund_max_dd": -0.5368388652448328, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.92, vnq +0.11, qqq -0.36, gsg -0.07, iwm +0.12, ief +0.16", "ref_full": "ivv +0.54, iwm +0.22, agg +0.18, vnq -0.06, gsg -0.04, efa +0.08" }, "hiaox": { "sym": "hiaox", "name": "HARTFORD INTERNATIONAL OPPORTUNITIES HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04452174671383732, "alpha_t_5y": -1.6595505949261442, "alpha_t_full": -1.3144713122887948, "r2_5y": 0.8620648968486697, "r2_full": 0.9008393494329985, "corr_portfolio": 0.34761292853830694, "corr_benchmark": 0.536755245969382, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -3.53784364501715, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.40, vwo +0.21, qqq +0.06, efa +0.33, vnq -0.04", "ref_full": "efa +0.65, vwo +0.13, vweax +0.19, qqq +0.09, djp +0.04, fxe +0.07" }, "hiasx": { "sym": "hiasx", "name": "HARTFORD SMALL COMPANY HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06189263186182585, "alpha_t_5y": -2.1908871330860604, "alpha_t_full": -2.234374014950875, "r2_5y": 0.9176000566034023, "r2_full": 0.8946448363953585, "corr_portfolio": 0.18077542240863795, "corr_benchmark": 0.5430503506773026, "alpha_pos_frac": 0.9579288025889967, "fund_max_dd": -18.642083547081885, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.86, qqq +0.35, ivv -0.24", "ref_full": "iwm +0.81, qqq +0.34, vnq -0.05, ivv -0.14, vweax +0.11, djp +0.03" }, "hicox": { "sym": "hicox", "name": "COLORADO BONDSHARES A TAX EXEMPT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014126088306647086, "alpha_t_5y": 1.2183968082783116, "alpha_t_full": 4.369026501915517, "r2_5y": 0.2558527263164956, "r2_full": 0.17865497448394907, "corr_portfolio": 0.040750828443813995, "corr_benchmark": 0.3117497712605609, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.08393504078511771, "first": "2007-06-04", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false, "ref_5y": "vmbix +0.16, vweax +0.19, ivv -0.04, vnq +0.02", "ref_full": "agg +0.10, vweax +0.13, fxy +0.02, gsg -0.01, vnq +0.01, efa -0.01" }, "hilax": { "sym": "hilax", "name": "The Hartford International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06631216310137795, "alpha_t_5y": 3.1633081904089435, "alpha_t_full": 2.2420238527363496, "r2_5y": 0.8916066723496996, "r2_full": 0.9127074528666399, "corr_portfolio": 0.4651450179980374, "corr_benchmark": 0.46419993546308175, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.485816504652382, "first": "2010-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.53, qqq -0.25, gsg +0.04, vwo +0.09, ivv +0.21, vea +0.32", "ref_full": "vea +0.54, qqq -0.12, gsg +0.05, iwm +0.06, vweax +0.15, efa +0.36" }, "himcx": { "sym": "himcx", "name": "HARTFORD MIDCAP HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1234512094583503, "alpha_t_5y": -3.744110484877054, "alpha_t_full": -3.0287606455164067, "r2_5y": 0.8732134538387855, "r2_full": 0.905879849805054, "corr_portfolio": 0.23667182669655487, "corr_benchmark": 0.5891157322902535, "alpha_pos_frac": 0.49838187702265374, "fund_max_dd": -0.5959824401344394, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.52, ivv +0.35, qqq +0.18", "ref_full": "iwm +0.47, ivv +0.41, qqq +0.13, vweax +0.16, vnq -0.04, gld +0.02" }, "hiscx": { "sym": "hiscx", "name": "HARTFORD SMALL CAP GROWTH HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05980279939928969, "alpha_t_5y": -2.2948453349498568, "alpha_t_full": -2.1154212666677354, "r2_5y": 0.9345305195173514, "r2_full": 0.9110950145127183, "corr_portfolio": 0.18731974970635779, "corr_benchmark": 0.5472893726840622, "alpha_pos_frac": 0.6551724137931034, "fund_max_dd": -0.8348720846189689, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.90, qqq +0.37, ivv -0.24, djp -0.04", "ref_full": "iwm +0.90, qqq +0.26, vnq -0.06, agg +0.10, ivv -0.09" }, "hisix": { "sym": "hisix", "name": "International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012190402710601404, "alpha_t_5y": -0.6753552060565418, "alpha_t_full": -1.0662787364185418, "r2_5y": 0.9323941652341847, "r2_full": 0.9339963105129128, "corr_portfolio": 0.3203014969785692, "corr_benchmark": 0.5490482886714586, "alpha_pos_frac": 0.4780701754385965, "fund_max_dd": -0.5645778384651758, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.78, vwo +0.09, qqq +0.06, fxe +0.08, vweax +0.11, fxy +0.05", "ref_full": "efa +0.76, qqq +0.09, vweax +0.19, fxe +0.10, vnq -0.03, vwo +0.03" }, "hmezx": { "sym": "hmezx", "name": "NexPoint Merger Arbitrage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01155202033940213, "alpha_t_5y": 1.9617786064906573, "alpha_t_full": 2.980192390137191, "r2_5y": 0.20214662921123638, "r2_full": 0.07741802900583494, "corr_portfolio": 0.1403541161190693, "corr_benchmark": 0.14360276784113007, "alpha_pos_frac": 0.45864661654135336, "fund_max_dd": -0.06856587992926988, "first": "2015-01-21", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.03, iwm +0.01", "ref_full": "ivv +0.03, vweax +0.11, fxy -0.03" }, "hncax": { "sym": "hncax", "name": "THE HARTFORD INTERNATIONAL GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06801656516743876, "alpha_t_5y": -2.676311963994315, "alpha_t_full": -2.474495511595218, "r2_5y": 0.915908970882608, "r2_full": 0.9085930810061341, "corr_portfolio": 0.28343523410060617, "corr_benchmark": 0.571386346096035, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.6839336944681875, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.89, qqq +0.39, vwo +0.20, ivv -0.34, fxy -0.10, gsg -0.03", "ref_full": "efa +0.62, qqq +0.30, vwo +0.12, vweax +0.29, ivv -0.16, fxe +0.09" }, "hnddx": { "sym": "hnddx", "name": "Horizon Equity Premium Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01262848840014392, "alpha_t_5y": -0.8046191902018778, "alpha_t_full": -0.8296285932634929, "r2_5y": 0.9277610538294149, "r2_full": 0.925446101687896, "corr_portfolio": 0.38573850769273543, "corr_benchmark": 0.5736932320609517, "alpha_pos_frac": 0.5363636363636364, "fund_max_dd": -0.3628016022427095, "first": "2016-12-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.34, qqq -0.47, gsg +0.03, vnq -0.06, vea +0.27, efa -0.20", "ref_full": "ivv +1.22, qqq -0.43, vea +0.30, vnq -0.04, gsg +0.02, efa -0.17" }, "hnmdx": { "sym": "hnmdx", "name": "HEARTLAND MID CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0030506967946549533, "alpha_t_5y": 0.12107186947264782, "alpha_t_full": 1.1368235614155677, "r2_5y": 0.8601862611073374, "r2_full": 0.9017637492429544, "corr_portfolio": 0.36165527435061445, "corr_benchmark": 0.5004804416405592, "alpha_pos_frac": 0.5073529411764706, "fund_max_dd": -0.42591090753611194, "first": "2014-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.32, vnq +0.12, ivv +1.05, qqq -0.63, vea +0.05", "ref_full": "iwm +0.39, vnq +0.04, ivv +1.15, qqq -0.67, vwo +0.08, gld -0.04" }, "hrsax": { "sym": "hrsax", "name": "Rational Premium Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0035020291211789708, "alpha_t_5y": 0.33024430605591565, "alpha_t_full": -0.8463277473910824, "r2_5y": 0.2419367095510354, "r2_full": 0.5415384032900669, "corr_portfolio": 0.032457341381386354, "corr_benchmark": 0.09995511336059631, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.696994263507694, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.41, efa -0.33, gsg -0.03, vnq -0.02, fxe -0.06, gld +0.01", "ref_full": "vwo +0.29, vnq +0.15, gsg +0.14, tlt -0.08, fxe +0.20, fxy -0.16" }, "hspgx": { "sym": "hspgx", "name": "Emerald Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03094202484545571, "alpha_t_5y": -0.5499604661447384, "alpha_t_full": -0.4993928932733804, "r2_5y": 0.770302322526977, "r2_full": 0.8112168534764989, "corr_portfolio": 0.11458832610971298, "corr_benchmark": 0.5586442487201634, "alpha_pos_frac": 0.5945945945945946, "fund_max_dd": -0.41478074122538766, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.01, qqq +0.41, vnq -0.16, ivv -0.29", "ref_full": "iwm +0.96, qqq +0.47, ivv -0.34, vnq -0.10" }, "hstax": { "sym": "hstax", "name": "HARTFORD STOCK HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04452696278985889, "alpha_t_5y": -1.4589441381100463, "alpha_t_full": -0.9601951316255416, "r2_5y": 0.7469574007075352, "r2_full": 0.8909806860606935, "corr_portfolio": 0.3316252882523144, "corr_benchmark": 0.5547042975218734, "alpha_pos_frac": 0.574468085106383, "fund_max_dd": 0.0, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.47, qqq -0.59, gsg -0.05, ief +0.10, iwm -0.07, vnq +0.06", "ref_full": "ivv +0.99, qqq -0.22, vnq +0.11, efa +0.12, iwm -0.05, ief -0.07" }, "hstrx": { "sym": "hstrx", "name": "Hussman Strategic Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011463848215087067, "alpha_t_5y": 0.745545383588596, "alpha_t_full": 0.4529514592281448, "r2_5y": 0.6636661199263217, "r2_full": 0.6136499421802475, "corr_portfolio": 0.025000296360608344, "corr_benchmark": 0.521574642756566, "alpha_pos_frac": 0.45689655172413796, "fund_max_dd": -0.13531739258845787, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +0.12, agg +0.04, vnq +0.08, djp +0.07, fxe +0.09, ief +0.28", "ref_full": "gld +0.16, agg +0.09, ivv +0.07, ief +0.30, gsg +0.03, fxe +0.05" }, "htrb": { "sym": "htrb", "name": "Hartford Total Return Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009416181706491799, "alpha_t_5y": 0.127060228354395, "alpha_t_full": -0.02201903529226553, "r2_5y": 0.9122823479944686, "r2_full": 0.7643755204940397, "corr_portfolio": -0.07224841168982185, "corr_benchmark": 0.6903755829725631, "alpha_pos_frac": 0.5346534653465347, "fund_max_dd": -0.1948141373110771, "first": "2017-09-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.64, vweax +0.12, tlt +0.04, ief +0.14", "ref_full": "agg +0.24, vblix +0.09, vmbix +0.16, vweax +0.14, ief +0.23" }, "hubax": { "sym": "hubax", "name": "HARTFORD ULTRASHORT BOND HLS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00926725689880186, "alpha_t_5y": -1.0745247291047746, "alpha_t_full": -0.5700002195490169, "r2_5y": 0.050195051313732586, "r2_full": 0.03741001805252919, "corr_portfolio": -0.012658213501320844, "corr_benchmark": 0.12929022674711366, "alpha_pos_frac": 0.47297297297297297, "fund_max_dd": -0.04562737642585546, "first": "2013-10-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, tlt -0.03", "ref_full": "agg +0.06" }, "hulax": { "sym": "hulax", "name": "HAWAIIAN TAX-FREE TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021856641940666933, "alpha_t_5y": -2.32020658869502, "alpha_t_full": -0.23554705633915687, "r2_5y": 0.3692174908834588, "r2_full": 0.25574211778549805, "corr_portfolio": 0.026065755754304896, "corr_benchmark": 0.3394212436277024, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.10656305515011266, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.16, vweax +0.21, ivv -0.04, vmbix +0.08, tlt -0.09", "ref_full": "agg +0.07, vweax +0.18, ief +0.07, fxy +0.02, gsg -0.01, iwm -0.01" }, "hyem": { "sym": "hyem", "name": "VanEck Emerging Markets High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009089390027069311, "alpha_t_5y": -0.4052011080069025, "alpha_t_full": -0.04664516336037043, "r2_5y": 0.4575343971076711, "r2_full": 0.35440780317947207, "corr_portfolio": 0.19700725733000526, "corr_benchmark": 0.4612190072521239, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.3096522506602123, "first": "2012-05-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.07, agg +0.82, ivv +0.09, ief -0.40, vweax +0.15, vwo +0.04", "ref_full": "vweax +0.49, vea +0.02, agg +0.30, vwo +0.07, ivv +0.17, qqq -0.08" }, "hymax": { "sym": "hymax", "name": "Lord Abbett High Income Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010011477259493333, "alpha_t_5y": -0.6287488806055003, "alpha_t_full": -0.538426576967301, "r2_5y": 0.4128143011269746, "r2_full": 0.26952000429390577, "corr_portfolio": 0.08678559819714562, "corr_benchmark": 0.33395264687060994, "alpha_pos_frac": 0.6416184971098265, "fund_max_dd": -0.3944067487756713, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, vblix +0.34, ivv -0.09, tlt -0.18, vnq +0.03", "ref_full": "vweax +0.44, agg +0.14, iwm -0.03, vnq +0.02, fxy +0.03" }, "hysax": { "sym": "hysax", "name": "PGIM Short Duration High Yield Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010128743349328081, "alpha_t_5y": 1.2013685195467487, "alpha_t_full": 1.2414805219213403, "r2_5y": 0.7165457842914924, "r2_full": 0.796347806278471, "corr_portfolio": 0.27790451799258387, "corr_benchmark": 0.40551887551996096, "alpha_pos_frac": 0.5375, "fund_max_dd": -0.18340367822153847, "first": "2012-10-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.61, agg +0.06, iwm +0.01", "ref_full": "vweax +0.57, vblix +0.28, tlt -0.19, agg -0.10, ief +0.07, djp +0.01" }, "iarax": { "sym": "iarax", "name": "INVESCO Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0051738826479154724, "alpha_t_5y": -0.429180938180311, "alpha_t_full": -0.9923932207950539, "r2_5y": 0.9757321672348133, "r2_full": 0.9739446370381423, "corr_portfolio": 0.23031561364349118, "corr_benchmark": 0.5633179605298366, "alpha_pos_frac": 0.48638132295719844, "fund_max_dd": -0.7057179159321819, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.02, iwm -0.05", "ref_full": "vnq +0.95, agg -0.23, ief +0.15, efa +0.02, iwm -0.04, ivv +0.05" }, "iautx": { "sym": "iautx", "name": "INVESCO Dividend Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0036176239307140127, "alpha_t_5y": 0.21932441019961105, "alpha_t_full": 0.7845038351974166, "r2_5y": 0.9073735861863761, "r2_full": 0.7859394910702493, "corr_portfolio": 0.4154534378783923, "corr_benchmark": 0.5126932898084825, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.4780680077345061, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.41, qqq -0.74, vea +0.09, iwm +0.06, vnq +0.04", "ref_full": "ivv +1.04, qqq -0.43, efa +0.15, agg +0.16, fxe -0.06" }, "ibnax": { "sym": "ibnax", "name": "Nomura Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008069184310846177, "alpha_t_5y": -0.13044433508495104, "alpha_t_full": 0.12621894335172662, "r2_5y": 0.34761346484225997, "r2_full": 0.6780620850125744, "corr_portfolio": 0.22571531474509635, "corr_benchmark": 0.5223035925500813, "alpha_pos_frac": 0.4868421052631579, "fund_max_dd": -0.49891100231860497, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.58, agg +0.53, fxy -0.17", "ref_full": "ivv +0.54, agg +0.20, iwm +0.09, vnq -0.03" }, "ibnd": { "sym": "ibnd", "name": "State Street(R) SPDR(R) Bloomberg International Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0053154222031702525, "alpha_t_5y": -0.3369373228340791, "alpha_t_full": 0.005016716829214029, "r2_5y": 0.8440219807329525, "r2_full": 0.7714043822022414, "corr_portfolio": 0.0702528402288313, "corr_benchmark": 0.424359927913938, "alpha_pos_frac": 0.4708994708994709, "fund_max_dd": -0.35633755899516883, "first": "2010-05-21", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.76, agg -0.03, vweax +0.23, vea +0.08, fxy +0.08, ief +0.37", "ref_full": "fxe +0.81, agg +0.04, vweax +0.26, ief +0.29, vea +0.05, fxy +0.06" }, "ibrax": { "sym": "ibrax", "name": "Voya Inflation Protected Bond Plus Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006854904740572311, "alpha_t_5y": -0.5091150987412955, "alpha_t_full": -0.8104113486386444, "r2_5y": 0.7204457171188607, "r2_full": 0.6385778635594126, "corr_portfolio": -0.023100696847857292, "corr_benchmark": 0.6331080153881508, "alpha_pos_frac": 0.5486725663716814, "fund_max_dd": -0.16563565156852744, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.48, gsg +0.06, vweax +0.12, ief +0.27", "ref_full": "ief +0.45, gsg +0.04, vweax +0.13, tlt +0.07, iwm +0.01, agg +0.09" }, "iceux": { "sym": "iceux", "name": "NYLI Epoch International Choice Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019803418173840277, "alpha_t_5y": 0.07963893724719506, "alpha_t_full": -0.6886962860905876, "r2_5y": 0.84965502442281, "r2_full": 0.890837869451298, "corr_portfolio": 0.35463505084276475, "corr_benchmark": 0.5139949836149093, "alpha_pos_frac": 0.4628099173553719, "fund_max_dd": -0.5624888936870789, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.80, fxe +0.19, vweax +0.27, iwm -0.04", "ref_full": "efa +0.77, vweax +0.35, fxe +0.16" }, "icifx": { "sym": "icifx", "name": "Invesco Conservative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0012006029621559513, "alpha_t_5y": 0.2574178020221547, "alpha_t_full": 0.9432732625116951, "r2_5y": 0.30772151692491556, "r2_full": 0.25128638643431234, "corr_portfolio": 0.05080896185756704, "corr_benchmark": 0.1558182830587422, "alpha_pos_frac": 0.4222222222222222, "fund_max_dd": -0.021868197944613033, "first": "2014-12-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.06, ivv -0.01, ief +0.14, tlt -0.16, vblix +0.20, agg -0.15", "ref_full": "vweax +0.05, vea -0.01, ief +0.08, tlt -0.09, vblix +0.09, vmbix -0.03" }, "icmbx": { "sym": "icmbx", "name": "Intrepid Capital Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004091006305458041, "alpha_t_5y": -0.20330576576214687, "alpha_t_full": -0.6000156212637214, "r2_5y": 0.8139216800580553, "r2_full": 0.8516120665357292, "corr_portfolio": 0.2865401900968498, "corr_benchmark": 0.549420141133989, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.3369921582761638, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.46, iwm +0.20, qqq -0.12, efa +0.31, vea -0.27, gld +0.03", "ref_full": "ivv +0.36, iwm +0.22, vweax +0.16, qqq -0.07, gld +0.02" }, "icmux": { "sym": "icmux", "name": "Intrepid Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03019752838208298, "alpha_t_5y": 3.43705037506497, "alpha_t_full": 4.800093240450238, "r2_5y": 0.3551167704088203, "r2_full": 0.3651973997980459, "corr_portfolio": 0.23507511273099085, "corr_benchmark": 0.35650693325630023, "alpha_pos_frac": 0.40860215053763443, "fund_max_dd": -0.08763372666476854, "first": "2010-08-17", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false, "ref_5y": "vweax +0.21, iwm +0.02, vea +0.02", "ref_full": "vweax +0.20, iwm +0.03, qqq -0.02, ivv +0.03, agg +0.02" }, "icpax": { "sym": "icpax", "name": "Integrity Mid-North American Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023581810809648912, "alpha_t_5y": 0.39576629948726666, "alpha_t_full": 0.32723602107355165, "r2_5y": 0.6949802054739085, "r2_full": 0.7154560397755002, "corr_portfolio": 0.33053609551411284, "corr_benchmark": 0.33204549309286, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.7738101359369344, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.51, gsg +0.53, ief -0.30, vea +0.11, qqq -0.54, ivv +0.79", "ref_full": "iwm +0.64, gsg +0.41, vnq -0.16, ivv +0.68, qqq -0.40, vweax +0.19" }, "idivx": { "sym": "idivx", "name": "Integrity Dividend Harvest Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.039239803144484754, "alpha_t_5y": 1.716036641133559, "alpha_t_full": 2.176137414610213, "r2_5y": 0.8294190664482645, "r2_full": 0.8607126049385581, "corr_portfolio": 0.40212063568168777, "corr_benchmark": 0.5375508908030793, "alpha_pos_frac": 0.4397590361445783, "fund_max_dd": -0.3164086324206886, "first": "2012-05-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.18, qqq -0.55, vnq +0.11, gsg +0.04, vea +0.09", "ref_full": "ivv +1.21, qqq -0.47, vnq +0.09, iwm -0.04, fxy +0.04, gsg +0.02" }, "idlv": { "sym": "idlv", "name": "Invesco S&P International Developed Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01424192996571178, "alpha_t_5y": 0.7386895097338272, "alpha_t_full": 0.33970395816545895, "r2_5y": 0.8469897613683476, "r2_full": 0.8269892188349053, "corr_portfolio": 0.3661491475167419, "corr_benchmark": 0.5382824447775549, "alpha_pos_frac": 0.5739644970414202, "fund_max_dd": -0.34650849298811437, "first": "2012-01-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.60, fxy +0.17, vnq +0.11, qqq -0.14, iwm -0.05, ivv +0.15", "ref_full": "efa +0.63, vnq +0.12, fxy +0.12, iwm -0.06, gsg +0.03, vwo +0.03" }, "idmo": { "sym": "idmo", "name": "Invesco S&P International Developed Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026314568317301834, "alpha_t_5y": 0.9006534661161912, "alpha_t_full": 0.30133465470453064, "r2_5y": 0.8557112935347675, "r2_full": 0.42993462735610977, "corr_portfolio": 0.2948630207438445, "corr_benchmark": 0.4089165642620729, "alpha_pos_frac": 0.5238095238095238, "fund_max_dd": -0.3937584268774492, "first": "2012-02-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.81, vmbix -0.28, vnq -0.07, fxe -0.13, efa +0.31, vblix +0.09", "ref_full": "vea +0.80, vweax +0.40, vwo -0.10, qqq +0.17, ivv -0.19" }, "iegax": { "sym": "iegax", "name": "Invesco International Small Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013904572082773755, "alpha_t_5y": 0.546445197976487, "alpha_t_full": -0.44174252344344056, "r2_5y": 0.80033737507752, "r2_full": 0.8213166253625823, "corr_portfolio": 0.37024746676687265, "corr_benchmark": 0.47542559531209183, "alpha_pos_frac": 0.5695067264573991, "fund_max_dd": -0.653603628671318, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.93, vwo +0.13, fxe +0.16, vweax +0.23, efa -0.36, qqq -0.04", "ref_full": "efa +0.36, vweax +0.54, vwo +0.16, fxe +0.19, djp +0.05, iwm +0.04" }, "iemfx": { "sym": "iemfx", "name": "T. Rowe Price Institutional Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04588363612911071, "alpha_t_5y": -1.6321560796559957, "alpha_t_full": -1.4598663932711313, "r2_5y": 0.8772066991633654, "r2_full": 0.876073627983051, "corr_portfolio": 0.26294995654246084, "corr_benchmark": 0.4504010109168068, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.7164548516409868, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.86, qqq +0.06, vnq -0.11, vea +1.59, efa -1.45, gld -0.06", "ref_full": "vwo +0.70, vweax +0.45, qqq +0.08, vnq -0.05, iwm +0.05, ief -0.06" }, "ienax": { "sym": "ienax", "name": "INVESCO Energy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07120909257094621, "alpha_t_5y": 1.1245398043229535, "alpha_t_full": 0.5354114695790734, "r2_5y": 0.6641351237244866, "r2_full": 0.7025918550268277, "corr_portfolio": 0.3559047108778721, "corr_benchmark": 0.24714933788955998, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.8329335607877874, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.65, iwm +0.30, qqq -1.08, ivv +1.53, vnq -0.24, vea +0.21", "ref_full": "efa +0.28, gsg +0.60, iwm +0.35, qqq -0.64, ivv +1.03, vnq -0.15" }, "ieyax": { "sym": "ieyax", "name": "Nomura Climate Solutions Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0412230224446183, "alpha_t_5y": 0.7181070856420533, "alpha_t_full": -0.3021169054272879, "r2_5y": 0.6380496193475993, "r2_full": 0.6992580585465622, "corr_portfolio": 0.2802944508769317, "corr_benchmark": 0.3499409027596151, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.852290007827435, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.34, djp +0.18, vea +0.43, qqq -0.60, ivv +0.72, gsg +0.22", "ref_full": "efa +0.32, gsg +0.45, iwm +0.48, qqq -0.47, ivv +0.74, vnq -0.15" }, "igaax": { "sym": "igaax", "name": "International Growth and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033118430970387916, "alpha_t_5y": 0.1861787811877621, "alpha_t_full": 0.20155134073867212, "r2_5y": 0.9169055072181908, "r2_full": 0.9021039738053923, "corr_portfolio": 0.39220557400606937, "corr_benchmark": 0.5197497638788329, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.3578556551474532, "first": "2008-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.18, vwo +0.20, efa +0.47, djp +0.03, tlt -0.22, vblix +0.24", "ref_full": "vea +0.47, vweax +0.31, vwo +0.08, vnq -0.05, efa +0.19, ivv +0.05" }, "igiax": { "sym": "igiax", "name": "INTEGRITY GROWTH & INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005517053068889458, "alpha_t_5y": 0.24349141900228294, "alpha_t_full": -0.18052370554860891, "r2_5y": 0.9106220113378164, "r2_full": 0.9021721472855103, "corr_portfolio": 0.27240010023681477, "corr_benchmark": 0.6045208830041928, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.7913904441167134, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.75, vea +0.42, qqq +0.11, efa -0.33, iwm +0.05, djp -0.03", "ref_full": "ivv +0.78, vnq -0.09, iwm +0.13, gld +0.04, qqq +0.07, fxe +0.06" }, "iglgx": { "sym": "iglgx", "name": "Columbia Select Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03733163076960049, "alpha_t_5y": -1.6947564747250488, "alpha_t_full": -2.0629773286766695, "r2_5y": 0.9241189119477482, "r2_full": 0.9365201026164084, "corr_portfolio": 0.21918864684824255, "corr_benchmark": 0.6205183449409822, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6028579403245953, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.47, vea +0.34, ivv +0.27, iwm -0.07, djp -0.05, gld +0.03", "ref_full": "ivv +0.31, efa +0.28, qqq +0.31, gld +0.04, vwo +0.05, vweax +0.12" }, "igmax": { "sym": "igmax", "name": "Voya Global Insights Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06014888254572582, "alpha_t_5y": -2.237874954095049, "alpha_t_full": -2.0691658380956435, "r2_5y": 0.9043585917990377, "r2_full": 0.92851337839402, "corr_portfolio": 0.2159252593533561, "corr_benchmark": 0.5939871645730053, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5754989572523852, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.49, vea +0.35, iwm +0.10, vwo +0.10, vweax +0.15", "ref_full": "ivv +0.18, efa +0.41, qqq +0.33, vweax +0.18, iwm +0.08, fxe +0.09" }, "igncx": { "sym": "igncx", "name": "Nomura Natural Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003274006907339466, "alpha_t_5y": -0.07194423896805098, "alpha_t_full": -1.3759731081087074, "r2_5y": 0.7549781149509245, "r2_full": 0.7963747129226675, "corr_portfolio": 0.3230523584707185, "corr_benchmark": 0.39767656008759344, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.7914364890127007, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.37, gsg +0.36, iwm +0.34, gld +0.18, qqq -0.49, ivv +0.65", "ref_full": "efa +0.27, gsg +0.25, iwm +0.34, vwo +0.26, djp +0.18, gld +0.08" }, "ihfax": { "sym": "ihfax", "name": "Integrity High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014465733915306153, "alpha_t_5y": 0.17572392754519944, "alpha_t_full": -2.031095505680271, "r2_5y": 0.836909937338503, "r2_full": 0.8022193918568739, "corr_portfolio": 0.3147744277415055, "corr_benchmark": 0.4154113144945422, "alpha_pos_frac": 0.5529411764705883, "fund_max_dd": -0.49781832418994976, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.91, iwm +0.01, gld -0.01", "ref_full": "vweax +1.04, tlt -0.04, agg +0.11, djp +0.01, gld -0.01" }, "ihiax": { "sym": "ihiax", "name": "Federated Hermes Emerging Market Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012611541909437201, "alpha_t_5y": 0.734973391010496, "alpha_t_full": 0.4243479980778521, "r2_5y": 0.5355153754987937, "r2_full": 0.4845661906164509, "corr_portfolio": 0.2535183355567133, "corr_benchmark": 0.4408365335133892, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.3641350744616947, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.56, fxe +0.13, agg +0.20, vwo +0.10, qqq -0.05, gsg -0.02", "ref_full": "vweax +0.57, vwo +0.10, agg +0.22, qqq -0.04, fxe +0.05, djp +0.02" }, "ihoax": { "sym": "ihoax", "name": "THE HARTFORD INTERNATIONAL OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026759672422407357, "alpha_t_5y": -1.703973026334035, "alpha_t_full": -0.685525169592744, "r2_5y": 0.9475276357667144, "r2_full": 0.9507691747115333, "corr_portfolio": 0.3544846197944762, "corr_benchmark": 0.5424280878694606, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.5837147544927817, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.55, vwo +0.21, qqq +0.05, vnq -0.04, gsg +0.02, efa +0.19", "ref_full": "vea +0.50, vwo +0.12, qqq +0.06, vweax +0.19, efa +0.22, agg -0.10" }, "iifax": { "sym": "iifax", "name": "Voya Balanced Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009984213874124667, "alpha_t_5y": -1.2480805828322061, "alpha_t_full": -1.6152479587598294, "r2_5y": 0.9302070543850782, "r2_full": 0.8439112514290108, "corr_portfolio": 0.29606531800183267, "corr_benchmark": 0.6209411278671755, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.4116243384980025, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vmbix +0.08, vea +0.07, ief +0.33, tlt -0.08, qqq -0.05", "ref_full": "ivv +0.39, vweax +0.43, efa +0.08, agg +0.13, qqq -0.08, vnq -0.03" }, "iigix": { "sym": "iigix", "name": "Voya Multi-Manager International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025412997227561043, "alpha_t_5y": -1.7928790153307779, "alpha_t_full": -1.5924115739349227, "r2_5y": 0.9562878676157214, "r2_full": 0.9434047874632624, "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", "alpha_name": true, "ref_5y": "vea +0.35, vwo +0.16, vweax +0.17, efa +0.37, qqq +0.05, fxe +0.08", "ref_full": "vea +0.45, vweax +0.26, vwo +0.10, efa +0.29, qqq +0.05, fxe +0.07" }, "imanx": { "sym": "imanx", "name": "Iman Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02932965907606685, "alpha_t_5y": -1.289705431211127, "alpha_t_full": -2.0686224642829982, "r2_5y": 0.9344325104499209, "r2_full": 0.924318123604086, "corr_portfolio": 0.1536226802582863, "corr_benchmark": 0.6067599368572097, "alpha_pos_frac": 0.5537848605577689, "fund_max_dd": -0.5679045565269556, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.67, iwm +0.22, vwo +0.08, gld +0.04", "ref_full": "qqq +0.54, iwm +0.17, vwo +0.08, djp +0.04, ivv +0.17, gld +0.05" }, "imntx": { "sym": "imntx", "name": "Columbia Minnesota Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018312636180368994, "alpha_t_5y": -1.1297423020511592, "alpha_t_full": 0.4363971890670526, "r2_5y": 0.3746718161872843, "r2_full": 0.25665547663974775, "corr_portfolio": 0.03917570892692516, "corr_benchmark": 0.3309166285327613, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.17930959233093224, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.25, tlt -0.15", "ref_full": "vweax +0.30, ief +0.08, fxy +0.04, agg +0.11, gsg -0.01, efa -0.01" }, "imrfx": { "sym": "imrfx", "name": "Columbia Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02941559608762385, "alpha_t_5y": -3.0274843203329627, "alpha_t_full": -2.742518193317769, "r2_5y": 0.9552813202888931, "r2_full": 0.9311193854231873, "corr_portfolio": 0.2837823525462289, "corr_benchmark": 0.7161823346053737, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.46078256390829286, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.15, ivv +0.32, ief +0.27, vwo +0.10, fxe +0.13, iwm +0.04", "ref_full": "ivv +0.31, efa +0.11, ief +0.20, vwo +0.08, iwm +0.08, fxe +0.11" }, "inco": { "sym": "inco", "name": "Columbia India Consumer ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03683282439964817, "alpha_t_5y": 0.6315262770779487, "alpha_t_full": 0.8604637400413444, "r2_5y": 0.35524209353299663, "r2_full": 0.3920702097264629, "corr_portfolio": 0.207105792244564, "corr_benchmark": 0.35553175362658324, "alpha_pos_frac": 0.5057471264367817, "fund_max_dd": -0.4769351623052185, "first": "2011-08-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.34, efa +0.21, djp -0.13, ivv +0.13", "ref_full": "vwo +0.59, vweax +0.44, djp -0.10, vnq +0.09" }, "index": { "sym": "index", "name": "CYBER HORNET S&P 500(R)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008641547441837158, "alpha_t_5y": -0.6390386926955749, "alpha_t_full": 0.1721282751790929, "r2_5y": 0.9628179092575593, "r2_full": 0.96876877016331, "corr_portfolio": 0.3289929060004562, "corr_benchmark": 0.5920379845236783, "alpha_pos_frac": 0.5461538461538461, "fund_max_dd": -0.38818218820133854, "first": "2015-05-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.15, qqq -0.26, iwm +0.10, vea +0.25, efa -0.20, fxy -0.04", "ref_full": "ivv +1.14, qqq -0.32, iwm +0.16, vea +0.21, efa -0.17, agg -0.04" }, "indzx": { "sym": "indzx", "name": "Columbia Intrinsic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014388962143446765, "alpha_t_5y": 0.8858284691527323, "alpha_t_full": 0.5059376595246973, "r2_5y": 0.931064957572448, "r2_full": 0.9585256924984629, "corr_portfolio": 0.3986069899888915, "corr_benchmark": 0.5335031479497215, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5901841184054999, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.31, qqq -0.62, iwm +0.13, vea +0.41, efa -0.27, fxe -0.08", "ref_full": "ivv +1.08, qqq -0.35, iwm +0.13, efa +0.11, gsg +0.03, fxy -0.05" }, "ineax": { "sym": "ineax", "name": "Columbia High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004507682447516866, "alpha_t_5y": -0.7048431347966153, "alpha_t_full": 1.8620786225547326, "r2_5y": 0.901473397576287, "r2_full": 0.7716439751948674, "corr_portfolio": 0.29841148131519357, "corr_benchmark": 0.4224557805821084, "alpha_pos_frac": 0.31958762886597936, "fund_max_dd": -0.2720820833603149, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.91, iwm +0.01, ivv +0.01", "ref_full": "vweax +0.98, tlt -0.02, agg +0.10, ief -0.06" }, "inivx": { "sym": "inivx", "name": "International Investors Gold Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015998982010968756, "alpha_t_5y": -0.21461749883551667, "alpha_t_full": -0.562662971487047, "r2_5y": 0.7296252293595644, "r2_full": 0.6634075959597941, "corr_portfolio": 0.05335339354433339, "corr_benchmark": 0.3176349846850058, "alpha_pos_frac": 0.4125560538116592, "fund_max_dd": -0.7895568073169563, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.27, vea +1.53, efa -0.93", "ref_full": "gld +1.44, vwo +0.24, efa +0.11, djp +0.09, fxe +0.19, iwm +0.09" }, "inpax": { "sym": "inpax", "name": "American Funds Conservative Growth and Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007883058324280514, "alpha_t_5y": 1.1353252500019977, "alpha_t_full": 0.4640805644774264, "r2_5y": 0.9503280905859389, "r2_full": 0.9482978443588076, "corr_portfolio": 0.3816616738087967, "corr_benchmark": 0.684162304466127, "alpha_pos_frac": 0.47878787878787876, "fund_max_dd": -0.21249066730516997, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vmbix +0.07, qqq -0.21, vea +0.13, vweax +0.15, agg +0.21", "ref_full": "ivv +0.48, vea +0.14, vblix +0.00, qqq -0.16, vweax +0.20, ief +0.18" }, "intax": { "sym": "intax", "name": "Columbia Strategic Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01236908307905884, "alpha_t_5y": -0.6879430255989153, "alpha_t_full": 1.0714849080396363, "r2_5y": 0.37722060424306036, "r2_full": 0.27375352712372025, "corr_portfolio": 0.03881993508657639, "corr_benchmark": 0.3351127218239804, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.2624227025654854, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, vblix +0.12, ivv -0.09, vnq +0.04", "ref_full": "vweax +0.36, ief +0.08, agg +0.14, gsg -0.01, fxy +0.04, efa -0.01" }, "inutx": { "sym": "inutx", "name": "Columbia Dividend Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02127108376387289, "alpha_t_5y": 1.190849784378513, "alpha_t_full": 1.599961697584044, "r2_5y": 0.9011486484386129, "r2_full": 0.9352645879666218, "corr_portfolio": 0.4204080444173156, "corr_benchmark": 0.5363030622862547, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.5557467978488415, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.66, iwm +0.10, vnq +0.09, gsg +0.04, vea +0.07", "ref_full": "ivv +0.99, qqq -0.35, efa +0.12, vnq +0.04, gsg +0.03, iwm +0.06" }, "ipiix": { "sym": "ipiix", "name": "Voya Intermediate Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0015151973161164774, "alpha_t_5y": 0.27708789372629694, "alpha_t_full": 0.22289694694351198, "r2_5y": 0.9460755313778009, "r2_full": 0.7421573255317002, "corr_portfolio": -0.05940478867106716, "corr_benchmark": 0.6644319206609154, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.19565167030472042, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.25, vweax +0.16, ivv -0.03, vblix +0.38, tlt -0.21, ief +0.29", "ref_full": "ief +0.40, vweax +0.23, vnq +0.01, agg +0.06, tlt +0.04, fxy +0.02" }, "ipkw": { "sym": "ipkw", "name": "Invesco International BuyBack Achievers ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01814418213956401, "alpha_t_5y": 0.6897979313351355, "alpha_t_full": 2.0933297040891916, "r2_5y": 0.8634142557014841, "r2_full": 0.8527780366386498, "corr_portfolio": 0.41378219702317837, "corr_benchmark": 0.4939940502800698, "alpha_pos_frac": 0.5347222222222222, "fund_max_dd": -0.4723600937608402, "first": "2014-02-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.30, gsg +0.10, efa +0.51, vwo +0.16, qqq -0.22, ivv +0.24", "ref_full": "vea +0.80, gsg +0.05, iwm +0.10, qqq -0.09, vwo +0.08, vweax +0.13" }, "ipoyx": { "sym": "ipoyx", "name": "Nomura Systematic Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03533125753736031, "alpha_t_5y": -0.647051634261921, "alpha_t_full": -0.4606680717029082, "r2_5y": 0.6088218834137527, "r2_full": 0.7203374183829871, "corr_portfolio": 0.2842446457153831, "corr_benchmark": 0.4021643689357523, "alpha_pos_frac": 0.4692982456140351, "fund_max_dd": -0.6702205980001537, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.89, fxy -0.22, vweax +0.25", "ref_full": "vwo +0.67, vweax +0.57, fxe -0.14, qqq +0.11, vnq -0.05, agg -0.16" }, "ircyx": { "sym": "ircyx", "name": "International Small Cap Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002022102330095414, "alpha_t_5y": -0.09750076504748534, "alpha_t_full": -0.4908452892124827, "r2_5y": 0.9030598101713965, "r2_full": 0.9096581231907318, "corr_portfolio": 0.37520127062745595, "corr_benchmark": 0.5602817541062003, "alpha_pos_frac": 0.48360655737704916, "fund_max_dd": -0.4442201225482555, "first": "2015-12-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +1.10, vwo +0.14, vweax +0.32, efa -0.40, tlt -0.05, fxe +0.07", "ref_full": "vea +1.12, vweax +0.34, vwo +0.11, efa -0.48, fxe +0.13, iwm +0.04" }, "irfax": { "sym": "irfax", "name": "Cohen & Steers International Realty Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05267502083716049, "alpha_t_5y": -1.476650154496797, "alpha_t_full": -1.7591729309773398, "r2_5y": 0.6834928390907014, "r2_full": 0.7256485112881351, "corr_portfolio": 0.32342182461334856, "corr_benchmark": 0.5030159949213041, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.7060637843157678, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.58, vnq +0.22, ivv -0.22, vweax +0.52, fxy +0.13, fxe +0.16", "ref_full": "efa +0.60, vnq +0.14, vweax +0.52, vwo +0.14, ivv -0.17, fxy +0.08" }, "irsyx": { "sym": "irsyx", "name": "Nomura Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020713708912442255, "alpha_t_5y": 0.23179401840547115, "alpha_t_full": 0.22348537048596798, "r2_5y": 0.42243860536403155, "r2_full": 0.8478373472809977, "corr_portfolio": 0.19747646568530075, "corr_benchmark": 0.45154984563837336, "alpha_pos_frac": 0.38596491228070173, "fund_max_dd": -0.7179790247400801, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.99, fxy -0.21", "ref_full": "vnq +0.95, fxy -0.06" }, "iscax": { "sym": "iscax", "name": "Federated Hermes International Small-Mid Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028446106851494863, "alpha_t_5y": -1.2653138127628634, "alpha_t_full": -1.0475675243942184, "r2_5y": 0.9007087780295879, "r2_full": 0.8868986445588203, "corr_portfolio": 0.32602729907918854, "corr_benchmark": 0.5464016733024389, "alpha_pos_frac": 0.5487179487179488, "fund_max_dd": -0.7136286195673617, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.71, vweax +0.37, qqq +0.09, fxe +0.21, vwo +0.07, vmbix -0.12", "ref_full": "efa +0.62, vweax +0.41, vwo +0.10, gld +0.05, qqq +0.11, fxe +0.15" }, "isfax": { "sym": "isfax", "name": "Lord Abbett Multi-Asset Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014236566975333903, "alpha_t_5y": -1.4653530859339663, "alpha_t_full": -0.9390031308299827, "r2_5y": 0.9014995999737493, "r2_full": 0.8717912143732521, "corr_portfolio": 0.3141685091103915, "corr_benchmark": 0.6673364375704959, "alpha_pos_frac": 0.47692307692307695, "fund_max_dd": -0.31904288027730954, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "ivv +0.16, vmbix +0.14, vea +0.12, iwm +0.07, vweax +0.17, agg +0.12", "ref_full": "ivv +0.18, vweax +0.41, agg +0.17, efa +0.07, iwm +0.08, vnq -0.04" }, "isgdx": { "sym": "isgdx", "name": "Columbia Integrated Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005370175521442688, "alpha_t_5y": 0.18072589993206506, "alpha_t_full": -0.2659589888843616, "r2_5y": 0.9151570611671782, "r2_full": 0.9312643179918089, "corr_portfolio": 0.1792949067816896, "corr_benchmark": 0.5995556035049169, "alpha_pos_frac": 0.5047619047619047, "fund_max_dd": -0.42605577574113873, "first": "2017-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.92, qqq +0.34, ivv -0.26", "ref_full": "iwm +0.93, qqq +0.36, ivv -0.30, tlt +0.03, vmbix -0.35, agg +0.26" }, "isra": { "sym": "isra", "name": "VanEck Israel ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011176414895436563, "alpha_t_5y": -0.2104537664103167, "alpha_t_full": -0.9745581194341791, "r2_5y": 0.6761533824959856, "r2_full": 0.6716271866502326, "corr_portfolio": 0.16580397585639522, "corr_benchmark": 0.5270140919163073, "alpha_pos_frac": 0.4934210526315789, "fund_max_dd": -0.45019816520964795, "first": "2013-06-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.56, iwm +0.37, vweax +0.42, vwo +0.05, ivv -0.35, efa +0.16", "ref_full": "ivv -0.22, iwm +0.36, qqq +0.44, vea +0.20, vweax +0.30" }, "itiox": { "sym": "itiox", "name": "Transamerica Inflation Opportunities", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -5.5667385543564834e-05, "alpha_t_5y": -0.00554414657838841, "alpha_t_full": -0.05017943522511835, "r2_5y": 0.7568820225753311, "r2_full": 0.7092205119617541, "corr_portfolio": -0.024675924114808078, "corr_benchmark": 0.6553840532081818, "alpha_pos_frac": 0.5347222222222222, "fund_max_dd": -0.13973029147411942, "first": "2014-03-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.20, djp +0.04, ief +0.36, vweax +0.12", "ref_full": "agg +0.18, vblix +0.06, djp +0.04, ief +0.28, vweax +0.14, fxe +0.03" }, "ityax": { "sym": "ityax", "name": "INVESCO Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02938201306274821, "alpha_t_5y": -0.7619588285341325, "alpha_t_full": -1.9709127382226745, "r2_5y": 0.9063982891019484, "r2_full": 0.8865255921022202, "corr_portfolio": 0.09941350887137672, "corr_benchmark": 0.5634467537578087, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.586674334037185, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.50, ivv -0.69, iwm +0.22, vnq -0.12, vea +1.17, efa -1.02", "ref_full": "qqq +1.13, iwm +0.19, ivv -0.24, vnq -0.06, vwo +0.04, gld +0.03" }, "ivcsx": { "sym": "ivcsx", "name": "Voya Small Company Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008047225806168089, "alpha_t_5y": -0.4058398056690214, "alpha_t_full": -0.5966419809982796, "r2_5y": 0.9545738503219028, "r2_full": 0.9441746638301732, "corr_portfolio": 0.28258875295820113, "corr_benchmark": 0.539092143010441, "alpha_pos_frac": 0.6077586206896551, "fund_max_dd": -0.6575892261589065, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.85, vnq +0.01, ivv +0.39, qqq -0.21, vweax +0.13, djp -0.03", "ref_full": "iwm +0.85, ivv +0.24, qqq -0.10, vweax +0.09, fxy +0.03, vwo -0.02" }, "ivfax": { "sym": "ivfax", "name": "Federated Hermes International Strategic Value Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.046426372572364316, "alpha_t_5y": 1.8122512799657093, "alpha_t_full": 0.07832324688655981, "r2_5y": 0.7567419376012423, "r2_full": 0.8441774907779739, "corr_portfolio": 0.4043535649116539, "corr_benchmark": 0.4770342930663536, "alpha_pos_frac": 0.5305164319248826, "fund_max_dd": -0.49981734294876135, "first": "2008-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.57, qqq -0.35, vnq +0.14, fxe +0.28, ivv +0.37, iwm -0.08", "ref_full": "efa +0.63, qqq -0.21, ivv +0.24, fxe +0.16, vweax +0.20, vnq +0.03" }, "ivinx": { "sym": "ivinx", "name": "Nomura Global Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03288016150514943, "alpha_t_5y": 0.20729008439083638, "alpha_t_full": 0.0047587265086577275, "r2_5y": 0.12627772533869797, "r2_full": 0.43622530196153164, "corr_portfolio": 0.1866707263969766, "corr_benchmark": 0.34046984385617257, "alpha_pos_frac": 0.44660194174757284, "fund_max_dd": -0.5746434033935324, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.86", "ref_full": "efa +0.43, ivv +0.24, vweax +0.30, qqq +0.16, fxy -0.18, fxe +0.15" }, "ivoax": { "sym": "ivoax", "name": "Nomura Mid Cap Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007210573074643357, "alpha_t_5y": -0.2651319520240382, "alpha_t_full": 0.5274375705128642, "r2_5y": 0.8586592001133693, "r2_full": 0.903914910411317, "corr_portfolio": 0.3341809680473075, "corr_benchmark": 0.5632269697203451, "alpha_pos_frac": 0.5109489051094891, "fund_max_dd": -0.41222331612562857, "first": "2014-10-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.29, vnq +0.14, ivv +1.05, qqq -0.47, gsg -0.04", "ref_full": "iwm +0.33, ivv +0.90, qqq -0.40, vnq +0.10, gld -0.03, efa +0.05" }, "ivsox": { "sym": "ivsox", "name": "Voya SmallCap Opportunities Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021451515445193095, "alpha_t_5y": -0.8162437148094606, "alpha_t_full": -0.9771224170757169, "r2_5y": 0.9322283020443497, "r2_full": 0.9275314436157805, "corr_portfolio": 0.21354133959592847, "corr_benchmark": 0.5573724577831838, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.6323406787119467, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.88, qqq +0.24, vnq -0.09", "ref_full": "iwm +0.86, qqq +0.19, vnq -0.06, agg +0.09" }, "ivsyx": { "sym": "ivsyx", "name": "Nomura Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011147695690653249, "alpha_t_5y": -1.2906967531877072, "alpha_t_full": -0.7982297400182705, "r2_5y": 0.7196417066418102, "r2_full": 0.5102406795424635, "corr_portfolio": 0.10225865544471639, "corr_benchmark": 0.5873735339872497, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.15053438986451517, "first": "2008-04-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.07, vweax +0.21, ief +0.32, vmbix +0.13", "ref_full": "vweax +0.27, ief +0.21, vwo +0.02, agg +0.05, tlt -0.02" }, "ivvyx": { "sym": "ivvyx", "name": "Nomura International Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01890635079747459, "alpha_t_5y": -0.7006358345459324, "alpha_t_full": -0.08706584294058108, "r2_5y": 0.8660517644305716, "r2_full": 0.8938315060490424, "corr_portfolio": 0.3897586658236652, "corr_benchmark": 0.5071623136664086, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5626611235688165, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.82, vwo +0.21, fxy -0.09, gld -0.04, vnq -0.05, vweax +0.14", "ref_full": "efa +0.72, vweax +0.39, vwo +0.12, vnq -0.03, agg -0.14, fxe +0.07" }, "iysyx": { "sym": "iysyx", "name": "Nomura Smid Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00691428532588175, "alpha_t_5y": 0.10064064783349301, "alpha_t_full": 0.31498658066425694, "r2_5y": 0.5873046780725419, "r2_full": 0.8186470897710287, "corr_portfolio": 0.2670692884065757, "corr_benchmark": 0.4908344839902203, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.4836035276383652, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.76, fxy -0.22, vnq +0.16", "ref_full": "iwm +0.72, ivv +0.29, qqq -0.09" }, "jaagx": { "sym": "jaagx", "name": "Janus Henderson Enterprise Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030210785008296652, "alpha_t_5y": -1.2793162453890483, "alpha_t_full": 0.6961713671450449, "r2_5y": 0.8980431938853112, "r2_full": 0.927893116502108, "corr_portfolio": 0.27999098286202007, "corr_benchmark": 0.5984937907689659, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.8189104135550651, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, iwm +0.30, vnq +0.07, efa +0.09", "ref_full": "ivv +0.42, iwm +0.33, vwo +0.05, qqq +0.08, efa +0.06, vweax +0.11" }, "jablx": { "sym": "jablx", "name": "Janus Henderson Balanced Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00639284162055873, "alpha_t_5y": -0.7189776060753514, "alpha_t_full": 0.4587148087925952, "r2_5y": 0.963974740995085, "r2_full": 0.9406470733940385, "corr_portfolio": 0.23872096970249831, "corr_benchmark": 0.7183354432996374, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.3350117444525671, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, ief +0.20, vnq -0.04, gsg -0.01, vblix +0.05, qqq +0.03", "ref_full": "ivv +0.46, ief +0.22, vnq -0.04, qqq +0.09, vweax +0.14, efa +0.03" }, "jacax": { "sym": "jacax", "name": "Janus Henderson Forty Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04187589941211083, "alpha_t_5y": -1.7138328405407903, "alpha_t_full": -0.989981752923407, "r2_5y": 0.9306193966975626, "r2_full": 0.9276700560354023, "corr_portfolio": 0.1521234138036506, "corr_benchmark": 0.6131610449959303, "alpha_pos_frac": 0.5378486055776892, "fund_max_dd": -0.5888017566420847, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.66, ivv +0.37, vwo +0.04", "ref_full": "qqq +0.59, ivv +0.41, fxe +0.08, vnq -0.04, vwo +0.04, vweax +0.11" }, "jacdx": { "sym": "jacdx", "name": "John Hancock Global Environmental Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0549492594195795, "alpha_t_5y": -1.5126205691649421, "alpha_t_full": -1.5126205691649421, "r2_5y": 0.8257214123119481, "r2_full": 0.8257214123119481, "corr_portfolio": 0.04213717948229134, "corr_benchmark": 0.6557345924109256, "alpha_pos_frac": 0.38181818181818183, "fund_max_dd": -0.3393178266267288, "first": "2021-07-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv -0.03, vea +0.42, qqq +0.37, iwm +0.13, vnq +0.11", "ref_full": "ivv -0.03, vea +0.42, qqq +0.37, iwm +0.13, vnq +0.11" }, "jaflx": { "sym": "jaflx", "name": "Janus Henderson Flexible Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013591364312807923, "alpha_t_5y": 0.22787093470186365, "alpha_t_full": 1.3816802613448023, "r2_5y": 0.9416619998069243, "r2_full": 0.797825127570159, "corr_portfolio": -0.08299147441317224, "corr_benchmark": 0.7024868006604034, "alpha_pos_frac": 0.4461538461538462, "fund_max_dd": -0.18055733434157395, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.43, vmbix +0.21, ief +0.24, vweax +0.10, ivv -0.03, iwm +0.01", "ref_full": "ief +0.41, vweax +0.17, agg +0.12, iwm +0.01, tlt +0.03, fxy +0.02" }, "jagrx": { "sym": "jagrx", "name": "Janus Henderson Research Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0282728663342453, "alpha_t_5y": -1.4666628533806882, "alpha_t_full": -2.4500956863180767, "r2_5y": 0.9569096556680626, "r2_full": 0.9547965327766408, "corr_portfolio": 0.16250544203640294, "corr_benchmark": 0.6175789637676415, "alpha_pos_frac": 0.5252918287937743, "fund_max_dd": -0.6488771171390597, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.68, ivv +0.43, vnq -0.07", "ref_full": "qqq +0.49, ivv +0.56, vnq -0.05, agg +0.07, vweax +0.08, gld +0.02" }, "jaigx": { "sym": "jaigx", "name": "Janus Henderson Overseas Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006070469096960918, "alpha_t_5y": 0.22594029888600872, "alpha_t_full": -0.492939379180838, "r2_5y": 0.8487688042287106, "r2_full": 0.861036306139108, "corr_portfolio": 0.3739754233277747, "corr_benchmark": 0.48582767602473564, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.6948118021164691, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.37, vwo +0.22, tlt -0.07, gsg +0.04, efa +0.32, vweax +0.18", "ref_full": "efa +0.46, vwo +0.29, vweax +0.38, iwm +0.09, tlt -0.06, gsg +0.03" }, "jamfx": { "sym": "jamfx", "name": "Jacob Internet Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.14797965294107998, "alpha_t_5y": -1.7608632208312263, "alpha_t_full": -1.7890271391965549, "r2_5y": 0.727613957184359, "r2_full": 0.7362972934220913, "corr_portfolio": 0.04238174298684863, "corr_benchmark": 0.522121539410743, "alpha_pos_frac": 0.4639175257731959, "fund_max_dd": -0.9646018258839777, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.12, qqq +1.39, ivv -1.42, vweax +0.49", "ref_full": "qqq +1.03, iwm +0.76, ivv -0.73, vweax +0.32, vnq -0.08, agg +0.23" }, "jascx": { "sym": "jascx", "name": "James Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06701440278143626, "alpha_t_5y": 2.5762826745468725, "alpha_t_full": -0.023849781563498627, "r2_5y": 0.895700868787196, "r2_full": 0.9090221525914386, "corr_portfolio": 0.35206231753478767, "corr_benchmark": 0.5160467850145783, "alpha_pos_frac": 0.5082644628099173, "fund_max_dd": -0.5921556027497481, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.70, ivv +0.72, qqq -0.43, vnq -0.05, fxe -0.07", "ref_full": "iwm +0.74, ivv +0.33, qqq -0.15, vnq -0.05, agg +0.19, ief -0.11" }, "javax": { "sym": "javax", "name": "James Aggressive Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04388627529627513, "alpha_t_5y": 0.30118641436920535, "alpha_t_full": -0.13905420277771735, "r2_5y": 0.11292214910529996, "r2_full": 0.20375099465278423, "corr_portfolio": 0.11500732848540829, "corr_benchmark": 0.2846507287744141, "alpha_pos_frac": 0.4609375, "fund_max_dd": -0.4347033332783343, "first": "2015-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.74", "ref_full": "ivv +0.70" }, "jawgx": { "sym": "jawgx", "name": "Janus Henderson Global Research Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009137774941805383, "alpha_t_5y": -0.640772321164564, "alpha_t_full": -1.5361552006790675, "r2_5y": 0.961690363406007, "r2_full": 0.9440778775486566, "corr_portfolio": 0.29897607737692594, "corr_benchmark": 0.6078289523228531, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.7136385835093547, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.70, vea +0.06, vnq -0.06, vwo +0.06, qqq +0.07, efa +0.20", "ref_full": "ivv +0.45, efa +0.25, qqq +0.14, iwm +0.08, vweax +0.17, vwo +0.04" }, "jcsrx": { "sym": "jcsrx", "name": "John Hancock California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002319132229634078, "alpha_t_5y": -0.13692377025865418, "alpha_t_full": -0.08729841569943483, "r2_5y": 0.3766604126642463, "r2_full": 0.3765742754781055, "corr_portfolio": 0.040043658623080174, "corr_benchmark": 0.35345898645171775, "alpha_pos_frac": 0.5588235294117647, "fund_max_dd": -0.1444187585205673, "first": "2017-08-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.54, ief +0.17, ivv -0.09, vnq +0.03, gsg -0.02", "ref_full": "vweax +0.29, vblix +0.31, tlt -0.21, qqq -0.03, agg +0.21, gsg -0.02" }, "jctrx": { "sym": "jctrx", "name": "John Hancock High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 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mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.04, iwm +0.46, qqq +0.50", "ref_full": "ivv +0.30, iwm +0.31, qqq +0.34, agg +0.11, djp +0.04, vweax +0.10" }, "jdvrx": { "sym": "jdvrx", "name": "PGIM JENNISON VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010872138394908467, "alpha_t_5y": 0.6677110736862305, "alpha_t_full": -0.3608269523518365, "r2_5y": 0.9329620105863207, "r2_full": 0.9411078778453205, "corr_portfolio": 0.37756962133418653, "corr_benchmark": 0.5307216574816015, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.583784526505972, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.51, iwm +0.12, vea +0.14, fxy -0.06, gsg +0.02", "ref_full": "ivv +0.91, qqq -0.24, iwm +0.15, efa +0.14, gsg +0.04, tlt -0.05" }, "jdvwx": { "sym": "jdvwx", "name": "John Hancock Disciplined Value Fund", "bucket": "all", "in_portfolio": false, 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-0.2905089428582889, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.62, vblix +0.36, tlt -0.24, djp +0.02, iwm +0.01", "ref_full": "vweax +0.82, gsg +0.01, agg +0.09, efa +0.01, tlt -0.02" }, "jensx": { "sym": "jensx", "name": "The Jensen Quality Growth Fund Inc", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.043362292684723386, "alpha_t_5y": -1.9772241637422432, "alpha_t_full": -0.2230386149211854, "r2_5y": 0.8834545213219362, "r2_full": 0.9201622753860588, "corr_portfolio": 0.26411296883124025, "corr_benchmark": 0.6054164761861872, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.4553311242177389, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.18, vnq +0.08, iwm -0.16, gsg -0.05, qqq -0.17, ief +0.11", "ref_full": "ivv +1.01, gsg -0.04, iwm -0.05, qqq -0.04, vwo -0.02" }, "jeqix": { "sym": "jeqix", "name": "Johnson Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013300424878776317, "alpha_t_5y": -0.7468901848698724, "alpha_t_full": 0.868385374909584, "r2_5y": 0.9087600912652201, "r2_full": 0.9275370708593419, "corr_portfolio": 0.319594807258552, "corr_benchmark": 0.5795007877197524, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.5051602886220161, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.18, qqq -0.38, vnq +0.11, gsg -0.03", "ref_full": "ivv +1.06, qqq -0.26, efa +0.08, vnq +0.03, agg +0.05" }, "jfdrx": { "sym": "jfdrx", "name": "Financial Industries Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007519745580505291, "alpha_t_5y": -0.2029054216054625, "alpha_t_full": 0.2535850120547481, "r2_5y": 0.801699271964341, "r2_full": 0.8614085647574752, "corr_portfolio": 0.40511596210200407, "corr_benchmark": 0.45426325077358753, "alpha_pos_frac": 0.5392156862745098, "fund_max_dd": -0.4204661263633519, "first": "2017-08-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.40, ivv +1.48, qqq -0.85, ief -0.37, gsg -0.06, efa +0.11", "ref_full": "iwm +0.42, ivv +1.25, qqq -0.71, ief -0.37, djp -0.07, efa +0.11" }, "jgrsx": { "sym": "jgrsx", "name": "John Hancock Global Shareholder Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03417506259111459, "alpha_t_5y": 1.7006648365845374, "alpha_t_full": 1.1801973480076071, "r2_5y": 0.8674690573713255, "r2_full": 0.8627572453797794, "corr_portfolio": 0.4089044669659433, "corr_benchmark": 0.5662639429258085, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.3642553152962493, "first": "2011-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.32, ivv +0.84, qqq -0.39, vnq +0.09", "ref_full": "vea +0.10, ivv +0.61, qqq -0.23, vnq +0.10, fxe +0.09, efa +0.23" }, "jhbsx": { "sym": "jhbsx", "name": "John Hancock Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002869843683371456, "alpha_t_5y": -0.63000256468113, "alpha_t_full": 1.3955439407044223, "r2_5y": 0.964613901564356, "r2_full": 0.9282094647956769, "corr_portfolio": -0.01184641721406363, "corr_benchmark": 0.724809965663652, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1923185642387485, "first": "2011-09-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.08, vweax +0.19, vblix +0.39, ief +0.31, tlt -0.18, vmbix +0.21", "ref_full": "agg +0.06, vweax +0.22, ief +0.16, vmbix +0.25, vblix +0.34, tlt -0.16" }, "jhhbx": { "sym": "jhhbx", "name": "John Hancock High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005029984380557162, "alpha_t_5y": -0.48114719884275137, "alpha_t_full": -1.2773213999956121, "r2_5y": 0.7521469678458522, "r2_full": 0.5811864974333389, "corr_portfolio": 0.30605067084117493, "corr_benchmark": 0.42622017752087726, "alpha_pos_frac": 0.5737051792828686, "fund_max_dd": -0.5883174361333232, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.88, vwo +0.02", "ref_full": "vweax +0.87, vnq +0.08, vwo +0.05, ief -0.17, agg +0.14, gld -0.03" }, "jhyix": { "sym": "jhyix", "name": "abrdn High Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036040613517975624, "alpha_t_5y": -0.38858088592916196, "alpha_t_full": 1.100301345298022, "r2_5y": 0.7298876625145804, "r2_full": 0.6964355623350433, "corr_portfolio": 0.3254426322092962, "corr_benchmark": 0.4394058928677128, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.28431591643808773, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.64, vea +0.05, tlt +0.01", "ref_full": "vweax +0.68, efa +0.04, agg +0.13, ief -0.08, djp +0.01, vnq -0.01" }, "jigtx": { "sym": "jigtx", "name": "John Hancock International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030272121426301868, "alpha_t_5y": -1.3176136701272019, "alpha_t_full": 0.18890202230113542, "r2_5y": 0.9047115858961629, "r2_full": 0.8642476916593563, "corr_portfolio": 0.2996664354170968, "corr_benchmark": 0.5605780782764586, "alpha_pos_frac": 0.5343511450381679, "fund_max_dd": -0.3816183947718017, "first": "2015-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.67, vwo +0.32, qqq +0.09, vnq -0.07, djp -0.03", "ref_full": "vea +0.64, vwo +0.23, qqq +0.25, ivv -0.23, gsg -0.04, tlt +0.04" }, "jmbs": { "sym": "jmbs", "name": "Janus Henderson Mortgage-Backed Securities ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0037914739399334076, "alpha_t_5y": 0.5092288289142742, "alpha_t_full": 0.5188768036425246, "r2_5y": 0.9191594818899955, "r2_full": 0.8056859614326821, "corr_portfolio": -0.10666251552754187, "corr_benchmark": 0.6373997726262934, "alpha_pos_frac": 0.5168539325842697, "fund_max_dd": -0.16683672927769444, "first": "2018-09-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.72, agg +0.38, vblix -0.05", "ref_full": "vmbix +0.84, agg +0.10" }, "jmcgx": { "sym": "jmcgx", "name": "Jacob Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05953424619822582, "alpha_t_5y": -0.9109475632040491, "alpha_t_full": -1.0828771953330723, "r2_5y": 0.6867363452213346, "r2_full": 0.7582777163892068, "corr_portfolio": 0.11080412233015689, "corr_benchmark": 0.4591676874234324, "alpha_pos_frac": 0.49800796812749004, "fund_max_dd": -0.6397579473334278, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.98, vwo +0.17, vnq -0.10, qqq +0.62, ivv -0.89, vweax +0.38", "ref_full": "iwm +0.98, vnq -0.08, qqq +0.35, ivv -0.38, vweax +0.28, gld +0.07" }, "jmcrx": { "sym": "jmcrx", "name": "JAMES MICRO CAP FUND", "bucket": "all", 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+0.29, vnq +0.15, ivv +1.20, qqq -0.65", "ref_full": "ivv +0.91, qqq -0.38, iwm +0.29, vnq +0.09, vweax +0.12, tlt -0.03" }, "jrgrx": { "sym": "jrgrx", "name": "Regional Bank Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05557410015052692, "alpha_t_5y": 0.9212492373529135, "alpha_t_full": 1.2532400575395668, "r2_5y": 0.7035157054929015, "r2_full": 0.777127912814161, "corr_portfolio": 0.3644286841949357, "corr_benchmark": 0.33116580460377043, "alpha_pos_frac": 0.5686274509803921, "fund_max_dd": -0.5191851077663219, "first": "2017-08-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.95, qqq -1.05, ivv +1.23, gld -0.16, ief -0.31", "ref_full": "iwm +0.98, qqq -1.09, ivv +1.22, gld -0.17, ief -0.83, vmbix +0.62" }, "jsgtx": { "sym": "jsgtx", "name": "John Hancock U.S. Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020492700648280734, "alpha_t_5y": -0.6823536619614049, "alpha_t_full": -1.119196049560569, "r2_5y": 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vea +0.03, tlt -0.08, iwm +0.01", "ref_full": "vweax +0.32, vmbix +0.12, iwm +0.02, vea +0.02, agg -0.13, ief +0.09" }, "lacax": { "sym": "lacax", "name": "Columbia Acorn Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07358078601344706, "alpha_t_5y": -2.063752912941152, "alpha_t_full": -2.7352171438423345, "r2_5y": 0.8870769661232157, "r2_full": 0.9217922516987417, "corr_portfolio": 0.1238797763513325, "corr_benchmark": 0.595500033250753, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.5689593261569307, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.79, qqq +0.66, ivv -0.46, vblix +0.09", "ref_full": "iwm +0.61, qqq +0.34, agg +0.11, fxe +0.05, vweax +0.10, vwo +0.02" }, "lacfx": { "sym": "lacfx", "name": "Lord Abbett Convertible Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02777458633820599, "alpha_t_5y": -0.9741058294635737, "alpha_t_full": -0.3180983194622155, "r2_5y": 0.7679972236378083, "r2_full": 0.7138652674229649, "corr_portfolio": 0.12912506271740268, "corr_benchmark": 0.5055154999917807, "alpha_pos_frac": 0.549800796812749, "fund_max_dd": -0.39433748563412496, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.37, qqq +0.51, ivv -0.48, vwo +0.08, gld +0.04", "ref_full": "qqq +0.31, iwm +0.28, vnq -0.08, vweax +0.30, gld +0.04, ivv -0.07" }, "lafax": { "sym": "lafax", "name": "Columbia Acorn International Select", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08652985283374069, "alpha_t_5y": -2.816657118086558, "alpha_t_full": -2.1825069892206197, "r2_5y": 0.8661582269059324, "r2_full": 0.8402270154657265, "corr_portfolio": 0.23466328551276797, "corr_benchmark": 0.5859531021073536, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5658205261476884, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.29, qqq +0.45, vweax +0.50, ivv -0.50, efa +0.64, vnq +0.08", "ref_full": "efa +0.51, vweax +0.52, qqq +0.18, gld +0.08, fxy +0.14, vwo +0.07" }, "laffx": { "sym": "laffx", "name": "LORD ABBETT AFFILIATED FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005235087908909711, "alpha_t_5y": -0.3160447548621269, "alpha_t_full": -0.39560072548951086, "r2_5y": 0.9270965720805587, "r2_full": 0.950179050246046, "corr_portfolio": 0.38902319229761606, "corr_benchmark": 0.548645911988136, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6049334061214543, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.28, qqq -0.54, iwm +0.10, vea +0.31, fxy -0.06, efa -0.19", "ref_full": "ivv +1.09, qqq -0.33, vnq +0.10, iwm +0.08, tlt -0.05, efa +0.06" }, "lagwx": { "sym": "lagwx", "name": "LORD ABBETT DEVELOPING GROWTH FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07331058905524514, "alpha_t_5y": -1.5345529936258335, "alpha_t_full": -1.028377688608798, "r2_5y": 0.8462503848387086, "r2_full": 0.8673448364166123, "corr_portfolio": 0.10916139985848085, "corr_benchmark": 0.5393974344375768, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.6031307522655933, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.97, qqq +1.04, ivv -0.98, vnq -0.09", "ref_full": "iwm +0.86, qqq +0.70, ivv -0.45, vnq -0.09, gld +0.06" }, "laiax": { "sym": "laiax", "name": "Columbia Acorn International", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09440450897143576, "alpha_t_5y": -3.3272108542491434, "alpha_t_full": -2.9716711403118423, "r2_5y": 0.8756393419787423, "r2_full": 0.8836405346064184, "corr_portfolio": 0.2618879903060934, "corr_benchmark": 0.5913209336481672, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.603884909687866, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.83, qqq +0.37, vweax +0.46, ivv -0.37, fxe +0.14, vnq +0.06", "ref_full": "efa +0.53, vweax +0.55, qqq +0.15, gld +0.06, vwo +0.09, fxy +0.12" }, "laiex": { "sym": "laiex", "name": "Lord Abbett International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03339092315755436, "alpha_t_5y": -1.4573970874017368, "alpha_t_full": -0.9504231433400486, "r2_5y": 0.8883177096642052, "r2_full": 0.8609232255313575, "corr_portfolio": 0.3652779361884927, "corr_benchmark": 0.5214727152040292, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.7181739068156783, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +1.16, vweax +0.38, fxe +0.17, efa -0.35, gld +0.04, vnq -0.04", "ref_full": "efa +0.59, vweax +0.54, fxe +0.19, vwo +0.11, gld +0.05, agg -0.11" }, "lamax": { "sym": "lamax", "name": "Lord Abbett Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009905042236591891, "alpha_t_5y": -0.653645214832758, "alpha_t_full": -0.07970992051252865, "r2_5y": 0.9436064793974198, "r2_full": 0.84323784439529, "corr_portfolio": 0.29426027343777766, "corr_benchmark": 0.5658241817061315, "alpha_pos_frac": 0.503448275862069, "fund_max_dd": -0.4092602740311332, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.26", "ref_full": "ivv +0.99, vweax +0.24, vwo -0.06, vnq -0.05, qqq -0.11, gld +0.03" }, "lanjx": { "sym": "lanjx", "name": "Lord Abbett New Jersey Tax-Free Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015246380497452607, "alpha_t_5y": -1.0032159516401455, "alpha_t_full": 0.14316026602259582, "r2_5y": 0.3740001905712753, "r2_full": 0.2368718250623153, "corr_portfolio": 0.05361124385762371, "corr_benchmark": 0.3480549960660544, "alpha_pos_frac": 0.5836575875486382, "fund_max_dd": -0.2098646659143797, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.48, ief +0.15, ivv -0.07, vnq +0.03", "ref_full": "vweax +0.33, agg +0.18, iwm -0.03, vnq +0.02, fxy +0.04" }, "lansx": { "sym": "lansx", "name": "Lord Abbett National Tax-Free Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015522192336201642, "alpha_t_5y": -1.0491453321579018, "alpha_t_full": 0.2733567947918092, "r2_5y": 0.410740314869241, "r2_full": 0.2718462938032191, "corr_portfolio": 0.05267073675156648, "corr_benchmark": 0.3437276921007118, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.21238150028674574, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, vblix +0.27, ivv -0.15, vnq +0.04, qqq +0.05, tlt -0.13", "ref_full": "vweax +0.37, ief +0.03, agg +0.15, fxy +0.04, efa -0.03, vnq +0.01" }, "lanyx": { "sym": "lanyx", "name": "Lord Abbett New York Tax-Free Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016310473727589727, "alpha_t_5y": -1.0698598263545784, "alpha_t_full": 0.06784362158510573, "r2_5y": 0.3876942277388373, "r2_full": 0.2532452554126925, "corr_portfolio": 0.040708817707542956, "corr_benchmark": 0.3498074875638018, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.193794733703192, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, ief +0.08, ivv -0.07, vnq +0.03, vblix +0.25, tlt -0.15", "ref_full": "vweax +0.34, agg +0.19, fxy +0.04, efa -0.02, gsg -0.01, vnq +0.01" }, "laplx": { "sym": "laplx", "name": "Lord Abbett Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002282015721166305, "alpha_t_5y": -0.5033332204592738, "alpha_t_full": -0.5079748104169383, "r2_5y": 0.9589676114229087, "r2_full": 0.9313034900494118, "corr_portfolio": 0.007711238308863402, "corr_benchmark": 0.7242004154743578, "alpha_pos_frac": 0.4878048780487805, "fund_max_dd": -0.1825939827462103, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.08, vweax +0.17, ief +0.34, vblix +0.39, tlt -0.21, vmbix +0.16", "ref_full": "vblix +0.29, vweax +0.27, ief +0.29, tlt -0.14, vmbix +0.14, qqq -0.01" }, "lauyx": { "sym": "lauyx", "name": "Lord Abbett Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005543730311309933, "alpha_t_5y": 0.4743296015341439, "alpha_t_full": 0.7353053279678782, "r2_5y": 0.8218479433122365, "r2_full": 0.6623700071848586, "corr_portfolio": 0.04899210182560312, "corr_benchmark": 0.6503734565837671, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.20647785109846395, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.57, vweax +0.21, ief +0.30, tlt -0.27", "ref_full": "agg +0.14, vweax +0.46, ief +0.25, vwo +0.02, tlt +0.09, fxe +0.04" }, "lavgx": { "sym": "lavgx", "name": "Lord Abbett International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030974629049263847, "alpha_t_5y": -1.1894045450610082, "alpha_t_full": -1.1894045450610082, "r2_5y": 0.9105509171481447, "r2_full": 0.9105509171481447, "corr_portfolio": 0.07591903501319693, "corr_benchmark": 0.5933467474080154, "alpha_pos_frac": 0.4642857142857143, "fund_max_dd": -0.378087405681521, "first": "2021-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.83, qqq +0.44, ivv -0.35, vwo +0.18, gsg -0.05, vnq -0.07", "ref_full": "vea +0.83, qqq +0.44, ivv -0.35, vwo +0.18, gsg -0.05, vnq -0.07" }, "lavlx": { "sym": "lavlx", "name": "LORD ABBETT MID CAP STOCK FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005834437917523287, "alpha_t_5y": -0.267179489485992, "alpha_t_full": -1.1324252698573625, "r2_5y": 0.9096158574007484, "r2_full": 0.9328628699952737, "corr_portfolio": 0.3774411324446514, "corr_benchmark": 0.5335077087925196, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.6057596588122126, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.38, ivv +0.98, qqq -0.50, vea +0.10, fxy -0.08, vnq +0.05", "ref_full": "ivv +0.80, iwm +0.39, qqq -0.29, djp +0.04, vweax +0.15, efa +0.06" }, "lbndx": { "sym": "lbndx", "name": "LORD ABBETT BOND DEBENTURE FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009512039666820515, "alpha_t_5y": -1.1052089040049338, "alpha_t_full": 0.1315243579498184, "r2_5y": 0.8044197144216058, "r2_full": 0.7975170883675783, "corr_portfolio": 0.2856706212332894, "corr_benchmark": 0.601995913673105, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.2670088882722741, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, agg +0.17, iwm +0.02, vwo +0.03, vblix +0.42, tlt -0.29", "ref_full": "vweax +0.64, ivv +0.03, agg +0.15, vwo +0.02, iwm +0.02, djp +0.01" }, "lbsax": { "sym": "lbsax", "name": "Columbia Dividend Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00738321769946251, "alpha_t_5y": 0.4402389083499807, "alpha_t_full": 1.7564110172136074, "r2_5y": 0.9080498802521212, "r2_full": 0.9509862482624046, "corr_portfolio": 0.3791406337981439, "corr_benchmark": 0.5556284802640762, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.4788667288695416, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.32, qqq -0.53, vnq +0.08, gsg +0.02", "ref_full": "ivv +1.07, qqq -0.27, vnq +0.03, efa +0.06, fxe -0.05, vwo -0.02" }, "lcdvx": { "sym": "lcdvx", "name": "Lord Abbett Emerging Markets Corporate Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007679042595594108, "alpha_t_5y": -0.7872948026427569, "alpha_t_full": 0.23884548445331372, "r2_5y": 0.5959421831065324, "r2_full": 0.707991745261489, "corr_portfolio": 0.23547428505381848, "corr_benchmark": 0.39608965281183384, "alpha_pos_frac": 0.5875, "fund_max_dd": -0.19648650527911815, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, vblix +0.41, tlt -0.28, ivv -0.05, vwo +0.03", "ref_full": "vweax +0.51, qqq -0.04, vblix +0.31, tlt -0.18, vwo +0.03, vmbix -0.09" }, "lceax": { "sym": "lceax", "name": "Invesco Diversified Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012128996707913484, "alpha_t_5y": -0.08114188636407182, "alpha_t_full": 1.3224297411341284, "r2_5y": 0.9308663417807675, "r2_full": 0.917577812916751, "corr_portfolio": 0.4118544776857205, "corr_benchmark": 0.5197712235230729, "alpha_pos_frac": 0.5413793103448276, "fund_max_dd": -0.503026039007189, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.44, qqq -0.72, iwm +0.10, efa +0.09", "ref_full": "ivv +0.98, qqq -0.37, vnq +0.06, efa +0.12, iwm +0.08, vwo -0.03" }, "lcfix": { "sym": "lcfix", "name": "Lord Abbett California Tax-Free Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018906599779798694, "alpha_t_5y": -1.2540148326374838, "alpha_t_full": 0.16542586091784217, "r2_5y": 0.40041958707788483, "r2_full": 0.26428505659405976, "corr_portfolio": 0.04645686940604759, "corr_benchmark": 0.34985620636162285, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.20115614482685562, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, vblix +0.29, ivv -0.09, vnq +0.03, tlt -0.15", "ref_full": "vweax +0.37, agg +0.19, fxy +0.04, efa -0.02, vnq +0.02, iwm -0.02" }, "lcflx": { "sym": "lcflx", "name": "Lord Abbett Focused Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002248693968198803, "alpha_t_5y": -0.10264971716904511, "alpha_t_full": 0.24466973719034113, "r2_5y": 0.8999992664922754, "r2_full": 0.9176181868443031, "corr_portfolio": 0.3817163812719706, "corr_benchmark": 0.5206217129231586, "alpha_pos_frac": 0.5569620253164557, "fund_max_dd": -0.47178191235609546, "first": "2019-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.22, qqq -0.56, iwm +0.23, efa +0.11, ief -0.11, gsg +0.03", "ref_full": "iwm +0.30, ivv +1.31, qqq -0.70, vea +0.14, ief -0.62, agg +0.58" }, "lciax": { "sym": "lciax", "name": "SIIT LARGE CAP INDEX FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003996940713456657, "alpha_t_5y": -0.7131114651502659, "alpha_t_full": -0.9905701208341167, "r2_5y": 0.9938811337062585, "r2_full": 0.9671613896491265, "corr_portfolio": 0.2752483389361533, "corr_benchmark": 0.6100392183073904, "alpha_pos_frac": 0.6036036036036037, "fund_max_dd": -0.567135635403017, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.86, iwm +0.06, qqq +0.06, vnq +0.01", "ref_full": "ivv +0.84, iwm +0.05, vwo +0.03, vweax +0.07, qqq +0.05, vnq +0.02" }, "lcrax": { "sym": "lcrax", "name": "Lord Abbett Core Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0047781164607044865, "alpha_t_5y": -0.9909070192967978, "alpha_t_full": -0.4527224800790125, "r2_5y": 0.9579542910736347, "r2_full": 0.7934009353532698, "corr_portfolio": -0.09005928406489223, "corr_benchmark": 0.6827390853767948, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.18392707792255436, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.12, vblix +0.36, tlt -0.18, ief +0.41, vmbix +0.21, vweax +0.06", "ref_full": "ief +0.36, vweax +0.21, agg +0.16, vnq +0.02, tlt +0.05, qqq -0.01" }, "lcsmx": { "sym": "lcsmx", "name": "ClearBridge SMASh Series EM Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03253324346181024, "alpha_t_5y": -0.6588981845565031, "alpha_t_full": 0.04294394240521808, "r2_5y": 0.7191208545338982, "r2_full": 0.7375155815916398, "corr_portfolio": 0.255134898256242, "corr_benchmark": 0.451686011924047, "alpha_pos_frac": 0.4489795918367347, "fund_max_dd": -0.3968650659878322, "first": "2018-01-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.38, qqq +0.12, vea +4.00, efa -3.40, vnq -0.17, fxe -0.33", "ref_full": "vwo +0.45, vea +3.87, efa -3.26, fxe -0.26, djp -0.09, vnq -0.08" }, "ldcax": { "sym": "ldcax", "name": "Lord Abbett Short Duration Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011506021339933036, "alpha_t_5y": -0.21110142387482997, "alpha_t_full": -0.48750756974158144, "r2_5y": 0.656507225614096, "r2_full": 0.6059540987782108, "corr_portfolio": 0.0064326474539944094, "corr_benchmark": 0.3858457337136619, "alpha_pos_frac": 0.5283018867924528, "fund_max_dd": -0.07321935130844193, "first": "2017-04-25", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.31, tlt -0.24, vblix +0.22, ivv -0.02, vweax +0.09", "ref_full": "vmbix -0.02, vweax +0.13, ief +0.31, tlt -0.19, vblix +0.16, vea -0.02" }, "ldfvx": { "sym": "ldfvx", "name": "Lord Abbett Fundamental Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003883160636590207, "alpha_t_5y": 0.23689058996016663, "alpha_t_full": 0.9314227287524108, "r2_5y": 0.9359113398210839, "r2_full": 0.9510919113578988, "corr_portfolio": 0.38642488483813675, "corr_benchmark": 0.5369654580718561, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.4715240047834167, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.26, qqq -0.54, iwm +0.17, efa +0.09, ief -0.07, gsg +0.02", "ref_full": "ivv +0.94, qqq -0.27, iwm +0.20, efa +0.07, tlt -0.04, gsg +0.03" }, "ldmvx": { "sym": "ldmvx", "name": "Lord Abbett Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005931311064314409, "alpha_t_5y": -0.31244313976161425, "alpha_t_full": -0.2046461626662496, "r2_5y": 0.5690658958930934, "r2_full": 0.6340078991814666, "corr_portfolio": 0.2176902417985382, "corr_benchmark": 0.48018585310135276, "alpha_pos_frac": 0.5125, "fund_max_dd": -0.2739217733396099, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.76, vblix +0.41, tlt -0.25, ivv -0.09, vea +0.09, djp -0.03", "ref_full": "vweax +0.77, vblix +0.28, vwo +0.07, qqq -0.04, tlt -0.13" }, "ldrax": { "sym": "ldrax", "name": "SIIT LONG DURATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011616915204513782, "alpha_t_5y": 0.1579603447241956, "alpha_t_full": -2.4206010991139326, "r2_5y": 0.979831108753435, "r2_full": 0.8405209461040989, "corr_portfolio": -0.09506168711401779, "corr_benchmark": 0.7142812341446282, "alpha_pos_frac": 0.7745664739884393, "fund_max_dd": -0.3582626039627027, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.92, vweax +0.09, ief +0.06", "ref_full": "tlt +0.57, vweax +0.38, ief +0.22, vnq +0.02, fxy +0.04, agg +0.11" }, "legax": { "sym": "legax", "name": "Columbia Cornerstone Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027134245644864767, "alpha_t_5y": -1.6018267492285878, "alpha_t_full": -2.0185872114243226, "r2_5y": 0.9653211195195274, "r2_full": 0.962600104454152, "corr_portfolio": 0.15975208035164568, "corr_benchmark": 0.6129869511052172, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.6168066137439332, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.69, ivv +0.48, vea -0.34, efa +0.26, iwm -0.03, vnq -0.03", "ref_full": "qqq +0.53, ivv +0.52, vnq -0.03, agg +0.05, gsg +0.01" }, "leifx": { "sym": "leifx", "name": "Federated Hermes Strategic Dividend Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011145171168064655, "alpha_t_5y": -0.5813258205381727, "alpha_t_full": -0.2942343341220501, "r2_5y": 0.9038992207759781, "r2_full": 0.9368556667282011, "corr_portfolio": 0.39229060348301764, "corr_benchmark": 0.5185390288544631, "alpha_pos_frac": 0.4765957446808511, "fund_max_dd": -0.49380361131732664, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.31, qqq -0.65, iwm +0.16, vnq +0.10, tlt -0.05, gsg +0.03", "ref_full": "ivv +1.01, qqq -0.34, iwm +0.14, efa +0.12, fxe -0.07, vwo -0.04" }, "lfeax": { "sym": "lfeax", "name": "MFS Lifetime 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00810592493913384, "alpha_t_5y": -0.9078733237445018, "alpha_t_full": -0.7120522987356783, "r2_5y": 0.9617975246575319, "r2_full": 0.9628941376966368, "corr_portfolio": 0.33712404190099166, "corr_benchmark": 0.6410265935339123, "alpha_pos_frac": 0.51875, "fund_max_dd": -0.30299245492571303, "first": "2012-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vea +0.17, vnq +0.05, vweax +0.19, iwm +0.08, ief +0.10", "ref_full": "ivv +0.33, vea +0.20, iwm +0.09, vweax +0.19, vnq +0.05, djp +0.03" }, "lfgcx": { "sym": "lfgcx", "name": "Lord Abbett Focused Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07296507749932886, "alpha_t_5y": -1.9109376701271135, "alpha_t_full": -1.107708229760193, "r2_5y": 0.8853229055767152, "r2_full": 0.879698554038498, "corr_portfolio": 0.020125010472062194, "corr_benchmark": 0.5882448606888643, "alpha_pos_frac": 0.4588235294117647, "fund_max_dd": -0.4676132506680061, "first": "2019-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.06, vnq -0.15, iwm +0.15", "ref_full": "qqq +1.27, ivv -0.39, iwm +0.17, vnq -0.07" }, "lfiax": { "sym": "lfiax", "name": "MFS Lifetime 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010140327409987215, "alpha_t_5y": -1.0515231626232309, "alpha_t_full": -0.48484418117760325, "r2_5y": 0.9728216446191726, "r2_full": 0.9747547303158246, "corr_portfolio": 0.34018319479828824, "corr_benchmark": 0.6282786309966735, "alpha_pos_frac": 0.4625, "fund_max_dd": -0.328088596477799, "first": "2012-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vea +0.25, iwm +0.11, vnq +0.05, djp +0.04, vweax +0.15", "ref_full": "ivv +0.39, vea +0.25, iwm +0.11, vweax +0.15, djp +0.04, vnq +0.04" }, "lfmax": { "sym": "lfmax", "name": "LoCorr Macro Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02533380985280554, "alpha_t_5y": -0.8284409589955951, "alpha_t_full": -0.010558477618382862, "r2_5y": 0.24735406828018314, "r2_full": 0.10658817937803211, "corr_portfolio": 0.18762605088595855, "corr_benchmark": 0.039934377887464775, "alpha_pos_frac": 0.5027932960893855, "fund_max_dd": -0.23163887121603688, "first": "2011-04-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix -0.47, djp +0.12, fxe -0.18, vea +0.07, vweax -0.17", "ref_full": "fxe -0.24, djp +0.05, vmbix -1.03, ief +0.60, vea +0.11, gld +0.04" }, "lfrax": { "sym": "lfrax", "name": "Lord Abbett Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018283738950858837, "alpha_t_5y": 2.308127212197313, "alpha_t_full": 1.5235909966465528, "r2_5y": 0.5254170479885021, "r2_full": 0.602318389187813, "corr_portfolio": 0.32732077736856824, "corr_benchmark": 0.22524175846677288, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.2455127142894945, "first": "2007-12-19", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.30, agg -0.34, vblix +0.40, tlt -0.23", "ref_full": "vweax +0.56, ief -0.07, qqq -0.01" }, "lftlx": { "sym": "lftlx", "name": "MFS Lifetime 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013017456192708558, "alpha_t_5y": -1.1661025589173846, "alpha_t_full": -1.1661025589173846, "r2_5y": 0.9694321481570181, "r2_full": 0.9694321481570181, "corr_portfolio": 0.17111669597552215, "corr_benchmark": 0.6918577769280655, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.23564209915398082, "first": "2021-09-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.26, iwm +0.11, vnq +0.06, djp +0.04, vweax +0.14", "ref_full": "ivv +0.38, vea +0.26, iwm +0.11, vnq +0.06, djp +0.04, vweax +0.14" }, "lgcax": { "sym": "lgcax", "name": "Lord Abbett Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01648863254983225, "alpha_t_5y": -1.0526271278660009, "alpha_t_full": -0.6837751003386713, "r2_5y": 0.9509409237906208, "r2_full": 0.9576162202148979, "corr_portfolio": 0.27223123424218953, "corr_benchmark": 0.6330368130284624, "alpha_pos_frac": 0.42201834862385323, "fund_max_dd": -0.32907352389426203, "first": "2017-01-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.57, vea +0.26, vwo +0.11, vnq -0.07, iwm +0.05, qqq +0.07", "ref_full": "ivv +0.43, vea +0.30, qqq +0.12, vwo +0.09, iwm +0.07, vnq -0.04" }, "lgilx": { "sym": "lgilx", "name": "Schwab Select Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06031429083133359, "alpha_t_5y": -2.9678473388772026, "alpha_t_full": -1.6511033586345256, "r2_5y": 0.9552927238188746, "r2_full": 0.9390683014196639, "corr_portfolio": 0.14212965668676317, "corr_benchmark": 0.61929848624319, "alpha_pos_frac": 0.5326460481099656, "fund_max_dd": -0.677379595633125, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.78, ivv +0.33, iwm -0.05, vweax +0.13", "ref_full": "qqq +0.64, ivv +0.40, vweax +0.08, agg +0.07, vnq -0.02" }, "lglax": { "sym": "lglax", "name": "Lord Abbett Growth Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.074886904053722, "alpha_t_5y": -2.1695722984834904, "alpha_t_full": -1.810098375087021, "r2_5y": 0.902044460909029, "r2_full": 0.8945116216017204, "corr_portfolio": 0.10990416132530081, "corr_benchmark": 0.5811615410344639, "alpha_pos_frac": 0.5113636363636364, "fund_max_dd": -0.46112997582794335, "first": "2011-06-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.03, iwm +0.17, vnq -0.14", "ref_full": "qqq +0.95, iwm +0.17, vnq -0.08, tlt +0.08, vmbix -0.21" }, "lglv": { "sym": "lglv", "name": "State Street(R) SPDR(R) US Large Cap Low Volatility Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0075534519916101136, "alpha_t_5y": 0.36164419824374894, "alpha_t_full": 1.3431646384523785, "r2_5y": 0.8532239831325535, "r2_full": 0.8230814495395331, "corr_portfolio": 0.32243046503034684, "corr_benchmark": 0.5412799552963252, "alpha_pos_frac": 0.5192307692307693, "fund_max_dd": -0.3663712569753943, "first": "2013-02-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.29, ivv +1.14, qqq -0.51, vwo -0.05, iwm -0.05, gsg -0.03", "ref_full": "ivv +1.10, qqq -0.41, vnq +0.23, vwo -0.05, vweax +0.14, iwm -0.05" }, "lhcax": { "sym": "lhcax", "name": "Lord Abbett Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015168040981264806, "alpha_t_5y": -0.2982658822660128, "alpha_t_full": -0.034682285476742236, "r2_5y": 0.5886090183437687, "r2_full": 0.6497220780474025, "corr_portfolio": 0.07420008890840657, "corr_benchmark": 0.5684903030799477, "alpha_pos_frac": 0.43037974683544306, "fund_max_dd": -0.2794117963023308, "first": "2019-08-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.33, ivv +0.38, ief +0.19, gsg -0.05, efa +1.00, vea -0.90", "ref_full": "ivv +0.22, iwm +0.28, ief +0.20, qqq +0.20, efa +1.01, vea -0.92" }, "lhiax": { "sym": "lhiax", "name": "Columbia High Yield Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006330527534346428, "alpha_t_5y": -0.3468047948867806, "alpha_t_full": 0.18337092883628994, "r2_5y": 0.4019720359491068, "r2_full": 0.2940129435901726, "corr_portfolio": 0.05836551918611899, "corr_benchmark": 0.34533180946875963, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.26271496195536326, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.50, vblix +0.34, ivv -0.10, vnq +0.03, tlt -0.17", "ref_full": "vweax +0.40, ief +0.06, fxy +0.04, agg +0.14, efa -0.03, vnq +0.01" }, "lhyax": { "sym": "lhyax", "name": "Lord Abbett High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010958322832973369, "alpha_t_5y": -1.3419484123671555, "alpha_t_full": 0.4859137420277102, "r2_5y": 0.8482980409781107, "r2_full": 0.7919460332512365, "corr_portfolio": 0.3296646412529174, "corr_benchmark": 0.46734406374935616, "alpha_pos_frac": 0.502127659574468, "fund_max_dd": -0.3165500414674369, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.88, iwm +0.02, vwo +0.02, gsg +0.01, fxe -0.02", "ref_full": "vweax +0.89, ivv +0.04, vnq -0.01, djp +0.01, agg +0.13, ief -0.09" }, "libax": { "sym": "libax", "name": "Columbia Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -7.036663901267751e-05, "alpha_t_5y": -0.010800876011980756, "alpha_t_full": -0.7709642940363578, "r2_5y": 0.9403496392576459, "r2_full": 0.7957848021881915, "corr_portfolio": -0.06831113169640796, "corr_benchmark": 0.6690102484118049, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.23011676871772457, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.10, vweax +0.31, ivv -0.04, ief +0.32, vmbix +0.27, vblix +0.08", "ref_full": "ief +0.37, vweax +0.30, agg +0.13, vnq +0.01, tlt +0.04, fxy +0.02" }, "licax": { "sym": "licax", "name": "Lord Abbett International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014130569852565871, "alpha_t_5y": -0.8197510201025698, "alpha_t_full": -1.4320858943537604, "r2_5y": 0.9437185888807762, "r2_full": 0.9170988252781144, "corr_portfolio": 0.3651164263172017, "corr_benchmark": 0.5287509263343231, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5927700521376595, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.89, vwo +0.15, vnq -0.09, qqq +0.06, djp -0.03, fxy -0.05", "ref_full": "vea +0.55, vwo +0.09, vweax +0.23, vnq -0.05, efa +0.22, qqq +0.05" }, "lidax": { "sym": "lidax", "name": "Lord Abbett International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02311257664285246, "alpha_t_5y": 1.3262102523508863, "alpha_t_full": -0.30278296781176756, "r2_5y": 0.9275663064507702, "r2_full": 0.9183622908521574, "corr_portfolio": 0.4478020802871156, "corr_benchmark": 0.4856312524916206, "alpha_pos_frac": 0.47641509433962265, "fund_max_dd": -0.5142974524039665, "first": "2008-06-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.41, qqq -0.23, vea +0.49, ivv +0.22, tlt -0.04, vwo +0.06", "ref_full": "vea +0.45, vweax +0.28, efa +0.35, gsg +0.04, qqq -0.06, vwo +0.07" }, "lifax": { "sym": "lifax", "name": "Lord Abbett Inflation Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022093888699466504, "alpha_t_5y": 0.16723251359905691, "alpha_t_full": -0.4619461740883596, "r2_5y": 0.3716428079982629, "r2_full": 0.4097250897314494, "corr_portfolio": 0.21173617706842604, "corr_benchmark": 0.21583654602026162, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.18191966488260114, "first": "2011-04-25", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.15, djp +0.06, vmbix +0.11, tlt -0.29, ief +0.27, vblix +0.22", "ref_full": "vweax +0.37, gsg +0.05, tlt -0.12, vmbix +0.24, agg +0.16, qqq -0.02" }, "liiax": { "sym": "liiax", "name": "Columbia Select Corporate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006122837340685275, "alpha_t_5y": -1.12164240791562, "alpha_t_full": -1.0585169373704701, "r2_5y": 0.9566417517146715, "r2_full": 0.8169316981912853, "corr_portfolio": 0.042662000306044695, "corr_benchmark": 0.7343714551849637, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.21591810605872663, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.65, vweax +0.25, tlt -0.32, agg +0.43, vmbix -0.10", "ref_full": "agg +0.11, vweax +0.51, tlt +0.12, ief +0.23, ivv +0.01, fxy +0.02" }, "lisax": { "sym": "lisax", "name": "Lord Abbett Intermediate Tax Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015484094799301433, "alpha_t_5y": -1.4774727989860361, "alpha_t_full": 1.0980379470113089, "r2_5y": 0.40791929212934563, "r2_full": 0.2764678518261844, "corr_portfolio": 0.05774612603446026, "corr_benchmark": 0.3390339718906981, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1467824913925866, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.29, ief +0.06, ivv -0.04, vblix +0.21, tlt -0.13", "ref_full": "vweax +0.26, ief +0.04, fxy +0.03, agg +0.10, efa -0.02, vnq +0.01" }, "litax": { "sym": "litax", "name": "Columbia Intermediate Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014691504380884943, "alpha_t_5y": -1.6761595873466069, "alpha_t_full": 0.664353185378687, "r2_5y": 0.4115848767239024, "r2_full": 0.27658977460574596, "corr_portfolio": 0.042208339708650795, "corr_benchmark": 0.3196906249199756, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.11144965601794898, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, vblix +0.23, ivv -0.09, tlt -0.14, vnq +0.02, qqq +0.03", "ref_full": "vweax +0.23, ief +0.07, fxy +0.03, gsg -0.01, agg +0.07, efa -0.01" }, "lldyx": { "sym": "lldyx", "name": "Lord Abbett Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009747649831091795, "alpha_t_5y": 0.12422837065667647, "alpha_t_full": 1.8358977409980894, "r2_5y": 0.5166928565394473, "r2_full": 0.3722912856430385, "corr_portfolio": 0.07260113675410229, "corr_benchmark": 0.31503227493265995, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.10536036159879458, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.29, vweax +0.13, tlt -0.29, vblix +0.28, ivv -0.03", "ref_full": "vweax +0.24, ief +0.22, tlt -0.07, vnq +0.01, iwm -0.02, agg +0.05" }, "lmecx": { "sym": "lmecx", "name": "Western Asset SMASh Series Core Plus Completion Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05642098097641072, "alpha_t_5y": -2.3438135037102246, "alpha_t_full": -2.9974965423282467, "r2_5y": 0.5826061584671717, "r2_full": 0.5066705282220707, "corr_portfolio": 0.1624461064124661, "corr_benchmark": 0.6290138255502976, "alpha_pos_frac": 0.5757575757575758, "fund_max_dd": -0.36975083982776646, "first": "2012-05-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.25, efa +0.18, vweax +0.31, vblix +0.23", "ref_full": "agg +0.30, vweax +0.36, vwo +0.06, vblix +0.19, vea +0.07, iwm +0.02" }, "lmgax": { "sym": "lmgax", "name": "Lord Abbett Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0783681503144194, "alpha_t_5y": -1.6673672506961288, "alpha_t_full": -1.4016975597484833, "r2_5y": 0.8200730093935171, "r2_full": 0.8359990639715953, "corr_portfolio": 0.1316053822425377, "corr_benchmark": 0.5638942363907654, "alpha_pos_frac": 0.5080906148867314, "fund_max_dd": -0.49959828765678904, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.95, iwm +0.47, ivv -0.40", "ref_full": "ivv +0.19, qqq +0.50, iwm +0.39, vnq -0.04, gld +0.04" }, "lmiax": { "sym": "lmiax", "name": "Columbia Massachusetts Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021219541178344365, "alpha_t_5y": -2.3436236818744067, "alpha_t_full": 0.11279207766860884, "r2_5y": 0.3701691070346551, "r2_full": 0.26654768629423664, "corr_portfolio": 0.05225783328662071, "corr_benchmark": 0.3232572113333861, "alpha_pos_frac": 0.5071942446043165, "fund_max_dd": -0.11841038859356534, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, ief +0.09, ivv -0.04", "ref_full": "agg +0.09, vweax +0.22, ief +0.06, fxy +0.03, efa -0.02, vnq +0.01" }, "lmiyx": { "sym": "lmiyx", "name": "Lord Abbett Micro-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006962869932821776, "alpha_t_5y": -0.1468536853618882, "alpha_t_full": -0.31863352745484946, "r2_5y": 0.8474071739823632, "r2_full": 0.8074522402103904, "corr_portfolio": 0.11502327115708799, "corr_benchmark": 0.49951009769444865, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.6719993637327024, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.14, qqq +0.87, ivv -1.07, gsg -0.04", "ref_full": "iwm +1.06, qqq +0.58, ivv -0.61, vnq -0.08, gld +0.04, vweax +0.13" }, "lmsfx": { "sym": "lmsfx", "name": "Federated Hermes Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01644258695120013, "alpha_t_5y": -1.2273685029219197, "alpha_t_full": 0.0025981438562339863, "r2_5y": 0.4072110898455259, "r2_full": 0.2933386889742069, "corr_portfolio": 0.02595858620388842, "corr_benchmark": 0.357904915381168, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.25822225856570447, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.31, ivv -0.07, vnq +0.03, tlt -0.15, vmbix +0.09", "ref_full": "agg +0.13, vweax +0.29, ief +0.09, efa -0.03, fxy +0.03, vnq +0.01" }, "lmvyx": { "sym": "lmvyx", "name": "Lord Abbett Focused Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0189764354570672, "alpha_t_5y": -0.5948655550949781, "alpha_t_full": 0.06553138278029944, "r2_5y": 0.8876989307769341, "r2_full": 0.8762370736830194, "corr_portfolio": 0.34305071842956036, "corr_benchmark": 0.4706579721444059, "alpha_pos_frac": 0.45614035087719296, "fund_max_dd": -0.6257505856091978, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.88, qqq -0.51, ivv +0.74, fxy -0.09, gsg +0.04, vnq -0.07", "ref_full": "iwm +1.03, qqq -0.25, vweax +0.18, tlt -0.04, ivv +0.18, vnq -0.05" }, "lnyax": { "sym": "lnyax", "name": "Columbia New York Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020296528763534685, "alpha_t_5y": -2.3861175318977064, "alpha_t_full": 0.3164435155890839, "r2_5y": 0.3802475148628386, "r2_full": 0.2595578550247294, "corr_portfolio": 0.046621831062723905, "corr_benchmark": 0.3157560213426895, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.11441136232159599, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.20, ief +0.04, ivv -0.04, vblix +0.18, tlt -0.12, vnq +0.01", "ref_full": "vweax +0.22, ief +0.06, fxy +0.03, gsg -0.01, agg +0.08, efa -0.01" }, "lphax": { "sym": "lphax", "name": "BlackRock LifePath Dynamic 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00927363748839171, "alpha_t_5y": -0.48730932896076884, "alpha_t_full": -0.2657004210272222, "r2_5y": 0.91539938569057, "r2_full": 0.8622874312749685, "corr_portfolio": 0.3008702985045181, "corr_benchmark": 0.5760610672463166, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.34376993896702257, "first": "2010-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.29, vwo +0.07, iwm +0.05, ief +0.06", "ref_full": "ivv +0.44, vea +0.33, iwm +0.11, vmbix +0.28, agg -0.82, ief +0.48" }, "lpjrx": { "sym": "lpjrx", "name": "BlackRock LifePath Dynamic 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01317184700062549, "alpha_t_5y": -0.8224891272415545, "alpha_t_full": -0.4475822591303188, "r2_5y": 0.9065142327949781, "r2_full": 0.8418629081103771, "corr_portfolio": 0.29253854556778164, "corr_benchmark": 0.596660566123592, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.2990398620839757, "first": "2010-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.24, ief +0.19, iwm +0.05, vwo +0.05", "ref_full": "ivv +0.35, vea +0.28, iwm +0.10, ief +0.42, agg -0.64, vmbix +0.28" }, "lprax": { "sym": "lprax", "name": "BlackRock LifePath Dynamic Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01045676757618619, "alpha_t_5y": -0.44863706686738125, "alpha_t_full": -0.5643125469224606, "r2_5y": 0.6817804733326149, "r2_full": 0.7615077210351581, "corr_portfolio": 0.21605857393415892, "corr_benchmark": 0.6459216393438382, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.25857110650611626, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.19, agg -0.03, ivv +0.22, iwm +0.05, ief +0.37", "ref_full": "ivv +0.20, ief +0.33, efa +0.10, iwm +0.07, vweax +0.13, fxe +0.05" }, "lprdx": { "sym": "lprdx", "name": "BlackRock LifePath Dynamic 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008234868274325477, "alpha_t_5y": -0.5572888524160041, "alpha_t_full": -0.7331993163208055, "r2_5y": 0.8956417630846822, "r2_full": 0.8799296307507509, "corr_portfolio": 0.27651609253370835, "corr_benchmark": 0.6090820592213827, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.4860593854890858, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.32, vea +0.18, agg +0.33, iwm +0.05, vwo +0.04, fxe +0.05", "ref_full": "ivv +0.28, efa +0.20, vnq +0.06, ief +0.15, vwo +0.07, iwm +0.06" }, "lprex": { "sym": "lprex", "name": "BlackRock LifePath Dynamic 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010186195448107529, "alpha_t_5y": -0.5067795260206441, "alpha_t_full": -0.5208574092945765, "r2_5y": 0.8869816945013991, "r2_full": 0.8865812107538189, "corr_portfolio": 0.2901223269320349, "corr_benchmark": 0.5673842823285198, "alpha_pos_frac": 0.5128205128205128, "fund_max_dd": -0.543870470613165, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.45, vea +0.26, vmbix +0.15, vwo +0.06, iwm +0.05", "ref_full": "ivv +0.39, efa +0.24, vnq +0.06, vwo +0.07, iwm +0.07, ief +0.07" }, "lprfx": { "sym": "lprfx", "name": "BlackRock Lifepath Dynamic 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0072442423006113185, "alpha_t_5y": -0.34901348174576663, "alpha_t_full": -0.24062153543776546, "r2_5y": 0.9098400168343669, "r2_full": 0.8913351834167961, "corr_portfolio": 0.2900881363272262, "corr_benchmark": 0.5704821694855188, "alpha_pos_frac": 0.5188679245283019, "fund_max_dd": -0.5041649734793802, "first": "2008-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.54, vea +0.30, vwo +0.08, iwm +0.06, ief +0.06", "ref_full": "ivv +0.35, efa +0.28, vnq +0.07, vwo +0.08, iwm +0.08, qqq +0.06" }, "lpvax": { "sym": "lpvax", "name": "BlackRock LifePath Dynamic 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009362924450509503, "alpha_t_5y": -0.4559646319549829, "alpha_t_full": 0.06624800005069577, "r2_5y": 0.9158149539952067, "r2_full": 0.8599373846095211, "corr_portfolio": 0.298173360369884, "corr_benchmark": 0.5788786536900337, "alpha_pos_frac": 0.5478723404255319, "fund_max_dd": -0.3431915850917141, "first": "2010-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, vea +0.32, vwo +0.08, iwm +0.05", "ref_full": "ivv +0.24, vea +0.35, iwm +0.10, qqq +0.13, vnq +0.06, agg -0.11" }, "lpxax": { "sym": "lpxax", "name": "Cohen & Steers Low Duration Preferred & Income Fund,Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009177118258305134, "alpha_t_5y": 0.10600103183613407, "alpha_t_full": 0.6389205677933358, "r2_5y": 0.37017406192680147, "r2_full": 0.5380902578574044, "corr_portfolio": 0.2891136404609443, "corr_benchmark": 0.3751051076772553, "alpha_pos_frac": 0.5121951219512195, "fund_max_dd": -0.18137683376025815, "first": "2015-12-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, efa +0.03, ivv -0.02", "ref_full": "vweax +0.46, vnq +0.02, qqq -0.03, vwo +0.02, agg +0.19, vmbix -0.20" }, "lrscx": { "sym": "lrscx", "name": "Small-Cap Value Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01716827898154077, "alpha_t_5y": -0.6359135740874858, "alpha_t_full": -0.06717350380612333, "r2_5y": 0.9118587402462818, "r2_full": 0.9366367502642796, "corr_portfolio": 0.3476919336906812, "corr_benchmark": 0.5021567215304399, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5402142137618131, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.79, qqq -0.45, ivv +0.66, fxy -0.11, gsg +0.03, vea +0.06", "ref_full": "iwm +0.83, efa +0.02, qqq -0.22, ivv +0.35, tlt -0.09, agg +0.17" }, "lsbdx": { "sym": "lsbdx", "name": "Loomis Sayles Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005008604951108609, "alpha_t_5y": 0.631548038352107, "alpha_t_full": 0.19873227966480095, "r2_5y": 0.8453057599974061, "r2_full": 0.7070164370498035, "corr_portfolio": 0.201632702085767, "corr_benchmark": 0.6937249314399467, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.3058037511360103, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.37, vweax +0.34, vea +0.01, iwm +0.02, fxe +0.03, ief +0.10", "ref_full": "vweax +0.43, efa +0.06, ief +0.16, fxe +0.09, agg +0.17, iwm +0.03" }, "lsdax": { "sym": "lsdax", "name": "Lord Abbett Short Duration Tax Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016889159718558377, "alpha_t_5y": -3.3917747188610106, "alpha_t_full": -1.0236845073349428, "r2_5y": 0.3812301812079385, "r2_full": 0.294203802062203, "corr_portfolio": 0.08376236556155268, "corr_benchmark": 0.2937897626392271, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.06581865013307353, "first": "2008-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.13, ivv -0.02, vblix +0.15, tlt -0.10", "ref_full": "vweax +0.12, agg +0.09, iwm -0.01, vnq +0.01, fxy +0.01, tlt -0.01" }, "lsgbx": { "sym": "lsgbx", "name": "Loomis Sayles Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011377954502768165, "alpha_t_5y": -1.6367680408583896, "alpha_t_full": 0.36101647180978075, "r2_5y": 0.9312208148622053, "r2_full": 0.8656157356856422, "corr_portfolio": 0.01870983467854544, "corr_benchmark": 0.6030335147357251, "alpha_pos_frac": 0.4649122807017544, "fund_max_dd": -0.2686072118601779, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.23, fxe +0.27, fxy +0.15, vweax +0.20, vwo +0.03, ief +0.27", "ref_full": "fxe +0.30, ief +0.23, vweax +0.25, fxy +0.16, vwo +0.03, agg +0.11" }, "lsofx": { "sym": "lsofx", "name": "LS Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02477428901684041, "alpha_t_5y": -1.4270269686305461, "alpha_t_full": -0.4048282903339891, "r2_5y": 0.8268944644245287, "r2_full": 0.7689921661804213, "corr_portfolio": 0.37356797611815196, "corr_benchmark": 0.48763885009668556, "alpha_pos_frac": 0.5243243243243243, "fund_max_dd": -0.22054974763194923, "first": "2010-10-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.99, qqq -0.49, iwm +0.10, tlt -0.03", "ref_full": "ivv +0.59, qqq -0.21, iwm +0.13, fxy -0.05" }, "lssix": { "sym": "lssix", "name": "Loomis Sayles Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03645489647445439, "alpha_t_5y": -1.373523793926081, "alpha_t_full": -0.30277720530073426, "r2_5y": 0.9189195915598927, "r2_full": 0.9263004871447847, "corr_portfolio": 0.1987403198528196, "corr_benchmark": 0.5526554035450187, "alpha_pos_frac": 0.46120689655172414, "fund_max_dd": -0.8340778274508409, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, qqq +0.30, ivv -0.15, djp -0.03", "ref_full": "iwm +0.80, qqq +0.29, vnq -0.07, ivv -0.09, vweax +0.08" }, "lswwx": { "sym": "lswwx", "name": "Loomis Sayles Global Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028056711183839983, "alpha_t_5y": -1.7201681636645834, "alpha_t_full": -0.5560465176667606, "r2_5y": 0.9221104301809132, "r2_full": 0.9196883838233176, "corr_portfolio": 0.2378265387051347, "corr_benchmark": 0.665888514951919, "alpha_pos_frac": 0.48760330578512395, "fund_max_dd": -0.48281234472919665, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.45, efa +0.15, agg +0.16, vweax +0.27, qqq +0.12, fxe +0.11", "ref_full": "ivv +0.24, efa +0.15, qqq +0.20, vweax +0.30, fxe +0.09, vwo +0.05" }, "lsyux": { "sym": "lsyux", "name": "Lord Abbett Short Duration High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01365769703732521, "alpha_t_5y": 1.7545805916367696, "alpha_t_full": 2.1448299748368265, "r2_5y": 0.8103700821242409, "r2_full": 0.8196365101909047, "corr_portfolio": 0.20796434486020934, "corr_benchmark": 0.49221442439344093, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.09617822600746839, "first": "2020-04-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.78, iwm +0.01, vmbix -0.05, vwo +0.02, fxe -0.03", "ref_full": "vweax +0.79, iwm +0.01, vmbix -0.05, vwo +0.02, fxe -0.03" }, "ltebx": { "sym": "ltebx", "name": "LIMITED TERM TAX EXEMPT BOND FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013856818765083385, "alpha_t_5y": -1.8948501421689972, "alpha_t_full": 0.7240209595175369, "r2_5y": 0.38358068404139545, "r2_full": 0.28298205372852003, "corr_portfolio": 0.029243199926853168, "corr_benchmark": 0.32492572815183346, "alpha_pos_frac": 0.5447470817120622, "fund_max_dd": -0.07994701371511448, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.23, ief +0.08, ivv -0.04, vnq +0.01", "ref_full": "vweax +0.17, ief +0.04, fxy +0.02, agg +0.06, efa -0.02, vnq +0.01" }, "ltmax": { "sym": "ltmax", "name": "MFS Lifetime 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011121173432400015, "alpha_t_5y": -1.1742282434541498, "alpha_t_full": -0.5913825943357913, "r2_5y": 0.9719413620016913, "r2_full": 0.9746389011315192, "corr_portfolio": 0.33979211134061205, "corr_benchmark": 0.6270500308012171, "alpha_pos_frac": 0.49375, "fund_max_dd": -0.3275450437722994, "first": "2012-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.24, iwm +0.10, vnq +0.06, djp +0.04, vweax +0.16", "ref_full": "ivv +0.39, vea +0.24, iwm +0.11, vweax +0.15, djp +0.04, vnq +0.04" }, "ltnyx": { "sym": "ltnyx", "name": "Invesco Rochester Limited Term New York Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012143762368962693, "alpha_t_5y": -0.9914536600194136, "alpha_t_full": 0.4923088064485276, "r2_5y": 0.24918672019397592, "r2_full": 0.15946508522621428, "corr_portfolio": 0.02955472525091859, "corr_benchmark": 0.25001500419742545, "alpha_pos_frac": 0.5618374558303887, "fund_max_dd": -0.13783804232372854, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, ief +0.09, ivv -0.04", "ref_full": "vweax +0.21, ief +0.03, fxy +0.03, agg +0.08, efa -0.01" }, "ltrax": { "sym": "ltrax", "name": "Lord Abbett Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0050672233870704755, "alpha_t_5y": -1.0200182779500073, "alpha_t_full": -0.676083978422905, "r2_5y": 0.9525494214800085, "r2_full": 0.7826504291479398, "corr_portfolio": -0.040461416155758906, "corr_benchmark": 0.7036067272394482, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.18430095715940098, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.17, vweax +0.14, ief +0.41, vblix +0.37, tlt -0.20, vmbix +0.21", "ref_full": "ief +0.33, vweax +0.28, agg +0.14, vnq +0.02, tlt +0.04, gld +0.01" }, "lttkx": { "sym": "lttkx", "name": "MFS Lifetime 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008778563386483909, "alpha_t_5y": -1.2481592802924864, "alpha_t_full": -0.48373539745908645, "r2_5y": 0.936748411435839, "r2_full": 0.9449915169222468, "corr_portfolio": 0.2498207435789634, "corr_benchmark": 0.7901880728450572, "alpha_pos_frac": 0.5421686746987951, "fund_max_dd": -0.19378169951585233, "first": "2019-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.15, agg +0.41, vea +0.08, iwm +0.05, vweax +0.15, djp +0.02", "ref_full": "ivv +0.16, agg +0.31, vweax +0.20, vea +0.08, vnq +0.04, iwm +0.03" }, "lubax": { "sym": "lubax", "name": "Lord Abbett Ultra Short Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014903343060141542, "alpha_t_5y": 0.33223651785146885, "alpha_t_full": 0.20666602226020042, "r2_5y": 0.34339767702438073, "r2_full": 0.28296468341138714, "corr_portfolio": 0.05602014852013801, "corr_benchmark": 0.19004059104510695, "alpha_pos_frac": 0.4375, "fund_max_dd": -0.024925662778443658, "first": "2016-10-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.06, ivv -0.01, ief +0.15, tlt -0.17, vblix +0.21, agg -0.15", "ref_full": "vweax +0.06, efa -0.01, ief +0.09, tlt -0.09, vblix +0.09, vmbix -0.03" }, "lutax": { "sym": "lutax", "name": "Columbia U.S. Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006777170334282539, "alpha_t_5y": -1.3255297024521004, "alpha_t_full": -0.9180542232300002, "r2_5y": 0.9530111346316922, "r2_full": 0.8753407105041565, "corr_portfolio": -0.19225644697737646, "corr_benchmark": 0.6226780168906622, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.19651249640043478, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.53, vblix +0.20, ivv -0.02, tlt -0.06, gsg -0.01, vweax +0.04", "ref_full": "ief +0.48, tlt +0.08, vweax +0.03, fxy +0.02, vnq +0.01, djp -0.01" }, "lvhd": { "sym": "lvhd", "name": "Franklin U.S. Low Volatility High Dividend Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019123281852383482, "alpha_t_5y": 0.7484394159782182, "alpha_t_full": 1.4005817214427088, "r2_5y": 0.7776064130633848, "r2_full": 0.8150583009981505, "corr_portfolio": 0.3600539207172053, "corr_benchmark": 0.5315079543265936, "alpha_pos_frac": 0.5081967213114754, "fund_max_dd": -0.37317486717741233, "first": "2015-12-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.35, ivv +1.07, qqq -0.66, ief +0.09, vwo -0.04", "ref_full": "vnq +0.29, ivv +1.13, qqq -0.64, agg +0.37, vmbix -0.25, fxy +0.05" }, "lvhi": { "sym": "lvhi", "name": "Franklin International Low Volatility High Dividend Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06170140479531066, "alpha_t_5y": 2.869574758583411, "alpha_t_full": 1.4605248299073632, "r2_5y": 0.7794791058219759, "r2_full": 0.7282864384908239, "corr_portfolio": 0.4080396145073452, "corr_benchmark": 0.416714763719022, "alpha_pos_frac": 0.5217391304347826, "fund_max_dd": -0.3230960989599091, "first": "2016-07-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.70, fxe -0.44, qqq -0.24, ivv +0.19, fxy -0.13, vnq +0.06", "ref_full": "efa +0.73, fxe -0.44, qqq -0.21, ivv +0.16, fxy -0.14, vnq +0.06" }, "lvitx": { "sym": "lvitx", "name": "Western Asset Core Plus VIT Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009136274157775386, "alpha_t_5y": -0.40188207297591283, "alpha_t_full": -0.6801214244057047, "r2_5y": 0.5551056249558592, "r2_full": 0.6078775060060169, "corr_portfolio": 0.0011354531754161595, "corr_benchmark": 0.6467345424911026, "alpha_pos_frac": 0.6230769230769231, "fund_max_dd": -0.2323461977210034, "first": "2015-05-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +1.02", "ref_full": "agg +0.25, vweax +0.18, ief +0.14, vea +0.03, vblix +0.14, vmbix +0.23" }, "lvoax": { "sym": "lvoax", "name": "Lord Abbett Value Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036388651201545004, "alpha_t_5y": -1.5357280922056993, "alpha_t_full": -0.6389817905311735, "r2_5y": 0.9131497066090266, "r2_full": 0.9377209725560958, "corr_portfolio": 0.31704985012472137, "corr_benchmark": 0.5541887005819054, "alpha_pos_frac": 0.49586776859504134, "fund_max_dd": -0.4647714033687027, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.55, ivv +0.72, qqq -0.28", "ref_full": "iwm +0.51, ivv +0.50, qqq -0.11, vweax +0.12, tlt -0.05, agg +0.09" }, "lzhox": { "sym": "lzhox", "name": "Lazard US High Yield Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0062588381525635756, "alpha_t_5y": -0.9492861783461688, "alpha_t_full": -1.8210564884463283, "r2_5y": 0.8889641375889543, "r2_full": 0.8326867444578885, "corr_portfolio": 0.28682393672623435, "corr_benchmark": 0.48627822259086606, "alpha_pos_frac": 0.5204460966542751, "fund_max_dd": -0.4418837123876732, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.83, iwm +0.01, agg +0.07, ivv +0.02", "ref_full": "vweax +0.82, ivv +0.02, agg +0.08, tlt -0.01" }, "maagx": { "sym": "maagx", "name": "MFS Aggressive Growth Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025126538382242335, "alpha_t_5y": -2.2742053432468574, "alpha_t_full": -0.6850454896461349, "r2_5y": 0.9666095710855259, "r2_full": 0.9674605374410397, "corr_portfolio": 0.32337035826045657, "corr_benchmark": 0.6219340302232906, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5527666992209672, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.27, vnq +0.07, iwm +0.08, djp +0.03, vweax +0.13", "ref_full": "ivv +0.48, efa +0.23, iwm +0.11, djp +0.04, vwo +0.05, vweax +0.11" }, "macfx": { "sym": "macfx", "name": "MFS Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012742428504703123, "alpha_t_5y": -1.9401656656960447, "alpha_t_full": -0.7170166723344417, "r2_5y": 0.9507244207826037, "r2_full": 0.9509671785428501, "corr_portfolio": 0.28071159331414164, "corr_benchmark": 0.7815828698179527, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.25724731778190013, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.18, agg +0.34, vea +0.10, vweax +0.17, iwm +0.03, vnq +0.03", "ref_full": "ivv +0.22, ief +0.25, efa +0.10, vweax +0.15, iwm +0.05, djp +0.02" }, "madfx": { "sym": "madfx", "name": "Matrix Advisors Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017153231146031494, "alpha_t_5y": 0.6759308792495943, "alpha_t_full": 0.3960992632168288, "r2_5y": 0.8294687759493272, "r2_full": 0.88325774771448, "corr_portfolio": 0.37176128451370805, "corr_benchmark": 0.5276338355022098, "alpha_pos_frac": 0.5, "fund_max_dd": -0.33171465245866794, "first": "2016-10-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.38, qqq -0.64, iwm +0.10, vnq +0.07, gsg -0.03", "ref_full": "ivv +1.42, qqq -0.58, iwm +0.07, agg -0.37, vmbix +0.37, djp -0.03" }, "magwx": { "sym": "magwx", "name": "MFS Growth Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0251749818737503, "alpha_t_5y": -2.7205342456075003, "alpha_t_full": -0.9551002542129584, "r2_5y": 0.9667266497327752, "r2_full": 0.9652128555942144, "corr_portfolio": 0.32017742045715314, "corr_benchmark": 0.6505112144192428, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.480668923195843, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, vea +0.20, vnq +0.07, vweax +0.21, iwm +0.07, djp +0.03", "ref_full": "ivv +0.41, efa +0.20, iwm +0.09, vweax +0.16, djp +0.04, ief +0.09" }, "mamax": { "sym": "mamax", "name": "MFS Moderate Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018683191396353264, "alpha_t_5y": -2.318889738952637, "alpha_t_full": -1.083599580343318, "r2_5y": 0.9600334157060946, "r2_full": 0.9621282887150039, "corr_portfolio": 0.3028602664995795, "corr_benchmark": 0.7118208313994214, "alpha_pos_frac": 0.49743589743589745, "fund_max_dd": -0.3782485454407841, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.28, vmbix +0.22, vea +0.14, vnq +0.05, vweax +0.18, iwm +0.05", "ref_full": "ivv +0.32, efa +0.14, ief +0.19, iwm +0.07, vweax +0.15, djp +0.03" }, "mapax": { "sym": "mapax", "name": "NYLI WMC Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0051112620616358875, "alpha_t_5y": 0.27064737280102474, "alpha_t_full": 0.5035520924644895, "r2_5y": 0.9073213768270605, "r2_full": 0.9481518618516133, "corr_portfolio": 0.3752126312874388, "corr_benchmark": 0.5500023455620237, "alpha_pos_frac": 0.5531914893617021, "fund_max_dd": -0.5522249541793733, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.25, qqq -0.58, iwm +0.15, vnq +0.06, efa +0.05, gsg +0.02", "ref_full": "ivv +0.93, qqq -0.22, iwm +0.12, efa +0.13, gsg +0.03, fxe -0.05" }, "masax": { "sym": "masax", "name": "NYLI MacKay Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014461489245899802, "alpha_t_5y": 2.0556400569752307, "alpha_t_full": 1.291987703253678, "r2_5y": 0.7777870438213081, "r2_full": 0.5663603641269086, "corr_portfolio": 0.1835947687456399, "corr_benchmark": 0.5229773408346721, "alpha_pos_frac": 0.5025641025641026, "fund_max_dd": -0.1872451532599385, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.31, vweax +0.20, vmbix +0.12, qqq -0.02, vea +0.02", "ref_full": "vweax +0.39, agg +0.06, efa +0.03, ief +0.10, vwo +0.02, qqq -0.01" }, "masgx": { "sym": "masgx", "name": "MATTHEWS EMERGING MARKETS SUSTAINABLE FUTURE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024840122738359997, "alpha_t_5y": 0.5347070377444587, "alpha_t_full": 0.7340238388755377, "r2_5y": 0.7414409017735915, "r2_full": 0.6719284343761642, "corr_portfolio": 0.19717149151256882, "corr_benchmark": 0.4469625320746786, "alpha_pos_frac": 0.3923076923076923, "fund_max_dd": -0.33848797021423627, "first": "2015-05-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.97, qqq +0.14, vnq -0.09", "ref_full": "vwo +0.65, qqq +0.14, vweax +0.33, gsg -0.05, gld +0.06, vnq -0.05" }, "mbdfx": { "sym": "mbdfx", "name": "AMG GW&K Core Bond ESG Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004036537120898394, "alpha_t_5y": -0.6652399087093754, "alpha_t_full": 0.07425436929052648, "r2_5y": 0.9401958436330426, "r2_full": 0.7446012199320218, "corr_portfolio": -0.08390690517822925, "corr_benchmark": 0.7037756959160603, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.19422075520327275, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.26, vblix +0.11, vmbix +0.22, ief +0.20, vweax +0.05", "ref_full": "ief +0.44, vweax +0.17, agg +0.20, vnq +0.01, fxe +0.02, vwo +0.01" }, "mbeqx": { "sym": "mbeqx", "name": "M International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012391672893031941, "alpha_t_5y": 0.7842953886218738, "alpha_t_full": -1.7425585846176381, "r2_5y": 0.9338388366808428, "r2_full": 0.7328621793575645, "corr_portfolio": 0.3743192138064768, "corr_benchmark": 0.4652211057346978, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.6802552231831462, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.57, vwo +0.22, vweax +0.24, djp +0.03, fxe +0.10, tlt -0.04", "ref_full": "vea +1.08, vweax +0.61, vnq -0.10, fxe +0.17, efa -0.34, tlt -0.05" }, "mbovx": { "sym": "mbovx", "name": "M Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.031128310039193495, "alpha_t_5y": 1.5979105608255544, "alpha_t_full": -0.6626493657186221, "r2_5y": 0.9027813037637185, "r2_full": 0.8920696220157184, "corr_portfolio": 0.41917093753793255, "corr_benchmark": 0.49479436593698883, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5682472055095612, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.50, qqq -0.81, iwm +0.18, vea +0.07, ief -0.07, gsg +0.02", "ref_full": "ivv +1.04, qqq -0.37, iwm +0.19, efa +0.08, vnq -0.04, ief -0.10" }, "mbsax": { "sym": "mbsax", "name": "Multisector Bond SMA Completion Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.033700329812015296, "alpha_t_5y": 2.392008539749174, "alpha_t_full": 1.36724146405447, "r2_5y": 0.7547238845970248, "r2_full": 0.7342651411284016, "corr_portfolio": 0.1895886642274946, "corr_benchmark": 0.6336333404714019, "alpha_pos_frac": 0.5394736842105263, "fund_max_dd": -0.13249509006598514, "first": "2019-10-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.93, vea +0.07, vweax +0.29, ief -0.20, iwm +0.05, tlt -0.06", "ref_full": "vea +0.07, vmbix +0.68, vweax +0.42, vblix -0.26, iwm +0.07, agg +0.30" }, "mcfix": { "sym": "mcfix", "name": "Mercer Core Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005124176066749019, "alpha_t_5y": -1.151370648510146, "alpha_t_full": -1.151370648510146, "r2_5y": 0.9667959163803201, "r2_full": 0.9667959163803201, "corr_portfolio": -0.12979653595413917, "corr_benchmark": 0.8011349485061017, "alpha_pos_frac": 0.6065573770491803, "fund_max_dd": -0.18715824442877882, "first": "2021-02-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.28, ief +0.23, vweax +0.08, vmbix +0.20, vblix +0.08, qqq -0.01", "ref_full": "agg +0.28, ief +0.23, vweax +0.08, vmbix +0.20, vblix +0.08, qqq -0.01" }, "mcftx": { "sym": "mcftx", "name": "MFS California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013463373077387259, "alpha_t_5y": -0.8558992066202394, "alpha_t_full": 0.5228065873521791, "r2_5y": 0.3732373703279599, "r2_full": 0.2784625220527617, "corr_portfolio": 0.03969737338033718, "corr_benchmark": 0.3527116547034926, "alpha_pos_frac": 0.5719844357976653, "fund_max_dd": -0.17845188621618635, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.49, ief +0.17, ivv -0.07, vnq +0.03", "ref_full": "vweax +0.34, ief +0.08, fxy +0.04, agg +0.12, gsg -0.01, iwm -0.01" }, "mcoax": { "sym": "mcoax", "name": "NYLI MacKay Convertible Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001316821459277084, "alpha_t_5y": -0.06517491191605382, "alpha_t_full": 0.6959164162664241, "r2_5y": 0.8391902959413704, "r2_full": 0.8633924499604955, "corr_portfolio": 0.24416998396375064, "corr_benchmark": 0.5659564203543881, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.440542790205245, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.31, qqq +0.16, djp +0.05, vwo +0.06, vweax +0.14, vnq -0.04", "ref_full": "ivv +0.16, iwm +0.26, vnq -0.07, vweax +0.30, vwo +0.09, qqq +0.11" }, "mcsax": { "sym": "mcsax", "name": "MFS Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008312575517093426, "alpha_t_5y": 0.3372406678189929, "alpha_t_full": 0.06991683701772362, "r2_5y": 0.8778515746355129, "r2_full": 0.8780849799918758, "corr_portfolio": 0.23259811533343494, "corr_benchmark": 0.1407664368006561, "alpha_pos_frac": 0.4603174603174603, "fund_max_dd": -0.6500197248802138, "first": "2010-06-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.82, vmbix +0.06, qqq -0.04, vweax +0.16", "ref_full": "djp +0.82, vweax +0.23, ivv -0.05, gld +0.02" }, "mctox": { "sym": "mctox", "name": "Modern Capital Tactical Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03534504414230119, "alpha_t_5y": 1.1674026889850617, "alpha_t_full": 1.1674026889850617, "r2_5y": 0.6460828028519552, "r2_full": 0.6460828028519552, "corr_portfolio": 0.2557670456315404, "corr_benchmark": 0.5315976039284925, "alpha_pos_frac": 0.5254237288135594, "fund_max_dd": -0.12257273723656481, "first": "2021-04-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.76, iwm +0.14, gsg +0.11, vweax +0.40, efa -0.46, fxe -0.14", "ref_full": "vea +0.76, iwm +0.14, gsg +0.11, vweax +0.40, efa -0.46, fxe -0.14" }, "mdidx": { "sym": "mdidx", "name": "MFS International Diversification Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005524588037554249, "alpha_t_5y": -0.03184929964886628, "alpha_t_full": 0.39512943925805005, "r2_5y": 0.9169972757624606, "r2_full": 0.9381177854836585, "corr_portfolio": 0.35644072741846355, "corr_benchmark": 0.5458708677085845, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.568029252996271, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.15, vwo +0.19, vweax +0.26, efa +0.45, fxe +0.08", "ref_full": "efa +0.62, vwo +0.12, vweax +0.26, fxe +0.11, qqq +0.04, vnq -0.01" }, "mdsix": { "sym": "mdsix", "name": "Integrity Short Term Government Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007315115026977289, "alpha_t_5y": 1.0502654973835417, "alpha_t_full": 0.40169333329744666, "r2_5y": 0.735156369060548, "r2_full": 0.40771345651863966, "corr_portfolio": -0.0833671328390721, "corr_benchmark": 0.43930541211127594, "alpha_pos_frac": 0.3409090909090909, "fund_max_dd": -0.10821569258633934, "first": "2011-07-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.26, ief +0.24, tlt -0.05, vweax +0.04, gsg -0.01", "ref_full": "vmbix +0.34, agg +0.06, fxe +0.02" }, "mdxbx": { "sym": "mdxbx", "name": "T. Rowe Price Maryland Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007999136794021103, "alpha_t_5y": -0.6008233451115979, "alpha_t_full": 0.8490819673373843, "r2_5y": 0.4040068033538369, "r2_full": 0.30448690425997815, "corr_portfolio": 0.022030906709744655, "corr_benchmark": 0.35438088605954926, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.14362447884416563, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, vblix +0.30, ivv -0.13, tlt -0.17, vnq +0.04, qqq +0.04", "ref_full": "vweax +0.27, ief +0.08, fxy +0.03, agg +0.10, efa -0.03, vnq +0.01" }, "mdyg": { "sym": "mdyg", "name": "State Street(R) SPDR(R) S & P 400(TM) Mid Cap Growth ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019664087290753193, "alpha_t_5y": -0.8131332136298298, "alpha_t_full": -0.3057791844768954, "r2_5y": 0.9226660278043004, "r2_full": 0.868787015797718, "corr_portfolio": 0.2736991714000943, "corr_benchmark": 0.5927476020345379, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.5909227967000314, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.37, vea +0.07", "ref_full": "iwm +0.51, ivv +0.26, vweax +0.21, djp +0.07, qqq +0.12, agg +0.12" }, "mdyv": { "sym": "mdyv", "name": "State Street(R) SPDR(R) S & P 400(TM) Mid Cap Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009495462917421368, "alpha_t_5y": 0.41521810093073525, "alpha_t_full": 0.16585990930459302, "r2_5y": 0.9226184528134659, "r2_full": 0.7400980511039399, "corr_portfolio": 0.3515645693783067, "corr_benchmark": 0.5140293360892771, "alpha_pos_frac": 0.4868421052631579, "fund_max_dd": -0.6070828184740074, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.62, vnq +0.09, ief -0.05, qqq -0.53, ivv +0.85, fxy -0.06", "ref_full": "iwm +0.54, vweax +0.46, ivv +0.59, qqq -0.28, djp +0.10, vwo -0.08" }, "medhx": { "sym": "medhx", "name": "MFS Emerging Markets Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006426514086034853, "alpha_t_5y": 0.04428807311603648, "alpha_t_full": 0.5985980416685451, "r2_5y": 0.6457597849724206, "r2_full": 0.5632073694282993, "corr_portfolio": 0.23448457555523777, "corr_benchmark": 0.47946539038293295, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2936638599198723, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.73, vblix +0.35, tlt -0.19, ivv -0.07, vwo +0.05, gsg -0.02", "ref_full": "vweax +0.70, agg +0.15, vwo +0.07, qqq -0.04, tlt +0.03, fxe +0.03" }, "mefix": { "sym": "mefix", "name": "ClearBridge Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.043516476431056494, "alpha_t_5y": -1.2372051927524368, "alpha_t_full": -0.5755270553378576, "r2_5y": 0.8432563147392418, "r2_full": 0.8596985568566045, "corr_portfolio": 0.24957286848026347, "corr_benchmark": 0.46812451127821186, "alpha_pos_frac": 0.49612403100775193, "fund_max_dd": -0.4675731870196109, "first": "2015-06-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.82, qqq +0.11, vnq -0.10, vea +1.94, efa -1.72, gld -0.08", "ref_full": "vwo +0.75, qqq +0.12, vea +1.59, efa -1.40, vnq -0.07, djp -0.05" }, "meifx": { "sym": "meifx", "name": "MERIDIAN HEDGED EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019793628056300194, "alpha_t_5y": -0.6659383176069479, "alpha_t_full": 0.5279442855547534, "r2_5y": 0.7094787171513788, "r2_full": 0.8067975366791746, "corr_portfolio": 0.2013355737663194, "corr_benchmark": 0.505521700256338, "alpha_pos_frac": 0.4782608695652174, "fund_max_dd": -0.5437135947526465, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.45, iwm +0.12, vnq +0.08", "ref_full": "ivv +0.49, iwm +0.14, vwo +0.06, vnq +0.05, qqq +0.05" }, "meikx": { "sym": "meikx", "name": "MFS Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0029369143002399463, "alpha_t_5y": -0.15764674075168167, "alpha_t_full": 1.0107251690020822, "r2_5y": 0.8968186182972375, "r2_full": 0.9425059776392979, "corr_portfolio": 0.3872353306134152, "corr_benchmark": 0.5327014067043715, "alpha_pos_frac": 0.5504201680672269, "fund_max_dd": -0.5581791631311439, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.37, qqq -0.65, vnq +0.08, efa +0.08, iwm +0.04", "ref_full": "ivv +1.16, qqq -0.40, efa +0.12, vnq +0.03, gld -0.03, iwm +0.04" }, "memax": { "sym": "memax", "name": "MFS Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00813423227743292, "alpha_t_5y": -0.23138473626678321, "alpha_t_full": -1.0116692673898688, "r2_5y": 0.7466364716961962, "r2_full": 0.8724267299927844, "corr_portfolio": 0.31192719831182886, "corr_benchmark": 0.41746743194859665, "alpha_pos_frac": 0.4956140350877193, "fund_max_dd": -0.6703854572107485, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.81, fxy -0.11, vweax +0.41, agg -0.15, iwm -0.04", "ref_full": "vwo +0.64, vweax +0.40, ief -0.06, efa +0.08, gsg +0.03, fxy -0.06" }, "memqx": { "sym": "memqx", "name": "Mercer Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02738065900126976, "alpha_t_5y": -0.7594045665719803, "alpha_t_full": -1.1798351609277187, "r2_5y": 0.7345913621252835, "r2_full": 0.7714719598796423, "corr_portfolio": 0.3166151938706432, "corr_benchmark": 0.41463306399950794, "alpha_pos_frac": 0.4759036144578313, "fund_max_dd": -0.40090944120685823, "first": "2012-05-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.70, vweax +0.34, agg -0.20, fxe -0.14, vea +0.82, efa -0.73", "ref_full": "vwo +0.61, vweax +0.52, ief -0.17, vea +0.86, efa -0.75, iwm -0.05" }, "memux": { "sym": "memux", "name": "Maine Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023754512345541406, "alpha_t_5y": -1.6083272323471522, "alpha_t_full": -1.267403579511812, "r2_5y": 0.2767838893024508, "r2_full": 0.2873573568915022, "corr_portfolio": 0.03393714870872268, "corr_benchmark": 0.22897265337227593, "alpha_pos_frac": 0.5764705882352941, "fund_max_dd": -0.144774443774623, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.42, ivv -0.07, ief +0.10", "ref_full": "vweax +0.37, ivv -0.04, fxy +0.06, agg +0.07, vnq +0.03, vea -0.04" }, "merdx": { "sym": "merdx", "name": "MERIDIAN GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.096212215205216, "alpha_t_5y": -3.2984113688080483, "alpha_t_full": -1.2481458774801877, "r2_5y": 0.8896221331843185, "r2_full": 0.9177696284599323, "corr_portfolio": 0.2063994031498285, "corr_benchmark": 0.5636630677611772, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.4845131880557537, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.66, qqq +0.23, djp -0.05, vnq +0.06", "ref_full": "iwm +0.63, qqq +0.12, ivv +0.13, vweax +0.08, gld -0.03, agg +0.07" }, "merfx": { "sym": "merfx", "name": "The Merger Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 0.6999137760137587, "r2_5y": NaN, "r2_full": 0.42560278761154124, "corr_portfolio": 0.3317244012467536, "corr_benchmark": 0.4009574281228631, "alpha_pos_frac": 0.41566265060240964, "fund_max_dd": -0.15097339477902627, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ivv +0.09, agg +0.25, ief -0.14, vwo +0.05, gld -0.03, fxe -0.05" }, "mervx": { "sym": "mervx", "name": "The Merger Fund VL", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005215462694264114, "alpha_t_5y": 0.04708193442770399, "alpha_t_full": 0.2099717785739385, "r2_5y": 0.1443236339137619, "r2_full": 0.2775864027839662, "corr_portfolio": 0.1901794502253247, "corr_benchmark": 0.3053448446570055, "alpha_pos_frac": 0.5038461538461538, "fund_max_dd": -0.2699530772660991, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.03, ivv +0.03", "ref_full": "ivv +0.07, vwo +0.08, gld -0.04, agg +0.30, ief -0.22, fxe -0.06" }, "mfaax": { "sym": "mfaax", "name": "AMERICAN FUNDS MORTGAGE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 6.90981119971243e-05, "alpha_t_5y": 0.010199788815329727, "alpha_t_full": -0.6021545365002798, "r2_5y": 0.9313076439851653, "r2_full": 0.8915051369128443, "corr_portfolio": -0.1133606170322778, "corr_benchmark": 0.6183717601680772, "alpha_pos_frac": 0.4046242774566474, "fund_max_dd": -0.15989391614510573, "first": "2010-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.58, ief +0.41, tlt -0.18, vblix +0.16, qqq -0.02, vweax +0.08", "ref_full": "vmbix +0.65, ief +0.31, tlt -0.07, vweax +0.07, qqq -0.01, agg +0.07" }, "mfalx": { "sym": "mfalx", "name": "MFS Alabama Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015020719501311439, "alpha_t_5y": -1.0290219535318792, "alpha_t_full": 0.22641121017898477, "r2_5y": 0.38728538380503585, "r2_full": 0.291654060836557, "corr_portfolio": 0.03820187136005199, "corr_benchmark": 0.3587504245002353, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16205511228176783, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.32, ivv -0.08, vnq +0.03, tlt -0.14, vmbix +0.10", "ref_full": "agg +0.13, vweax +0.29, ief +0.08, fxy +0.03, iwm -0.03, vnq +0.01" }, "mfarx": { "sym": "mfarx", "name": "MFS Arkansas Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01118857114494527, "alpha_t_5y": -0.7471863325038067, "alpha_t_full": 0.144316083130937, "r2_5y": 0.3839089446915712, "r2_full": 0.2877409922647651, "corr_portfolio": 0.02261714643723891, "corr_benchmark": 0.3525381300141011, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.14530358069538063, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.32, ivv -0.09, vnq +0.03, tlt -0.17, vmbix +0.11", "ref_full": "agg +0.11, vweax +0.27, ief +0.09, fxy +0.03, efa -0.02, vnq +0.01" }, "mfbfx": { "sym": "mfbfx", "name": "MFS Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005380095611075342, "alpha_t_5y": -1.0957358198774478, "alpha_t_full": -0.2733472805605419, "r2_5y": 0.9650103485036748, "r2_full": 0.8335758035221064, "corr_portfolio": 0.01292161194826797, "corr_benchmark": 0.7279598985684987, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.35031705645616096, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.55, vweax +0.24, ief +0.17, tlt -0.23, agg +0.14, qqq -0.01", "ref_full": "ief +0.29, vweax +0.45, tlt +0.09, agg +0.11, vnq +0.01, fxy +0.02" }, "mfcpx": { "sym": "mfcpx", "name": "M Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01564018471072968, "alpha_t_5y": -0.5839086280863532, "alpha_t_full": -1.5191918024115447, "r2_5y": 0.9333845750713242, "r2_full": 0.9163017958846603, "corr_portfolio": 0.25952942042787197, "corr_benchmark": 0.5559764298087186, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6300034699676369, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.82, ivv +0.29, vwo +0.06, vnq -0.06, fxy -0.08, vea +0.08", "ref_full": "iwm +0.81, qqq +0.19, djp +0.06, vnq -0.06, vweax +0.17, efa +0.07" }, "mfegx": { "sym": "mfegx", "name": "MFS Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05029265943767916, "alpha_t_5y": -2.5164958900659613, "alpha_t_full": -1.5821539624798404, "r2_5y": 0.9495804915949356, "r2_full": 0.9509199514253499, "corr_portfolio": 0.15407008501252803, "corr_benchmark": 0.6176694541780383, "alpha_pos_frac": 0.5086206896551724, "fund_max_dd": -0.7242210955224545, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.62, ivv +0.51, iwm -0.09, djp -0.03", "ref_full": "qqq +0.54, ivv +0.48, vnq -0.03, gld +0.02, tlt +0.02" }, "mffsx": { "sym": "mffsx", "name": "MFS Lifetime 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010344334808936557, "alpha_t_5y": -1.0725426868844217, "alpha_t_full": -0.35232623963351545, "r2_5y": 0.9728840269503864, "r2_full": 0.9735212415243667, "corr_portfolio": 0.3395281297320811, "corr_benchmark": 0.628359592181844, "alpha_pos_frac": 0.4918918918918919, "fund_max_dd": -0.32837300052361196, "first": "2010-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vea +0.25, iwm +0.11, vnq +0.06, djp +0.04, vweax +0.15", "ref_full": "ivv +0.40, vea +0.24, iwm +0.12, vweax +0.15, djp +0.04, vnq +0.04" }, "mfiax": { "sym": "mfiax", "name": "MFS Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00965623039139639, "alpha_t_5y": -0.696765726444016, "alpha_t_full": 0.8229335070726908, "r2_5y": 0.4119023258735657, "r2_full": 0.30437565763417307, "corr_portfolio": 0.040822613253877156, "corr_benchmark": 0.3609649583033511, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.16063322974906646, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.29, vweax +0.31, ivv -0.08, vnq +0.03, tlt -0.17, vmbix +0.09", "ref_full": "vweax +0.30, ief +0.07, agg +0.13, fxy +0.04, efa -0.03, vnq +0.01" }, "mfiox": { "sym": "mfiox", "name": "MFS Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013191914353779188, "alpha_t_5y": -0.2302330067903502, "alpha_t_full": -0.4594758068170498, "r2_5y": 0.9350439077499302, "r2_full": 0.7571029006412539, "corr_portfolio": 0.030582380696160705, "corr_benchmark": 0.6636251361604526, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.18492235312769179, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.35, vweax +0.22, ief +0.26, tlt -0.14, qqq -0.01, vmbix +0.07", "ref_full": "agg +0.10, vweax +0.47, ief +0.18, fxe +0.03, tlt +0.05, fxy +0.03" }, "mfjax": { "sym": "mfjax", "name": "MFS Lifetime 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010205670763476216, "alpha_t_5y": -1.0344050496211974, "alpha_t_full": -0.520902627195871, "r2_5y": 0.9716268291739765, "r2_full": 0.973878314303267, "corr_portfolio": 0.31285057279273243, "corr_benchmark": 0.6589898590783575, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.3298350542409729, "first": "2016-12-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vea +0.26, iwm +0.11, vnq +0.05, djp +0.04, vweax +0.15", "ref_full": "ivv +0.39, vea +0.25, iwm +0.11, vnq +0.05, djp +0.04, vweax +0.14" }, "mfpax": { "sym": "mfpax", "name": "MFS Pennsylvania Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011825102552424714, "alpha_t_5y": -0.8701569735946548, "alpha_t_full": 0.6518484909577549, "r2_5y": 0.38773478142207984, "r2_full": 0.28819130876739096, "corr_portfolio": 0.03650822920090405, "corr_benchmark": 0.3523380155809375, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.15721166860622415, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.33, ivv -0.13, vnq +0.04, tlt -0.14, qqq +0.04", "ref_full": "vweax +0.28, ief +0.07, agg +0.12, iwm -0.02, fxy +0.03, vnq +0.01" }, "mfrkx": { "sym": "mfrkx", "name": "MFS Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026353180974111295, "alpha_t_5y": -2.6283231651935144, "alpha_t_full": -0.5961085871392755, "r2_5y": 0.9788232306594025, "r2_full": 0.9818886179604535, "corr_portfolio": 0.2751198803792067, "corr_benchmark": 0.6201147084452369, "alpha_pos_frac": 0.5168067226890757, "fund_max_dd": -0.52229245276682, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.02, qqq -0.04", "ref_full": "ivv +0.87, vwo +0.03, iwm +0.03, qqq +0.05, gsg +0.01, vnq +0.01" }, "mfscx": { "sym": "mfscx", "name": "MFS South Carolina Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01521322491707117, "alpha_t_5y": -1.0724025930219434, "alpha_t_full": -0.12488907103416043, "r2_5y": 0.3987355644740691, "r2_full": 0.2935642037477896, "corr_portfolio": 0.03344869803622136, "corr_benchmark": 0.3691486743395041, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.15904209433700334, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.33, ivv -0.07, vnq +0.03, tlt -0.15, vmbix +0.09", "ref_full": "agg +0.13, vweax +0.28, ief +0.08, fxy +0.03, efa -0.02, vnq +0.01" }, "mfsmx": { "sym": "mfsmx", "name": "MFS Maryland Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01308715236371411, "alpha_t_5y": -0.9770866537329985, "alpha_t_full": 0.14117664196895427, "r2_5y": 0.4017925647543087, "r2_full": 0.2887426614666705, "corr_portfolio": 0.04800689407078949, "corr_benchmark": 0.35008542214482724, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.1486639174577573, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.25, vweax +0.31, ivv -0.07, vnq +0.03, tlt -0.14, vmbix +0.09", "ref_full": "vweax +0.29, ief +0.07, agg +0.10, iwm -0.03, vnq +0.02, fxy +0.03" }, "mfssx": { "sym": "mfssx", "name": "MFS Massachusetts Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014500662028892495, "alpha_t_5y": -1.0898815541424964, "alpha_t_full": 0.2722377869968252, "r2_5y": 0.3969651021707805, "r2_full": 0.28078005655001137, "corr_portfolio": 0.045540515275922976, "corr_benchmark": 0.3541905040178228, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.15613429643019316, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.07, ivv -0.12, vnq +0.03, qqq +0.04, vblix +0.05", "ref_full": "vweax +0.29, ief +0.08, agg +0.11, fxy +0.03, gsg -0.01, efa -0.01" }, "mfwtx": { "sym": "mfwtx", "name": "MFS Global Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012521285509481624, "alpha_t_5y": -0.13400873851390316, "alpha_t_full": 2.529035418749622, "r2_5y": 0.9391294136984274, "r2_full": 0.9452633847082302, "corr_portfolio": 0.3973400121594816, "corr_benchmark": 0.6622511401108665, "alpha_pos_frac": 0.5, "fund_max_dd": -0.33213192157428795, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.27, vnq +0.03, agg +0.25, ivv +0.49, qqq -0.25, fxe +0.14", "ref_full": "efa +0.25, ivv +0.40, fxy +0.10, qqq -0.13, ief +0.16, fxe +0.13" }, "mfwvx": { "sym": "mfwvx", "name": "MFS West Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012213165938461803, "alpha_t_5y": -0.8686949650105484, "alpha_t_full": 0.07364756889751105, "r2_5y": 0.3917374416626819, "r2_full": 0.301885831247092, "corr_portfolio": 0.0168838892195488, "corr_benchmark": 0.36126085629164495, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.14323970357783644, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.31, ivv -0.07, vmbix +0.10, tlt -0.16, vnq +0.02", "ref_full": "agg +0.11, vweax +0.27, ief +0.10, iwm -0.02, fxy +0.03, vnq +0.01" }, "mgfox": { "sym": "mgfox", "name": "Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011123486245373774, "alpha_t_5y": 1.319603039428817, "alpha_t_full": 1.709585705772589, "r2_5y": 0.5783689951864455, "r2_full": 0.5443452460539515, "corr_portfolio": 0.1175539403175502, "corr_benchmark": 0.5305769152874877, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.12019741006691975, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.35, vweax +0.18, fxy +0.02, tlt -0.04, qqq -0.02, vwo +0.02", "ref_full": "vweax +0.27, ief +0.10, fxy +0.04, agg +0.07" }, "mghax": { "sym": "mghax", "name": "NYLI Candriam Emerging Markets Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007560592986194042, "alpha_t_5y": -0.3995197403054423, "alpha_t_full": -0.1786660995737021, "r2_5y": 0.5204753876169959, "r2_full": 0.4533100814161999, "corr_portfolio": 0.24351720759190532, "corr_benchmark": 0.46073904306480623, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.3269400046665226, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.73, vmbix +0.25, vwo +0.04, ivv -0.07, gsg -0.02, vea +0.05", "ref_full": "vweax +0.70, vwo +0.07, agg +0.22, qqq -0.03, fxe +0.03" }, "mgiax": { "sym": "mgiax", "name": "MFS International Intrinsic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007115321910167245, "alpha_t_5y": -0.3177130430003854, "alpha_t_full": 1.3957418808918531, "r2_5y": 0.8855904544124902, "r2_full": 0.9008826746955306, "corr_portfolio": 0.2942403533342004, "corr_benchmark": 0.5773293015583884, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.5194145628242859, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.68, qqq +0.10, gld +0.07, vweax +0.27, fxe +0.16, gsg -0.02", "ref_full": "efa +0.66, ief +0.13, qqq +0.12, fxe +0.14, vweax +0.19, iwm -0.04" }, "mglax": { "sym": "mglax", "name": "MFS Global Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.038520110655814975, "alpha_t_5y": -2.3558509252974758, "alpha_t_full": -0.92906290375575, "r2_5y": 0.9416460546614466, "r2_full": 0.9260934480989478, "corr_portfolio": 0.2817107060825477, "corr_benchmark": 0.6120320216987074, "alpha_pos_frac": 0.47549019607843135, "fund_max_dd": -0.38549612234965636, "first": "2009-03-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.70, vea +0.23, vweax +0.25, ivv -0.07, fxe +0.07", "ref_full": "vnq +0.57, vea +0.27, vweax +0.27, fxe +0.07, ivv -0.07, vwo +0.04" }, "mgrax": { "sym": "mgrax", "name": "MFS International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004369946195322499, "alpha_t_5y": -0.1948715538470533, "alpha_t_full": 0.3057936159990264, "r2_5y": 0.8737018912732062, "r2_full": 0.9201283177710426, "corr_portfolio": 0.3147090461687435, "corr_benchmark": 0.5464630271760532, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.552866740151589, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.59, vwo +0.15, vweax +0.29, fxe +0.15, gsg -0.03, qqq +0.04", "ref_full": "efa +0.63, vwo +0.11, vweax +0.27, fxe +0.14, qqq +0.06, vnq -0.02" }, "mgsex": { "sym": "mgsex", "name": "AMG Veritas Asia Pacific Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006908760193290713, "alpha_t_5y": -0.1387897850760687, "alpha_t_full": -0.19875945585201538, "r2_5y": 0.7183202741808865, "r2_full": 0.8167692465897856, "corr_portfolio": 0.20789473475757803, "corr_benchmark": 0.46895680073660795, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6205084885941838, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.78, qqq +0.37, vnq -0.14, iwm +0.15, ivv -0.42, vea +0.18", "ref_full": "iwm +0.62, qqq +0.34, vwo +0.20, ivv -0.23, tlt -0.04, vnq -0.03" }, "mgsix": { "sym": "mgsix", "name": "MFS Government Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004939457383429671, "alpha_t_5y": -0.9289877269283647, "alpha_t_full": -0.966962047372907, "r2_5y": 0.9515405963083128, "r2_full": 0.8182550090388665, "corr_portfolio": -0.14548801784044005, "corr_benchmark": 0.653086887321985, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.18416369695853496, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.41, vmbix +0.32, vweax +0.06, ivv -0.02, vblix +0.18, tlt -0.11", "ref_full": "ief +0.44, vweax +0.10, agg +0.11, vnq +0.01, fxy +0.02, tlt +0.02" }, "mgvax": { "sym": "mgvax", "name": "NYLI MacKay U.S. Infrastructure Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007895562775875324, "alpha_t_5y": 1.2109616473420397, "alpha_t_full": -0.42085798955146814, "r2_5y": 0.9209066632444608, "r2_full": 0.7019057450618811, "corr_portfolio": -0.1112774913744201, "corr_benchmark": 0.6073090086734083, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.17242481610992233, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.62, vweax +0.08, ivv -0.03, vblix +0.28, tlt -0.20", "ref_full": "ief +0.45, vweax +0.12, efa +0.02, agg +0.07, djp -0.01, fxy +0.02" }, "mhcax": { "sym": "mhcax", "name": "NYLI MacKay High Yield Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001504647260038677, "alpha_t_5y": -0.18006475656527035, "alpha_t_full": 1.5077786177590757, "r2_5y": 0.7333636690932162, "r2_full": 0.6138757422236376, "corr_portfolio": 0.3073651290547232, "corr_benchmark": 0.45808889376872775, "alpha_pos_frac": 0.4956896551724138, "fund_max_dd": -0.2938752305540392, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, iwm +0.02, djp +0.02, agg +0.06, efa +0.02", "ref_full": "vweax +0.62, efa +0.01, agg +0.10, ief -0.05, djp +0.01, iwm +0.01" }, "mhitx": { "sym": "mhitx", "name": "MFS High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005959385477413794, "alpha_t_5y": -0.547458093453284, "alpha_t_full": -0.3397487837078822, "r2_5y": 0.7610821823938072, "r2_full": 0.7493018248479755, "corr_portfolio": 0.28028737938879433, "corr_benchmark": 0.4250876807984767, "alpha_pos_frac": 0.38144329896907214, "fund_max_dd": -0.36808717635897825, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.94, ivv +0.02", "ref_full": "vweax +0.95, efa +0.02, fxy -0.01, agg +0.12, ief -0.09" }, "mhoax": { "sym": "mhoax", "name": "MFS Global High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011550669486164046, "alpha_t_5y": 0.10507995744999118, "alpha_t_full": -0.4398728929208111, "r2_5y": 0.6915824270390436, "r2_full": 0.7988073586180493, "corr_portfolio": 0.30456198897159154, "corr_benchmark": 0.3957718541677147, "alpha_pos_frac": 0.47766323024054985, "fund_max_dd": -0.4071365652905, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.83", "ref_full": "vweax +0.91, vwo +0.03, ief -0.11, agg +0.11, qqq -0.01" }, "miaax": { "sym": "miaax", "name": "MFS Inflation-Adjusted Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006187459533772183, "alpha_t_5y": -0.468479325830599, "alpha_t_full": -0.7616725486386766, "r2_5y": 0.7253679345999869, "r2_full": 0.6479264738039021, "corr_portfolio": -0.06085626706382225, "corr_benchmark": 0.6136043932592227, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.16045155675726652, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.25, gsg +0.05, ief +0.47, vweax +0.07", "ref_full": "ief +0.51, gsg +0.04, vweax +0.14, tlt +0.06, agg +0.09, gld +0.02" }, "miazx": { "sym": "miazx", "name": "American Funds Multi-Sector Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032896589982888795, "alpha_t_5y": 0.4911207841675921, "alpha_t_full": 0.47411575356184943, "r2_5y": 0.8834220093462862, "r2_full": 0.8664264662483547, "corr_portfolio": 0.188515737598151, "corr_benchmark": 0.6524867591427497, "alpha_pos_frac": 0.6385542168674698, "fund_max_dd": -0.16540777978717514, "first": "2019-03-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.49, vblix +0.47, tlt -0.27, vwo +0.02, vmbix +0.06, qqq -0.01", "ref_full": "vweax +0.57, vblix +0.28, tlt -0.14, ief +0.10, iwm +0.02, qqq -0.01" }, "midax": { "sym": "midax", "name": "MFS International New Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022009696053413477, "alpha_t_5y": -1.0634391341326996, "alpha_t_full": -0.27427885451965284, "r2_5y": 0.8615021407497228, "r2_full": 0.9123766078976112, "corr_portfolio": 0.33810503095247857, "corr_benchmark": 0.5471006709669395, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5859082757343431, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.51, fxy +0.13, vweax +0.35, vwo +0.09, fxe +0.12, qqq +0.03", "ref_full": "efa +0.55, vweax +0.37, vwo +0.14, fxe +0.09, fxy +0.05, gld +0.02" }, "midsx": { "sym": "midsx", "name": "Midas Discovery", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0336494177065176, "alpha_t_5y": -0.4141540738662534, "alpha_t_full": -2.3996907792029125, "r2_5y": 0.710623840166112, "r2_full": 0.6617518731795052, "corr_portfolio": 0.07419810240469338, "corr_benchmark": 0.321855252738924, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.8972083614697808, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.33, vea +1.80, efa -1.11, qqq -0.11", "ref_full": "gld +1.32, vwo +0.28, efa +0.26, djp +0.14, vweax +0.33" }, "mieix": { "sym": "mieix", "name": "MFS International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009069874508171831, "alpha_t_5y": 0.4712628801999632, "alpha_t_full": 1.1091735100461397, "r2_5y": 0.908864698939352, "r2_full": 0.9277114222346469, "corr_portfolio": 0.36036571349694957, "corr_benchmark": 0.5241524250062757, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5313386071776649, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.28, fxe +0.15, vea -0.52, vweax +0.23, vwo +0.05", "ref_full": "efa +0.81, vweax +0.27, fxe +0.13, agg -0.13, ief +0.07" }, "migfx": { "sym": "migfx", "name": "Massachusetts Investors Growth Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.041446564420645836, "alpha_t_5y": -2.2733856883897956, "alpha_t_full": -0.08325903512965323, "r2_5y": 0.9337494998769241, "r2_full": 0.9551077630641578, "corr_portfolio": 0.24585830162798583, "corr_benchmark": 0.6230312827479214, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.6203790823370595, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, gsg -0.04, vnq +0.06, iwm -0.08, vwo +0.05, vblix +0.03", "ref_full": "ivv +0.74, qqq +0.14, efa +0.09, djp -0.01, agg +0.04" }, "mishx": { "sym": "mishx", "name": "AB Municipal Income Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005400968160706359, "alpha_t_5y": 0.035412226849499, "alpha_t_full": 1.1898654244909743, "r2_5y": 0.42720705376148627, "r2_full": 0.3891161897253508, "corr_portfolio": 0.07425345783766146, "corr_benchmark": 0.36791631091459787, "alpha_pos_frac": 0.5652173913043478, "fund_max_dd": -0.190287122274294, "first": "2012-10-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, ief +0.09, ivv -0.08, vnq +0.03, vblix +0.31, tlt -0.20", "ref_full": "vweax +0.25, vblix +0.48, tlt -0.34, fxy +0.04, agg +0.20, vea -0.03" }, "missx": { "sym": "missx", "name": "MFS Mississippi Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01595248351462387, "alpha_t_5y": -1.1797972777753547, "alpha_t_full": 0.2183702962009456, "r2_5y": 0.39469891028417026, "r2_full": 0.2931120943937362, "corr_portfolio": 0.043796846835850334, "corr_benchmark": 0.3679095184987909, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.14610287868826866, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.28, ivv -0.07, vnq +0.02, tlt -0.16, vmbix +0.09", "ref_full": "agg +0.10, vweax +0.28, ief +0.09, fxy +0.03, gsg -0.01, iwm -0.01" }, "mittx": { "sym": "mittx", "name": "Massachusetts Investors Trust", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017580161816020613, "alpha_t_5y": -1.5063816243038632, "alpha_t_full": 0.2407241443312579, "r2_5y": 0.9680406883339957, "r2_full": 0.9774787358044549, "corr_portfolio": 0.29394342048664124, "corr_benchmark": 0.6057170728650096, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.49533912566647176, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.07, qqq -0.13, efa +0.05, iwm -0.03, gsg -0.01", "ref_full": "ivv +0.89, efa +0.10, fxy -0.02, qqq -0.02, gld -0.01" }, "miucx": { "sym": "miucx", "name": "MFS Municipal Intermediate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02071423585903324, "alpha_t_5y": -1.8544366123273954, "alpha_t_full": -1.8544366123273954, "r2_5y": 0.3984558288091029, "r2_full": 0.3984558288091029, "corr_portfolio": -0.044368406885342215, "corr_benchmark": 0.38225745246066273, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.13149310973505723, "first": "2021-05-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.22, vweax +0.23, ivv -0.06, vmbix +0.08, tlt -0.13, vnq +0.02", "ref_full": "vblix +0.22, vweax +0.23, ivv -0.06, vmbix +0.08, tlt -0.13, vnq +0.02" }, "mkvhx": { "sym": "mkvhx", "name": "MFS International Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04676736653598299, "alpha_t_5y": 2.4945933402521008, "alpha_t_full": 2.2181259093748027, "r2_5y": 0.914298428530791, "r2_full": 0.9130945581873053, "corr_portfolio": 0.33790459233033604, "corr_benchmark": 0.5127451133626689, "alpha_pos_frac": 0.5, "fund_max_dd": -0.267053612596316, "first": "2020-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.81, qqq -0.20, ivv +0.26, fxe +0.18, tlt -0.05, vweax +0.20", "ref_full": "efa +0.81, qqq -0.20, ivv +0.25, fxe +0.17, tlt -0.06, vweax +0.21" }, "mlaax": { "sym": "mlaax", "name": "NYLI Winslow Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.045564240866689795, "alpha_t_5y": -2.1554075991552484, "alpha_t_full": -1.9549873933345123, "r2_5y": 0.9498475948128402, "r2_full": 0.9438930564254563, "corr_portfolio": 0.15129553297888432, "corr_benchmark": 0.6072017080180797, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.830086591930398, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.73, ivv +0.37, vnq -0.06", "ref_full": "qqq +0.63, ivv +0.43, vnq -0.03, gld +0.02" }, "mlfax": { "sym": "mlfax", "name": "MFS Lifetime 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012222614576332884, "alpha_t_5y": -1.3693116863479886, "alpha_t_full": -0.10118132213986855, "r2_5y": 0.9716097992566827, "r2_full": 0.9631816864831179, "corr_portfolio": 0.3403442129200188, "corr_benchmark": 0.6310227427889278, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5520543210285819, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.36, vea +0.21, iwm +0.10, vweax +0.19, vnq +0.06, djp +0.03", "ref_full": "ivv +0.41, efa +0.21, iwm +0.10, vwo +0.06, djp +0.04, vnq +0.04" }, "mllax": { "sym": "mllax", "name": "MFS Lifetime Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037507221495038335, "alpha_t_5y": -0.5842855470608244, "alpha_t_full": -0.1460973061141152, "r2_5y": 0.9300134186556704, "r2_full": 0.912324497940321, "corr_portfolio": 0.2652696110425647, "corr_benchmark": 0.8189736304847942, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.17014982949128687, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.12, agg +0.09, vweax +0.27, vea +0.06, iwm +0.05, ief +0.23", "ref_full": "ivv +0.13, ief +0.28, vweax +0.23, efa +0.05, iwm +0.05, djp +0.02" }, "mlozx": { "sym": "mlozx", "name": "Cohen & Steers Future of Energy Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0792162767420675, "alpha_t_5y": 1.7937895683298715, "alpha_t_full": 0.472786253645229, "r2_5y": 0.6883828865668936, "r2_full": 0.6473697273344696, "corr_portfolio": 0.3150019859671362, "corr_benchmark": 0.3811773111229306, "alpha_pos_frac": 0.5069444444444444, "fund_max_dd": -0.7228605419837566, "first": "2013-12-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.20, gsg +0.35, vea +0.26, fxe -0.24, qqq -0.60, ivv +0.93", "ref_full": "iwm +0.30, gsg +0.38, vea +1.40, qqq -0.62, ivv +0.93, efa -1.17" }, "mlpnx": { "sym": "mlpnx", "name": "Invesco SteelPath MLP Alpha Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.15371838879114474, "alpha_t_5y": 2.087356134561244, "alpha_t_full": 0.300018370236647, "r2_5y": 0.5427864401788758, "r2_full": 0.47683122167312364, "corr_portfolio": 0.27161437559147467, "corr_benchmark": 0.30427224271166137, "alpha_pos_frac": 0.5411764705882353, "fund_max_dd": -0.8861104912771193, "first": "2012-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.32, gsg +0.45, vnq +0.01, tlt -0.06, qqq -0.91, ivv +1.47", "ref_full": "iwm +0.49, gsg +0.55, vweax +0.97, gld -0.15, qqq -0.68, ivv +0.95" }, "mlpox": { "sym": "mlpox", "name": "Invesco SteelPath MLP Alpha Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.1139128408000846, "alpha_t_5y": 2.021129068968452, "alpha_t_full": 0.18932562812599005, "r2_5y": 0.54819002405987, "r2_full": 0.44111713696890353, "corr_portfolio": 0.2807528433865705, "corr_benchmark": 0.3055473548983511, "alpha_pos_frac": 0.5392670157068062, "fund_max_dd": -0.7695901426332562, "first": "2010-04-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.25, gsg +0.34, vnq +0.00, tlt -0.05, qqq -0.71, ivv +1.15", "ref_full": "iwm +0.31, gsg +0.35, vweax +0.80, fxe -0.28, qqq -0.43, ivv +0.59" }, "mlptx": { "sym": "mlptx", "name": "Invesco SteelPath MLP Select 40 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.11870579389711892, "alpha_t_5y": 2.3070282232240356, "alpha_t_full": 0.4512268182117647, "r2_5y": 0.5522088576972242, "r2_full": 0.46732370385732036, "corr_portfolio": 0.28958630942917907, "corr_benchmark": 0.3212154875447154, "alpha_pos_frac": 0.518324607329843, "fund_max_dd": -0.7562165802366865, "first": "2010-04-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.29, gsg +0.31, vnq -0.01, qqq -0.62, ivv +0.95", "ref_full": "iwm +0.35, gsg +0.31, vweax +0.79, fxe -0.26, qqq -0.43, ivv +0.54" }, "mlpzx": { "sym": "mlpzx", "name": "Invesco SteelPath MLP Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.11897712804991231, "alpha_t_5y": 2.2443593642715856, "alpha_t_full": 0.2258767928017253, "r2_5y": 0.5180585212691717, "r2_full": 0.4400366932079215, "corr_portfolio": 0.2745000022239705, "corr_benchmark": 0.30154532161035347, "alpha_pos_frac": 0.5130890052356021, "fund_max_dd": -0.7750873621803462, "first": "2010-04-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.27, gsg +0.30, vnq -0.02, qqq -0.64, ivv +0.99", "ref_full": "iwm +0.34, gsg +0.32, vweax +0.88, qqq -0.46, ivv +0.56, fxe -0.26" }, "mltax": { "sym": "mltax", "name": "MFS Lifetime 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009252656854032539, "alpha_t_5y": -1.171971213307879, "alpha_t_full": -0.23180609360947335, "r2_5y": 0.9485612645263175, "r2_full": 0.9258272160935851, "corr_portfolio": 0.3250432882114806, "corr_benchmark": 0.6657507398252157, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.5318399416003592, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.22, vmbix +0.26, vea +0.11, iwm +0.06, vweax +0.18, vnq +0.05", "ref_full": "ivv +0.26, efa +0.20, vnq +0.07, vwo +0.09, gsg +0.03, iwm +0.06" }, "mlvax": { "sym": "mlvax", "name": "MFS Low Volatility Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008183846205143383, "alpha_t_5y": -0.3989325987195398, "alpha_t_full": 0.12923138185318883, "r2_5y": 0.8609236584887551, "r2_full": 0.9145631209697795, "corr_portfolio": 0.3195517291622279, "corr_benchmark": 0.5955720714309721, "alpha_pos_frac": 0.5102040816326531, "fund_max_dd": -0.3414633876065445, "first": "2013-12-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.11, qqq -0.36, vnq +0.18, iwm -0.07, gsg -0.03, vwo -0.04", "ref_full": "ivv +1.08, vnq +0.17, qqq -0.26, iwm -0.09, gsg -0.03, vwo -0.03" }, "mmgax": { "sym": "mmgax", "name": "MFS Georgia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01349838762142579, "alpha_t_5y": -0.928363489393802, "alpha_t_full": 0.1464735166085183, "r2_5y": 0.39682254096524205, "r2_full": 0.2866080855690841, "corr_portfolio": 0.04309198045061873, "corr_benchmark": 0.3613439910746954, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15847052695296548, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.33, ivv -0.08, vnq +0.03, tlt -0.15, vmbix +0.09", "ref_full": "vweax +0.30, ief +0.08, agg +0.12, fxy +0.03, gsg -0.01, iwm -0.01" }, "mmgpx": { "sym": "mmgpx", "name": "Discovery Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.2056812798916558, "alpha_t_5y": -1.6207495228113242, "alpha_t_full": -1.437804211550137, "r2_5y": 0.5451796803530586, "r2_full": 0.615154943818321, "corr_portfolio": -0.043805004540106864, "corr_benchmark": 0.493406772278972, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.8745470952541257, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.85, iwm +1.01, ivv -2.01, vnq +0.27", "ref_full": "qqq +1.01, iwm +0.60, ivv -0.59, agg +0.48" }, "mmhyx": { "sym": "mmhyx", "name": "MFS Municipal High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0033282545103984957, "alpha_t_5y": -0.22028566251791135, "alpha_t_full": 1.082905144352121, "r2_5y": 0.429704559914719, "r2_full": 0.3038661055000157, "corr_portfolio": 0.05806639493438524, "corr_benchmark": 0.3489801098884224, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.23267098536941822, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.40, ief +0.10, ivv -0.08, vnq +0.03, vblix +0.32, tlt -0.20", "ref_full": "vweax +0.37, ief +0.08, iwm -0.03, agg +0.11, vnq +0.02, fxy +0.03" }, "mmufx": { "sym": "mmufx", "name": "MFS Utilities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005195451360680533, "alpha_t_5y": 0.1109225386839056, "alpha_t_full": 0.6858199072425257, "r2_5y": 0.49780456883995483, "r2_full": 0.7306252652896099, "corr_portfolio": 0.2645562463413659, "corr_benchmark": 0.5236412190288204, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5601020543114601, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.51, vea +0.24, iwm -0.10, agg +0.21, fxe -0.19, gld +0.06", "ref_full": "efa +0.20, vnq +0.08, ivv +0.73, qqq -0.35, agg +0.40, vwo +0.11" }, "mncex": { "sym": "mncex", "name": "Mercer Non-US Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014867443983764642, "alpha_t_5y": 0.58263451111847, "alpha_t_full": 0.8895621631206646, "r2_5y": 0.8422413371533497, "r2_full": 0.8733833808962694, "corr_portfolio": 0.37325419427824674, "corr_benchmark": 0.5502652072952683, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.3278837455433432, "first": "2019-09-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.41, vweax +0.44, vnq -0.02, vea +0.46, iwm -0.06, vmbix -0.16", "ref_full": "vea +0.53, vweax +0.36, iwm -0.07, efa +0.35, vmbix -0.14" }, "mndax": { "sym": "mndax", "name": "MFS New Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06785722328092797, "alpha_t_5y": -2.225400091395999, "alpha_t_full": -0.8745836159539897, "r2_5y": 0.8997115590796595, "r2_full": 0.914590394954803, "corr_portfolio": 0.170527931263082, "corr_benchmark": 0.5759528132248565, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.6289936005777907, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.74, qqq +0.34, vwo +0.08, djp -0.05, vweax +0.22, ivv -0.18", "ref_full": "iwm +0.71, qqq +0.30, vwo +0.06, vweax +0.13, ivv -0.10, agg +0.06" }, "mnrbx": { "sym": "mnrbx", "name": "Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006654404051461891, "alpha_t_5y": -1.0576958025939063, "alpha_t_full": -2.3297768322068717, "r2_5y": 0.864939239244332, "r2_full": 0.44728486057515005, "corr_portfolio": -0.20083925143501813, "corr_benchmark": 0.5407609417336897, "alpha_pos_frac": 0.4824561403508772, "fund_max_dd": -0.3387834661282978, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.50, tlt -0.09, fxy +0.02, qqq -0.01, agg +0.20, gsg -0.01", "ref_full": "ief +0.34, agg +0.10, tlt -0.04, fxy +0.02" }, "mnrgx": { "sym": "mnrgx", "name": "Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020469554986754637, "alpha_t_5y": -0.8685240829982314, "alpha_t_full": -1.1268807571146362, "r2_5y": 0.9106857491805266, "r2_full": 0.9342697404668087, "corr_portfolio": 0.2601146454460685, "corr_benchmark": 0.5975792249847004, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.5474088511355828, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.13, vnq -0.08, vea -0.07, iwm +0.05", "ref_full": "ivv +0.63, qqq +0.29, iwm +0.08, vnq -0.02" }, "mnrmx": { "sym": "mnrmx", "name": "Manor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005676373907475802, "alpha_t_5y": 0.20856273409260753, "alpha_t_full": -0.9413719637090517, "r2_5y": 0.8703453573184926, "r2_full": 0.9254095436235585, "corr_portfolio": 0.33636152587969614, "corr_benchmark": 0.5620215762836303, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.49152982771980447, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.92, iwm +0.18, gsg +0.04, vnq -0.09, qqq -0.10, vea +0.06", "ref_full": "ivv +0.88, iwm +0.15, vnq -0.04, djp +0.03, qqq -0.04, vweax +0.05" }, "mnwax": { "sym": "mnwax", "name": "MFS Managed Wealth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -0.5484335934679436, "r2_5y": NaN, "r2_full": 0.5169603276663669, "corr_portfolio": 0.3456002995566502, "corr_benchmark": 0.4308505913200711, "alpha_pos_frac": 0.5394736842105263, "fund_max_dd": -0.06235307081803876, "first": "2014-07-02", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ivv +0.17, iwm -0.07, efa +0.08, gsg -0.02, vweax +0.06" }, "moat": { "sym": "moat", "name": "VanEck Morningstar Wide Moat ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0057378168208113735, "alpha_t_5y": 0.18735774552601211, "alpha_t_full": 1.039485794880053, "r2_5y": 0.8345242503928728, "r2_full": 0.8631624770312797, "corr_portfolio": 0.25721371933567966, "corr_benchmark": 0.5803344039341476, "alpha_pos_frac": 0.4457831325301205, "fund_max_dd": -0.33309775447917445, "first": "2012-04-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.90, vnq +0.13, iwm +0.17, qqq -0.20, vmbix +0.17", "ref_full": "ivv +0.98, iwm +0.18, qqq -0.22, vmbix +0.34, tlt -0.06" }, "mofix": { "sym": "mofix", "name": "Mercer Opportunistic Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007243514458525363, "alpha_t_5y": -0.6715311830066668, "alpha_t_full": -0.6715311830066668, "r2_5y": 0.6899872967988394, "r2_full": 0.6899872967988394, "corr_portfolio": 0.09597879206857933, "corr_benchmark": 0.6499746816875767, "alpha_pos_frac": 0.5245901639344263, "fund_max_dd": -0.1899738846231247, "first": "2021-02-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, agg +0.28, fxe +0.08, vwo +0.06, qqq -0.03", "ref_full": "vweax +0.45, agg +0.28, fxe +0.08, vwo +0.06, qqq -0.03" }, "moglx": { "sym": "moglx", "name": "Gabelli Media Mogul Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04616433072144982, "alpha_t_5y": -0.995676364439087, "alpha_t_full": -1.0907077397096308, "r2_5y": 0.6273576829769647, "r2_full": 0.7332544812684965, "corr_portfolio": 0.24621880862907888, "corr_benchmark": 0.543323462915558, "alpha_pos_frac": 0.4819277108433735, "fund_max_dd": -0.4575986753864921, "first": "2019-04-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.43, vnq +0.14, efa +0.65, vea -0.49, vweax +0.26", "ref_full": "iwm +0.42, vnq +0.18, efa +0.19, gld -0.06, agg +0.93, ief -0.69" }, "montx": { "sym": "montx", "name": "Monetta Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036716582600335806, "alpha_t_5y": -1.6998716961228948, "alpha_t_full": -1.2838303718972528, "r2_5y": 0.939184106829854, "r2_full": 0.9239848166721566, "corr_portfolio": 0.21841731619562407, "corr_benchmark": 0.587795555640042, "alpha_pos_frac": 0.42105263157894735, "fund_max_dd": -0.674386116984544, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.41, ivv +0.57, iwm +0.14, vnq -0.13, gld +0.04, fxy -0.07", "ref_full": "ivv +0.49, qqq +0.37, iwm +0.13, djp +0.07, vwo +0.06, tlt -0.04" }, "mort": { "sym": "mort", "name": "VanEck Mortgage REIT Income ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03075493618362338, "alpha_t_5y": -0.5283598346757593, "alpha_t_full": -0.9268183430139688, "r2_5y": 0.6516125398209742, "r2_full": 0.5436165378084251, "corr_portfolio": 0.2600694928777911, "corr_benchmark": 0.4819310106601174, "alpha_pos_frac": 0.5574712643678161, "fund_max_dd": -0.7013105192180734, "first": "2011-08-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.48, vnq +0.42, vmbix +1.00, ief -0.44, qqq -0.13, efa +0.18", "ref_full": "vnq +0.43, vweax +1.08, iwm +0.52, qqq -0.26, agg +0.91, vmbix -0.44" }, "motg": { "sym": "motg", "name": "VanEck Morningstar Global Wide Moat ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018111660145444335, "alpha_t_5y": -0.8921346827289403, "alpha_t_full": -0.12435801656842801, "r2_5y": 0.905621438472436, "r2_full": 0.907635623144627, "corr_portfolio": 0.2759722374625135, "corr_benchmark": 0.638475519029152, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.3182100949407586, "first": "2018-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.41, ivv +0.42, vnq +0.08, iwm +0.07, vwo +0.09, qqq -0.08", "ref_full": "ivv +0.38, efa +0.39, vnq +0.04, vwo +0.05, iwm +0.05, vmbix +0.10" }, "moti": { "sym": "moti", "name": "VanEck Morningstar International Moat ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005282844538558983, "alpha_t_5y": -0.15604072976480296, "alpha_t_full": -0.26273071039818724, "r2_5y": 0.784978395696861, "r2_full": 0.7335570966891405, "corr_portfolio": 0.31413539446318167, "corr_benchmark": 0.46236600397976585, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.36695680814492315, "first": "2015-07-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +1.43, vwo +0.43, vea -0.93, qqq -0.10, iwm +0.09, fxe +0.17", "ref_full": "efa +0.59, vwo +0.28, qqq -0.09, vweax +0.20, iwm +0.08, fxe +0.10" }, "mpblx": { "sym": "mpblx", "name": "BNY Mellon Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011142873722154648, "alpha_t_5y": -1.5289754764110568, "alpha_t_full": -1.9346910990442394, "r2_5y": 0.9779933131406435, "r2_full": 0.9516450155076464, "corr_portfolio": 0.30356474535184985, "corr_benchmark": 0.6389030802175217, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.3475601561759969, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.46, vea +0.09, iwm +0.09, ief +0.12, vwo +0.04, vweax +0.05", "ref_full": "ivv +0.32, efa +0.10, vweax +0.17, iwm +0.09, ief +0.11, qqq +0.08" }, "mqlix": { "sym": "mqlix", "name": "MFS Limited Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008232166993559757, "alpha_t_5y": 0.13087026857275982, "alpha_t_full": 0.007138850076857519, "r2_5y": 0.6005845562657973, "r2_full": 0.4754763257471072, "corr_portfolio": -0.0016491179864874315, "corr_benchmark": 0.3711911676887714, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.08488763305466285, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.31, vweax +0.09, tlt -0.22, vblix +0.20, ivv -0.02", "ref_full": "ief +0.23, vweax +0.16, tlt -0.06, fxy +0.02, qqq -0.01, agg +0.04" }, "mrbkx": { "sym": "mrbkx", "name": "MFS Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017721550243828825, "alpha_t_5y": -0.39065814431827633, "alpha_t_full": -0.2172327256716436, "r2_5y": 0.9618134631943503, "r2_full": 0.8376280236573177, "corr_portfolio": -0.024247344596193824, "corr_benchmark": 0.7131435704013737, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.18572770035473607, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.04, vweax +0.14, vblix +0.33, ief +0.32, tlt -0.14, vmbix +0.18", "ref_full": "ief +0.33, vweax +0.32, agg +0.11, tlt +0.05, vnq +0.01, fxy +0.02" }, "mresx": { "sym": "mresx", "name": "Cromwell CenterSquare Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00888142768427335, "alpha_t_5y": 0.9965063544164724, "alpha_t_full": 0.9710637674140438, "r2_5y": 0.9870285876027171, "r2_full": 0.984333732491968, "corr_portfolio": 0.2321578792288191, "corr_benchmark": 0.563378091334705, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.7174363305643854, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.05, iwm -0.06, vblix -0.02", "ref_full": "vnq +1.04, agg -0.26, iwm -0.04, ief +0.14, efa +0.03, fxy -0.02" }, "mrgax": { "sym": "mrgax", "name": "MFS Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01851734520269866, "alpha_t_5y": -2.0198195406262953, "alpha_t_full": -0.46215102316856654, "r2_5y": 0.9827490026796872, "r2_full": 0.9835458847418065, "corr_portfolio": 0.27634311013642404, "corr_benchmark": 0.6188897497389253, "alpha_pos_frac": 0.5058365758754864, "fund_max_dd": -0.5403562390304523, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.89, iwm +0.07, vnq +0.02", "ref_full": "ivv +0.80, iwm +0.09, vwo +0.02, qqq +0.05, vnq +0.02, gsg +0.01" }, "mrskx": { "sym": "mrskx", "name": "MFS Research International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009020006609785802, "alpha_t_5y": -0.5509411280295522, "alpha_t_full": -0.7071257850267549, "r2_5y": 0.9310607609234387, "r2_full": 0.9352755381754442, "corr_portfolio": 0.3581214974209057, "corr_benchmark": 0.5366540658866393, "alpha_pos_frac": 0.5672268907563025, "fund_max_dd": -0.6399014789588952, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.76, vweax +0.21, vwo +0.06, fxe +0.11", "ref_full": "efa +0.76, vweax +0.20, vwo +0.08, fxe +0.10" }, "mscgx": { "sym": "mscgx", "name": "Mercer US Small/Mid Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010106927531447643, "alpha_t_5y": -0.5503782430595233, "alpha_t_full": 0.038633884930555355, "r2_5y": 0.9501958378290057, "r2_full": 0.957496155248256, "corr_portfolio": 0.2782281710530694, "corr_benchmark": 0.6015776672938628, "alpha_pos_frac": 0.5783132530120482, "fund_max_dd": -0.41296625208979, "first": "2019-04-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.63, ivv +0.49, qqq -0.18, efa +0.07, gld -0.02, fxy -0.04", "ref_full": "iwm +0.61, ivv +0.44, qqq -0.13, vnq +0.04, efa +0.05, gld -0.03" }, "msfrx": { "sym": "msfrx", "name": "MFS Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0004581798681847952, "alpha_t_5y": 0.039971310646696005, "alpha_t_full": 0.5959351093701197, "r2_5y": 0.9132672738390227, "r2_full": 0.9506513016943732, "corr_portfolio": 0.3683323917778254, "corr_benchmark": 0.6657721745608794, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.3727951218647938, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.79, qqq -0.39, agg +0.34, iwm +0.06, efa +0.06, vnq +0.04", "ref_full": "ivv +0.67, qqq -0.22, agg +0.14, iwm +0.06, efa +0.06, ief +0.11" }, "msggx": { "sym": "msggx", "name": "Meridian Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06057771413678826, "alpha_t_5y": -1.9424318043030868, "alpha_t_full": -0.04026226870766838, "r2_5y": 0.8729372444363912, "r2_full": 0.8806761382418618, "corr_portfolio": 0.19653228345622936, "corr_benchmark": 0.5303521303763729, "alpha_pos_frac": 0.5205479452054794, "fund_max_dd": -0.4056165443062063, "first": "2013-12-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, qqq +0.12, djp -0.04", "ref_full": "iwm +0.83, qqq +0.13, ivv -0.13, vweax +0.12, djp -0.03" }, "msncx": { "sym": "msncx", "name": "MFS North Carolina Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013394411748058953, "alpha_t_5y": -0.955658649484482, "alpha_t_full": 0.11041817192109328, "r2_5y": 0.4020054261109799, "r2_full": 0.2876779530608624, "corr_portfolio": 0.048390994087632665, "corr_benchmark": 0.3544622367222928, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15249646452010668, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.27, vweax +0.32, ivv -0.07, vnq +0.03, tlt -0.15, vmbix +0.09", "ref_full": "vweax +0.29, ief +0.08, agg +0.11, fxy +0.03, gsg -0.01, efa -0.01" }, "msnyx": { "sym": "msnyx", "name": "MFS New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012048526711815466, "alpha_t_5y": -0.7712950278076744, "alpha_t_full": 0.1808819933784673, "r2_5y": 0.4040435978499247, "r2_full": 0.22843024741582496, "corr_portfolio": 0.03825837225700997, "corr_benchmark": 0.36868272488606396, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.17864511320809917, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.38, ivv -0.08, vnq +0.03, tlt -0.14, vmbix +0.09", "ref_full": "vweax +0.31, ief +0.06, agg +0.15, efa -0.02, fxy +0.03" }, "msoax": { "sym": "msoax", "name": "NYLI WMC Enduring Capital Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015471289908883395, "alpha_t_5y": -0.573103904491447, "alpha_t_full": -1.0117126330062993, "r2_5y": 0.835094377548635, "r2_full": 0.9277609014457103, "corr_portfolio": 0.31599586906236515, "corr_benchmark": 0.5826976480331095, "alpha_pos_frac": 0.6297872340425532, "fund_max_dd": -0.551564023805529, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.16, qqq -0.49, vnq +0.18, iwm +0.11, gsg -0.05", "ref_full": "ivv +0.89, qqq -0.11, iwm +0.08, efa +0.08, vnq +0.03, fxe -0.05" }, "mstbx": { "sym": "mstbx", "name": "Morningstar Defensive Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005335373933025219, "alpha_t_5y": 1.2535470475001533, "alpha_t_full": 1.3250764657045986, "r2_5y": 0.7870462961299791, "r2_full": 0.7511682875824298, "corr_portfolio": -0.09222762338952366, "corr_benchmark": 0.5873942176275673, "alpha_pos_frac": 0.5348837209302325, "fund_max_dd": -0.06306496083748692, "first": "2019-01-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.23, tlt -0.08, agg +0.20, vweax +0.04, fxy +0.01, qqq -0.01", "ref_full": "ief +0.26, vweax +0.06, tlt -0.06, agg +0.05, vmbix +0.05, fxy +0.01" }, "mstfx": { "sym": "mstfx", "name": "Morningstar International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000518688443939701, "alpha_t_5y": -0.03194060741799415, "alpha_t_full": 0.14100950502202456, "r2_5y": 0.9416237261463951, "r2_full": 0.9427760935976904, "corr_portfolio": 0.3481834003496687, "corr_benchmark": 0.5520930028543095, "alpha_pos_frac": 0.4431818181818182, "fund_max_dd": -0.36651986586523566, "first": "2018-11-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.23, vwo +0.29, efa +0.44, gsg +0.03, gld -0.04, fxe +0.08", "ref_full": "vea +0.46, vwo +0.27, gld -0.04, qqq -0.12, ivv +0.14, efa +0.26" }, "mstgx": { "sym": "mstgx", "name": "Morningstar Global Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029771631848144924, "alpha_t_5y": 0.23471235787371147, "alpha_t_full": -0.16583547963633893, "r2_5y": 0.8496474216837855, "r2_full": 0.8777318727568876, "corr_portfolio": 0.39633968676694725, "corr_benchmark": 0.6542921591700454, "alpha_pos_frac": 0.5909090909090909, "fund_max_dd": -0.2796213154884577, "first": "2018-11-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.33, vnq +0.08, vblix +0.09, gsg +0.04, vweax +0.17, qqq -0.03", "ref_full": "vea +0.33, vnq +0.10, vweax +0.22, agg +0.51, ief -0.29, gsg +0.04" }, "mstpx": { "sym": "mstpx", "name": "Morningstar Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011900097265125177, "alpha_t_5y": -1.1831928778779972, "alpha_t_full": -0.2905744669967842, "r2_5y": 0.3258024355326087, "r2_full": 0.33936823457971, "corr_portfolio": 0.06023607150977809, "corr_benchmark": 0.3602284180579085, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.10903136070947106, "first": "2018-11-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, vweax +0.24, ivv -0.05, vnq +0.02", "ref_full": "vweax +0.24, agg +0.26, iwm -0.04, vnq +0.03, fxy +0.04, ief -0.11" }, "mstqx": { "sym": "mstqx", "name": "Morningstar U.S. Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0050898614717066176, "alpha_t_5y": -0.19837400528599927, "alpha_t_full": 0.06940714828897158, "r2_5y": 0.86718346231369, "r2_full": 0.9098074505982138, "corr_portfolio": 0.28865935307024193, "corr_benchmark": 0.610527221674232, "alpha_pos_frac": 0.4772727272727273, "fund_max_dd": -0.3826394269893434, "first": "2018-11-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.07, iwm +0.16, qqq -0.26", "ref_full": "ivv +1.04, iwm +0.21, qqq -0.29, vweax +0.09" }, "msvax": { "sym": "msvax", "name": "MFS Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014865073006396364, "alpha_t_5y": -1.0277771303829957, "alpha_t_full": 0.04440140336070756, "r2_5y": 0.40166750668586604, "r2_full": 0.29341151331826365, "corr_portfolio": 0.0410074257904861, "corr_benchmark": 0.3592617062686689, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.15078391213833298, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.32, ivv -0.07, vnq +0.03, tlt -0.16, vmbix +0.10", "ref_full": "vweax +0.30, ief +0.08, agg +0.12, fxy +0.03, gsg -0.01, iwm -0.01" }, "mtbax": { "sym": "mtbax", "name": "NYLI MacKay Tax Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01722603854201127, "alpha_t_5y": -1.2802590494041284, "alpha_t_full": 0.8503546998072863, "r2_5y": 0.3707250301851607, "r2_full": 0.23028294956048112, "corr_portfolio": 0.04895433019990402, "corr_benchmark": 0.3117556708427996, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.15756058686053198, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, vblix +0.25, ivv -0.07, tlt -0.14, vnq +0.02", "ref_full": "vweax +0.29, ief +0.03, fxy +0.03, agg +0.11, gsg -0.01, efa -0.01" }, "mtcax": { "sym": "mtcax", "name": "MFS Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026506946024941535, "alpha_t_5y": -0.9931713253071509, "alpha_t_full": -0.5462343545194108, "r2_5y": 0.9355562279863575, "r2_full": 0.9253496286584105, "corr_portfolio": 0.11863020730276233, "corr_benchmark": 0.5963410669889054, "alpha_pos_frac": 0.4980544747081712, "fund_max_dd": -0.8237184835912401, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.05, vnq -0.06, iwm +0.06", "ref_full": "qqq +0.94, iwm +0.06, vwo +0.03, gsg +0.02" }, "mtcgx": { "sym": "mtcgx", "name": "M Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04766432521856451, "alpha_t_5y": -1.8404982637627274, "alpha_t_full": -2.3983666554613694, "r2_5y": 0.9191842273319673, "r2_full": 0.924523814695359, "corr_portfolio": 0.17749945161539604, "corr_benchmark": 0.5887721429687378, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.687002029036043, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.60, ivv +0.53, vnq -0.06, vea -0.35, efa +0.30", "ref_full": "qqq +0.57, ivv +0.42, vwo +0.06" }, "mtlfx": { "sym": "mtlfx", "name": "MFS Municipal Limited Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012311010943404053, "alpha_t_5y": -1.7119202219654914, "alpha_t_full": 0.8262177196867756, "r2_5y": 0.35439191198721465, "r2_full": 0.2438104568414171, "corr_portfolio": 0.055601718906850804, "corr_benchmark": 0.2971610207231145, "alpha_pos_frac": 0.5229681978798587, "fund_max_dd": -0.08983481078113775, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.24, ief +0.07, ivv -0.03", "ref_full": "vweax +0.16, ief +0.04, fxy +0.02, agg +0.05, gsg -0.01" }, "mtrax": { "sym": "mtrax", "name": "NYLI Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005571746603196073, "alpha_t_5y": 0.5508078841800207, "alpha_t_full": -0.1814443178953695, "r2_5y": 0.9457556513379105, "r2_full": 0.8607502640834603, "corr_portfolio": 0.36856847268694853, "corr_benchmark": 0.7129337687029124, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.394416892904464, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, vea +0.21, agg +0.39, qqq -0.21, iwm +0.04, vweax +0.10", "ref_full": "ivv +0.29, efa +0.17, agg +0.11, vweax +0.22, tlt +0.06, iwm +0.05" }, "mueax": { "sym": "mueax", "name": "MFS Blended Research Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006515480441278428, "alpha_t_5y": 0.6169658789867026, "alpha_t_full": -0.9312888799232975, "r2_5y": 0.9777827288356198, "r2_full": 0.9828488141930622, "corr_portfolio": 0.29953587757080846, "corr_benchmark": 0.6074593206404288, "alpha_pos_frac": 0.4396887159533074, "fund_max_dd": -0.5493505386033902, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, ief -0.03, iwm +0.03, vnq -0.02", "ref_full": "ivv +0.95, iwm +0.02, gsg +0.01, qqq +0.02, fxy -0.02, agg +0.03" }, "mvalx": { "sym": "mvalx", "name": "MERIDIAN CONTRARIAN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011204135277130321, "alpha_t_5y": -0.46181804990043035, "alpha_t_full": -0.037755819838793586, "r2_5y": 0.9194062864252394, "r2_full": 0.9318525644267139, "corr_portfolio": 0.28539187167281904, "corr_benchmark": 0.5522631834282212, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5015239598535404, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.62, ivv +0.31, vea +0.52, fxe -0.11, efa -0.35, qqq -0.08", "ref_full": "iwm +0.59, ivv +0.33, vnq -0.06, vweax +0.13, efa +0.04, gld +0.02" }, "mvcax": { "sym": "mvcax", "name": "MFS Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010404019835258826, "alpha_t_5y": 0.5256832987714232, "alpha_t_full": 0.5660631914114725, "r2_5y": 0.9248265300313151, "r2_full": 0.9476404992746821, "corr_portfolio": 0.3834691698977543, "corr_benchmark": 0.5398883441042209, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.59894717847924, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.33, vnq +0.08, ivv +1.13, qqq -0.61, vea +0.12, gld -0.04", "ref_full": "ivv +0.82, iwm +0.35, qqq -0.33, efa +0.08, vnq +0.05, vweax +0.12" }, "mveix": { "sym": "mveix", "name": "Monteagle Select Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019887121077291632, "alpha_t_5y": 0.713544752845299, "alpha_t_full": 0.18710493443936446, "r2_5y": 0.8143368978145121, "r2_full": 0.6963532716294274, "corr_portfolio": 0.2671727990757026, "corr_benchmark": 0.3996588954214522, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.6344483605702842, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.24, ivv +1.00, qqq -0.45, vnq +0.08, agg +0.11", "ref_full": "ivv +0.90, iwm +0.29, qqq -0.35, efa +0.10, gsg +0.04, tlt -0.05" }, "mvgax": { "sym": "mvgax", "name": "MFS Low Volatility Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016630629677962618, "alpha_t_5y": 0.9201022400497054, "alpha_t_full": 1.2548918486443987, "r2_5y": 0.8337478136731095, "r2_full": 0.8876088367887064, "corr_portfolio": 0.3671156432313979, "corr_benchmark": 0.5954406095695969, "alpha_pos_frac": 0.5034013605442177, "fund_max_dd": -0.3018741053817767, "first": "2013-12-09", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.23, vnq +0.13, ivv +0.61, qqq -0.21, iwm -0.08, fxy +0.07", "ref_full": "ivv +0.58, efa +0.26, vnq +0.13, iwm -0.10, qqq -0.15, fxy +0.06" }, "mwefx": { "sym": "mwefx", "name": "MFS Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03888837042935646, "alpha_t_5y": -1.9898680454142443, "alpha_t_full": 0.1317433305189652, "r2_5y": 0.9060127611566429, "r2_full": 0.9418299442951027, "corr_portfolio": 0.3415246808052925, "corr_benchmark": 0.5858993989460842, "alpha_pos_frac": 0.5617021276595745, "fund_max_dd": -0.5182111972004291, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.39, ivv +0.88, qqq -0.34, gsg -0.06, vweax +0.22, fxe +0.13", "ref_full": "efa +0.43, ivv +0.57, qqq -0.12, vweax +0.17, fxe +0.11, gsg -0.03" }, "mwofx": { "sym": "mwofx", "name": "MFS Global Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052444348588713566, "alpha_t_5y": -2.7859942346502007, "alpha_t_full": -1.0367755935954992, "r2_5y": 0.9177952083917901, "r2_full": 0.9460083908127129, "corr_portfolio": 0.2724918535417036, "corr_benchmark": 0.6201686020427634, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5610081522487622, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, efa +0.50, vnq +0.09, vwo +0.11, gsg -0.04, vea -0.37", "ref_full": "ivv +0.47, efa +0.29, vwo +0.06, vweax +0.14, qqq +0.07, fxe +0.08" }, "mxccx": { "sym": "mxccx", "name": "Federated Hermes Max-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011245840915808014, "alpha_t_5y": -1.6802046807817892, "alpha_t_full": -2.4904400386651346, "r2_5y": 0.9909991766408965, "r2_full": 0.9909029276645269, "corr_portfolio": 0.28164085365563, "corr_benchmark": 0.6143525480827162, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.5533403130854504, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01, vweax -0.02" }, "mxigx": { "sym": "mxigx", "name": "Empower International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0840930491419281, "alpha_t_5y": -2.2273396236460186, "alpha_t_full": -1.6743816886828045, "r2_5y": 0.7804958966685395, "r2_full": 0.8196487167334661, "corr_portfolio": 0.23829870978608336, "corr_benchmark": 0.5337297636747963, "alpha_pos_frac": 0.5909090909090909, "fund_max_dd": -0.6328326683877019, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.79, qqq +0.38, ivv -0.30, vweax +0.28, fxe +0.14", "ref_full": "efa +0.71, qqq +0.16, vweax +0.30, fxe +0.18, vnq -0.03, gsg -0.02" }, "naarx": { "sym": "naarx", "name": "American Funds Retirement Income Portfolio - Conservative", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002798371987737013, "alpha_t_5y": 0.44615261414905943, "alpha_t_full": 0.7236143418062828, "r2_5y": 0.9469950419168431, "r2_full": 0.9417118439726644, "corr_portfolio": 0.2989441800367642, "corr_benchmark": 0.8134963379469772, "alpha_pos_frac": 0.5317460317460317, "fund_max_dd": -0.15660811975188482, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.12, agg +0.24, ivv +0.39, qqq -0.16, djp +0.02, ief +0.23", "ref_full": "vea +0.13, agg +0.01, ivv +0.33, qqq -0.12, ief +0.37, vweax +0.10" }, "nacmx": { "sym": "nacmx", "name": "Columbia California Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019420699634956642, "alpha_t_5y": -2.1790373845040154, "alpha_t_full": 0.68238232583319, "r2_5y": 0.37157954110502256, "r2_full": 0.27051905641868024, "corr_portfolio": 0.043295790890780374, "corr_benchmark": 0.33270049719259176, "alpha_pos_frac": 0.5354609929078015, "fund_max_dd": -0.10979002300264618, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.29, ief +0.10, ivv -0.04", "ref_full": "vweax +0.22, ief +0.07, fxy +0.03, gsg -0.01, agg +0.07, efa -0.01" }, "nanr": { "sym": "nanr", "name": "State Street(R) SPDR(R) S&P(R) North American Natural Resources ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04141287194682636, "alpha_t_5y": 0.8016076105409131, "alpha_t_full": 0.4440470808315268, "r2_5y": 0.7199827453059201, "r2_full": 0.7421195597846195, "corr_portfolio": 0.37113923738377547, "corr_benchmark": 0.3883920696888027, "alpha_pos_frac": 0.4016393442622951, "fund_max_dd": -0.4914929593462255, "first": "2015-12-21", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.55, vea +1.83, iwm +0.21, qqq -0.77, ivv +1.02, efa -1.40", "ref_full": "vea +0.32, gsg +0.40, gld +0.37, iwm +0.25, qqq -0.56, ivv +0.77" }, "napix": { "sym": "napix", "name": "Voya Multi-Manager International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010826025545506105, "alpha_t_5y": 0.5754270762486018, "alpha_t_full": -0.8631085998401447, "r2_5y": 0.9278681175901782, "r2_full": 0.8892224722262801, "corr_portfolio": 0.3828035762522231, "corr_benchmark": 0.5469650177880592, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.6835497479017605, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vea +0.75, vweax +0.25, djp +0.05, fxe +0.17, iwm +0.05, vwo +0.06", "ref_full": "efa +0.60, vweax +0.47, gld +0.06, vwo +0.08, qqq +0.07, fxe +0.12" }, "nbarx": { "sym": "nbarx", "name": "American Funds Retirement Income Portfolio - Moderate", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004237250417232191, "alpha_t_5y": 0.581562064558176, "alpha_t_full": 0.8114414706901627, "r2_5y": 0.9517358626618722, "r2_full": 0.9558224367594255, "corr_portfolio": 0.3413642604774375, "corr_benchmark": 0.7374111133024424, "alpha_pos_frac": 0.49206349206349204, "fund_max_dd": -0.18502935621882088, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.48, vmbix +0.12, vea +0.17, qqq -0.17, ief +0.19, djp +0.02", "ref_full": "ivv +0.42, vea +0.17, ief +0.27, qqq -0.13, vweax +0.10, gsg +0.02" }, "nbiax": { "sym": "nbiax", "name": "Columbia Capital Allocation Moderate Aggressive Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009717047944715498, "alpha_t_5y": -1.2951371795782007, "alpha_t_full": -1.5680495396610434, "r2_5y": 0.9767831687662262, "r2_full": 0.9664897069624855, "corr_portfolio": 0.29696032043443304, "corr_benchmark": 0.6835078068194935, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.40741997900150106, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.11, agg +0.24, vwo +0.07, iwm +0.03, vweax +0.11", "ref_full": "ivv +0.33, efa +0.12, agg +0.17, iwm +0.08, vweax +0.18, qqq +0.08" }, "nbngx": { "sym": "nbngx", "name": "SIT MID CAP GROWTH FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04639584170685377, "alpha_t_5y": -1.5336186984393205, "alpha_t_full": -2.034763237873383, "r2_5y": 0.8879390458734852, "r2_full": 0.9266065955362398, "corr_portfolio": 0.20404761280611597, "corr_benchmark": 0.6005250620322223, "alpha_pos_frac": 0.4692556634304207, "fund_max_dd": -0.7093938787018769, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.18, iwm +0.39, qqq +0.43", "ref_full": "ivv +0.33, iwm +0.34, qqq +0.32, vwo +0.06, djp +0.04, vnq -0.02" }, "nbrvx": { "sym": "nbrvx", "name": "Neuberger Mid Cap Intrinsic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013542838505829864, "alpha_t_5y": -0.5495315406988223, "alpha_t_full": -0.7756412752823489, "r2_5y": 0.9068424735354006, "r2_full": 0.9173054744803053, "corr_portfolio": 0.3552160849152223, "corr_benchmark": 0.5261277782128675, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6515275755343999, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.49, ivv +0.87, qqq -0.42, gsg +0.03, vea +0.11, fxy -0.09", "ref_full": "iwm +0.47, ivv +0.79, qqq -0.32, djp +0.09, vwo +0.08, vweax +0.16" }, "ncaax": { "sym": "ncaax", "name": "Nuveen California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0190929931389844, "alpha_t_5y": -1.3955660376714707, "alpha_t_full": 0.7329994119045221, "r2_5y": 0.39342832986310183, "r2_full": 0.24253820880456867, "corr_portfolio": 0.04365935184667315, "corr_benchmark": 0.3610594313851647, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.17492733497872037, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, ief +0.15, ivv -0.06", "ref_full": "vweax +0.30, ief +0.17, fxy +0.03, gsg -0.01" }, "ncbgx": { "sym": "ncbgx", "name": "New Covenant Balanced Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009592301266355284, "alpha_t_5y": -2.078347079854301, "alpha_t_full": -1.2987183922818495, "r2_5y": 0.9895063685582861, "r2_full": 0.8743298977891396, "corr_portfolio": 0.2453627938211466, "corr_benchmark": 0.634453461279351, "alpha_pos_frac": 0.6153846153846154, "fund_max_dd": -0.4127239541997887, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vmbix +0.17, iwm +0.07, ief +0.09, qqq +0.03, vweax +0.05", "ref_full": "ivv +0.45, agg +0.19, iwm +0.06, vweax +0.12, fxe +0.06, qqq +0.04" }, "ncbix": { "sym": "ncbix", "name": "New Covenant Balanced Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008852247204585289, "alpha_t_5y": -2.13540347367257, "alpha_t_full": -3.0345941956732663, "r2_5y": 0.9805519221218222, "r2_full": 0.9214532573437145, "corr_portfolio": 0.22805894703209006, "corr_benchmark": 0.7734445580028494, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.32186460917610726, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vmbix +0.23, ief +0.24, iwm +0.04, tlt -0.10, vblix +0.09", "ref_full": "ivv +0.29, agg +0.13, vweax +0.16, ief +0.16, iwm +0.04, fxe +0.04" }, "ncgfx": { "sym": "ncgfx", "name": "New Covenant Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009489895669184907, "alpha_t_5y": -1.468167074365981, "alpha_t_full": -1.6905902453431225, "r2_5y": 0.9919458746896069, "r2_full": 0.9563132550527017, "corr_portfolio": 0.27681392175362945, "corr_benchmark": 0.6025337991138241, "alpha_pos_frac": 0.5326460481099656, "fund_max_dd": -0.5813334375458721, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, iwm +0.11, qqq +0.04, vweax +0.03", "ref_full": "ivv +0.73, vweax +0.17, iwm +0.09, efa +0.08, vnq -0.03, qqq +0.06" }, "nchax": { "sym": "nchax", "name": "Nuveen California High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022287172051409294, "alpha_t_5y": -1.0037611719026056, "alpha_t_full": -0.21633169477006667, "r2_5y": 0.39074989828622797, "r2_full": 0.21563881147138864, "corr_portfolio": 0.07303664238728719, "corr_benchmark": 0.32271524446858346, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.397841543462636, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.73, ief +0.09, ivv -0.12, vnq +0.04, vblix +0.09", "ref_full": "vweax +0.51, ief +0.18, fxy +0.06, vnq +0.03, efa -0.03" }, "ncicx": { "sym": "ncicx", "name": "New Covenant Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007702814364517291, "alpha_t_5y": -1.8318870968910148, "alpha_t_full": -3.0801912050539615, "r2_5y": 0.953169798274158, "r2_full": 0.710879574168642, "corr_portfolio": -0.06398565563681417, "corr_benchmark": 0.6499833365836933, "alpha_pos_frac": 0.6358381502890174, "fund_max_dd": -0.21117585714599907, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.01, vmbix +0.26, ief +0.44, vweax +0.05, tlt -0.20, vblix +0.19", "ref_full": "ief +0.43, vweax +0.18, agg +0.15, tlt -0.06, vnq +0.01, fxy +0.02" }, "ncirx": { "sym": "ncirx", "name": "Nuveen Core Impact Bond Managed Accounts Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0004973023477365572, "alpha_t_5y": -0.07473877518691718, "alpha_t_full": -0.9727268609554912, "r2_5y": 0.9424318204409418, "r2_full": 0.08098750891267148, "corr_portfolio": -0.0343748666498373, "corr_benchmark": 0.22596612090111118, "alpha_pos_frac": 0.9852941176470589, "fund_max_dd": -0.6041785694893618, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.44, ief +0.32, vweax +0.18, efa -0.02, tlt -0.12", "ref_full": "agg +1.06" }, "nclex": { "sym": "nclex", "name": "NICHOLAS LTD EDITION INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06772142081352185, "alpha_t_5y": -2.167473116879907, "alpha_t_full": -0.809411948004945, "r2_5y": 0.8541952605543324, "r2_full": 0.9158989129611651, "corr_portfolio": 0.20661377332384387, "corr_benchmark": 0.5784593120843269, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.48677847543596364, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.31, vnq +0.12, djp -0.06, vea -0.59, efa +0.50", "ref_full": "iwm +0.63, qqq +0.09, ivv +0.15, gsg -0.02, vweax +0.09, vwo -0.03" }, "ncoax": { "sym": "ncoax", "name": "Nuveen High Yield Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005020595728745843, "alpha_t_5y": 0.7600837606304213, "alpha_t_full": -0.26520335739253326, "r2_5y": 0.8953172739421031, "r2_full": 0.8289109817026445, "corr_portfolio": 0.31640160909042697, "corr_benchmark": 0.423969647958734, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.23049932577752508, "first": "2010-04-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.83, iwm +0.02, vmbix -0.06, vblix +0.26, tlt -0.18, gsg +0.01", "ref_full": "vweax +0.93, ivv +0.04, ief -0.03, qqq -0.02" }, "nctwx": { "sym": "nctwx", "name": "NICHOLAS II INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04996815823165576, "alpha_t_5y": -1.695830300193593, "alpha_t_full": -0.8760200890540465, "r2_5y": 0.8480756826831073, "r2_full": 0.9143496894348158, "corr_portfolio": 0.24851656176619372, "corr_benchmark": 0.5921875179720019, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.4646150667051202, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.71, iwm +0.27, vnq +0.12, gld -0.03, qqq -0.11, djp -0.04", "ref_full": "ivv +0.52, iwm +0.30, vweax +0.10, qqq +0.06, vwo -0.04, efa +0.04" }, "ndarx": { "sym": "ndarx", "name": "American Funds Retirement Income Portfolio - Enhanced", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026006696033969326, "alpha_t_5y": 0.3377755118313294, "alpha_t_full": 0.4296030587220385, "r2_5y": 0.9621533991087974, "r2_full": 0.9656016855081603, "corr_portfolio": 0.34374519607458276, "corr_benchmark": 0.6867942692686523, "alpha_pos_frac": 0.5079365079365079, "fund_max_dd": -0.23620140654224853, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.54, vea +0.18, vmbix +0.19, qqq -0.15, vweax +0.10, djp +0.02", "ref_full": "ivv +0.51, vea +0.19, ief +0.18, qqq -0.13, vweax +0.12, gsg +0.02" }, "ndvax": { "sym": "ndvax", "name": "MFS New Discovery Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004946056620938158, "alpha_t_5y": 0.21279142739917298, "alpha_t_full": 1.667641797872136, "r2_5y": 0.9243706116978901, "r2_full": 0.9347527249870031, "corr_portfolio": 0.3535439794998781, "corr_benchmark": 0.49632550324751207, "alpha_pos_frac": 0.480225988700565, "fund_max_dd": -0.4405761685202628, "first": "2011-05-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.67, vnq +0.04, qqq -0.57, ivv +0.82, vea +0.11, gld -0.04", "ref_full": "iwm +0.75, vnq +0.05, qqq -0.45, ivv +0.58, ief -0.08, vea +0.05" }, "nefjx": { "sym": "nefjx", "name": "Vaughan Nelson Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01565770813599579, "alpha_t_5y": 0.5903068253427086, "alpha_t_full": 1.5922808297396047, "r2_5y": 0.9045114562560421, "r2_full": 0.9381328050325735, "corr_portfolio": 0.32576348070799194, "corr_benchmark": 0.5205915259109286, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.6557731614248759, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.72, ivv +0.62, qqq -0.34, fxy -0.06", "ref_full": "iwm +0.72, ivv +0.42, qqq -0.18, vnq -0.03, djp +0.03, gld -0.02" }, "nefox": { "sym": "nefox", "name": "Natixis Oakmark Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02815819863045518, "alpha_t_5y": 0.9844201313524248, "alpha_t_full": 1.2103844394413534, "r2_5y": 0.8621433960548437, "r2_full": 0.9133216540906589, "corr_portfolio": 0.36024682999505664, "corr_benchmark": 0.5172901943475076, "alpha_pos_frac": 0.4425531914893617, "fund_max_dd": -0.6235146360993009, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.30, ivv +1.35, qqq -0.62, gld -0.08, gsg +0.05, vweax +0.25", "ref_full": "ivv +0.92, iwm +0.25, qqq -0.24, gld -0.07, efa +0.10, vnq +0.05" }, "nefrx": { "sym": "nefrx", "name": "Loomis Sayles Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0035262716341220865, "alpha_t_5y": -0.6823314945020365, "alpha_t_full": 0.8925038066433054, "r2_5y": 0.9559011620077446, "r2_full": 0.8223647281712506, "corr_portfolio": -0.04483250045239879, "corr_benchmark": 0.741855111831975, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.18761691011519233, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.24, vweax +0.16, vmbix +0.30, tlt +0.06, ief +0.18, fxe +0.02", "ref_full": "ief +0.35, vweax +0.25, agg +0.16, efa +0.02, tlt +0.06, fxe +0.02" }, "nefzx": { "sym": "nefzx", "name": "Loomis Sayles Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0017536219507233903, "alpha_t_5y": 0.2031969257336854, "alpha_t_full": -0.029246633552979764, "r2_5y": 0.8423518265192691, "r2_full": 0.7052973535663765, "corr_portfolio": 0.2502792435552544, "corr_benchmark": 0.6788801020511249, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.32059621521826565, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.46, vweax +0.40, vea +0.04, iwm +0.03", "ref_full": "vweax +0.46, efa +0.08, ief +0.12, agg +0.16, iwm +0.04, fxe +0.08" }, "nesgx": { "sym": "nesgx", "name": "Needham Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002121196716639001, "alpha_t_5y": -0.03778354908163136, "alpha_t_full": 0.6981731572738472, "r2_5y": 0.8043601951393935, "r2_full": 0.753389310951794, "corr_portfolio": 0.11422310600775452, "corr_benchmark": 0.5001454457402623, "alpha_pos_frac": 0.5099601593625498, "fund_max_dd": -0.5028739969400402, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.09, qqq +0.94, ivv -1.11, vwo +0.17, vnq -0.14", "ref_full": "iwm +0.93, vnq -0.18, qqq +0.50, ivv -0.49, fxy +0.10, vweax +0.13" }, "newfx": { "sym": "newfx", "name": "NEW WORLD FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02779063957536574, "alpha_t_5y": -1.2430041482617087, "alpha_t_full": -1.0868838919131547, "r2_5y": 0.8917227702306846, "r2_full": 0.9076091250477097, "corr_portfolio": 0.2893721125804052, "corr_benchmark": 0.5525697146382463, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5671112134075851, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.41, ivv -0.02, vea +0.28, qqq +0.21, fxy -0.08, vweax +0.17", "ref_full": "vwo +0.29, efa +0.27, vweax +0.44, qqq +0.18, vnq -0.04, djp +0.04" }, "nfrax": { "sym": "nfrax", "name": "Nuveen Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019169945163901237, "alpha_t_5y": 2.3764612471201536, "alpha_t_full": 1.2895775634157678, "r2_5y": 0.5176725968684539, "r2_full": 0.6460208085220329, "corr_portfolio": 0.32008937488256256, "corr_benchmark": 0.27902724282000824, "alpha_pos_frac": 0.5730337078651685, "fund_max_dd": -0.22122247588526112, "first": "2011-05-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.48, vmbix -0.11, fxe -0.03", "ref_full": "vweax +0.62, vmbix -0.22, vnq +0.01, qqq -0.04, agg +0.08, ivv +0.04" }, "ngcax": { "sym": "ngcax", "name": "Columbia Greater China Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10308048436918744, "alpha_t_5y": -1.7692439042213588, "alpha_t_full": -0.08988936592394829, "r2_5y": 0.7817204568747212, "r2_full": 0.7041734912767277, "corr_portfolio": 0.13124746807645205, "corr_benchmark": 0.3254892861386413, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.7245094703035198, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +2.01, vea -1.88, efa +1.28, ivv -0.20, gsg +0.06", "ref_full": "vwo +1.01, vnq -0.06, fxe -0.17, qqq +0.28, ivv -0.35, gld -0.06" }, "nhmax": { "sym": "nhmax", "name": "Nuveen High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004543211156720782, "alpha_t_5y": -0.2123985661781501, "alpha_t_full": -0.15750437065597714, "r2_5y": 0.3949322788730484, "r2_full": 0.2277963861544584, "corr_portfolio": 0.09222306824618037, "corr_benchmark": 0.32726452086357527, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.455557856545038, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.64, vblix +0.36, ivv -0.12, vnq +0.04, tlt -0.19", "ref_full": "vweax +0.52, ief +0.13, fxy +0.05, efa -0.04, vnq +0.02" }, "nicsx": { "sym": "nicsx", "name": "NICHOLAS FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018305227619428217, "alpha_t_5y": -1.0248833911618231, "alpha_t_full": -0.3090988461468096, "r2_5y": 0.9358330955670146, "r2_full": 0.9387755405586827, "corr_portfolio": 0.23453129754015895, "corr_benchmark": 0.6143190663887192, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5019454475181375, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.92, gsg -0.03, vmbix +0.11, vea -0.50, efa +0.46, qqq +0.07", "ref_full": "ivv +0.75, iwm +0.11, qqq +0.08, vwo -0.03, vweax +0.11, gsg -0.02" }, "njtfx": { "sym": "njtfx", "name": "T. Rowe Price New Jersey Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01015850233915233, "alpha_t_5y": -0.820635048770368, "alpha_t_full": -0.46984049707044795, "r2_5y": 0.40229123293085833, "r2_full": 0.3860379550432024, "corr_portfolio": 0.04417422438142261, "corr_benchmark": 0.36453334833515727, "alpha_pos_frac": 0.5752212389380531, "fund_max_dd": -0.14602096066049086, "first": "2016-09-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, vblix +0.24, ivv -0.06, vnq +0.02, tlt -0.14, vmbix +0.08", "ref_full": "vweax +0.19, vblix +0.33, tlt -0.19, fxy +0.04, iwm -0.03, vnq +0.03" }, "nlgax": { "sym": "nlgax", "name": "Columbia Capital Allocation Moderate Conservative Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004907060084581798, "alpha_t_5y": -0.8288650736346951, "alpha_t_full": -1.5144393649798997, "r2_5y": 0.9656482434482818, "r2_full": 0.9417743457221043, "corr_portfolio": 0.25900962498748575, "corr_benchmark": 0.8170080796951049, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.2685073688423413, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.24, agg +0.51, vea +0.10, vweax +0.14, vnq -0.03, iwm +0.03", "ref_full": "ivv +0.22, ief +0.21, vweax +0.19, efa +0.07, iwm +0.04, agg +0.10" }, "nlsax": { "sym": "nlsax", "name": "Neuberger Berman Long Short Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.2642703925121082, "r2_5y": NaN, "r2_full": 0.7600568085153172, "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", "alpha_name": true, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ivv +0.31, vweax +0.11, qqq +0.06" }, "nmaax": { "sym": "nmaax", "name": "Nuveen Massachusetts Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022104405907289734, "alpha_t_5y": -1.8030912323709276, "alpha_t_full": 0.24482824947553827, "r2_5y": 0.4077877637885483, "r2_full": 0.26062005052285575, "corr_portfolio": 0.03781494868656306, "corr_benchmark": 0.354062381715125, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.16735502698997318, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.31, ief +0.08, ivv -0.06, vblix +0.25, tlt -0.16, vnq +0.02", "ref_full": "vweax +0.29, ief +0.14, efa -0.03, fxy +0.04, vnq +0.02" }, "nmbax": { "sym": "nmbax", "name": "Nuveen Intermediate Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013843812435855134, "alpha_t_5y": -1.2916430826801828, "alpha_t_full": 0.785368312142916, "r2_5y": 0.39944601920974, "r2_full": 0.2555610118532555, "corr_portfolio": 0.05331358698509937, "corr_benchmark": 0.3435115582159923, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.12121394413654496, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, ief +0.11, ivv -0.06, vnq +0.02", "ref_full": "vweax +0.24, ief +0.11, fxy +0.03, vnq +0.02, efa -0.01, iwm -0.01" }, "nmdax": { "sym": "nmdax", "name": "Nuveen Maryland Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012749986476921193, "alpha_t_5y": -0.8775319986079491, "alpha_t_full": 0.34900541848074385, "r2_5y": 0.3942150083550603, "r2_full": 0.2829572103241982, "corr_portfolio": 0.03606238437182063, "corr_benchmark": 0.3606551075888768, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16157676717926772, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, ief +0.09, ivv -0.08, vnq +0.03, vblix +0.25, tlt -0.16", "ref_full": "vweax +0.30, ief +0.15, fxy +0.04, gsg -0.01, efa -0.02, vnq +0.01" }, "nmiex": { "sym": "nmiex", "name": "ACTIVE M INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015696892192506893, "alpha_t_5y": 0.8075224360821459, "alpha_t_full": -1.1061435907479025, "r2_5y": 0.9183758928466847, "r2_full": 0.9016405681195281, "corr_portfolio": 0.373239667676834, "corr_benchmark": 0.5525007233478543, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.5592623901298053, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.25, ivv +0.11, efa +0.48, vwo +0.08, fxe +0.11, vweax +0.15", "ref_full": "efa +0.70, vweax +0.33, qqq +0.07, djp +0.04, gld +0.03, vwo +0.04" }, "nmmex": { "sym": "nmmex", "name": "ACTIVE M EMERGING MARKETS EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020569232195837, "alpha_t_5y": -0.6311620143510464, "alpha_t_full": -0.8816723104766001, "r2_5y": 0.7960612961468951, "r2_full": 0.8541391625320676, "corr_portfolio": 0.3187242722465449, "corr_benchmark": 0.46378030125479613, "alpha_pos_frac": 0.45145631067961167, "fund_max_dd": -0.3979868369592223, "first": "2008-12-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.60, qqq +0.09, vea +1.40, efa -1.17, fxy -0.12, iwm -0.05", "ref_full": "vwo +0.63, vweax +0.32, qqq +0.06, vea +0.63, efa -0.53, fxy -0.08" }, "nmmgx": { "sym": "nmmgx", "name": "MULTI-MANAGER GLOBAL REAL ESTATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03637094062866963, "alpha_t_5y": -1.5464779505924475, "alpha_t_full": -2.263541985735251, "r2_5y": 0.8811520988989543, "r2_full": 0.8955122867249445, "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", "alpha_name": true, "ref_5y": "vnq +0.68, vea +0.25, ief +0.08, iwm -0.05, vweax +0.13", "ref_full": "vnq +0.50, vea +0.29, vweax +0.26, agg +0.14, vwo +0.05, qqq -0.03" }, "nmuix": { "sym": "nmuix", "name": "Neuberger Municipal Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017112325505559293, "alpha_t_5y": -1.7526813601725766, "alpha_t_full": 0.47739015291706693, "r2_5y": 0.4079788622481373, "r2_full": 0.2883385712235891, "corr_portfolio": 0.03703433854372351, "corr_benchmark": 0.3471776550938575, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.1341026057609117, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, ief +0.11, ivv -0.05, vnq +0.02", "ref_full": "agg +0.09, vweax +0.21, ief +0.07, fxy +0.03, efa -0.02, vnq +0.01" }, "nnjax": { "sym": "nnjax", "name": "Nuveen New Jersey Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013550539774255299, "alpha_t_5y": -0.9469307924501655, "alpha_t_full": 0.6842611542021014, "r2_5y": 0.39591356011345635, "r2_full": 0.25403087266461455, "corr_portfolio": 0.037425505792616685, "corr_benchmark": 0.348456335007589, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.1635994339801028, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.37, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.22, tlt -0.13", "ref_full": "vweax +0.30, ief +0.16, fxy +0.04, gsg -0.01, vnq +0.02, efa -0.02" }, "nnyax": { "sym": "nnyax", "name": "Nuveen New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015628706828041815, "alpha_t_5y": -1.077030776309109, "alpha_t_full": 0.2908716746105891, "r2_5y": 0.4165475235555285, "r2_full": 0.2735465650132992, "corr_portfolio": 0.03868299559179597, "corr_benchmark": 0.3746829137139221, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.17596595747875665, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, vblix +0.29, ivv -0.08, vnq +0.03, tlt -0.14", "ref_full": "vweax +0.32, ief +0.16, efa -0.03, vnq +0.02, fxy +0.04" }, "noiax": { "sym": "noiax", "name": "Natixis Oakmark International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007138510461086136, "alpha_t_5y": -0.023380058630978043, "alpha_t_full": -0.31328875027429676, "r2_5y": 0.8625101934268156, "r2_full": 0.8766671761411675, "corr_portfolio": 0.37828800074791696, "corr_benchmark": 0.4573006288174468, "alpha_pos_frac": 0.47802197802197804, "fund_max_dd": -0.5397340398603887, "first": "2010-12-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.91, fxe +0.30, gld -0.11, vwo +0.18, qqq -0.27, ivv +0.32", "ref_full": "efa +1.02, vweax +0.36, ief -0.12, qqq -0.14, iwm +0.13, gld -0.04" }, "notax": { "sym": "notax", "name": "DWS Strategic High Yield Tax-Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008890228045833132, "alpha_t_5y": -0.5460249849470039, "alpha_t_full": 0.39627444535969475, "r2_5y": 0.4118013066007068, "r2_full": 0.24487857013493675, "corr_portfolio": 0.04383475934520356, "corr_benchmark": 0.34879325042498033, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.2737867312725175, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.43, vblix +0.35, ivv -0.09, vnq +0.03, tlt -0.19", "ref_full": "vweax +0.36, agg +0.17, fxy +0.04, efa -0.03, vnq +0.02" }, "novix": { "sym": "novix", "name": "Global Secured Options Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.9328864361697795, "r2_5y": NaN, "r2_full": 0.8861668396081396, "corr_portfolio": -0.09989696332632156, "corr_benchmark": -0.034472357733126575, "alpha_pos_frac": 0.6470588235294118, "fund_max_dd": -0.2549019607843137, "first": "2012-10-01", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "finux -0.05, efa +0.62, vweax +0.18, ivv +0.16, iwm -0.07" }, "nphix": { "sym": "nphix", "name": "HIGH INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022530453490633606, "alpha_t_5y": 0.314410017698914, "alpha_t_full": -0.580271827043631, "r2_5y": 0.8901310900459971, "r2_full": 0.8263032556215919, "corr_portfolio": 0.3057061267757481, "corr_benchmark": 0.4464795045046101, "alpha_pos_frac": 0.5189873417721519, "fund_max_dd": -0.21677112434348134, "first": "2013-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.97, iwm +0.02, gsg +0.01", "ref_full": "vweax +0.90, vea +0.02, iwm +0.02" }, "npscx": { "sym": "npscx", "name": "Nuveen Preferred Securities and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007049383901100136, "alpha_t_5y": -0.47081931206928457, "alpha_t_full": 1.0647246392042151, "r2_5y": 0.43539045077778127, "r2_full": 0.5470535525975502, "corr_portfolio": 0.31228592721714066, "corr_benchmark": 0.39446752579030814, "alpha_pos_frac": 0.5521739130434783, "fund_max_dd": -0.6144110941366212, "first": "2009-11-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.66", "ref_full": "vweax +0.73, vnq +0.05, vmbix -0.17, agg +0.49, ief -0.25, qqq -0.02" }, "nrfax": { "sym": "nrfax", "name": "AEW Global Focused Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014246175486127308, "alpha_t_5y": -0.8379706832473347, "alpha_t_full": -0.15524777589522698, "r2_5y": 0.9380130152221283, "r2_full": 0.966331611613267, "corr_portfolio": 0.27070702838404087, "corr_benchmark": 0.581487562708043, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.7417654816645052, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.73, vea +0.27, ivv -0.11, vweax +0.14", "ref_full": "vnq +0.96, agg -0.31, fxe +0.07, tlt +0.07, vwo +0.06, ivv -0.06" }, "nsaox": { "sym": "nsaox", "name": "Nuveen Strategic Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014623605014470749, "alpha_t_5y": -1.0275136399354876, "alpha_t_full": 0.6304228917826966, "r2_5y": 0.39823784421136743, "r2_full": 0.377635714787683, "corr_portfolio": 0.06210329639707311, "corr_benchmark": 0.3411290481338952, "alpha_pos_frac": 0.5597014925373134, "fund_max_dd": -0.19036210278069154, "first": "2015-01-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, ief +0.12, ivv -0.07, vnq +0.02", "ref_full": "vweax +0.24, vblix +0.41, tlt -0.25, fxy +0.07, vea -0.05, vnq +0.03" }, "nsbax": { "sym": "nsbax", "name": "Nuveen Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016691518097890788, "alpha_t_5y": -1.1057123028312184, "alpha_t_full": 0.693105013413956, "r2_5y": 0.9351552937479068, "r2_full": 0.9532285450247269, "corr_portfolio": 0.3366858977482437, "corr_benchmark": 0.5884276803133492, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.4529234031764503, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.28, qqq -0.38, vnq +0.08, iwm -0.05, gsg -0.02", "ref_full": "ivv +1.03, qqq -0.19, vnq +0.02, efa +0.05, vwo -0.02" }, "nseix": { "sym": "nseix", "name": "NICHOLAS EQUITY INCOME FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013152852312512502, "alpha_t_5y": -0.7829290240980028, "alpha_t_full": 1.2489713882868894, "r2_5y": 0.9125815863283155, "r2_full": 0.918343332045354, "corr_portfolio": 0.35928196616379293, "corr_benchmark": 0.5495465087126717, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.4810865780289436, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.15, qqq -0.51, vnq +0.11, iwm +0.08, efa +0.24, vea -0.18", "ref_full": "ivv +0.80, qqq -0.22, iwm +0.16, vweax +0.14, vnq +0.04, tlt -0.02" }, "nsmax": { "sym": "nsmax", "name": "Nuveen Small/Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.036593925330454156, "alpha_t_5y": 1.4086273289178812, "alpha_t_full": 0.12777306189531362, "r2_5y": 0.9001717443612414, "r2_full": 0.9115603173151876, "corr_portfolio": 0.34892264523238886, "corr_benchmark": 0.5039841356231192, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.679084196678065, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.77, qqq -0.42, ief -0.12, vea +0.38, efa -0.30", "ref_full": "iwm +0.67, efa +0.11, djp +0.08, ivv +0.41, qqq -0.19, fxy -0.06" }, "nsmmx": { "sym": "nsmmx", "name": "Columbia Short Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014775305812223678, "alpha_t_5y": -2.6181617722879946, "alpha_t_full": -0.8610921339783356, "r2_5y": 0.30949842644414005, "r2_full": 0.2154084333628813, "corr_portfolio": 0.057607466928766934, "corr_benchmark": 0.2686272984478024, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.054232095757011045, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.13, ivv -0.02, vblix +0.13, tlt -0.08", "ref_full": "vweax +0.10, agg +0.04, fxy +0.01, gsg -0.00, vnq +0.01, iwm -0.01" }, "nstrx": { "sym": "nstrx", "name": "Columbia Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016001926834225352, "alpha_t_5y": 0.32633051665389434, "alpha_t_full": 0.19730170439262895, "r2_5y": 0.7040144330138326, "r2_full": 0.4826978961585273, "corr_portfolio": 0.01981580740616467, "corr_benchmark": 0.3924380404819054, "alpha_pos_frac": 0.37572254335260113, "fund_max_dd": -0.09387369848990468, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.05, vweax +0.12, ief +0.23, tlt -0.21, vblix +0.20, ivv -0.02", "ref_full": "ief +0.22, vweax +0.16, tlt -0.05, fxy +0.02" }, "nthex": { "sym": "nthex", "name": "NORTHEAST INVESTORS TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01795789957737887, "alpha_t_5y": 0.8186075483244446, "alpha_t_full": -0.6307226324281194, "r2_5y": 0.11977076549791876, "r2_full": 0.353862413595162, "corr_portfolio": 0.25014664725373204, "corr_benchmark": 0.2077029279027634, "alpha_pos_frac": 0.5738831615120275, "fund_max_dd": -0.5061479511892839, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.27, iwm +0.04", "ref_full": "vweax +0.49, efa +0.05, ief -0.26, agg +0.23, iwm +0.06, qqq -0.04" }, "nugax": { "sym": "nugax", "name": "Nuveen Global Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016275874373556366, "alpha_t_5y": -1.1840233522998247, "alpha_t_full": -1.4226374759768452, "r2_5y": 0.9424634851901972, "r2_full": 0.9477080820912639, "corr_portfolio": 0.36446663347120906, "corr_benchmark": 0.5975218309033357, "alpha_pos_frac": 0.4878048780487805, "fund_max_dd": -0.3367928767803565, "first": "2012-06-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.81, efa +0.44, qqq -0.22, vnq +0.05, iwm -0.04, vea -0.14", "ref_full": "ivv +0.75, efa +0.33, qqq -0.18, vnq +0.04, iwm -0.04, ief +0.04" }, "nvhax": { "sym": "nvhax", "name": "Nuveen Short Duration High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0026652211872175468, "alpha_t_5y": -0.23220551351969426, "alpha_t_full": 0.822072334667014, "r2_5y": 0.2771046781046551, "r2_full": 0.33540188714760233, "corr_portfolio": 0.12459817908509871, "corr_benchmark": 0.21281943090130565, "alpha_pos_frac": 0.5987261146496815, "fund_max_dd": -0.13568773973825887, "first": "2013-02-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.42, ivv -0.05", "ref_full": "vweax +0.17, vblix +0.35, tlt -0.25, efa -0.04, vnq +0.02, fxy +0.03" }, "nwhnx": { "sym": "nwhnx", "name": "Nationwide Bailard International Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024618243976003606, "alpha_t_5y": 1.6353444875590968, "alpha_t_full": 0.4263583719280388, "r2_5y": 0.9469017185619468, "r2_full": 0.9411591823291244, "corr_portfolio": 0.41181144969138145, "corr_benchmark": 0.5301195600323073, "alpha_pos_frac": 0.4563758389261745, "fund_max_dd": -0.3907159879047074, "first": "2013-09-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.54, vea +0.35, vnq -0.05, fxe +0.08, vwo +0.04, vweax +0.10", "ref_full": "vea +0.51, efa +0.38, vweax +0.16, vnq -0.02, vwo +0.04, iwm -0.02" }, "nwqax": { "sym": "nwqax", "name": "Nuveen Flexible Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007600960372378368, "alpha_t_5y": -0.9946704187896894, "alpha_t_full": -0.5087636057464527, "r2_5y": 0.8907438079674741, "r2_full": 0.6715013106401437, "corr_portfolio": 0.3139708138195088, "corr_benchmark": 0.6577482554532937, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.23891440633127548, "first": "2009-12-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.48, ivv +0.16, vblix +0.41, tlt -0.22, qqq -0.05, iwm +0.03", "ref_full": "vweax +0.60, ivv +0.07, agg +0.34, vnq +0.05, vea +0.04, ief -0.10" }, "nyaax": { "sym": "nyaax", "name": "AMERICAN FUNDS TAX-EXEMPT FUND OF NEW YORK", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013750307446719484, "alpha_t_5y": -0.975929124279732, "alpha_t_full": 0.5922286744953109, "r2_5y": 0.38448511715826017, "r2_full": 0.32985637104985055, "corr_portfolio": 0.02123427901126245, "corr_benchmark": 0.3559276914011442, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.15890876328928205, "first": "2010-11-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.34, ivv -0.07, vnq +0.03, tlt -0.12", "ref_full": "agg +0.23, vweax +0.29, vea -0.03, fxy +0.04, vnq +0.03, iwm -0.02" }, "nyvtx": { "sym": "nyvtx", "name": "Davis New York Venture Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011230443258900184, "alpha_t_5y": -0.037915626972847526, "alpha_t_full": 0.023496608900328973, "r2_5y": 0.852416988830847, "r2_full": 0.9267589844178442, "corr_portfolio": 0.33328620674551024, "corr_benchmark": 0.5197930132625113, "alpha_pos_frac": 0.5258964143426295, "fund_max_dd": -0.5855488265322925, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.87, vwo +0.23, iwm +0.17, ief -0.28, qqq -0.22, vweax +0.24", "ref_full": "ivv +0.77, vwo +0.09, iwm +0.14, qqq -0.09, tlt -0.05, efa +0.09" }, "oafix": { "sym": "oafix", "name": "OPTIMUM FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00828794788486583, "alpha_t_5y": -1.6275472219334326, "alpha_t_full": -0.6072038951326039, "r2_5y": 0.9549249675850042, "r2_full": 0.8054887283172139, "corr_portfolio": -0.05197692247785588, "corr_benchmark": 0.7327534684611048, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.1983065547731483, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.25, vweax +0.10, vmbix +0.25, ief +0.22, vblix +0.06, vwo +0.01", "ref_full": "ief +0.37, vweax +0.20, efa +0.02, agg +0.10, tlt +0.04, fxy +0.02" }, "oaiex": { "sym": "oaiex", "name": "OPTIMUM INTERNATIONAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02146678039876876, "alpha_t_5y": -0.9581589345087183, "alpha_t_full": -1.7692580327098528, "r2_5y": 0.9006378102943648, "r2_full": 0.9058712916700216, "corr_portfolio": 0.356212961585428, "corr_benchmark": 0.5405836256500143, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.6068510831098042, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.63, vwo +0.25, vweax +0.36, qqq +0.08, vnq -0.04, agg -0.08", "ref_full": "efa +0.65, vwo +0.14, vweax +0.36, qqq +0.07, vnq -0.03, fxe +0.08" }, "oakbx": { "sym": "oakbx", "name": "Oakmark Equity and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007228215002405169, "alpha_t_5y": 0.40106168598067776, "alpha_t_full": 0.9857848147511943, "r2_5y": 0.8698956980570691, "r2_full": 0.874060492978749, "corr_portfolio": 0.371246958449659, "corr_benchmark": 0.5564203556231527, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.3131187584366041, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.21, ivv +0.84, qqq -0.41, vweax +0.25, vmbix +0.17, gld -0.03", "ref_full": "ivv +0.53, iwm +0.22, vweax +0.25, qqq -0.19, vnq -0.08, efa +0.07" }, "oakex": { "sym": "oakex", "name": "Oakmark International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016399063951388754, "alpha_t_5y": 0.47273579591871595, "alpha_t_full": -0.36477290569743187, "r2_5y": 0.7775970381096287, "r2_full": 0.7648656749330799, "corr_portfolio": 0.38778961147919666, "corr_benchmark": 0.45956469430126223, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.6613610166616855, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.75, vweax +0.67, fxe +0.36, ief -0.15, qqq -0.08, iwm +0.07", "ref_full": "efa +0.61, vweax +0.78, fxe +0.18, iwm +0.12, ivv -0.13, agg -0.11" }, "oakgx": { "sym": "oakgx", "name": "Oakmark Global Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013376491633607802, "alpha_t_5y": -0.44379979742746894, "alpha_t_full": -0.5491980497414666, "r2_5y": 0.8383762481190475, "r2_full": 0.874267691363546, "corr_portfolio": 0.38368831105478474, "corr_benchmark": 0.5043402457363078, "alpha_pos_frac": 0.50199203187251, "fund_max_dd": -0.5857179701818698, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.49, iwm +0.16, ivv +0.71, qqq -0.39, vwo +0.14, gld -0.06", "ref_full": "efa +0.47, iwm +0.23, vweax +0.37, ivv +0.42, qqq -0.15, vnq -0.06" }, "oakix": { "sym": "oakix", "name": "Oakmark International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016114585041720763, "alpha_t_5y": -0.04436337075832454, "alpha_t_full": 0.39163270240271547, "r2_5y": 0.7945335530820636, "r2_full": 0.8258029257445444, "corr_portfolio": 0.39305299592865506, "corr_benchmark": 0.43608412917871386, "alpha_pos_frac": 0.4824561403508772, "fund_max_dd": -0.608329384339853, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.96, fxe +0.37, fxy -0.15, qqq -0.12, vwo +0.15, gld -0.09", "ref_full": "efa +0.88, vweax +0.51, gld -0.05, qqq -0.12, iwm +0.10, agg -0.14" }, "oaklx": { "sym": "oaklx", "name": "Oakmark Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03517451242626633, "alpha_t_5y": 0.9243611804253453, "alpha_t_full": 0.3821876197519134, "r2_5y": 0.7870128524344178, "r2_full": 0.8652390865623248, "corr_portfolio": 0.3292542457621716, "corr_benchmark": 0.5012938649157518, "alpha_pos_frac": 0.44680851063829785, "fund_max_dd": -0.6115065158779194, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.33, ivv +1.20, qqq -0.51, gld -0.10, gsg +0.07, vweax +0.22", "ref_full": "ivv +0.88, iwm +0.30, qqq -0.19, gld -0.07, gsg +0.04, vweax +0.15" }, "oakmx": { "sym": "oakmx", "name": "Oakmark Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027595624767292663, "alpha_t_5y": 0.9651002939557431, "alpha_t_full": 1.6729765467991589, "r2_5y": 0.8610681972478699, "r2_full": 0.9105158783844126, "corr_portfolio": 0.3614110401250136, "corr_benchmark": 0.5151302280815169, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.5619480347429107, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.29, ivv +1.34, qqq -0.62, gld -0.08, gsg +0.05, vweax +0.26", "ref_full": "ivv +0.95, iwm +0.25, qqq -0.24, gld -0.07, djp +0.05, vweax +0.13" }, "oakwx": { "sym": "oakwx", "name": "Oakmark Global Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026480390997725135, "alpha_t_5y": -0.8217842983668878, "alpha_t_full": 0.10768857293608489, "r2_5y": 0.7868018734349723, "r2_full": 0.8654514822728466, "corr_portfolio": 0.3572884769591909, "corr_benchmark": 0.4936797641965902, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.5626085375538958, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.92, ivv +0.81, qqq -0.36, vwo +0.15, vea -0.59, iwm +0.10", "ref_full": "efa +0.44, ivv +0.48, iwm +0.12, vweax +0.28, qqq -0.13, gld -0.05" }, "oalgx": { "sym": "oalgx", "name": "OPTIMUM LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05038592635492782, "alpha_t_5y": -1.1812794027452254, "alpha_t_full": -1.8593193607954845, "r2_5y": 0.8225204257198004, "r2_full": 0.9050283333318128, "corr_portfolio": 0.15027332377364522, "corr_benchmark": 0.5939729402466465, "alpha_pos_frac": 0.5608856088560885, "fund_max_dd": -0.5538777452969619, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.74, ivv +0.32", "ref_full": "qqq +0.52, ivv +0.50, vnq -0.05, vweax +0.06, iwm +0.04, agg +0.07" }, "oalvx": { "sym": "oalvx", "name": "OPTIMUM LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038103912410317933, "alpha_t_5y": 0.24987926192250226, "alpha_t_full": -0.07825138567786488, "r2_5y": 0.9336715407077257, "r2_full": 0.9500317951943453, "corr_portfolio": 0.3899025452244982, "corr_benchmark": 0.5383179557314257, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5680712313630496, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.37, qqq -0.63, iwm +0.08, vea +0.08, vnq +0.04", "ref_full": "ivv +1.10, qqq -0.36, iwm +0.09, efa +0.08, tlt -0.03, vnq +0.02" }, "oasgx": { "sym": "oasgx", "name": "OPTIMUM SMALL-MID CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05552267460772631, "alpha_t_5y": -2.1234294935382247, "alpha_t_full": -2.2639417809348585, "r2_5y": 0.9298270388734229, "r2_full": 0.9338512365812062, "corr_portfolio": 0.18308409102204284, "corr_benchmark": 0.5758795523889668, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.6297166275317017, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.78, qqq +0.31, vnq -0.05, gsg -0.02", "ref_full": "iwm +0.73, qqq +0.32, vnq -0.05, vweax +0.08, gld +0.02" }, "oasvx": { "sym": "oasvx", "name": "OPTIMUM SMALL-MID CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012671999686224799, "alpha_t_5y": -0.5240451620995207, "alpha_t_full": -1.4885637918214705, "r2_5y": 0.9165906198353005, "r2_full": 0.9311194257156974, "corr_portfolio": 0.3645870426194703, "corr_benchmark": 0.5102162345176466, "alpha_pos_frac": 0.5058365758754864, "fund_max_dd": -0.6582753385397521, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.64, vnq +0.04, ief -0.09, efa +0.07, qqq -0.52, ivv +0.84", "ref_full": "iwm +0.71, ivv +0.45, qqq -0.26, vweax +0.17, vnq +0.04, ief -0.11" }, "oaycx": { "sym": "oaycx", "name": "Oakmark Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004694311365619559, "alpha_t_5y": 0.7512481323009227, "alpha_t_full": 1.3422063520729666, "r2_5y": 0.9070897427653577, "r2_full": 0.8996910901957939, "corr_portfolio": -0.05592867742699571, "corr_benchmark": 0.7852053780847446, "alpha_pos_frac": 0.4492753623188406, "fund_max_dd": -0.14991298285667864, "first": "2020-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.25, vweax +0.19, vmbix +0.19, ief +0.16, vblix +0.03", "ref_full": "agg +0.31, vweax +0.22, vmbix +0.17, ief +0.18" }, "obegx": { "sym": "obegx", "name": "Oberweis Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027504319848157197, "alpha_t_5y": -0.6552659992434285, "alpha_t_full": -1.5566773927054889, "r2_5y": 0.8253223991576032, "r2_full": 0.8361214637810384, "corr_portfolio": 0.2111946331361633, "corr_benchmark": 0.5343067079530714, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.714024768155322, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.53, qqq +0.67, vwo +0.14, ivv -0.64, vea +0.33, vmbix -0.16", "ref_full": "iwm +0.64, qqq +0.60, vwo +0.11, ivv -0.58, efa +0.15, vweax +0.24" }, "olcax": { "sym": "olcax", "name": "Invesco Limited Term California Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015616629696129623, "alpha_t_5y": -1.4800353626960234, "alpha_t_full": 0.761054475902216, "r2_5y": 0.25023953221483264, "r2_full": 0.15487840634612582, "corr_portfolio": 0.037146901485240455, "corr_benchmark": 0.23934231992690763, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.1459259128570778, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.19, vblix +0.22, ivv -0.03, tlt -0.13", "ref_full": "vweax +0.20, ief +0.04, fxy +0.02, gsg -0.01, agg +0.05" }, "omfcx": { "sym": "omfcx", "name": "Invesco AMT-Free Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02020615585600677, "alpha_t_5y": -1.2997669750525103, "alpha_t_full": -0.7759450433709439, "r2_5y": 0.3778491993603902, "r2_full": 0.21801541138193647, "corr_portfolio": 0.04380186576319111, "corr_benchmark": 0.3495710888511325, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.49189868567581385, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, vblix +0.11, ivv -0.08, vnq +0.03", "ref_full": "vweax +0.37, ief +0.06, agg +0.20, efa -0.03, fxy +0.03" }, "omfl": { "sym": "omfl", "name": "Invesco Russell 1000(R) Dynamic Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006193179861847343, "alpha_t_5y": -0.2451688797365951, "alpha_t_full": 0.910735179245399, "r2_5y": 0.8720235343239546, "r2_full": 0.8385376703580036, "corr_portfolio": 0.29430402201853684, "corr_benchmark": 0.5542270218963034, "alpha_pos_frac": 0.5252525252525253, "fund_max_dd": -0.3324192056150126, "first": "2017-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.99, iwm +0.20, qqq -0.24", "ref_full": "ivv +1.07, qqq -0.34, iwm +0.23" }, "omfs": { "sym": "omfs", "name": "Invesco Russell 2000(R) Dynamic Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018043744120861068, "alpha_t_5y": 0.6307171457628239, "alpha_t_full": 0.9725807419605177, "r2_5y": 0.9028376039000598, "r2_full": 0.8198890660298638, "corr_portfolio": 0.303636900879426, "corr_benchmark": 0.46929114450192144, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.42502779611546027, "first": "2017-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.95, qqq -0.31, ivv +0.36, vnq -0.05", "ref_full": "iwm +0.94, qqq -0.38, ivv +0.34, tlt -0.05" }, "omifx": { "sym": "omifx", "name": "Federated Hermes Ohio Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017351933739593033, "alpha_t_5y": -1.393343914064906, "alpha_t_full": 0.0526770879070736, "r2_5y": 0.324529428445577, "r2_full": 0.23586091052380675, "corr_portfolio": 0.01601933667818547, "corr_benchmark": 0.3560475018900643, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.128786560376425, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.21, vweax +0.27, ivv -0.06, vnq +0.02", "ref_full": "agg +0.11, vweax +0.18, ief +0.07, fxy +0.03, gsg -0.01" }, "oneo": { "sym": "oneo", "name": "State Street(R) SPDR(R) Russell 1000 Momentum Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005092996609747411, "alpha_t_5y": 0.25621765466546664, "alpha_t_full": 0.13542195656783038, "r2_5y": 0.9236028071837172, "r2_full": 0.8790729595861133, "corr_portfolio": 0.3427412505732648, "corr_benchmark": 0.5863269204281072, "alpha_pos_frac": 0.4959349593495935, "fund_max_dd": -0.4086262790174634, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.31, ivv +0.80, qqq -0.29, vea +0.13, vnq +0.04, fxy -0.05", "ref_full": "ivv +0.74, iwm +0.32, qqq -0.22, vweax +0.13, vnq +0.05, vea +0.05" }, "oneq": { "sym": "oneq", "name": "Fidelity Nasdaq Composite Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00916179048203256, "alpha_t_5y": -0.7682626746402237, "alpha_t_full": -0.9704656156504946, "r2_5y": 0.9837502250933273, "r2_full": 0.9635423669432486, "corr_portfolio": 0.1560306917231467, "corr_benchmark": 0.6114335738006046, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5508863650434419, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.81, iwm +0.10, ivv +0.15, vea -0.31, vwo +0.06, efa +0.22", "ref_full": "qqq +0.74, iwm +0.15, ivv +0.13, efa -0.05, vweax +0.07, agg +0.05" }, "onev": { "sym": "onev", "name": "State Street(R) SPDR(R) Russell 1000 Low Volatility Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016812956399043295, "alpha_t_5y": 0.806750549544303, "alpha_t_full": 1.0961892895520546, "r2_5y": 0.8838833801198784, "r2_full": 0.8454512822411934, "corr_portfolio": 0.34306727591059877, "corr_benchmark": 0.5522614352861341, "alpha_pos_frac": 0.5203252032520326, "fund_max_dd": -0.39715773905231566, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.19, vnq +0.18, ivv +1.05, qqq -0.53, gsg -0.03", "ref_full": "ivv +1.00, qqq -0.47, iwm +0.19, vnq +0.14, vweax +0.15, gsg -0.03" }, "oney": { "sym": "oney", "name": "State Street(R) SPDR(R) Russell 1000 Yield Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.035074945248985315, "alpha_t_5y": 1.420462210117367, "alpha_t_full": 1.2386023801605048, "r2_5y": 0.8730141303584685, "r2_full": 0.7745250310491141, "corr_portfolio": 0.38368395271898603, "corr_benchmark": 0.47242881329095504, "alpha_pos_frac": 0.4065040650406504, "fund_max_dd": -0.4679796420573904, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.33, vnq +0.14, gsg +0.04, qqq -0.75, ivv +1.18, efa +0.06", "ref_full": "iwm +0.35, vnq +0.10, gsg +0.04, qqq -0.71, ivv +1.12, vweax +0.26" }, "onjcx": { "sym": "onjcx", "name": "Invesco New Jersey Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013598010297765835, "alpha_t_5y": -1.0047145047772756, "alpha_t_full": -0.6055990226934513, "r2_5y": 0.38343042671891436, "r2_full": 0.2029044049286235, "corr_portfolio": 0.06695743772049785, "corr_benchmark": 0.31564127507899487, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.4140228519140272, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, vblix +0.25, ivv -0.07, vnq +0.02, tlt -0.15, vmbix +0.08", "ref_full": "vweax +0.36, ief +0.04, efa -0.03, agg +0.17, fxy +0.03" }, "opacx": { "sym": "opacx", "name": "Invesco Pennsylvania Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016932701851398335, "alpha_t_5y": -1.0963133126955436, "alpha_t_full": -0.20628985547918055, "r2_5y": 0.36004417533119193, "r2_full": 0.22220130043133746, "corr_portfolio": 0.04132377237750224, "corr_benchmark": 0.3149667754559082, "alpha_pos_frac": 0.5992217898832685, "fund_max_dd": -0.38955667999668053, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, ief +0.16, ivv -0.08, vnq +0.03", "ref_full": "vweax +0.35, ief +0.06, agg +0.16, efa -0.03, fxy +0.03" }, "opcax": { "sym": "opcax", "name": "Invesco California Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010874643151111554, "alpha_t_5y": -0.6420904851921779, "alpha_t_full": -0.18434672074091785, "r2_5y": 0.39838935461640157, "r2_full": 0.23451497870373983, "corr_portfolio": 0.04440212878224746, "corr_benchmark": 0.34996284503088493, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.4735707729608609, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.42, ief +0.10, ivv -0.08, vblix +0.31, tlt -0.19, vnq +0.03", "ref_full": "vweax +0.39, ief +0.08, agg +0.18, efa -0.02, fxy +0.03" }, "opnyx": { "sym": "opnyx", "name": "Invesco Rochester AMT-Free New York Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013045103734279171, "alpha_t_5y": -0.7353673703254615, "alpha_t_full": -0.03917798472144134, "r2_5y": 0.3927523538639385, "r2_full": 0.2405110419236297, "corr_portfolio": 0.03867434841608233, "corr_benchmark": 0.34970464905241994, "alpha_pos_frac": 0.6069364161849711, "fund_max_dd": -0.3459499584131701, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, vblix +0.33, ivv -0.09, vnq +0.03, tlt -0.16", "ref_full": "agg +0.17, vweax +0.40, ief +0.10, efa -0.03, fxy +0.04" }, "origx": { "sym": "origx", "name": "NORTH SQUARE SPECTRUM ALPHA FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010103678031781738, "alpha_t_5y": -0.4251697566959163, "alpha_t_full": -0.8427551398885299, "r2_5y": 0.9332728040146736, "r2_full": 0.9193696284019912, "corr_portfolio": 0.22193308460528877, "corr_benchmark": 0.5586202144915828, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.49060619311860776, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.83, qqq +0.12, djp -0.04, vweax +0.15", "ref_full": "iwm +0.75, qqq +0.21, vnq -0.06, vweax +0.08, agg +0.07" }, "orilx": { "sym": "orilx", "name": "NORTH SQUARE MULTI STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001485695083962139, "alpha_t_5y": -0.13768758183870616, "alpha_t_full": -1.3820334101377003, "r2_5y": 0.9633632863861845, "r2_full": 0.9432342886176849, "corr_portfolio": 0.3126301165977903, "corr_benchmark": 0.5953364968349182, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.505846985181069, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "iwm +0.29, ivv +0.36, efa +0.12, vblix +0.03, qqq -0.04, vweax +0.06", "ref_full": "ivv +0.37, iwm +0.21, qqq +0.14, efa +0.11, fxe -0.04, vwo +0.02" }, "orncx": { "sym": "orncx", "name": "Invesco Rochester Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011243141187275194, "alpha_t_5y": -0.6149037517100127, "alpha_t_full": -1.0178627850615707, "r2_5y": 0.41244925104588837, "r2_full": 0.2405341357467199, "corr_portfolio": 0.06116409683918144, "corr_benchmark": 0.34555587376713937, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.5604218323058511, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.49, vblix +0.36, ivv -0.10, vnq +0.04, tlt -0.18", "ref_full": "vweax +0.46, agg +0.28, efa -0.03, fxy +0.04" }, "oscbx": { "sym": "oscbx", "name": "Overseas SMA Completion Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021402839491021567, "alpha_t_5y": 0.767811128637892, "alpha_t_full": 0.7521848387555208, "r2_5y": 0.831642009860488, "r2_full": 0.8721158646820725, "corr_portfolio": 0.38988286779613984, "corr_benchmark": 0.5168207493299157, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.3950338101990687, "first": "2019-09-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.88, fxe +0.18, qqq -0.08, vweax +0.16, tlt -0.31, vblix +0.33", "ref_full": "vea +0.93, qqq -0.09, vweax +0.28, tlt -0.07, fxe +0.14" }, "ostax": { "sym": "ostax", "name": "JPMorgan Short-Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019830513490836546, "alpha_t_5y": -3.048269972379512, "alpha_t_full": -0.8738965608238635, "r2_5y": 0.3021921146850556, "r2_full": 0.19463007496466023, "corr_portfolio": 0.03480540353218741, "corr_benchmark": 0.3292838130758523, "alpha_pos_frac": 0.5315985130111525, "fund_max_dd": -0.08722627428438368, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.11, vweax +0.14, ivv -0.02", "ref_full": "agg +0.09, vweax +0.09, fxy +0.02, vnq +0.01, efa -0.01" }, "ostfx": { "sym": "ostfx", "name": "Osterweis Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.035417935588902924, "alpha_t_5y": -1.9566215916943859, "alpha_t_full": -1.946529908229493, "r2_5y": 0.9230463888652054, "r2_full": 0.8975867884113046, "corr_portfolio": 0.24423997908745645, "corr_benchmark": 0.6178814545559946, "alpha_pos_frac": 0.5234042553191489, "fund_max_dd": -0.42801951202699595, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.81, iwm +0.05, gsg -0.02, vnq +0.04, fxe +0.05", "ref_full": "ivv +0.62, vweax +0.25, vnq -0.07, iwm +0.10, qqq +0.08, fxy +0.05" }, "otcax": { "sym": "otcax", "name": "MFS Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07772592019935472, "alpha_t_5y": -2.422645711889912, "alpha_t_full": -2.259295233885886, "r2_5y": 0.8568388073670805, "r2_full": 0.9063281353234857, "corr_portfolio": 0.17085654348149606, "corr_benchmark": 0.6167283551879356, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.7425673764185973, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.29, iwm +0.30, qqq +0.35, vblix +0.07, gsg -0.03", "ref_full": "ivv +0.36, iwm +0.25, qqq +0.31, vwo +0.05, agg +0.11, gld +0.02" }, "otcfx": { "sym": "otcfx", "name": "T. Rowe Price Small-Cap Stock Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020934522565094184, "alpha_t_5y": -1.1441520444920932, "alpha_t_full": 1.3936319861337567, "r2_5y": 0.9520747340371111, "r2_full": 0.96905317522675, "corr_portfolio": 0.24543526552486156, "corr_benchmark": 0.5668984948668035, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5636825646343744, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.70, ivv +0.14, vea +0.08, djp -0.03, vnq +0.05", "ref_full": "iwm +0.74, ivv +0.11, vnq +0.03, efa +0.03, qqq +0.03" }, "owacx": { "sym": "owacx", "name": "Old Westbury All Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04705472064018435, "alpha_t_5y": -2.40653945555235, "alpha_t_full": -3.696675620532483, "r2_5y": 0.928508472537028, "r2_full": 0.9414953734990368, "corr_portfolio": 0.262708944380579, "corr_benchmark": 0.6198872972749484, "alpha_pos_frac": 0.600896860986547, "fund_max_dd": -0.5931858376394941, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, vea +0.06, iwm +0.04, qqq +0.09, vnq +0.03", "ref_full": "ivv +0.70, qqq +0.12, efa +0.07, vweax +0.10, iwm +0.03" }, "owcax": { "sym": "owcax", "name": "Old Westbury California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020262604128145525, "alpha_t_5y": -2.459296055140457, "alpha_t_full": -1.5748644172241764, "r2_5y": 0.3988564651572162, "r2_full": 0.3807177347610251, "corr_portfolio": 0.004478905148697983, "corr_benchmark": 0.4080213069251456, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.08914587053802547, "first": "2018-12-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.18, ivv -0.03", "ref_full": "agg +0.15, vweax +0.18, iwm -0.02, vnq +0.02, fxy +0.03, gsg -0.01" }, "owcix": { "sym": "owcix", "name": "Old Westbury Credit Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007713155261919991, "alpha_t_5y": -0.9256267611609515, "alpha_t_full": -0.6209580520860749, "r2_5y": 0.8869308620536687, "r2_full": 0.8854207057521557, "corr_portfolio": -0.10770440633066697, "corr_benchmark": 0.8496441691436327, "alpha_pos_frac": 0.6153846153846154, "fund_max_dd": -0.19910039198706198, "first": "2020-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.29, vblix +0.22, iwm +0.02, vmbix +0.14, vea +0.02, vweax +0.05", "ref_full": "agg +0.28, vblix +0.22, iwm +0.02, vmbix +0.14, vea +0.02, vweax +0.05" }, "owfix": { "sym": "owfix", "name": "Old Westbury Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008078608660495118, "alpha_t_5y": -1.3439181957558632, "alpha_t_full": 0.27480238382939365, "r2_5y": 0.8829540422509572, "r2_full": 0.8009225868558725, "corr_portfolio": -0.15737763269114566, "corr_benchmark": 0.5992136213659078, "alpha_pos_frac": 0.45454545454545453, "fund_max_dd": -0.12866899594662473, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.44, tlt -0.09, agg +0.30, qqq -0.01, vweax +0.04, fxe +0.02", "ref_full": "ief +0.51, tlt -0.06, vweax +0.04, agg +0.04, fxy +0.02, iwm +0.01" }, "owlsx": { "sym": "owlsx", "name": "Old Westbury Large Cap Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04949971912464632, "alpha_t_5y": -2.0421106487461955, "alpha_t_full": -1.1744806767796654, "r2_5y": 0.8788037852562098, "r2_full": 0.7979601057123404, "corr_portfolio": 0.2813199070884734, "corr_benchmark": 0.6081724454074314, "alpha_pos_frac": 0.5537848605577689, "fund_max_dd": -0.5317703502237789, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.63, vwo +0.12, efa +0.12, qqq +0.08", "ref_full": "efa +0.46, ivv +0.39, vnq -0.07, agg +0.18, qqq +0.11, djp +0.03" }, "owmbx": { "sym": "owmbx", "name": "Old Westbury Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022089684044051157, "alpha_t_5y": -2.549950045515692, "alpha_t_full": -0.005036717045704136, "r2_5y": 0.3762474469798397, "r2_full": 0.24378790841795606, "corr_portfolio": -0.0027759167346638287, "corr_benchmark": 0.3714054973589138, "alpha_pos_frac": 0.49070631970260226, "fund_max_dd": -0.09542187684459635, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.19, vweax +0.19, ivv -0.03", "ref_full": "agg +0.11, vweax +0.13, ief +0.06, fxy +0.03, gsg -0.01" }, "ownyx": { "sym": "ownyx", "name": "Old Westbury New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020552980867719804, "alpha_t_5y": -2.4560079604168665, "alpha_t_full": -1.4059864676203444, "r2_5y": 0.3860939756591776, "r2_full": 0.3612952476544927, "corr_portfolio": 0.01038791464832866, "corr_benchmark": 0.38567054496127623, "alpha_pos_frac": 0.5287356321839081, "fund_max_dd": -0.08980633887013367, "first": "2018-12-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.17, ivv -0.03", "ref_full": "agg +0.22, vweax +0.12, fxy +0.04, vea -0.02, tlt -0.14, vblix +0.15" }, "owsmx": { "sym": "owsmx", "name": "Old Westbury Small & Mid Cap Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0633323213192928, "alpha_t_5y": -2.608814913420582, "alpha_t_full": -0.4860145896884527, "r2_5y": 0.8788472300482696, "r2_full": 0.8232276483758643, "corr_portfolio": 0.27740092911944125, "corr_benchmark": 0.6167979421966362, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.38347694507590435, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.34, vea +0.28, qqq +0.09, gld +0.05, vweax +0.23, vwo +0.08", "ref_full": "iwm +0.38, efa +0.23, vweax +0.32, vnq -0.07, qqq +0.11, fxy +0.11" }, "paakx": { "sym": "paakx", "name": "Putnam Retirement Advantage 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008085432937398032, "alpha_t_5y": 0.6672717494141892, "alpha_t_full": 0.44445526786860956, "r2_5y": 0.9650786457757361, "r2_full": 0.9662137854503264, "corr_portfolio": 0.24969583599943557, "corr_benchmark": 0.6647790718170579, "alpha_pos_frac": 0.47297297297297297, "fund_max_dd": -0.33075430297223685, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, vea +0.16, iwm +0.07, qqq +0.07, vwo +0.05, vweax +0.07", "ref_full": "ivv +0.54, vea +0.16, iwm +0.07, qqq +0.07, vweax +0.10, vwo +0.04" }, "pabax": { "sym": "pabax", "name": "Putnam Dynamic Asset Allocation Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021036743700766085, "alpha_t_5y": 0.07073998619793863, "alpha_t_full": -0.38468892902240265, "r2_5y": 0.6736294233514768, "r2_full": 0.8782796363099777, "corr_portfolio": 0.2799692589209536, "corr_benchmark": 0.6448811561272372, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.45909946819604797, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.46, vblix +0.13, vea +0.14", "ref_full": "ivv +0.40, efa +0.11, ief +0.16, iwm +0.06, vwo +0.04, vweax +0.11" }, "pacax": { "sym": "pacax", "name": "Putnam Dynamic Asset Allocation Conservative Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002073347470823593, "alpha_t_5y": -0.2960894819499525, "alpha_t_full": -1.2038694056625168, "r2_5y": 0.9422305097699402, "r2_full": 0.8659083390836556, "corr_portfolio": 0.22838171137594437, "corr_benchmark": 0.8639282352562012, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.33052926254503456, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.22, agg +0.26, vea +0.05, vweax +0.10, iwm +0.03, ief +0.23", "ref_full": "ivv +0.23, ief +0.26, vwo +0.04, vweax +0.12, agg +0.13, efa +0.04" }, "pacex": { "sym": "pacex", "name": "T. Rowe Price Emerging Markets Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015835989056408626, "alpha_t_5y": -1.640523538713646, "alpha_t_full": 1.220584672767492, "r2_5y": 0.5253445673930145, "r2_full": 0.500322195438051, "corr_portfolio": 0.2083813536476997, "corr_benchmark": 0.2964794344021169, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.22577654642309408, "first": "2012-05-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, ivv -0.04, vwo +0.03, vblix +0.42, tlt -0.26, agg -0.12", "ref_full": "vweax +0.45, vblix +0.28, agg -0.24, ivv -0.05, vwo +0.04, tlt -0.10" }, "pacjx": { "sym": "pacjx", "name": "Putnam Retirement Advantage 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006857376837342954, "alpha_t_5y": 0.6296629571305618, "alpha_t_full": 0.4263887964490085, "r2_5y": 0.9690445187189634, "r2_full": 0.968158872432948, "corr_portfolio": 0.25136479315584387, "corr_benchmark": 0.668973066279746, "alpha_pos_frac": 0.4189189189189189, "fund_max_dd": -0.3213938888806894, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.16, iwm +0.07, qqq +0.06, vwo +0.04, vweax +0.07", "ref_full": "ivv +0.51, vea +0.16, iwm +0.07, qqq +0.07, vweax +0.10, vwo +0.04" }, "padcx": { "sym": "padcx", "name": "PGIM Absolute Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0031433155938183502, "alpha_t_5y": -0.4528894940054141, "alpha_t_full": -0.07748794880521634, "r2_5y": 0.27277188253533124, "r2_full": 0.4049150957370604, "corr_portfolio": 0.29093168096348476, "corr_benchmark": 0.1517945188590106, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.18070752793130407, "first": "2011-03-31", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vweax +0.06, vmbix -0.03, vblix +0.31, agg -0.31, tlt -0.14, vwo +0.01", "ref_full": "vweax +0.34, vmbix -0.21, agg +0.15, qqq -0.02, vwo +0.02, ief -0.05" }, "padlx": { "sym": "padlx", "name": "Putnam Retirement Advantage Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004917770375171342, "alpha_t_5y": 0.7023158980239818, "alpha_t_full": 0.4762650541958271, "r2_5y": 0.934030758349398, "r2_full": 0.933351281358743, "corr_portfolio": 0.16931137694406587, "corr_benchmark": 0.8731742496797607, "alpha_pos_frac": 0.4594594594594595, "fund_max_dd": -0.16454305312833462, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.19, agg +0.47, vea +0.03, iwm +0.04, vweax +0.10, vwo +0.02", "ref_full": "ivv +0.12, agg +0.50, iwm +0.05, efa +0.05, vweax +0.09, qqq +0.03" }, "paeax": { "sym": "paeax", "name": "Putnam Dynamic Asset Allocation Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00025509637109466624, "alpha_t_5y": 0.027813234149091367, "alpha_t_full": -0.6714406529784802, "r2_5y": 0.9736110537884463, "r2_full": 0.9669411000839545, "corr_portfolio": 0.3231359622542102, "corr_benchmark": 0.638175923866089, "alpha_pos_frac": 0.5487179487179488, "fund_max_dd": -0.5325376581994163, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.16, iwm +0.06, qqq +0.05, vmbix +0.08, vwo +0.04", "ref_full": "ivv +0.50, efa +0.15, vwo +0.08, iwm +0.07, vweax +0.10, agg +0.08" }, "paekx": { "sym": "paekx", "name": "Putnam Retirement Advantage 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007546632639127501, "alpha_t_5y": 0.6809988166322593, "alpha_t_full": 0.36735573664720794, "r2_5y": 0.9646277465932129, "r2_full": 0.9641914917695885, "corr_portfolio": 0.2534741608954214, "corr_benchmark": 0.6777870598940468, "alpha_pos_frac": 0.4594594594594595, "fund_max_dd": -0.3071704587826122, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, vea +0.15, iwm +0.07, vwo +0.05, qqq +0.06, ief +0.05", "ref_full": "ivv +0.46, vea +0.15, iwm +0.07, qqq +0.07, vweax +0.13, vwo +0.04" }, "paelx": { "sym": "paelx", "name": "T. Rowe Price Emerging Markets Local Currency Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030295380169546716, "alpha_t_5y": -0.15245857433829973, "alpha_t_full": -0.9622569726281259, "r2_5y": 0.640142487420615, "r2_full": 0.5921172263604322, "corr_portfolio": 0.2515849240133518, "corr_benchmark": 0.35012801992808307, "alpha_pos_frac": 0.536723163841808, "fund_max_dd": -0.3471025356466323, "first": "2011-05-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxe +0.39, vweax +0.58, vwo +0.17, qqq -0.05, fxy +0.05", "ref_full": "vwo +0.25, fxe +0.35, vweax +0.55, ivv -0.06, gld +0.03, qqq -0.05" }, "paffx": { "sym": "paffx", "name": "T. Rowe Price Target 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015049736905385056, "alpha_t_5y": -1.4958836411468168, "alpha_t_full": 1.661156652952483, "r2_5y": 0.9685116616064976, "r2_full": 0.39209939027897844, "corr_portfolio": 0.1920931357420296, "corr_benchmark": 0.4106407436212837, "alpha_pos_frac": 0.06, "fund_max_dd": -0.2985283298973661, "first": "2013-08-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, vea +0.20, iwm +0.09, vwo +0.07, vblix +0.05, vweax +0.07", "ref_full": "ivv +0.42, vea +0.22, iwm +0.13, ief +0.69, agg -0.76" }, "pafmx": { "sym": "pafmx", "name": "Putnam Retirement Advantage 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006251992985824082, "alpha_t_5y": 0.5692015306478128, "alpha_t_full": 0.44849818593324753, "r2_5y": 0.960909568787101, "r2_full": 0.9620470445817234, "corr_portfolio": 0.2552308453591416, "corr_benchmark": 0.684143261006678, "alpha_pos_frac": 0.5, "fund_max_dd": -0.2922330133126778, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.55, vea +0.14, iwm +0.07, vwo +0.05, ief +0.09, vnq -0.03", "ref_full": "ivv +0.46, vea +0.15, vblix +0.06, iwm +0.07, vwo +0.04, qqq +0.05" }, "pajrx": { "sym": "pajrx", "name": "T. Rowe Price Target 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010138084970075756, "alpha_t_5y": -1.4736480894112038, "alpha_t_full": -0.47184083229951207, "r2_5y": 0.9552114332728268, "r2_full": 0.8891731002764619, "corr_portfolio": 0.30150612291698736, "corr_benchmark": 0.6518583036205818, "alpha_pos_frac": 0.5133333333333333, "fund_max_dd": -0.2247884235099975, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.23, vmbix +0.17, vea +0.11, iwm +0.05, vblix +0.06, vwo +0.03", "ref_full": "ivv +0.23, vea +0.17, ief +0.47, iwm +0.08, agg -0.46, vweax +0.16" }, "pamfx": { "sym": "pamfx", "name": "Federated Hermes Pennsylvania Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015444938703925616, "alpha_t_5y": -1.276791917790169, "alpha_t_full": 0.23439016014912778, "r2_5y": 0.3245823970521756, "r2_full": 0.2388629265145773, "corr_portfolio": 0.017487474655490075, "corr_benchmark": 0.3582883958626961, "alpha_pos_frac": 0.5914396887159533, "fund_max_dd": -0.1550346835743337, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.19, vweax +0.27, ivv -0.06, vnq +0.02", "ref_full": "agg +0.12, vweax +0.19, ief +0.07, fxy +0.03, gsg -0.01, efa -0.01" }, "pappx": { "sym": "pappx", "name": "Papp Small & Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.079628881116222, "alpha_t_5y": -2.551732067752747, "alpha_t_full": -1.7013361886779033, "r2_5y": 0.8191748171004943, "r2_full": 0.8755689498923471, "corr_portfolio": 0.23771978011145273, "corr_benchmark": 0.5885610771155372, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.34507048706344157, "first": "2010-03-09", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.50, iwm +0.24, vnq +0.19, djp -0.05", "ref_full": "ivv +0.62, iwm +0.27, vnq +0.05, gsg -0.02" }, "parmx": { "sym": "parmx", "name": "Parnassus Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.045594980815772956, "alpha_t_5y": -1.8171803178101948, "alpha_t_full": -0.5300849284006911, "r2_5y": 0.8802886714217619, "r2_full": 0.9137265570106158, "corr_portfolio": 0.26342323955782126, "corr_benchmark": 0.6119723340352121, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.4987332812733648, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, iwm +0.23, vnq +0.18, djp -0.06, vea +0.06", "ref_full": "ivv +0.62, iwm +0.22, vnq +0.06, agg +0.24, ief -0.15, gsg -0.02" }, "parnx": { "sym": "parnx", "name": "Parnassus Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07440316237490434, "alpha_t_5y": -1.9099053044701848, "alpha_t_full": -1.4585183729682947, "r2_5y": 0.8500868923375616, "r2_full": 0.8793427110160864, "corr_portfolio": 0.1299055680772606, "corr_benchmark": 0.6075286312199196, "alpha_pos_frac": 0.5517241379310345, "fund_max_dd": -0.543354010838193, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.12, iwm +0.38, qqq +0.66, vnq +0.11, vweax +0.27, djp -0.04", "ref_full": "ivv +0.33, iwm +0.30, qqq +0.35, vnq +0.07, agg +0.09" }, "parwx": { "sym": "parwx", "name": "Parnassus Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010440056965812256, "alpha_t_5y": 0.2511730722772102, "alpha_t_full": 2.0798470052526974, "r2_5y": 0.7188954113322464, "r2_full": 0.860975289616274, "corr_portfolio": 0.3168857601968209, "corr_benchmark": 0.5174048806231558, "alpha_pos_frac": 0.46, "fund_max_dd": -0.4775975520519904, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.96, iwm +0.20, qqq -0.28, efa +0.11", "ref_full": "ivv +0.65, iwm +0.23, vnq +0.04, tlt -0.04, gld -0.04, efa +0.06" }, "pasux": { "sym": "pasux", "name": "T. Rowe Price Retirement 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01471683389576791, "alpha_t_5y": -1.31688134625236, "alpha_t_full": -1.1959436081270518, "r2_5y": 0.9691248503802108, "r2_full": 0.969696679685477, "corr_portfolio": 0.1435986409014807, "corr_benchmark": 0.6732456264384227, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.28234064166743467, "first": "2020-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.22, iwm +0.10, vwo +0.08, vweax +0.07, gld +0.01", "ref_full": "ivv +0.51, vea +0.22, iwm +0.10, vwo +0.08, vweax +0.06, gld +0.01" }, "paxhx": { "sym": "paxhx", "name": "Impax High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01372140146899925, "alpha_t_5y": -1.7168460497187654, "alpha_t_full": -0.6196920958119102, "r2_5y": 0.8559535905383555, "r2_full": 0.7986094056991361, "corr_portfolio": 0.28935698848359653, "corr_benchmark": 0.4475340765013552, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.25667060766039873, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.93, vea +0.02", "ref_full": "vweax +0.79, efa +0.03, agg +0.03, djp +0.01" }, "paxwx": { "sym": "paxwx", "name": "Impax Sustainable Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019171644339564184, "alpha_t_5y": -1.7215656735752793, "alpha_t_full": -2.003858220543994, "r2_5y": 0.9386611033263941, "r2_full": 0.9472088211205876, "corr_portfolio": 0.2835793123347549, "corr_benchmark": 0.7058211707676609, "alpha_pos_frac": 0.5574468085106383, "fund_max_dd": -0.4011704784077629, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.40, agg +0.29, efa +0.12, iwm +0.06, gsg -0.02, vweax +0.14", "ref_full": "ivv +0.36, efa +0.13, ief +0.14, iwm +0.07, vwo +0.03, qqq +0.04" }, "pazlx": { "sym": "pazlx", "name": "T. Rowe Price Target 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014890234029626671, "alpha_t_5y": -1.3306459533044466, "alpha_t_full": -1.1973560321609107, "r2_5y": 0.9689282149102357, "r2_full": 0.9694663765754591, "corr_portfolio": 0.14345644844421257, "corr_benchmark": 0.6735941866233561, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.2822705514640369, "first": "2020-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.22, iwm +0.10, vwo +0.07, vweax +0.07, gld +0.01", "ref_full": "ivv +0.51, vea +0.22, iwm +0.10, vwo +0.07, vweax +0.06, gld +0.01" }, "pbaix": { "sym": "pbaix", "name": "BLACKROCK TACTICAL OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01551607733703903, "alpha_t_5y": 0.6340389825915668, "alpha_t_full": 1.1802456596691406, "r2_5y": 0.187841066158555, "r2_full": 0.6196764566264792, "corr_portfolio": 0.2695792703045866, "corr_benchmark": 0.016520104440359434, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.39249287248987896, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "tlt -0.13, vea +0.08, iwm +0.06, vnq -0.05", "ref_full": "efa +0.17, fxy -0.09, vwo +0.09, vnq +0.05, tlt -0.07, gsg +0.02" }, "pbamx": { "sym": "pbamx", "name": "Putnam Retirement Advantage 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004222657725806665, "alpha_t_5y": 0.40188297903193126, "alpha_t_full": 0.4133612324268411, "r2_5y": 0.9574788469017715, "r2_full": 0.9597549931866225, "corr_portfolio": 0.2534039262718372, "corr_benchmark": 0.6987646630075736, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.2757282276158258, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.11, vmbix +0.13, iwm +0.05, vwo +0.04, vweax +0.09", "ref_full": "ivv +0.48, vea +0.12, vblix +0.07, iwm +0.06, vwo +0.04, vweax +0.09" }, "pbbbx": { "sym": "pbbbx", "name": "PIA BBB Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014951452321015622, "alpha_t_5y": 0.15191630710405962, "alpha_t_full": 0.4517009619945931, "r2_5y": 0.870691830777442, "r2_full": 0.7994108067461759, "corr_portfolio": -0.008158122296365403, "corr_benchmark": 0.7026369029152514, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.2274405382732736, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.11, vweax +0.14, vblix +0.49, tlt -0.22, ief +0.30, fxe +0.04", "ref_full": "ief +0.35, vweax +0.37, tlt +0.11, agg +0.12, vnq +0.01, fxy +0.03" }, "pbcax": { "sym": "pbcax", "name": "PGIM CALIFORNIA MUNI INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01810782861209033, "alpha_t_5y": -1.87250601439968, "alpha_t_full": 0.8847813617968661, "r2_5y": 0.3111904523513802, "r2_full": 0.23602497271511935, "corr_portfolio": 0.06112092308892659, "corr_benchmark": 0.27421125771550475, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.12256233407173134, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.24, ivv -0.05, vblix +0.20, tlt -0.12", "ref_full": "vweax +0.25, ief +0.06, efa -0.03, fxy +0.03, vnq +0.01, agg +0.07" }, "pbdix": { "sym": "pbdix", "name": "T. Rowe Price QM U.S. Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004011426797495228, "alpha_t_5y": -0.8850074304250558, "alpha_t_full": -0.5512874752163576, "r2_5y": 0.965635373756805, "r2_full": 0.886569376623801, "corr_portfolio": -0.12067708726934477, "corr_benchmark": 0.6643800803842884, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.18628419709103805, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.14, ief +0.44, vweax +0.04, vblix +0.33, vmbix +0.24, tlt -0.15", "ref_full": "ief +0.45, vweax +0.19, tlt +0.05, agg +0.07, vnq +0.01, ivv -0.01" }, "pbqax": { "sym": "pbqax", "name": "PGIM Jennison Blend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020005528106401358, "alpha_t_5y": -1.5296200385928063, "alpha_t_full": -1.1202808742602837, "r2_5y": 0.9737022701024046, "r2_full": 0.9342883395356153, "corr_portfolio": 0.23477399134760737, "corr_benchmark": 0.5803442494285033, "alpha_pos_frac": 0.490272373540856, "fund_max_dd": -0.5389378140674224, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, iwm +0.35, qqq +0.19, efa +0.05, vnq -0.03", "ref_full": "ivv +0.43, iwm +0.31, qqq +0.21, efa +0.09, vnq -0.04, djp +0.03" }, "pbsmx": { "sym": "pbsmx", "name": "PGIM SHORT-TERM CORPORATE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0019364285926262823, "alpha_t_5y": -0.3797127609639615, "alpha_t_full": 1.3505406234817, "r2_5y": 0.8132702825706951, "r2_full": 0.6727578937584694, "corr_portfolio": 0.035315849491460494, "corr_benchmark": 0.5072261886396883, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.1035367488039487, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, tlt -0.29, vblix +0.26, ief +0.31, vweax +0.08, ivv -0.02", "ref_full": "ief +0.36, vweax +0.21, tlt -0.08, fxy +0.02, agg +0.04, qqq -0.01" }, "pbus": { "sym": "pbus", "name": "Invesco MSCI USA ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002070794710378543, "alpha_t_5y": -0.22495591669295914, "alpha_t_full": 0.669435570241328, "r2_5y": 0.9831718020693411, "r2_full": 0.79014552566755, "corr_portfolio": 0.22482660784505068, "corr_benchmark": 0.6020035939179506, "alpha_pos_frac": 0.5643564356435643, "fund_max_dd": -0.33153983156373135, "first": "2017-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.90, iwm +0.03, qqq +0.05", "ref_full": "ivv +0.80, iwm +0.08, agg +0.12" }, "pcdlx": { "sym": "pcdlx", "name": "Putnam Retirement Advantage 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0037802422356058786, "alpha_t_5y": 0.40857495884378836, "alpha_t_full": 0.121228658990336, "r2_5y": 0.957158451941662, "r2_full": 0.9588998824460735, "corr_portfolio": 0.24569529384555935, "corr_benchmark": 0.7267358434840885, "alpha_pos_frac": 0.5135135135135135, "fund_max_dd": -0.24781348986250962, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vmbix +0.11, vea +0.11, iwm +0.06, qqq +0.04, ief +0.11", "ref_full": "ivv +0.35, agg +0.20, vea +0.11, iwm +0.06, vweax +0.13, qqq +0.05" }, "pcef": { "sym": "pcef", "name": "Invesco CEF Income Composite ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020945171764153427, "alpha_t_5y": -0.9215676263246024, "alpha_t_full": -1.5758291309421852, "r2_5y": 0.7705692719734445, "r2_full": 0.733444498108236, "corr_portfolio": 0.31097148749226433, "corr_benchmark": 0.6238819944643696, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.3863544069898822, "first": "2010-02-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.32, vweax +0.53, vea +0.15, vblix +0.10, fxe -0.17, vwo +0.06", "ref_full": "ivv +0.29, vweax +0.59, agg +0.88, ief -0.44, vnq +0.08, vwo +0.07" }, "pcjsx": { "sym": "pcjsx", "name": "Putnam Retirement Advantage Plus 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00892621370061039, "alpha_t_5y": -0.5667032289718819, "alpha_t_full": -0.5667032289718819, "r2_5y": 0.9367473208821717, "r2_full": 0.9367473208821717, "corr_portfolio": 0.12019192471696326, "corr_benchmark": 0.6565459954307089, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.22445516803522447, "first": "2021-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, vea +0.15, iwm +0.09, qqq +0.08, fxe +0.07, vwo +0.03", "ref_full": "ivv +0.50, vea +0.15, iwm +0.09, qqq +0.08, fxe +0.07, vwo +0.03" }, "pckex": { "sym": "pckex", "name": "Putnam Retirement Advantage 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005372738360548115, "alpha_t_5y": 0.5174210600766662, "alpha_t_full": 0.5174210600766662, "r2_5y": 0.9751877964283728, "r2_full": 0.9751877964283728, "corr_portfolio": 0.1287446631130224, "corr_benchmark": 0.6730184445061044, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.24841664222161408, "first": "2021-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, vea +0.17, iwm +0.07, qqq +0.05, vwo +0.03, vnq -0.02", "ref_full": "ivv +0.62, vea +0.17, iwm +0.07, qqq +0.05, vwo +0.03, vnq -0.02" }, "pclcx": { "sym": "pclcx", "name": "PACE Large Co Growth Equity Investments", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05890547671378916, "alpha_t_5y": -3.165862209923589, "alpha_t_full": -2.4836002044807044, "r2_5y": 0.951377189195585, "r2_full": 0.9602098224423815, "corr_portfolio": 0.18688602618820402, "corr_benchmark": 0.619399847663849, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.6398237825414241, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.56, ivv +0.45, vnq -0.04", "ref_full": "ivv +0.55, qqq +0.46, djp +0.02, fxe +0.03, vnq -0.01, agg +0.04" }, "pclrx": { "sym": "pclrx", "name": "PGIM INCOME BUILDER FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008549493017800686, "alpha_t_5y": 0.6126139053339531, "alpha_t_full": -0.5901759766453059, "r2_5y": 0.8416143536453817, "r2_full": 0.7974855969662825, "corr_portfolio": 0.3577821109011818, "corr_benchmark": 0.6396543411902245, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.31199034710577367, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.22, vnq +0.09, iwm +0.06, vblix +0.11, gsg +0.05, ivv +0.06", "ref_full": "ivv +0.15, agg +0.32, vweax +0.27, iwm +0.10, efa +0.07, gsg +0.03" }, "pconx": { "sym": "pconx", "name": "PUTNAM CONVERTIBLE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024559924173799978, "alpha_t_5y": -1.0008186556476155, "alpha_t_full": -0.8058797850375194, "r2_5y": 0.8199307429677788, "r2_full": 0.8390929867581826, "corr_portfolio": 0.1686685629112609, "corr_benchmark": 0.5797410016874776, "alpha_pos_frac": 0.5657370517928287, "fund_max_dd": -0.4769840693520889, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.35, qqq +0.42, ivv -0.31, vwo +0.07, gld +0.04", "ref_full": "iwm +0.27, qqq +0.24, vweax +0.36, vnq -0.06, gld +0.03, vwo +0.02" }, "pcrix": { "sym": "pcrix", "name": "PIMCO CommodityRealReturn Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015873851573645008, "alpha_t_5y": 0.6075607192551501, "alpha_t_full": 0.6189320096064665, "r2_5y": 0.8735876382829169, "r2_full": 0.8764042785526026, "corr_portfolio": 0.2230505578777076, "corr_benchmark": 0.1799548119525162, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.7204192600560511, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.85, ief +0.45, tlt -0.16, vweax +0.19, qqq -0.03", "ref_full": "djp +0.83, agg +0.22, vweax +0.31, ivv -0.07, gsg +0.08, ief +0.13" }, "pcvax": { "sym": "pcvax", "name": "Virtus NFJ Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001325565737563185, "alpha_t_5y": -0.04646476815739952, "alpha_t_full": -0.911361696571304, "r2_5y": 0.8907225259431191, "r2_full": 0.927879149149363, "corr_portfolio": 0.31790831590723373, "corr_benchmark": 0.5237102130488784, "alpha_pos_frac": 0.5019455252918288, "fund_max_dd": -0.5097647671897545, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, vnq +0.16, qqq -0.33, ivv +0.47", "ref_full": "iwm +0.68, ivv +0.52, qqq -0.29, djp +0.04, vweax +0.11, agg +0.09" }, "pdbax": { "sym": "pdbax", "name": "PGIM TOTAL RETURN BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014231975408938596, "alpha_t_5y": -0.18151923668673992, "alpha_t_full": 0.6204981252103495, "r2_5y": 0.900361383458843, "r2_full": 0.7819925028629005, "corr_portfolio": -0.040165300557592445, "corr_benchmark": 0.6841564159332755, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.20625378219460078, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.07, vblix +0.46, tlt -0.23, ief +0.37, vweax +0.10, ivv -0.02", "ref_full": "ief +0.33, vweax +0.29, agg +0.11, tlt +0.07, vnq +0.01, fxe +0.03" }, "pdeax": { "sym": "pdeax", "name": "PGIM JENNISON EMERGING MARKETS EQUITY OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05573160233301961, "alpha_t_5y": -1.1117227680374469, "alpha_t_full": -0.26343494231254055, "r2_5y": 0.7837946281598491, "r2_full": 0.7498987634874614, "corr_portfolio": 0.15648877934987504, "corr_benchmark": 0.45920382448737745, "alpha_pos_frac": 0.5182481751824818, "fund_max_dd": -0.552362980769046, "first": "2014-09-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.00, qqq +0.70, ivv -0.76, iwm +0.15, vmbix -0.18", "ref_full": "vwo +0.78, qqq +0.61, ivv -0.69, iwm +0.17, vweax +0.19, gsg -0.03" }, "pdhax": { "sym": "pdhax", "name": "PGIM Emerging Markets Debt Hard Currency Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001019918462349525, "alpha_t_5y": 0.056656903803410805, "alpha_t_full": -0.3655180859126323, "r2_5y": 0.5830263356802484, "r2_full": 0.5916633333679294, "corr_portfolio": 0.2210099352847333, "corr_benchmark": 0.5089472744567569, "alpha_pos_frac": 0.6224489795918368, "fund_max_dd": -0.29248890105732606, "first": "2017-12-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.59, vblix +0.54, tlt -0.29, gsg -0.03, vwo +0.07, qqq -0.04", "ref_full": "vweax +0.69, vblix +0.39, vwo +0.08, qqq -0.06, tlt -0.20, agg +0.16" }, "pdinx": { "sym": "pdinx", "name": "PUTNAM DIVERSIFIED INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006327241483710209, "alpha_t_5y": -0.20602435119018025, "alpha_t_full": -0.30418463239320137, "r2_5y": 0.10947066418746598, "r2_full": 0.2062423097522772, "corr_portfolio": 0.1515436580369243, "corr_benchmark": 0.20295102993548317, "alpha_pos_frac": 0.6205128205128205, "fund_max_dd": -0.4551253654646945, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vmbix +0.28, vweax +0.27", "ref_full": "vweax +0.50, efa +0.05" }, "pdizx": { "sym": "pdizx", "name": "Putnam Retirement Advantage 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002496073251368715, "alpha_t_5y": 0.2713807863368681, "alpha_t_full": -0.14766073643247105, "r2_5y": 0.931605522065444, "r2_full": 0.9393283779033725, "corr_portfolio": 0.22337045683986115, "corr_benchmark": 0.7682622807213977, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.21032149783938647, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.31, vmbix +0.15, vea +0.07, iwm +0.05, ief +0.16, vweax +0.10", "ref_full": "ivv +0.33, agg +0.17, vea +0.07, vweax +0.14, iwm +0.04, ief +0.13" }, "pdsax": { "sym": "pdsax", "name": "PGIM Short Duration Muni Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016528750003604865, "alpha_t_5y": -2.1980474661175204, "alpha_t_full": -0.11216251998473946, "r2_5y": 0.3120944896808864, "r2_full": 0.32026018044844284, "corr_portfolio": 0.06475583689920278, "corr_benchmark": 0.25957593213886526, "alpha_pos_frac": 0.574468085106383, "fund_max_dd": -0.1022519074994317, "first": "2014-06-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.19, ivv -0.04, vblix +0.14, tlt -0.09", "ref_full": "vweax +0.11, vblix +0.26, tlt -0.17, fxy +0.04, efa -0.03, vnq +0.01" }, "pennx": { "sym": "pennx", "name": "Royce Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00877523310971636, "alpha_t_5y": 0.4114106002633989, "alpha_t_full": 0.16503835373232506, "r2_5y": 0.9406772463931634, "r2_full": 0.9564983606448129, "corr_portfolio": 0.2879428555445985, "corr_benchmark": 0.5413396435438118, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.5699986832089872, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.76, ivv +0.31, efa +0.09, qqq -0.12, djp -0.04, vnq -0.04", "ref_full": "iwm +0.76, ivv +0.21, efa +0.06, vnq -0.03, djp +0.03, qqq -0.04" }, "peopx": { "sym": "peopx", "name": "BNY Mellon S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037976558358713604, "alpha_t_5y": -0.6176869698505861, "alpha_t_full": -0.6489139895046346, "r2_5y": 0.9923730154246512, "r2_full": 0.9875188035458817, "corr_portfolio": 0.279275175918218, "corr_benchmark": 0.6163057871975196, "alpha_pos_frac": 0.40129449838187703, "fund_max_dd": -0.5551421648262652, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02", "ref_full": "ivv +0.95, vwo +0.01, vnq +0.01, qqq +0.02, gsg +0.01" }, "pequx": { "sym": "pequx", "name": "PUTNAM FOCUSED INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007672335818663562, "alpha_t_5y": 0.3148127013645272, "alpha_t_full": -1.3731599687093612, "r2_5y": 0.8696241529615403, "r2_full": 0.9281119229253999, "corr_portfolio": 0.31470685857300573, "corr_benchmark": 0.5824471863761062, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.703122952170135, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.54, vwo +0.21, qqq +0.12, vweax +0.26", "ref_full": "efa +0.44, ivv +0.23, vwo +0.10, vweax +0.20, qqq +0.08, iwm +0.05" }, "pespx": { "sym": "pespx", "name": "BNY Mellon Midcap Index Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012038911638156347, "alpha_t_5y": -0.6225426157777486, "alpha_t_full": 0.19279387073266607, "r2_5y": 0.94543231663784, "r2_full": 0.9550923806732815, "corr_portfolio": 0.3185452135295827, "corr_benchmark": 0.5641308516169997, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5542950102770463, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.57, qqq -0.25, vnq +0.05, fxy -0.08, vea +0.08", "ref_full": "iwm +0.58, ivv +0.45, qqq -0.10, vnq +0.04, djp +0.04, vweax +0.08" }, "pexmx": { "sym": "pexmx", "name": "T. Rowe Price Extended Equity Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02624391361989832, "alpha_t_5y": -1.4150097819939975, "alpha_t_full": -0.94265409774209, "r2_5y": 0.9608847102186222, "r2_full": 0.963208113114123, "corr_portfolio": 0.22763119450862992, "corr_benchmark": 0.5666831622055984, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5794748064132105, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.75, qqq +0.23, vweax +0.13, vnq +0.03, fxy -0.04", "ref_full": "iwm +0.68, qqq +0.16, ivv +0.12, vweax +0.12, djp +0.03, vnq +0.03" }, "peyax": { "sym": "peyax", "name": "PUTNAM LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03463831405595197, "alpha_t_5y": 2.2981665198278143, "alpha_t_full": 2.8104219318098087, "r2_5y": 0.9373779304791667, "r2_full": 0.9554980141197006, "corr_portfolio": 0.399023279762834, "corr_benchmark": 0.5344381468066888, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.5146951503243322, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.59, iwm +0.15, vea +0.10, ief -0.06, gsg +0.02", "ref_full": "ivv +1.06, qqq -0.34, iwm +0.13, efa +0.08, ief -0.08, gsg +0.02" }, "pflrx": { "sym": "pflrx", "name": "Putnam Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009294195136077951, "alpha_t_5y": 1.0834975994841956, "alpha_t_full": 0.04278394335310267, "r2_5y": 0.47513690739171577, "r2_full": 0.5786695011289414, "corr_portfolio": 0.3094628283236659, "corr_benchmark": 0.24933113853514885, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.32851697194627005, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, vmbix -0.11, fxe -0.03", "ref_full": "vweax +0.58, ief -0.10, iwm -0.02, agg +0.07, vnq +0.01" }, "pfsax": { "sym": "pfsax", "name": "PGIM Jennison Financial Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009526653433534824, "alpha_t_5y": 0.268337809251732, "alpha_t_full": 1.454978672490602, "r2_5y": 0.8247843545272032, "r2_full": 0.8403259021910257, "corr_portfolio": 0.3595935750629374, "corr_benchmark": 0.4582700398168905, "alpha_pos_frac": 0.4470588235294118, "fund_max_dd": -0.5523287357447194, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.30, ivv +1.49, qqq -0.72, gld -0.11, efa +0.14, ief -0.14", "ref_full": "ivv +0.87, qqq -0.39, iwm +0.29, efa +0.31, gld -0.09, tlt -0.06" }, "pfslx": { "sym": "pfslx", "name": "Paradigm Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.039840125588198876, "alpha_t_5y": 0.9919737884889527, "alpha_t_full": 0.44648786658690565, "r2_5y": 0.8533121835160035, "r2_full": 0.8951834677987163, "corr_portfolio": 0.2328617107071564, "corr_benchmark": 0.5663674824077501, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.5238151042823442, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.67, qqq +0.33, vea +0.67, efa -0.58, gsg -0.04", "ref_full": "iwm +0.67, qqq +0.17, vnq -0.08, ivv +0.19, agg +0.13, vweax +0.10" }, "pfxf": { "sym": "pfxf", "name": "VanEck Preferred Securities ex Financials ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018210970640886205, "alpha_t_5y": -0.6789632464768818, "alpha_t_full": -0.8568713465750911, "r2_5y": 0.656296727103715, "r2_full": 0.6264842071848158, "corr_portfolio": 0.2335996519509493, "corr_benchmark": 0.5981419395547352, "alpha_pos_frac": 0.50920245398773, "fund_max_dd": -0.3549405222980784, "first": "2012-07-20", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.17, vweax +0.43, agg +0.30, iwm +0.09, vea +0.09, vnq +0.06", "ref_full": "ivv +0.18, agg +1.73, ief -0.72, vnq +0.15, vweax +0.49, vmbix -0.45" }, "pgdix": { "sym": "pgdix", "name": "Diversified Income Fund (f/k/a Global Diversified Income Fund)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 1.807139196376582e-05, "alpha_t_5y": 0.0019285878544466663, "alpha_t_full": 1.980616311873732, "r2_5y": 0.6961442987669179, "r2_full": 0.6364120437408103, "corr_portfolio": 0.30646260408143494, "corr_benchmark": 0.589110782118715, "alpha_pos_frac": 0.4563106796116505, "fund_max_dd": -0.237601821742342, "first": "2008-12-17", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vweax +0.27, agg +0.30, efa +0.06, iwm +0.02, qqq -0.05, ivv +0.06", "ref_full": "vnq +0.10, vweax +0.34, vwo +0.08, agg +0.17, fxe +0.09, gld -0.02" }, "pgeix": { "sym": "pgeix", "name": "Polen Emerging Markets Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0800263865402573, "alpha_t_5y": -1.4153192553660687, "alpha_t_full": -1.3500421129374691, "r2_5y": 0.6481409957327549, "r2_full": 0.6216918525536427, "corr_portfolio": 0.06634917200636273, "corr_benchmark": 0.4009328143855441, "alpha_pos_frac": 0.625, "fund_max_dd": -0.492424219393378, "first": "2020-10-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.87, gsg -0.07, vea +1.74, efa -1.51, vnq -0.09, gld -0.08", "ref_full": "vwo +1.01, gsg -0.06" }, "pgeox": { "sym": "pgeox", "name": "GEORGE PUTNAM FUND OF BOSTON", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010499994301666866, "alpha_t_5y": 0.15948446347585815, "alpha_t_full": -2.55975547855552, "r2_5y": 0.9802521500710187, "r2_full": 0.9515421270630189, "corr_portfolio": 0.2590824763726946, "corr_benchmark": 0.7144321680815223, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5063291505183176, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.55, agg +0.05, qqq +0.05, vblix +0.08, vmbix +0.13, iwm +0.01", "ref_full": "ivv +0.59, agg +0.14, vweax +0.10, ief +0.09, vwo +0.01, iwm +0.02" }, "pggax": { "sym": "pggax", "name": "American Funds Global Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027104930241752423, "alpha_t_5y": -1.9384472510965538, "alpha_t_full": -1.3023393891161605, "r2_5y": 0.9630105620062673, "r2_full": 0.9609852448296977, "corr_portfolio": 0.2665020520448951, "corr_benchmark": 0.6180825355663426, "alpha_pos_frac": 0.5212121212121212, "fund_max_dd": -0.3440665191990774, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.13, vwo +0.12, vea +0.28, qqq +0.31, iwm +0.11, vweax +0.11", "ref_full": "ivv +0.10, vea +0.31, qqq +0.30, iwm +0.09, vwo +0.09, vweax +0.19" }, "pggix": { "sym": "pggix", "name": "PUTNAM GLOBAL INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01916343310958338, "alpha_t_5y": -2.8092695882049497, "alpha_t_full": 0.6398388803537174, "r2_5y": 0.8914684689388316, "r2_full": 0.5522906612900136, "corr_portfolio": 0.02258874692232828, "corr_benchmark": 0.6071702323378692, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.2681045724793484, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.25, fxe +0.11, fxy +0.10, vweax +0.16, ief +0.23, vea +0.02", "ref_full": "fxe +0.18, agg +0.08, vweax +0.20, fxy +0.11, ief +0.20, efa +0.04" }, "pgjax": { "sym": "pgjax", "name": "PGIM Jennison Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013320546925886787, "alpha_t_5y": 0.04319622180965115, "alpha_t_full": -0.02430917790951679, "r2_5y": 0.7143680879437257, "r2_full": 0.7699058185087967, "corr_portfolio": 0.3399575947961548, "corr_benchmark": 0.5611659877896849, "alpha_pos_frac": 0.5100671140939598, "fund_max_dd": -0.36664638198669763, "first": "2013-09-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.26, vea +0.35, djp +0.06, qqq -0.27, ivv +0.41, ief +0.16", "ref_full": "vea +0.37, vnq +0.28, gsg +0.05, vweax +0.19, gld +0.04, ivv +0.08" }, "pgkax": { "sym": "pgkax", "name": "PGIM Jennison Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006161377542251029, "alpha_t_5y": -0.16643032577858857, "alpha_t_full": 0.0598724147740568, "r2_5y": 0.9049265824793851, "r2_full": 0.9062555537290005, "corr_portfolio": 0.027682586996486454, "corr_benchmark": 0.6150427301662096, "alpha_pos_frac": 0.43478260869565216, "fund_max_dd": -0.485896478277541, "first": "2018-06-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.47, ivv -0.54, iwm +0.13", "ref_full": "qqq +1.35, ivv -0.45, iwm +0.15, tlt +0.11, vmbix -0.26" }, "pgnax": { "sym": "pgnax", "name": "PGIM Jennison Natural Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -0.9486526835040594, "r2_5y": NaN, "r2_full": 0.817694818770638, "corr_portfolio": 0.08183608016663571, "corr_benchmark": 0.21430211496599427, "alpha_pos_frac": 0.4961832061068702, "fund_max_dd": -0.7156398043070942, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "vwo +0.31, gsg +0.44, ivv +0.52, gld +0.30, vnq -0.14, iwm +0.24" }, "pgoax": { "sym": "pgoax", "name": "PGIM JENNISON SMALL COMPANY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01668181548543228, "alpha_t_5y": -0.772577316653423, "alpha_t_full": -0.12239165807153203, "r2_5y": 0.9376333886812582, "r2_full": 0.9408841977401565, "corr_portfolio": 0.27704460529005365, "corr_benchmark": 0.5533331881550394, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.5656820575753753, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.69, ivv +0.30, vea +0.35, qqq -0.10, fxy -0.06, efa -0.23", "ref_full": "iwm +0.69, ivv +0.23, vweax +0.16, djp +0.04, agg +0.24, ief -0.17" }, "pgrnx": { "sym": "pgrnx", "name": "Impax Global Environmental Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.039984386250480876, "alpha_t_5y": -1.5131541520899152, "alpha_t_full": -1.1110796042212316, "r2_5y": 0.8832551365444323, "r2_full": 0.9069184215492726, "corr_portfolio": 0.28908973826942125, "corr_benchmark": 0.6063037634388917, "alpha_pos_frac": 0.46511627906976744, "fund_max_dd": -0.5254395246869658, "first": "2008-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.45, gsg -0.05, iwm +0.09, vweax +0.23", "ref_full": "vea +0.38, ivv +0.41, iwm +0.15, vweax +0.26, fxe +0.09, vnq -0.03" }, "pgrox": { "sym": "pgrox", "name": "BNY Mellon Worldwide Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044634980345370875, "alpha_t_5y": -2.6109592788178855, "alpha_t_full": -0.1572231076689298, "r2_5y": 0.9400002733978058, "r2_full": 0.9273778152696184, "corr_portfolio": 0.25372969602646644, "corr_benchmark": 0.6214504030025514, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.47747953213589023, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.75, efa +0.66, iwm -0.09, vea -0.45, qqq +0.08, vwo +0.05", "ref_full": "ivv +0.81, efa +0.25, iwm -0.10, vnq -0.06, fxe +0.13, ief +0.10" }, "pgsix": { "sym": "pgsix", "name": "PUTNAM MORTGAGE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00606067787904008, "alpha_t_5y": 0.22887555011726074, "alpha_t_full": -0.26336018369660585, "r2_5y": 0.4561901821104891, "r2_full": 0.2951595532059903, "corr_portfolio": 0.03291500162663316, "corr_benchmark": 0.442574634983087, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.22278455023542265, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.95", "ref_full": "agg +0.21, vweax +0.22, ief +0.43, efa +0.02, tlt -0.09, vnq +0.02" }, "pgvax": { "sym": "pgvax", "name": "PGIM GOVERNMENT INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010514555511226101, "alpha_t_5y": -1.6068561002683321, "alpha_t_full": -1.5621456012571153, "r2_5y": 0.9320524862710354, "r2_full": 0.7767960744901593, "corr_portfolio": -0.13365504927537805, "corr_benchmark": 0.6345641743946662, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.21587822357319053, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.26, ief +0.26, vweax +0.10, ivv -0.02, vmbix +0.23, vblix +0.07", "ref_full": "ief +0.46, vweax +0.08, agg +0.10, vnq +0.01, vwo +0.01, tlt +0.03" }, "pgwax": { "sym": "pgwax", "name": "Virtus Silvant Focused Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025952578211565203, "alpha_t_5y": -1.0445485267171446, "alpha_t_full": -1.2272862272631133, "r2_5y": 0.9350913922673308, "r2_full": 0.9409882628100191, "corr_portfolio": 0.14337637652874352, "corr_benchmark": 0.604940388326626, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.664607312347052, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.74, ivv +0.45, vea -0.69, efa +0.57, vnq -0.06, vwo +0.06", "ref_full": "qqq +0.60, ivv +0.47, vnq -0.03, agg +0.05" }, "pheax": { "sym": "pheax", "name": "PGIM Global Total Return (USD Hedged) Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015028668525867163, "alpha_t_5y": -1.7338201045297772, "alpha_t_full": -0.6418627210865826, "r2_5y": 0.7828053028980725, "r2_full": 0.7615182644597513, "corr_portfolio": 0.007729324796808906, "corr_benchmark": 0.6876315559429306, "alpha_pos_frac": 0.5816326530612245, "fund_max_dd": -0.2343623880675647, "first": "2017-12-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.34, vweax +0.26, ief +0.25, tlt -0.15, vmbix -0.14, gsg -0.01", "ref_full": "vblix +0.28, vweax +0.27, agg +0.11, tlt -0.10, vmbix -0.15, ief +0.17" }, "phizx": { "sym": "phizx", "name": "PGIM Muni High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0046616055954526265, "alpha_t_5y": -0.2869471097597526, "alpha_t_full": 1.0545112027663324, "r2_5y": 0.36102160996534594, "r2_full": 0.26983784052897697, "corr_portfolio": 0.06294927896467394, "corr_benchmark": 0.29976447839320225, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.1880123438222404, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.42, ivv -0.10, vblix +0.31, tlt -0.17, vnq +0.03", "ref_full": "vweax +0.36, ief +0.07, fxy +0.04, efa -0.03, agg +0.10, vnq +0.01" }, "phlax": { "sym": "phlax", "name": "PGIM Jennison Health Sciences Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 0.9008775396918315, "r2_5y": NaN, "r2_full": 0.659178433541294, "corr_portfolio": 0.22800399630732848, "corr_benchmark": 0.27563957739853234, "alpha_pos_frac": 0.4897959183673469, "fund_max_dd": -0.42408484202177965, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "iwm +0.61, qqq +0.35, vnq -0.13, vwo -0.13, agg +0.32, ivv +0.16" }, "phstx": { "sym": "phstx", "name": "PUTNAM GLOBAL HEALTH CARE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01319255510611454, "alpha_t_5y": 0.3196346628338062, "alpha_t_full": 0.8682827561208899, "r2_5y": 0.5276235912913649, "r2_full": 0.665836702672526, "corr_portfolio": 0.2545256412608181, "corr_benchmark": 0.4842871825185496, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.45513778475316935, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.05, qqq -0.50, efa +1.06, vea -0.90, ief +0.20, gsg -0.05", "ref_full": "ivv +0.58, efa +0.23, vwo -0.10, gsg -0.04, agg +0.21, tlt -0.06" }, "phyix": { "sym": "phyix", "name": "PUTNAM HIGH YIELD FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002324230361238682, "alpha_t_5y": -0.25408354176773973, "alpha_t_full": 0.8022443777108088, "r2_5y": 0.7752606235024423, "r2_full": 0.7654618016227359, "corr_portfolio": 0.3173759246439919, "corr_benchmark": 0.4674865934254459, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.3124573345260716, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.73, ivv +0.03, vea +0.02, iwm +0.02, tlt +0.10, vblix -0.12", "ref_full": "vweax +0.76, efa +0.01, djp +0.01, agg +0.13, ief -0.08, ivv +0.02" }, "phyl": { "sym": "phyl", "name": "PGIM Active High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00021628142418410247, "alpha_t_5y": -0.020738691116622847, "alpha_t_full": -0.4030661217090606, "r2_5y": 0.7978792797177825, "r2_full": 0.7521366891874, "corr_portfolio": 0.23769756784724355, "corr_benchmark": 0.6175546391264902, "alpha_pos_frac": 0.550561797752809, "fund_max_dd": -0.2206842807858872, "first": "2018-09-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.52, ivv +0.08, agg +0.41, iwm +0.03, gsg +0.02, vblix -0.07", "ref_full": "vweax +0.58, ivv +0.20, vnq +0.04, agg +0.16, gsg +0.02, qqq -0.05" }, "physx": { "sym": "physx", "name": "PIA High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029059482722590263, "alpha_t_5y": 0.26889690314895387, "alpha_t_full": 3.0320193563743483, "r2_5y": 0.5501680667833474, "r2_full": 0.5960972990047448, "corr_portfolio": 0.32596098530328316, "corr_benchmark": 0.3534302681773009, "alpha_pos_frac": 0.5524861878453039, "fund_max_dd": -0.19862598531080722, "first": "2011-01-13", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.53, efa +0.04, fxy -0.03", "ref_full": "vweax +0.54, vea +0.03, ief -0.03" }, "piafx": { "sym": "piafx", "name": "Invesco Multi-Asset Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018883683546936453, "alpha_t_5y": -1.78054022673237, "alpha_t_full": -1.9479206624140015, "r2_5y": 0.8698808674136677, "r2_full": 0.7081320581933247, "corr_portfolio": 0.2936242675533314, "corr_benchmark": 0.720787301610445, "alpha_pos_frac": 0.6058823529411764, "fund_max_dd": -0.30412713823920845, "first": "2011-12-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "ivv +0.22, vblix +0.22, vea +0.16, vweax +0.17, fxe -0.09, qqq -0.05", "ref_full": "vweax +0.57, vnq +0.07, agg +0.39, ivv +0.18, tlt +0.14, vmbix -0.33" }, "piamx": { "sym": "piamx", "name": "PIA High Yield (MACS) Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008095710297434767, "alpha_t_5y": 0.7680061860360844, "alpha_t_full": 1.680882525638637, "r2_5y": 0.5697387449796187, "r2_full": 0.6193233585447038, "corr_portfolio": 0.32496370670834335, "corr_benchmark": 0.40382370240350984, "alpha_pos_frac": 0.47959183673469385, "fund_max_dd": -0.1814997586291619, "first": "2017-12-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.54, vea +0.04, fxy -0.02", "ref_full": "vweax +0.54, vea +0.02" }, "piasx": { "sym": "piasx", "name": "PIA Short-Term Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016461612321137867, "alpha_t_5y": 0.49571765792237543, "alpha_t_full": 1.7144853172751662, "r2_5y": 0.4338414512674236, "r2_full": 0.24505030344147016, "corr_portfolio": -0.03850980419266495, "corr_benchmark": 0.30034461237622184, "alpha_pos_frac": 0.4312267657992565, "fund_max_dd": -0.025817253581702726, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.08, tlt -0.04, vweax +0.03, ivv -0.01, agg +0.10", "ref_full": "agg +0.03, ief +0.09, tlt -0.03, vweax +0.02, fxy +0.01, vnq +0.00" }, "pibax": { "sym": "pibax", "name": "PGIM BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000601734785910879, "alpha_t_5y": -0.06187012770717648, "alpha_t_full": -0.4182141528457603, "r2_5y": 0.9522435283567083, "r2_full": 0.8934503530566926, "corr_portfolio": 0.29353236941329236, "corr_benchmark": 0.7014654688409393, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.4113736677931532, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, agg +0.20, vea +0.13, iwm +0.06, vnq -0.03, vblix +0.06", "ref_full": "ivv +0.42, agg +0.20, iwm +0.08, efa +0.08, tlt +0.05" }, "piefx": { "sym": "piefx", "name": "Federated Hermes Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016596536580104286, "alpha_t_5y": -0.3979535032742602, "alpha_t_full": 0.5362047649661832, "r2_5y": 0.7617099485123437, "r2_full": 0.7957093945202619, "corr_portfolio": 0.2069763289118946, "corr_benchmark": 0.4591403791900099, "alpha_pos_frac": 0.5327102803738317, "fund_max_dd": -0.48433300315432926, "first": "2017-04-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.85, qqq +0.15, efa -1.37, vea +1.34, vmbix -0.22", "ref_full": "vwo +0.78, qqq +0.17, vnq -0.06, vweax +0.22, agg -0.21, gld +0.05" }, "pieqx": { "sym": "pieqx", "name": "T. Rowe Price International Equity Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004279841388533181, "alpha_t_5y": 0.41555937034876644, "alpha_t_full": -0.44558796825727653, "r2_5y": 0.9767779370266357, "r2_full": 0.9696800592672594, "corr_portfolio": 0.3812007982122021, "corr_benchmark": 0.5424897135117049, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6073070563191256, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.85, fxe +0.08, vweax +0.06, vea +0.09", "ref_full": "efa +0.86, vweax +0.19, fxe +0.09, vwo +0.02, vnq -0.02, ivv +0.03" }, "pigdx": { "sym": "pigdx", "name": "Federated Hermes International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06337423882002989, "alpha_t_5y": -2.36934005552771, "alpha_t_full": -1.2745421190553405, "r2_5y": 0.8785837855088223, "r2_full": 0.8847588659746437, "corr_portfolio": 0.2181459046319916, "corr_benchmark": 0.5927330572596915, "alpha_pos_frac": 0.48333333333333334, "fund_max_dd": -0.42755967279964624, "first": "2016-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.57, qqq +0.35, vwo +0.27, ivv -0.24, vweax +0.23, vmbix -0.10", "ref_full": "vea +0.56, qqq +0.37, vwo +0.19, ivv -0.26, vweax +0.20, gld +0.05" }, "pincx": { "sym": "pincx", "name": "PUTNAM INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007258281823264938, "alpha_t_5y": -0.8758233242782544, "alpha_t_full": 0.26146514497112716, "r2_5y": 0.8796024420968184, "r2_full": 0.45632022899390934, "corr_portfolio": -0.04570700363792774, "corr_benchmark": 0.6181058191498182, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.31077846025439837, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.21, vmbix +0.32, vweax +0.10, ief +0.18, vblix +0.05", "ref_full": "agg +0.22, vweax +0.22, ief +0.33, vnq +0.01, vwo +0.01" }, "pisdx": { "sym": "pisdx", "name": "Columbia Pyrford International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013383035485881217, "alpha_t_5y": 0.8313715194397654, "alpha_t_full": 0.8313715194397654, "r2_5y": 0.9008789897636127, "r2_full": 0.9008789897636127, "corr_portfolio": 0.2289659175572172, "corr_benchmark": 0.5830557466916126, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.23697281953978122, "first": "2021-01-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.65, fxe +0.17, vnq +0.08, iwm -0.04, qqq -0.04, vwo +0.04", "ref_full": "efa +0.65, fxe +0.17, vnq +0.08, iwm -0.04, qqq -0.04, vwo +0.04" }, "pishx": { "sym": "pishx", "name": "Preferred Securities and Income SMA Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003685119640580773, "alpha_t_5y": 0.024411115599435342, "alpha_t_full": 0.9514456807129449, "r2_5y": 0.3232783488797172, "r2_full": 0.583541661923524, "corr_portfolio": 0.3036180456843369, "corr_benchmark": 0.39437601826808766, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.2711869425820461, "first": "2019-03-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.49, efa +0.06, ivv -0.05, fxy -0.03", "ref_full": "vweax +0.77, vnq +0.04, vmbix -0.30, agg +0.86, ief -0.52, qqq -0.05" }, "piuix": { "sym": "piuix", "name": "Federated Hermes International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.034483350279721554, "alpha_t_5y": -1.8287185953820384, "alpha_t_full": -0.34625178065969214, "r2_5y": 0.9224323558752313, "r2_full": 0.9287681344475806, "corr_portfolio": 0.3660623641534356, "corr_benchmark": 0.5445072914992202, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.6141731734667119, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.69, vwo +0.17, qqq +0.06, vweax +0.21, vmbix -0.08", "ref_full": "efa +0.63, vweax +0.33, vwo +0.10, qqq +0.05, fxe +0.10, iwm +0.04" }, "pjdax": { "sym": "pjdax", "name": "PGIM JENNISON RISING DIVIDEND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013364195310742493, "alpha_t_5y": -0.624939876184319, "alpha_t_full": 0.07883427862400104, "r2_5y": 0.8688635875272558, "r2_full": 0.9145331165926301, "corr_portfolio": 0.3701518234364948, "corr_benchmark": 0.5560026257816261, "alpha_pos_frac": 0.5347222222222222, "fund_max_dd": -0.3362786463821471, "first": "2014-03-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.12, qqq -0.44, iwm +0.07, vea +0.14, fxe -0.15, djp +0.03", "ref_full": "ivv +1.09, qqq -0.30, vea +0.08, fxe -0.07, iwm +0.04, agg -0.07" }, "pjeax": { "sym": "pjeax", "name": "PGIM US Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028233279906015644, "alpha_t_5y": 1.5521248788338704, "alpha_t_full": 1.0233035679455649, "r2_5y": 0.9465566716321193, "r2_full": 0.9680173269388456, "corr_portfolio": 0.24809897828753966, "corr_benchmark": 0.5648730328261469, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.434201609072702, "first": "2010-12-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.99, fxy -0.06", "ref_full": "vnq +1.00, ief -0.06, qqq +0.01" }, "pjgrx": { "sym": "pjgrx", "name": "PGIM JENNISON GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05376194075685656, "alpha_t_5y": -2.0692931279942597, "alpha_t_full": -1.6700267300272724, "r2_5y": 0.9334118002394329, "r2_full": 0.9301426751231251, "corr_portfolio": 0.10389450539478608, "corr_benchmark": 0.5992972509184841, "alpha_pos_frac": 0.4881889763779528, "fund_max_dd": -0.48009082818281856, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.99, iwm +0.04", "ref_full": "qqq +0.76, ivv +0.24, vnq -0.06, iwm +0.07, agg +0.10, fxe +0.04" }, "pjiax": { "sym": "pjiax", "name": "PGIM JENNISON FOCUSED VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01862957577396824, "alpha_t_5y": 0.9256273188645725, "alpha_t_full": 0.42282875155051985, "r2_5y": 0.9102030119467536, "r2_full": 0.933449642985972, "corr_portfolio": 0.3646155331018018, "corr_benchmark": 0.5219155227733477, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5803350460949311, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.25, qqq -0.50, vea +0.20, iwm +0.14, vnq -0.07, fxy -0.07", "ref_full": "ivv +0.75, iwm +0.23, efa +0.13, qqq -0.15, tlt -0.05, gsg +0.03" }, "pjrax": { "sym": "pjrax", "name": "PGIM QUANT SOLUTIONS INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016848999539039903, "alpha_t_5y": 1.0001203450532268, "alpha_t_full": -0.5864125811338396, "r2_5y": 0.9350970202438333, "r2_full": 0.9395479011689409, "corr_portfolio": 0.41221789578212525, "corr_benchmark": 0.5274803386892036, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6794493377977772, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +1.06, vwo +0.20, vnq -0.05, efa -0.30, fxy -0.04", "ref_full": "efa +0.72, vwo +0.13, vweax +0.20, fxe +0.10, agg -0.09, djp +0.03" }, "plbbx": { "sym": "plbbx", "name": "Plumb Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.045003778658662376, "alpha_t_5y": -1.870497907013814, "alpha_t_full": -2.8160879567316943, "r2_5y": 0.8569779671564132, "r2_full": 0.9004175886290625, "corr_portfolio": 0.19757991275531636, "corr_benchmark": 0.6159554625609988, "alpha_pos_frac": 0.5466666666666666, "fund_max_dd": -0.4325927703704806, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.24, qqq +0.32, iwm +0.12, vweax +0.20", "ref_full": "ivv +0.41, qqq +0.20, iwm +0.10, vweax +0.12, vnq -0.04, ief +0.09" }, "plbex": { "sym": "plbex", "name": "Plumb Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07224958431727893, "alpha_t_5y": -2.3206885204349987, "alpha_t_full": -3.0375908280052117, "r2_5y": 0.8994500037679019, "r2_full": 0.9091858649105414, "corr_portfolio": 0.16104965543037375, "corr_benchmark": 0.5986018656823955, "alpha_pos_frac": 0.4711111111111111, "fund_max_dd": -0.5247915013625419, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.78, iwm +0.20, efa +0.08", "ref_full": "ivv +0.53, qqq +0.40, iwm +0.15, vnq -0.06, vweax +0.12, tlt +0.03" }, "plusx": { "sym": "plusx", "name": "DWS Multi-Asset Moderate Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012532540204929854, "alpha_t_5y": -1.9553099380609187, "alpha_t_full": -3.222014984994734, "r2_5y": 0.9801504909287272, "r2_full": 0.9645553179061213, "corr_portfolio": 0.314050610220202, "corr_benchmark": 0.6911824172729804, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.5338651598679094, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.34, vea +0.15, agg +0.27, iwm +0.05, vwo +0.07, vnq +0.04", "ref_full": "ivv +0.34, efa +0.18, vnq +0.05, vwo +0.09, iwm +0.07, agg +0.12" }, "pmegx": { "sym": "pmegx", "name": "T. Rowe Price Institutional Mid-Cap Equity Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06583008018735885, "alpha_t_5y": -2.503576240411811, "alpha_t_full": -0.3719545324672071, "r2_5y": 0.8879503431814246, "r2_full": 0.9296506367376719, "corr_portfolio": 0.219901371065793, "corr_benchmark": 0.6100665472341495, "alpha_pos_frac": 0.5560344827586207, "fund_max_dd": -0.5588499494696892, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, iwm +0.33, vnq +0.12, qqq +0.16, djp -0.03", "ref_full": "ivv +0.36, iwm +0.34, qqq +0.17, efa +0.07, vweax +0.11, djp +0.02" }, "pmtgx": { "sym": "pmtgx", "name": "PIA MBS Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005471253714178198, "alpha_t_5y": -0.061770107530841285, "alpha_t_full": -0.5261837738215791, "r2_5y": 0.8790018782297851, "r2_full": 0.6299195248517493, "corr_portfolio": -0.10449523975284405, "corr_benchmark": 0.6266629240509172, "alpha_pos_frac": 0.6102564102564103, "fund_max_dd": -0.16907023360243612, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.72, ief +0.15, vweax +0.09, qqq -0.02, gsg -0.01, vea +0.02", "ref_full": "ief +0.47, efa +0.02, agg +0.16, tlt -0.05, vnq +0.01, vweax +0.04" }, "pmvax": { "sym": "pmvax", "name": "Putnam Sustainable Future Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09485884235874707, "alpha_t_5y": -3.0122863691386357, "alpha_t_full": -2.0448309834345197, "r2_5y": 0.8798593296439766, "r2_full": 0.8913748219341888, "corr_portfolio": 0.07997805413937256, "corr_benchmark": 0.6523307263767432, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.4419999274222084, "first": "2019-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.11, iwm +0.38, qqq +0.48, djp -0.05, vblix +0.07", "ref_full": "ivv +0.04, qqq +0.52, iwm +0.37, vblix +0.15, gsg -0.03, vmbix -0.17" }, "pnbax": { "sym": "pnbax", "name": "Virtus NFJ Large-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017301967495748288, "alpha_t_5y": -0.772830056058717, "alpha_t_full": -1.7974878188826582, "r2_5y": 0.893091574206917, "r2_full": 0.9496770137721281, "corr_portfolio": 0.3409935266835361, "corr_benchmark": 0.5722840211585848, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.627428151228808, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, vnq +0.14, iwm +0.18, qqq -0.31, vweax +0.17, djp +0.03", "ref_full": "ivv +1.09, qqq -0.29, iwm +0.10, efa +0.06, gsg +0.03, vnq +0.03" }, "pneax": { "sym": "pneax", "name": "Virtus NFJ Dividend Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032267832923806423, "alpha_t_5y": 0.13290316211492834, "alpha_t_full": -1.1456655600550962, "r2_5y": 0.8713179659010105, "r2_full": 0.9368850770254575, "corr_portfolio": 0.3445880684032292, "corr_benchmark": 0.5672948921963767, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5968318435957211, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.90, vnq +0.23, qqq -0.37, iwm +0.13, vea +0.39, efa -0.30", "ref_full": "ivv +1.06, qqq -0.32, iwm +0.10, efa +0.09, vnq +0.05, gsg +0.02" }, "pngax": { "sym": "pngax", "name": "Putnam International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03702095856596214, "alpha_t_5y": 1.9114708050883946, "alpha_t_full": -0.1788196637316525, "r2_5y": 0.9134144399556654, "r2_full": 0.9411642210129069, "corr_portfolio": 0.456500172262473, "corr_benchmark": 0.48588485439583146, "alpha_pos_frac": 0.5361702127659574, "fund_max_dd": -0.6478085173149496, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.91, qqq -0.26, gsg +0.03, ivv +0.31, fxe +0.13, vnq -0.06", "ref_full": "efa +0.89, vweax +0.23, qqq -0.08, djp +0.05, fxe +0.09, iwm +0.05" }, "pnopx": { "sym": "pnopx", "name": "PUTNAM SUSTAINABLE LEADERS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03623993406049023, "alpha_t_5y": -2.7053711832785043, "alpha_t_full": -0.9713565697838549, "r2_5y": 0.9656959695683475, "r2_full": 0.958910325918294, "corr_portfolio": 0.24102511009539707, "corr_benchmark": 0.6136347268875793, "alpha_pos_frac": 0.574468085106383, "fund_max_dd": -0.7414695528069606, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, qqq +0.11, gsg -0.03, efa +0.03", "ref_full": "ivv +0.54, qqq +0.28, efa +0.07, iwm +0.10, vnq -0.04, vwo +0.02" }, "pnrax": { "sym": "pnrax", "name": "Putnam U.S. Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006937337664736646, "alpha_t_5y": 0.6070619585567781, "alpha_t_full": 0.15240359489135913, "r2_5y": 0.9742627901448235, "r2_full": 0.9792849589267406, "corr_portfolio": 0.276478412264447, "corr_benchmark": 0.6082408893482397, "alpha_pos_frac": 0.5369649805447471, "fund_max_dd": -0.5727464927405788, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.92, qqq +0.05, vnq -0.03, iwm +0.03", "ref_full": "ivv +0.84, qqq +0.07, iwm +0.04, vwo +0.03, gsg +0.01, ief -0.04" }, "pnsax": { "sym": "pnsax", "name": "Putnam Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015017666826745794, "alpha_t_5y": -0.4417247589931531, "alpha_t_full": -1.0114865819362542, "r2_5y": 0.8868832506856236, "r2_full": 0.9224125487464224, "corr_portfolio": 0.18048580695872893, "corr_benchmark": 0.5557651740392132, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.6756500265416356, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.82, qqq +0.45, ivv -0.30, vnq -0.08, vea +0.09, djp -0.04", "ref_full": "iwm +0.84, qqq +0.36, vnq -0.07, ivv -0.13, gld +0.04" }, "pnvax": { "sym": "pnvax", "name": "Putnam International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005625923391976078, "alpha_t_5y": -0.2348883370798815, "alpha_t_full": -0.7939412269804004, "r2_5y": 0.866833290768894, "r2_full": 0.8913037910137124, "corr_portfolio": 0.37843130784261586, "corr_benchmark": 0.5341436653861956, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6490959755048249, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.70, vweax +0.39, fxe +0.24, ivv +0.06", "ref_full": "efa +0.61, vweax +0.47, fxe +0.21, vwo +0.08, iwm +0.05, djp +0.04" }, "pogax": { "sym": "pogax", "name": "Putnam Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03663479616955126, "alpha_t_5y": -2.1714231234089496, "alpha_t_full": -1.1926144208493106, "r2_5y": 0.9658399376920713, "r2_full": 0.9572502403948869, "corr_portfolio": 0.15037798580951137, "corr_benchmark": 0.6178617057386717, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.7655163818400119, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.68, ivv +0.48, iwm -0.05, vea -0.05, vnq -0.04, gsg -0.02", "ref_full": "qqq +0.49, ivv +0.59, vnq -0.05, gld +0.02, agg +0.04" }, "pomix": { "sym": "pomix", "name": "T. Rowe Price Total Equity Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030516555963294436, "alpha_t_5y": -0.3517271143410921, "alpha_t_full": -0.46183026674772115, "r2_5y": 0.9856358786444718, "r2_full": 0.9918808564114265, "corr_portfolio": 0.27750396171977787, "corr_benchmark": 0.6183564949247312, "alpha_pos_frac": 0.48109965635738833, "fund_max_dd": -0.5560786338303656, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.80, iwm +0.12, qqq +0.06, vweax +0.05", "ref_full": "ivv +0.82, iwm +0.12, qqq +0.04, gsg +0.01, vnq +0.01, vwo +0.01" }, "povsx": { "sym": "povsx", "name": "PUTNAM INTERNATIONAL EQUITY FUND /MA/", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009338244638190161, "alpha_t_5y": 0.5140368066719873, "alpha_t_full": -0.813199422832125, "r2_5y": 0.9297165500815429, "r2_full": 0.9316781598651339, "corr_portfolio": 0.3812505260466762, "corr_benchmark": 0.536012503953651, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.6296914328002784, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.57, vea +0.33, fxe +0.13, gsg -0.02, vnq -0.04, ivv +0.05", "ref_full": "efa +0.84, vweax +0.28, vnq -0.04, fxe +0.11, vwo +0.03, qqq +0.03" }, "ppiax": { "sym": "ppiax", "name": "DWS Short Duration Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003702266449280793, "alpha_t_5y": 0.06946432565878, "alpha_t_full": 0.12325123467842199, "r2_5y": 0.7022175927817994, "r2_full": 0.2042322044980972, "corr_portfolio": 0.060166731590796295, "corr_benchmark": 0.4109016209718758, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.09012090529392658, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.07, vweax +0.13, ief +0.20, tlt -0.21, vblix +0.22, ivv -0.02", "ref_full": "vweax +0.16, ief +0.18, tlt -0.06, agg +0.06, fxe +0.02" }, "ppnax": { "sym": "ppnax", "name": "Putnam Strategic Intermediate Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008345338903864599, "alpha_t_5y": -0.8323592565325891, "alpha_t_full": 1.2211044781681306, "r2_5y": 0.3981253674781817, "r2_full": 0.26698492655867145, "corr_portfolio": 0.05979544508950956, "corr_benchmark": 0.3293428694148038, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.1246807269628053, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.26, ief +0.06, ivv -0.05, vnq +0.02, vblix +0.18, tlt -0.11", "ref_full": "vweax +0.25, ief +0.06, fxy +0.03, agg +0.10, efa -0.02, vnq +0.01" }, "ppqax": { "sym": "ppqax", "name": "PIMCO REALPATH Blend 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0054733328625580025, "alpha_t_5y": -0.6589864805249614, "alpha_t_full": -0.7234318531297907, "r2_5y": 0.9803582014026425, "r2_full": 0.9727599130921999, "corr_portfolio": 0.3203385256305766, "corr_benchmark": 0.654820832770519, "alpha_pos_frac": 0.5895522388059702, "fund_max_dd": -0.3159144350886982, "first": "2015-01-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.26, vwo +0.09, vnq +0.03, vmbix +0.10, iwm +0.03", "ref_full": "ivv +0.45, vea +0.23, vblix +0.07, vwo +0.08, vnq +0.04, iwm +0.03" }, "pqcnx": { "sym": "pqcnx", "name": "PGIM Core Conservative Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005462380940624885, "alpha_t_5y": -1.1501087083204697, "alpha_t_full": -1.2370539010977812, "r2_5y": 0.9637528540915623, "r2_full": 0.9427811289232061, "corr_portfolio": -0.12208725182398114, "corr_benchmark": 0.7103048425543876, "alpha_pos_frac": 0.5523809523809524, "fund_max_dd": -0.1966830194156195, "first": "2017-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.09, vblix +0.32, tlt -0.16, ief +0.35, vmbix +0.17, vweax +0.06", "ref_full": "ief +0.33, vweax +0.07, vblix +0.28, vmbix +0.25, tlt -0.12, fxy +0.01" }, "pqnax": { "sym": "pqnax", "name": "Virtus NFJ Mid-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009914689446179015, "alpha_t_5y": -0.3506883718128907, "alpha_t_full": -0.8770080622262125, "r2_5y": 0.8653820901660364, "r2_full": 0.9239241786941241, "corr_portfolio": 0.3193668779213482, "corr_benchmark": 0.5833355814293157, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5903013076750305, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.31, vnq +0.24, ivv +0.56, qqq -0.23, vweax +0.26, vea +0.10", "ref_full": "ivv +0.74, iwm +0.26, qqq -0.22, vnq +0.08, vweax +0.22, efa +0.08" }, "pqtsx": { "sym": "pqtsx", "name": "PGIM TIPS Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013715088827968636, "alpha_t_5y": -0.09360701928815941, "alpha_t_full": 0.18414475105989947, "r2_5y": 0.6812118811673057, "r2_full": 0.6510796110301145, "corr_portfolio": -0.05620344151323078, "corr_benchmark": 0.5929100656524257, "alpha_pos_frac": 0.47619047619047616, "fund_max_dd": -0.14529576855936022, "first": "2017-05-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.48, vweax +0.15, gsg +0.04, vblix +0.39, tlt -0.24, efa -0.02", "ref_full": "ief +0.45, djp +0.05, vblix +0.12, vweax +0.11" }, "prafx": { "sym": "prafx", "name": "T. Rowe Price Real Assets Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028373016552173932, "alpha_t_5y": -1.159052390158504, "alpha_t_full": -1.6860017788319974, "r2_5y": 0.8900729643230133, "r2_full": 0.8816241624779765, "corr_portfolio": 0.3616104070333625, "corr_benchmark": 0.5200870121157017, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.3804713911897474, "first": "2010-07-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.42, vnq +0.33, djp +0.18, gld +0.19, iwm +0.13, agg -0.25", "ref_full": "vea +0.41, vnq +0.31, djp +0.16, gld +0.20, iwm +0.14, agg -0.33" }, "prasx": { "sym": "prasx", "name": "T. Rowe Price New Asia Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.043601770167554336, "alpha_t_5y": -1.3777524997190784, "alpha_t_full": -0.22671836482855923, "r2_5y": 0.8617347058677913, "r2_full": 0.7469497416646604, "corr_portfolio": 0.2270964862712669, "corr_benchmark": 0.42628099815029613, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.7052965632119634, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.91, qqq +0.33, ivv -0.43, fxy -0.14, vea +1.29, efa -1.18", "ref_full": "vwo +0.62, vweax +0.49, qqq +0.23, vnq -0.04, fxe -0.12, ivv -0.14" }, "prblx": { "sym": "prblx", "name": "Parnassus Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013286246673237901, "alpha_t_5y": -0.8038479272794882, "alpha_t_full": 0.9537404316040607, "r2_5y": 0.9410263122909903, "r2_full": 0.9471455310370207, "corr_portfolio": 0.2529541274621002, "corr_benchmark": 0.6219976429749845, "alpha_pos_frac": 0.4425531914893617, "fund_max_dd": -0.4220243990379131, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, vnq +0.05, gsg -0.03, iwm -0.04, ief +0.05", "ref_full": "ivv +0.81, qqq +0.06, agg +0.08, iwm +0.02" }, "prcix": { "sym": "prcix", "name": "T. Rowe Price New Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008193136687389089, "alpha_t_5y": -1.585494535868911, "alpha_t_full": -1.1396342618686992, "r2_5y": 0.953942290167655, "r2_full": 0.8489230367986232, "corr_portfolio": -0.07390681462461982, "corr_benchmark": 0.6730349742448988, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1914343226386086, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.16, vweax +0.06, ief +0.41, vblix +0.37, vmbix +0.27, tlt -0.18", "ref_full": "ief +0.40, vweax +0.26, tlt +0.05, vnq +0.01, agg +0.08, ivv -0.01" }, "prcox": { "sym": "prcox", "name": "T. Rowe Price U.S. Equity Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002094871214021783, "alpha_t_5y": 0.23538657614207228, "alpha_t_full": 0.15705658816802248, "r2_5y": 0.9845785473543487, "r2_full": 0.9898102427048641, "corr_portfolio": 0.2793212368117234, "corr_benchmark": 0.6156565329333397, "alpha_pos_frac": 0.42718446601941745, "fund_max_dd": -0.5396349449411743, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, qqq +0.06", "ref_full": "ivv +0.90, qqq +0.06, efa +0.02, iwm +0.02, fxy -0.02, gsg +0.01" }, "prcpx": { "sym": "prcpx", "name": "T. Rowe Price Credit Opportunities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0065710088519525065, "alpha_t_5y": 0.8914158424169706, "alpha_t_full": 0.011288178114596441, "r2_5y": 0.853948781005942, "r2_full": 0.7349101403469809, "corr_portfolio": 0.29507505709464416, "corr_benchmark": 0.34975035520803566, "alpha_pos_frac": 0.704225352112676, "fund_max_dd": -0.23069708071542339, "first": "2014-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.80, vmbix +0.03, vblix +0.32, tlt -0.19, agg -0.22, gsg +0.01", "ref_full": "vweax +0.84, agg -0.50, vblix +0.15, vmbix +0.13, iwm +0.02, fxy +0.03" }, "prdgx": { "sym": "prdgx", "name": "T. Rowe Price Dividend Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004311942067698279, "alpha_t_5y": -0.307497667510473, "alpha_t_full": 1.7426745878826733, "r2_5y": 0.9418404432787306, "r2_full": 0.9673164861050666, "corr_portfolio": 0.33565727897385983, "corr_benchmark": 0.5920883360618564, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.4979905429846535, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.15, qqq -0.36, vnq +0.07, efa +0.08, djp -0.02, vwo -0.03", "ref_full": "ivv +0.97, qqq -0.18, vnq +0.04, efa +0.07, gsg -0.01, fxy -0.02" }, "prdmx": { "sym": "prdmx", "name": "T. Rowe Price Diversified Mid-Cap Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05254144164379919, "alpha_t_5y": -1.6139219764235386, "alpha_t_full": -0.997375974163045, "r2_5y": 0.8760523476483434, "r2_full": 0.9248307197008778, "corr_portfolio": 0.1684411951880748, "corr_benchmark": 0.6117438083271549, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.5757291400081517, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.02, iwm +0.38, qqq +0.53, vnq +0.06", "ref_full": "ivv +0.30, iwm +0.33, qqq +0.33, vwo +0.04, agg +0.11, djp +0.03" }, "prdsx": { "sym": "prdsx", "name": "T. Rowe Price Integrated U.S. Small-Cap Growth Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020470353640085207, "alpha_t_5y": -0.9761022853496375, "alpha_t_full": 0.34705906428765404, "r2_5y": 0.9461911860630744, "r2_full": 0.9554484211065113, "corr_portfolio": 0.22615277703065123, "corr_benchmark": 0.5869032907231128, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5894759809358068, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.73, qqq +0.21, gsg -0.02, vea +0.05", "ref_full": "iwm +0.71, qqq +0.20, vnq -0.04, efa +0.03, agg +0.08, ivv +0.07" }, "prefx": { "sym": "prefx", "name": "T. Rowe Price Tax-Efficient Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03536347899179118, "alpha_t_5y": -2.010665455121721, "alpha_t_full": -1.5065570337549796, "r2_5y": 0.9621186934610708, "r2_full": 0.9550303889284191, "corr_portfolio": 0.1609796336184138, "corr_benchmark": 0.6229780554004963, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5670103213099924, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.65, ivv +0.43, vea -0.33, efa +0.25, vwo +0.04", "ref_full": "ivv +0.47, qqq +0.47, iwm +0.09, gld +0.01, agg +0.05, djp +0.02" }, "preix": { "sym": "preix", "name": "T. Rowe Price Equity Index 500 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006461831616031568, "alpha_t_5y": 0.08570760910377827, "alpha_t_full": -0.43303783130106316, "r2_5y": 0.9884664593304597, "r2_full": 0.9922967338907578, "corr_portfolio": 0.28552423571778457, "corr_benchmark": 0.6163541166252502, "alpha_pos_frac": 0.5307443365695793, "fund_max_dd": -0.5532910116612155, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, qqq +0.03, iwm +0.02", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01, fxy -0.01" }, "premx": { "sym": "premx", "name": "T. Rowe Price Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002889801040786824, "alpha_t_5y": -0.1662098670570705, "alpha_t_full": 0.12296690006774824, "r2_5y": 0.5781106796709994, "r2_full": 0.4937624383889907, "corr_portfolio": 0.2151914326331403, "corr_benchmark": 0.38165826465490116, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.43220405372884274, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.72, vblix +0.44, tlt -0.27, fxe +0.03, ivv -0.06, vwo +0.04", "ref_full": "vweax +0.78, vwo +0.10, tlt +0.06, qqq -0.04, fxe +0.05, iwm -0.02" }, "presx": { "sym": "presx", "name": "T. Rowe Price European Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016938341879076096, "alpha_t_5y": -0.7874790484083025, "alpha_t_full": 0.12208458684803057, "r2_5y": 0.9159223714646738, "r2_full": 0.9154904723908215, "corr_portfolio": 0.3143544878092174, "corr_benchmark": 0.5244409722437705, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.598619723420077, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.24, fxe +0.34, vweax +0.29, gsg -0.04, fxy -0.11, vea -0.33", "ref_full": "efa +0.89, fxe +0.31, vweax +0.31, vwo -0.05, fxy -0.05" }, "prfdx": { "sym": "prfdx", "name": "T. Rowe Price Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01177864038819418, "alpha_t_5y": 0.6609139852945817, "alpha_t_full": 1.212512355732613, "r2_5y": 0.9163714824334909, "r2_full": 0.950692194239006, "corr_portfolio": 0.41059227467005194, "corr_benchmark": 0.5068245207131868, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.5814048748826355, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.32, qqq -0.70, iwm +0.17, vea +0.16, ief -0.07, gsg +0.02", "ref_full": "ivv +1.08, qqq -0.42, iwm +0.15, efa +0.10, vnq +0.05, tlt -0.05" }, "prfhx": { "sym": "prfhx", "name": "T. Rowe Price Tax-Free High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016018976465196955, "alpha_t_5y": -0.10612195384509708, "alpha_t_full": 1.0150436009712969, "r2_5y": 0.41106788049612664, "r2_full": 0.31134414282386647, "corr_portfolio": 0.061850043959495386, "corr_benchmark": 0.3499297396557526, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.24761367532506873, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, vblix +0.32, ivv -0.09, tlt -0.17, vnq +0.03", "ref_full": "vweax +0.36, ief +0.08, iwm -0.03, agg +0.12, fxy +0.03, vnq +0.01" }, "prfrx": { "sym": "prfrx", "name": "T. Rowe Price Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018982244887051792, "alpha_t_5y": 2.309997731760414, "alpha_t_full": 1.990445413108755, "r2_5y": 0.4635791219931077, "r2_full": 0.49431335285650824, "corr_portfolio": 0.2690895919530133, "corr_benchmark": 0.16759630181760646, "alpha_pos_frac": 0.48, "fund_max_dd": -0.2004492320156408, "first": "2011-08-02", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vweax +0.46, vmbix -0.11, iwm -0.01, fxe -0.03", "ref_full": "vweax +0.54, agg -0.29, tlt +0.05, fxy +0.03, qqq -0.01" }, "prfsx": { "sym": "prfsx", "name": "T. Rowe Price Tax-Free Short-Intermediate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01378944140210993, "alpha_t_5y": -1.9417108427469363, "alpha_t_full": 0.4875410686661644, "r2_5y": 0.29998185720873394, "r2_full": 0.21404190850694904, "corr_portfolio": 0.02885677905964834, "corr_benchmark": 0.3022315338394705, "alpha_pos_frac": 0.4734982332155477, "fund_max_dd": -0.06622702235182476, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.20, ief +0.06, ivv -0.02", "ref_full": "vweax +0.13, ief +0.03, agg +0.05, fxy +0.02, gsg -0.00" }, "prfz": { "sym": "prfz", "name": "Invesco RAFI US 1500 Small-Mid ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029012252470383807, "alpha_t_5y": 1.8991757719960158, "alpha_t_full": 1.3278045303494697, "r2_5y": 0.9713427144090747, "r2_full": 0.963557265795242, "corr_portfolio": 0.2959095779192841, "corr_benchmark": 0.5285197425638496, "alpha_pos_frac": 0.39914163090128757, "fund_max_dd": -0.6241380163404521, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.89, gsg +0.01, vnq -0.01, qqq -0.19, ivv +0.28, vweax +0.08", "ref_full": "iwm +0.91, djp +0.04, vnq +0.04, vweax +0.07, tlt -0.05, agg +0.08" }, "prgfx": { "sym": "prgfx", "name": "T. Rowe Price Growth Stock Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0621592460686594, "alpha_t_5y": -2.6337471966217514, "alpha_t_full": -2.6045297609408165, "r2_5y": 0.9386618726030563, "r2_full": 0.945634362202064, "corr_portfolio": 0.13003335259566215, "corr_benchmark": 0.607589773306901, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.540133607461905, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.82, ivv +0.24, vea -0.54, efa +0.42, vwo +0.07, vweax +0.12", "ref_full": "qqq +0.59, ivv +0.44, vnq -0.04, agg +0.07, vwo +0.03, vweax +0.08" }, "prgmx": { "sym": "prgmx", "name": "T. Rowe Price GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0064245693769090645, "alpha_t_5y": -0.9301712574400415, "alpha_t_full": -1.2387627278977134, "r2_5y": 0.9278101080997079, "r2_full": 0.6665342828034652, "corr_portfolio": -0.0706605559505961, "corr_benchmark": 0.6280981231943326, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.17794116364332313, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.83, vweax +0.07, ief +0.13, tlt -0.12, vblix +0.12, fxe -0.02", "ref_full": "ief +0.52, vweax +0.15, efa +0.01, agg +0.13, tlt -0.06, iwm +0.01" }, "prgsx": { "sym": "prgsx", "name": "T. Rowe Price Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03298841934780929, "alpha_t_5y": -1.502066179365629, "alpha_t_full": -0.9400007375325188, "r2_5y": 0.9319756738691728, "r2_full": 0.9372271625784465, "corr_portfolio": 0.22843565147246797, "corr_benchmark": 0.5943008202800062, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6405935323784374, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.47, vea +0.62, vwo +0.12, iwm +0.14, vnq -0.08, efa -0.27", "ref_full": "ivv +0.30, vwo +0.17, qqq +0.33, efa +0.26, vweax +0.20, vnq -0.05" }, "prgtx": { "sym": "prgtx", "name": "T. Rowe Price Global Technology Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.031447688422323705, "alpha_t_5y": -0.6128949589846734, "alpha_t_full": 0.09699634987844256, "r2_5y": 0.8580529480683814, "r2_full": 0.860855106090717, "corr_portfolio": 0.025204360570885428, "corr_benchmark": 0.557364417280563, "alpha_pos_frac": 0.549800796812749, "fund_max_dd": -0.7500000923581741, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.85, ivv -1.29, iwm +0.30, vwo +0.22", "ref_full": "qqq +1.18, vwo +0.15, ivv -0.44, iwm +0.23, vnq -0.07, tlt +0.06" }, "prhsx": { "sym": "prhsx", "name": "T. Rowe Price Health Sciences Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009684493323043294, "alpha_t_5y": -0.19843776572963628, "alpha_t_full": 1.3412158641150185, "r2_5y": 0.5631851610506959, "r2_full": 0.7039165858098893, "corr_portfolio": 0.16322865740056094, "corr_benchmark": 0.5108171837399165, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.42956042298912245, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.40, iwm +0.21, vnq +0.15, gsg -0.07, fxe +0.13", "ref_full": "ivv +0.47, iwm +0.30, qqq +0.12, agg +0.21, vnq -0.06, gsg -0.03" }, "prhyx": { "sym": "prhyx", "name": "T. Rowe Price High Yield Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005511783227422419, "alpha_t_5y": -0.0646673187659606, "alpha_t_full": 0.9393523918574834, "r2_5y": 0.8352019211099985, "r2_full": 0.8156584351009115, "corr_portfolio": 0.3039921344562706, "corr_benchmark": 0.4106169009086231, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.3081286486380057, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.88, agg -0.15, vblix +0.29, tlt -0.19", "ref_full": "vweax +0.89, efa +0.01, ief -0.03, vnq +0.01" }, "pridx": { "sym": "pridx", "name": "T. Rowe Price International Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.043256727440074035, "alpha_t_5y": -1.7769359732711265, "alpha_t_full": -0.19102133378394195, "r2_5y": 0.8806298279046043, "r2_full": 0.8740629184435791, "corr_portfolio": 0.2886968205250515, "corr_benchmark": 0.5585139298374133, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6493353201241514, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.57, vwo +0.23, vweax +0.42, qqq +0.16, fxe +0.16, ivv -0.14", "ref_full": "efa +0.45, vweax +0.55, vwo +0.12, qqq +0.13, fxe +0.17, vnq -0.04" }, "prigx": { "sym": "prigx", "name": "T. Rowe Price Global Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020330858347664106, "alpha_t_5y": 1.2960094237640771, "alpha_t_full": 1.643132169805149, "r2_5y": 0.9357773609283941, "r2_full": 0.9517435828293145, "corr_portfolio": 0.4001366014303038, "corr_benchmark": 0.5593039064285317, "alpha_pos_frac": 0.4601226993865031, "fund_max_dd": -0.36762480335847036, "first": "2012-07-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.81, ivv +0.76, qqq -0.29, iwm +0.10, efa -0.40, vnq -0.07", "ref_full": "ivv +0.63, vea +0.41, qqq -0.20, iwm +0.09, ief -0.09, gld +0.03" }, "prihx": { "sym": "prihx", "name": "T. Rowe Price Intermediate Tax-Free High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0026820137958380626, "alpha_t_5y": -0.288087311490927, "alpha_t_full": 1.2935898320822619, "r2_5y": 0.4098391378531565, "r2_full": 0.3967013601806535, "corr_portfolio": 0.05114643882505112, "corr_benchmark": 0.3309124222672294, "alpha_pos_frac": 0.5611510791366906, "fund_max_dd": -0.12415744889699931, "first": "2014-07-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.25, vblix +0.26, ivv -0.04, tlt -0.15", "ref_full": "vweax +0.14, vblix +0.29, tlt -0.21, efa -0.03, agg +0.12, fxy +0.03" }, "prijx": { "sym": "prijx", "name": "T. Rowe Price Emerging Markets Discovery Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011751660839124555, "alpha_t_5y": 0.4124784289703895, "alpha_t_full": 0.4393453818080677, "r2_5y": 0.8514750741816477, "r2_full": 0.8558182878190081, "corr_portfolio": 0.3115481043672766, "corr_benchmark": 0.4624454533771541, "alpha_pos_frac": 0.56, "fund_max_dd": -0.416667744005374, "first": "2015-09-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.69, vea +1.50, efa -1.23, vnq -0.09, fxy -0.09", "ref_full": "vwo +0.62, vea +1.27, efa -1.02, vweax +0.23, vnq -0.05, ief -0.11" }, "prinx": { "sym": "prinx", "name": "T. Rowe Price Summit Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009978945420271225, "alpha_t_5y": -0.7288721965558727, "alpha_t_full": 0.8978813192558034, "r2_5y": 0.4067278356119669, "r2_full": 0.30362650435166805, "corr_portfolio": 0.03896594900073883, "corr_benchmark": 0.35209533399342435, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.15702059853289585, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, ief +0.08, ivv -0.07, vnq +0.03, vblix +0.26, tlt -0.15", "ref_full": "vweax +0.30, ief +0.08, fxy +0.04, agg +0.11, efa -0.03, vnq +0.01" }, "pripx": { "sym": "pripx", "name": "T. Rowe Price Inflation Protected Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006898796136239332, "alpha_t_5y": -0.44663454029780775, "alpha_t_full": 0.09913902962207259, "r2_5y": 0.6556176361929542, "r2_full": 0.6566847318311464, "corr_portfolio": -0.06251941913314667, "corr_benchmark": 0.5722967287360559, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.1625834136777914, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.25, djp +0.06, ief +0.45, vweax +0.10, fxe -0.05", "ref_full": "ief +0.58, djp +0.02, vweax +0.13, tlt +0.06, gsg +0.02, fxe +0.02" }, "prisx": { "sym": "prisx", "name": "T. Rowe Price Financial Services Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.042368742633276175, "alpha_t_5y": 1.1448059783767053, "alpha_t_full": 1.7896706524143002, "r2_5y": 0.8111463314773565, "r2_full": 0.8562257325003191, "corr_portfolio": 0.41080611841916165, "corr_benchmark": 0.40907622947010697, "alpha_pos_frac": 0.4980392156862745, "fund_max_dd": -0.6734298933227485, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.37, ivv +1.58, qqq -0.93, ief -0.31, gld -0.10, efa +0.17", "ref_full": "iwm +0.39, ivv +1.19, qqq -0.61, gld -0.09, vnq +0.10, ief -0.24" }, "pritx": { "sym": "pritx", "name": "T. Rowe Price International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03363309199783818, "alpha_t_5y": -1.6002257128780857, "alpha_t_full": -1.3323177662171934, "r2_5y": 0.9072734156686986, "r2_full": 0.9387378477385397, "corr_portfolio": 0.3020770186310091, "corr_benchmark": 0.5574954597843025, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.6137944333392843, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.61, vwo +0.25, qqq +0.16, djp -0.04, vweax +0.14, ivv -0.10", "ref_full": "efa +0.57, vwo +0.20, vweax +0.29, qqq +0.10, fxe +0.07, vnq -0.02" }, "prjax": { "sym": "prjax", "name": "PGIM Jennison Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10331805938505469, "alpha_t_5y": -2.7985364531238273, "alpha_t_full": -1.5009448801046072, "r2_5y": 0.8767781121895913, "r2_full": 0.8616551415683293, "corr_portfolio": 0.10844358415893751, "corr_benchmark": 0.5807989990720986, "alpha_pos_frac": 0.5329341317365269, "fund_max_dd": -0.4829429733194731, "first": "2012-03-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.13, vwo +0.11, vea +0.30, ivv -0.55, iwm +0.07, djp -0.04", "ref_full": "qqq +1.06, vea +0.29, ivv -0.54, iwm +0.10, vwo +0.06, vblix +0.05" }, "prjpx": { "sym": "prjpx", "name": "T. Rowe Price Japan Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06079219882697728, "alpha_t_5y": -1.337198786353403, "alpha_t_full": -0.15005953185320722, "r2_5y": 0.6828414283523214, "r2_full": 0.656265049642755, "corr_portfolio": 0.2589504178041694, "corr_benchmark": 0.5036844171665527, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6825796088518659, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.51, qqq +0.28, fxy +0.31, fxe -0.44, ivv -0.27, efa +0.43", "ref_full": "efa +0.73, fxy +0.31, fxe -0.33, qqq +0.14, vnq -0.08, ief +0.19" }, "prkax": { "sym": "prkax", "name": "PGIM Real Estate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015327103860224756, "alpha_t_5y": 0.7110518452595845, "alpha_t_full": 0.19202439162366436, "r2_5y": 0.8702494836917604, "r2_full": 0.8533484213366863, "corr_portfolio": 0.28782008348335264, "corr_benchmark": 0.5770476055265025, "alpha_pos_frac": 0.5426356589147286, "fund_max_dd": -0.4696394258424941, "first": "2015-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.57, vea +0.12, iwm +0.09, qqq -0.09, vweax +0.18, vwo +0.04", "ref_full": "vnq +0.55, vea +0.19, qqq -0.14, iwm +0.14, vweax +0.28, agg +0.20" }, "prlax": { "sym": "prlax", "name": "T. Rowe Price Latin America Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012325871104425927, "alpha_t_5y": -0.17675715566951747, "alpha_t_full": -0.7113915516854283, "r2_5y": 0.4794931344255884, "r2_full": 0.7279429319997268, "corr_portfolio": 0.2639642700534686, "corr_benchmark": 0.41338033798360596, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.7002770265110818, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.45, vea +0.32, iwm +0.15, djp +0.08", "ref_full": "vwo +0.74, djp +0.17, efa +0.11, agg +0.29, iwm +0.09, vweax +0.23" }, "prmdx": { "sym": "prmdx", "name": "T. Rowe Price Maryland Short-Term Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015053939377659052, "alpha_t_5y": -2.638346072519905, "alpha_t_full": -0.9217751069138151, "r2_5y": 0.24162671249170875, "r2_full": 0.13844715247881, "corr_portfolio": 0.06381874322112839, "corr_benchmark": 0.20100782302514555, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.04174511905757483, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.13, ivv -0.02, vblix +0.11, tlt -0.07", "ref_full": "vweax +0.09, agg +0.04, fxy +0.01, gsg -0.00" }, "prmsx": { "sym": "prmsx", "name": "T. Rowe Price Emerging Markets Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04652224777690922, "alpha_t_5y": -1.656210442914173, "alpha_t_full": -1.5145420260741724, "r2_5y": 0.8771803258717726, "r2_full": 0.876295569150699, "corr_portfolio": 0.26268027427304835, "corr_benchmark": 0.45007254950763487, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.711286566746999, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.86, qqq +0.06, vnq -0.11, vea +1.58, efa -1.45, gld -0.06", "ref_full": "vwo +0.70, vweax +0.45, qqq +0.08, vnq -0.05, iwm +0.04, ief -0.06" }, "prmtx": { "sym": "prmtx", "name": "T. Rowe Price Communications & Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.086986764539661, "alpha_t_5y": -2.733430572240353, "alpha_t_full": -0.9260561514736607, "r2_5y": 0.8750233410701732, "r2_full": 0.8908722415258248, "corr_portfolio": 0.09362266575662449, "corr_benchmark": 0.602266922646351, "alpha_pos_frac": 0.5603112840466926, "fund_max_dd": -0.6611533420175144, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.83, vnq +0.09, vweax +0.17", "ref_full": "qqq +0.70, vwo +0.11, vnq +0.04, vweax +0.16, agg +0.12, ivv +0.08" }, "prnex": { "sym": "prnex", "name": "T. Rowe Price New Era Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018745160337505496, "alpha_t_5y": -0.5398279329004275, "alpha_t_full": -0.8068008737375596, "r2_5y": 0.8014673669572441, "r2_full": 0.8487409653850865, "corr_portfolio": 0.39461346009344894, "corr_benchmark": 0.41842753924468734, "alpha_pos_frac": 0.42152466367713004, "fund_max_dd": -0.6655944095425406, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +1.11, gsg +0.32, iwm +0.18, qqq -0.53, ivv +0.78, efa -0.68", "ref_full": "efa +0.33, gsg +0.34, iwm +0.21, vwo +0.15, gld +0.09, ivv +0.21" }, "prnhx": { "sym": "prnhx", "name": "T. Rowe Price New Horizons Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08722563293967425, "alpha_t_5y": -2.144663949377119, "alpha_t_full": -0.3757542769139957, "r2_5y": 0.8431586551191463, "r2_full": 0.8873747071158338, "corr_portfolio": 0.07001504200858648, "corr_benchmark": 0.5998385295343488, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5579003262041085, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.62, qqq +0.82, ivv -0.62, vnq +0.11, vblix +0.09", "ref_full": "iwm +0.57, qqq +0.48, tlt +0.06, ivv -0.12, vweax +0.11" }, "prnyx": { "sym": "prnyx", "name": "T. Rowe Price New York Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009624252527279118, "alpha_t_5y": -0.6659045559326247, "alpha_t_full": 0.5087416263090367, "r2_5y": 0.3890697364956476, "r2_full": 0.29973203032909446, "corr_portfolio": 0.0225160326168523, "corr_benchmark": 0.3582303350118428, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.1616294297505, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, vblix +0.29, ivv -0.08, vnq +0.03, tlt -0.14", "ref_full": "agg +0.11, vweax +0.29, ief +0.09, efa -0.03, fxy +0.03, vnq +0.01" }, "provx": { "sym": "provx", "name": "Provident Trust Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013305001574699583, "alpha_t_5y": -0.46637648138719423, "alpha_t_full": 0.2947457763938749, "r2_5y": 0.8038300691465221, "r2_full": 0.8127537080913751, "corr_portfolio": 0.2528081890658962, "corr_benchmark": 0.5410816304807963, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5765142254823368, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.05, qqq -0.18, gsg -0.04, vea -0.57, efa +0.50, iwm +0.05", "ref_full": "ivv +0.62, qqq +0.09, vnq -0.06, iwm +0.10, gsg -0.04, tlt -0.03" }, "prpax": { "sym": "prpax", "name": "PGIM Jennison Energy Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09272398406141567, "alpha_t_5y": 1.609078297249233, "alpha_t_full": -0.03785432531173988, "r2_5y": 0.4925943873820883, "r2_full": 0.539630812959218, "corr_portfolio": 0.3025424402149182, "corr_benchmark": 0.334427385576673, "alpha_pos_frac": 0.547945205479452, "fund_max_dd": -0.7003017758040756, "first": "2013-12-20", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.32, gsg +0.36, vnq +0.17, ief -0.20", "ref_full": "iwm +0.40, gsg +0.40, vweax +0.68, vnq +0.14, vmbix -1.20, agg +0.84" }, "prpix": { "sym": "prpix", "name": "T. Rowe Price Corporate Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0031349002329141696, "alpha_t_5y": -0.5326747366992969, "alpha_t_full": -0.7703155529801541, "r2_5y": 0.952011822528234, "r2_full": 0.8401676491807595, "corr_portfolio": -0.030619609454478044, "corr_benchmark": 0.6576812468485843, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.24972998583699113, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.66, tlt -0.31, ief +0.28, vweax +0.19, iwm -0.01", "ref_full": "ief +0.37, vweax +0.44, tlt +0.14, fxy +0.02" }, "prscx": { "sym": "prscx", "name": "T. Rowe Price Science & Technology Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0031636896317457546, "alpha_t_5y": 0.07735646185460694, "alpha_t_full": -0.11682559488721217, "r2_5y": 0.8832135204114935, "r2_full": 0.8844693113650954, "corr_portfolio": 0.11127326033787904, "corr_benchmark": 0.5636349972019784, "alpha_pos_frac": 0.5258964143426295, "fund_max_dd": -0.8525573072038216, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.31, vwo +0.28, ivv -0.52, iwm +0.15, vnq -0.13", "ref_full": "qqq +0.96, vwo +0.14, iwm +0.19, ivv -0.24, vnq -0.05, vweax +0.12" }, "prsgx": { "sym": "prsgx", "name": "T. Rowe Price Spectrum Diversified Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022200120103328443, "alpha_t_5y": -1.9299771449088359, "alpha_t_full": -0.9016393902441899, "r2_5y": 0.9698574838850144, "r2_full": 0.9626869333459434, "corr_portfolio": 0.3003703183425758, "corr_benchmark": 0.6028769698336272, "alpha_pos_frac": 0.4820717131474104, "fund_max_dd": -0.5647171477223949, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, iwm +0.11, efa +0.08, vwo +0.05, qqq -0.06, vweax +0.09", "ref_full": "ivv +0.56, efa +0.16, iwm +0.12, vwo +0.06, vweax +0.09, qqq +0.05" }, "prsix": { "sym": "prsix", "name": "T. Rowe Price Spectrum Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0076338484969144275, "alpha_t_5y": -1.1541317665160125, "alpha_t_full": 0.5878138402081098, "r2_5y": 0.9495000999379909, "r2_full": 0.9440658999239674, "corr_portfolio": 0.30249819072080175, "corr_benchmark": 0.6832664040192934, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.30016574377264627, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.20, agg +0.22, vea +0.09, vwo +0.05, vweax +0.13, iwm +0.04", "ref_full": "ivv +0.22, efa +0.11, ief +0.14, vweax +0.14, iwm +0.05, vwo +0.04" }, "prsmx": { "sym": "prsmx", "name": "T. Rowe Price Summit Municipal Intermediate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014243397822220004, "alpha_t_5y": -1.4630757268623273, "alpha_t_full": 1.044390786311672, "r2_5y": 0.4062750329569762, "r2_full": 0.3031175374126275, "corr_portfolio": 0.037428885095898944, "corr_benchmark": 0.3490179952495311, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.11770717933394925, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.25, ief +0.05, ivv -0.05, vblix +0.20, tlt -0.12, vnq +0.02", "ref_full": "vweax +0.23, ief +0.06, fxy +0.03, agg +0.08, efa -0.02, vnq +0.01" }, "prsnx": { "sym": "prsnx", "name": "T. Rowe Price Global Multi-Sector Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007835453847867763, "alpha_t_5y": -0.7928250522305487, "alpha_t_full": 0.7994300275886561, "r2_5y": 0.667017402167404, "r2_full": 0.5804743829504787, "corr_portfolio": 0.11480264680027129, "corr_benchmark": 0.5104032115831177, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.19064459207767614, "first": "2008-12-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.42, vweax +0.24, ief +0.40, vblix +0.31, tlt -0.18, vmbix +0.14", "ref_full": "vweax +0.40, ief +0.26, vwo +0.03, qqq -0.02, vnq +0.01, agg -0.05" }, "prsvx": { "sym": "prsvx", "name": "T. Rowe Price Small-Cap Value Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0001510640618869241, "alpha_t_5y": 0.0089054566985952, "alpha_t_full": 1.395429012623724, "r2_5y": 0.9582540989902825, "r2_full": 0.9660967415601261, "corr_portfolio": 0.3129582719340149, "corr_benchmark": 0.524015201956352, "alpha_pos_frac": 0.543859649122807, "fund_max_dd": -0.5537340738856844, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.78, vnq +0.06, qqq -0.29, ivv +0.41, fxy -0.04", "ref_full": "iwm +0.81, vnq +0.04, gsg +0.02, qqq -0.17, ivv +0.22, tlt -0.02" }, "prtax": { "sym": "prtax", "name": "T. Rowe Price Tax-Free Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009216791566701726, "alpha_t_5y": -0.6737862529043781, "alpha_t_full": 0.7488716328068709, "r2_5y": 0.393554768099759, "r2_full": 0.295440311656863, "corr_portfolio": 0.03652415690347229, "corr_benchmark": 0.341089718493174, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.17227936585547043, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.33, ief +0.08, ivv -0.07, vnq +0.03, vblix +0.27, tlt -0.17", "ref_full": "vweax +0.30, ief +0.08, fxy +0.03, gsg -0.01, agg +0.10, efa -0.01" }, "prtix": { "sym": "prtix", "name": "T. Rowe Price U.S. Treasury Intermediate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008709256601630308, "alpha_t_5y": -1.3220127298558118, "alpha_t_full": -0.7335457109930098, "r2_5y": 0.9296467967911911, "r2_full": 0.9060882585866351, "corr_portfolio": -0.17484520489643376, "corr_benchmark": 0.5721332188324113, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.19073391591447442, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.85, tlt -0.26, vblix +0.21, iwm -0.02, vmbix +0.08", "ref_full": "ief +0.84, tlt -0.07, vweax +0.07, ivv -0.01, fxy +0.01" }, "pruax": { "sym": "pruax", "name": "PGIM Jennison Utility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014502844870193536, "alpha_t_5y": 0.28513335581637295, "alpha_t_full": 0.5037600739092498, "r2_5y": 0.4597063999374592, "r2_full": 0.6659571327182101, "corr_portfolio": 0.24695883770855193, "corr_benchmark": 0.49352926682946924, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.5820111763219222, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.50, vea +0.14, djp +0.07", "ref_full": "ivv +0.72, vnq +0.14, efa +0.17, qqq -0.28, agg +0.37, djp +0.08" }, "prulx": { "sym": "prulx", "name": "T. Rowe Price U.S. Treasury Long-Term Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0057786460630728734, "alpha_t_5y": -1.0379313620633728, "alpha_t_full": -0.8444677789422864, "r2_5y": 0.9914919376062504, "r2_full": 0.959443780944315, "corr_portfolio": -0.18938618092441037, "corr_benchmark": 0.624126208355459, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.473175250730677, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +0.49, vblix +0.49, ivv -0.01, ief +0.32, agg -0.31, efa -0.01", "ref_full": "tlt +0.75, ief +0.29, vweax +0.11, agg -0.07, fxe +0.02, iwm -0.01" }, "prvax": { "sym": "prvax", "name": "T. Rowe Price Virginia Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011801853314472376, "alpha_t_5y": -0.8329197899206726, "alpha_t_full": 0.5146566471148516, "r2_5y": 0.4017700053646912, "r2_full": 0.30330387041180995, "corr_portfolio": 0.02707648109290171, "corr_benchmark": 0.36561073860207566, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.1536884396141347, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.26, vweax +0.33, ivv -0.07, vnq +0.03, tlt -0.14, vmbix +0.09", "ref_full": "agg +0.12, vweax +0.29, ief +0.09, efa -0.03, fxy +0.03, vnq +0.01" }, "prvbx": { "sym": "prvbx", "name": "Versatile Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029438254024170287, "alpha_t_5y": 0.5182423932632059, "alpha_t_full": 1.109542985351375, "r2_5y": 0.6546120008732416, "r2_full": 0.2839223940713964, "corr_portfolio": 0.16349827035446948, "corr_benchmark": 0.45502145486235135, "alpha_pos_frac": 0.4980544747081712, "fund_max_dd": -0.16912132709969818, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.16, vweax +0.13, tlt -0.05, ief +0.15, vnq +0.01", "ref_full": "vweax +0.21, agg +0.19, vnq +0.02, fxy +0.03" }, "prwax": { "sym": "prwax", "name": "T. Rowe Price All-Cap Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026172982695414404, "alpha_t_5y": -1.5211976480630536, "alpha_t_full": 0.888587458877246, "r2_5y": 0.9457724449219892, "r2_full": 0.9531663772672343, "corr_portfolio": 0.22719629213673218, "corr_benchmark": 0.6014886212725522, "alpha_pos_frac": 0.5043103448275862, "fund_max_dd": -0.5505851930128017, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, qqq +0.14, iwm +0.06, vwo +0.04, vnq -0.04, djp -0.02", "ref_full": "ivv +0.45, qqq +0.37, iwm +0.08, vwo +0.03, djp +0.02, efa +0.03" }, "prwbx": { "sym": "prwbx", "name": "T. Rowe Price Short-Term Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00409184917022412, "alpha_t_5y": -0.5896444510130407, "alpha_t_full": 0.5815137380080329, "r2_5y": 0.5332148922705988, "r2_full": 0.43523953543104354, "corr_portfolio": -0.013774754886392203, "corr_benchmark": 0.3393131357773824, "alpha_pos_frac": 0.4161849710982659, "fund_max_dd": -0.06806129099989344, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.07, vweax +0.09, iwm -0.02, ief +0.28, tlt -0.18, vblix +0.12", "ref_full": "ief +0.27, vweax +0.14, tlt -0.07, fxy +0.01, qqq -0.00, agg +0.02" }, "prwcx": { "sym": "prwcx", "name": "T. Rowe Price Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001510947740126135, "alpha_t_5y": 0.12192099806503687, "alpha_t_full": 2.0345917104825344, "r2_5y": 0.925215629639059, "r2_full": 0.9401985904665041, "corr_portfolio": 0.2700802494999485, "corr_benchmark": 0.6425998821736946, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.4177211568859669, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.62, vmbix +0.13, vnq +0.03, vweax +0.13, qqq -0.04, gsg -0.01", "ref_full": "ivv +0.63, agg +0.11, vnq +0.03, vweax +0.12, efa +0.04, qqq -0.05" }, "prxcx": { "sym": "prxcx", "name": "T. Rowe Price California Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008921872331165114, "alpha_t_5y": -0.6476319968135219, "alpha_t_full": 0.8709200683056373, "r2_5y": 0.40038602436126847, "r2_full": 0.3005492957628936, "corr_portfolio": 0.021894240595151666, "corr_benchmark": 0.3541218957165237, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.1829537574707093, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, vblix +0.30, ivv -0.14, vnq +0.04, tlt -0.16, qqq +0.04", "ref_full": "vweax +0.29, ief +0.10, fxy +0.03, gsg -0.01, agg +0.09, efa -0.01" }, "pscc": { "sym": "pscc", "name": "Invesco S&P SmallCap Consumer Staples ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01643336191104476, "alpha_t_5y": 0.2971896440188216, "alpha_t_full": 1.5007558184994683, "r2_5y": 0.5098299961938288, "r2_full": 0.5493904615778603, "corr_portfolio": 0.22111650097711708, "corr_benchmark": 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Rowe Price Spectrum International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01028290780872875, "alpha_t_5y": -0.7489438557760167, "alpha_t_full": -0.6739518260000178, "r2_5y": 0.9571831320204087, "r2_full": 0.9495760764810045, "corr_portfolio": 0.3488392123650639, "corr_benchmark": 0.5445553026677964, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.6137791932437406, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.51, vwo +0.28, vweax +0.15, djp -0.02, vnq -0.03, efa +0.17", "ref_full": "efa +0.61, vwo +0.17, vweax +0.30, fxe +0.08, qqq +0.05, vnq -0.02" }, "pslax": { "sym": "pslax", "name": "Putnam Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03496651427272934, "alpha_t_5y": 1.2628192733521493, "alpha_t_full": -0.026568141759296813, "r2_5y": 0.9093526884242176, "r2_full": 0.9406489543349906, "corr_portfolio": 0.3423957118076743, "corr_benchmark": 0.4817398042166884, "alpha_pos_frac": 0.4396551724137931, "fund_max_dd": -0.6936752225061791, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.91, qqq -0.47, ivv +0.54, ief -0.14, vweax +0.15, djp +0.03", "ref_full": "iwm +0.92, qqq -0.27, ivv +0.27, vnq +0.04, ief -0.10, vweax +0.12" }, "psnyx": { "sym": "psnyx", "name": "BNY Mellon New York AMT-Free Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017721424635830943, "alpha_t_5y": -1.3994926646246266, "alpha_t_full": 0.03524058891964519, "r2_5y": 0.37930613757050724, "r2_full": 0.2936413132904325, "corr_portfolio": 0.030790299320097442, "corr_benchmark": 0.35817008733418754, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.24343123211454332, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, vblix +0.24, ivv -0.06, vnq +0.02, tlt -0.11", "ref_full": "agg +0.12, vweax +0.28, ief +0.08, efa -0.03, fxy +0.04, vnq +0.01" }, "pstax": { "sym": "pstax", "name": "Virtus KAR Capital Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08554540707380899, "alpha_t_5y": -2.2840981982375568, "alpha_t_full": -2.6767849089710993, "r2_5y": 0.8584694433967732, "r2_full": 0.9146999481379201, "corr_portfolio": 0.12212040676148986, "corr_benchmark": 0.6096321969560438, "alpha_pos_frac": 0.5136186770428015, "fund_max_dd": -0.7637299582545369, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.80, iwm +0.17, vnq +0.07", "ref_full": "qqq +0.58, ivv +0.28, iwm +0.14, vwo +0.06, agg +0.12, vnq -0.03" }, "ptebx": { "sym": "ptebx", "name": "BNY Mellon Opportunistic Municipal Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012936804034547352, "alpha_t_5y": -1.010018240034811, "alpha_t_full": 0.3796235959890643, "r2_5y": 0.39198145927155825, "r2_full": 0.30176778127267856, "corr_portfolio": 0.030865747406853918, "corr_benchmark": 0.3510320828003649, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.21926542673753135, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, vblix +0.24, ivv -0.13, vnq +0.04, tlt -0.13, qqq +0.04", "ref_full": "agg +0.12, vweax +0.28, ief +0.08, efa -0.03, fxy +0.04, vnq +0.01" }, "ptmax": { "sym": "ptmax", "name": "PGIM QUANT SOLUTIONS LARGE-CAP CORE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001190168063251606, "alpha_t_5y": -0.11792935894591697, "alpha_t_full": -0.6565133249808521, "r2_5y": 0.9803778649665614, "r2_full": 0.9612051185466236, "corr_portfolio": 0.2978803783863442, "corr_benchmark": 0.5879065687422026, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5596519172670447, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, vnq -0.05, iwm +0.04, gsg +0.01, fxy -0.03, vea +0.03", "ref_full": "ivv +0.93, iwm +0.06, vnq -0.02, efa +0.02, tlt -0.03, agg +0.07" }, "pttfx": { "sym": "pttfx", "name": "T. Rowe Price Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006161598935461415, "alpha_t_5y": -1.0867903184440428, "alpha_t_full": -0.784702047966976, "r2_5y": 0.9427801770931297, "r2_full": 0.8888050607586218, "corr_portfolio": -0.0795830761065578, "corr_benchmark": 0.6578541747908309, "alpha_pos_frac": 0.5675675675675675, "fund_max_dd": -0.20301192507469412, "first": "2016-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.25, vweax +0.10, ief +0.46, vblix +0.36, vmbix +0.24, tlt -0.17", "ref_full": "vblix +0.28, vmbix +0.22, vweax +0.19, ief +0.43, agg -0.24, tlt -0.10" }, "pucax": { "sym": "pucax", "name": "PGIM Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003481095691934586, "alpha_t_5y": -0.39776145157065956, "alpha_t_full": 0.5591812603789167, "r2_5y": 0.7894753642555854, "r2_full": 0.7171853357079003, "corr_portfolio": 0.15911867688103165, "corr_benchmark": 0.568640280022231, "alpha_pos_frac": 0.4765625, "fund_max_dd": -0.1826328841237569, "first": "2015-07-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.10, vweax +0.23, ief +0.38, vblix +0.44, tlt -0.30", "ref_full": "vweax +0.46, agg +0.22, vblix +0.30, tlt -0.18, qqq -0.02, vwo +0.02" }, "pudax": { "sym": "pudax", "name": "PGIM Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008081827184354481, "alpha_t_5y": -0.5387536865734236, "alpha_t_full": 0.11679157884379539, "r2_5y": 0.8825600511270346, "r2_full": 0.8160924643478853, "corr_portfolio": 0.3257886475180679, "corr_benchmark": 0.555439306422024, "alpha_pos_frac": 0.5054945054945055, "fund_max_dd": -0.21550841638620433, "first": "2010-12-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.22, vnq +0.22, vea +0.17, ief +0.10, gld +0.05, gsg +0.06", "ref_full": "vea +0.11, djp +0.24, vnq +0.13, ief +0.21, gld +0.07, iwm +0.06" }, "puls": { "sym": "puls", "name": "PGIM Ultra Short Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00755612344253528, "alpha_t_5y": 2.888301875269659, "alpha_t_full": 1.7235909823448718, "r2_5y": 0.1564380947384293, "r2_full": 0.24437677125142976, "corr_portfolio": 0.09687214369181021, "corr_benchmark": 0.21675209303958448, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.05851556826429116, "first": "2018-04-11", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vmbix +0.04", "ref_full": "vweax -0.03, agg +0.18, tlt -0.13, vblix +0.14, ief -0.07, vea -0.01" }, "purcx": { "sym": "purcx", "name": "PGIM GLOBAL REAL ESTATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025908190482588717, "alpha_t_5y": -1.4783157122621848, "alpha_t_full": -2.5876600331038655, "r2_5y": 0.9327107074004258, "r2_full": 0.9266840944879049, "corr_portfolio": 0.29633371988243534, "corr_benchmark": 0.5985740614741851, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.7025520485348815, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.71, vea +0.27, ivv -0.10, vweax +0.14", "ref_full": "vnq +0.50, efa +0.32, vweax +0.27, tlt +0.03, vwo +0.04, qqq -0.03" }, "pvfax": { "sym": "pvfax", "name": "Paradigm Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0015246234700102344, "alpha_t_5y": 0.04561750859586766, "alpha_t_full": -0.6812240597342166, "r2_5y": 0.8795211579242399, "r2_full": 0.8977297206773387, "corr_portfolio": 0.2553389631927727, "corr_benchmark": 0.5141037209583338, "alpha_pos_frac": 0.5411764705882353, "fund_max_dd": -0.5439910702633288, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq +0.18, gld -0.06", "ref_full": "iwm +0.81, qqq +0.04, vnq -0.06, ivv +0.15" }, "pvfix": { "sym": "pvfix", "name": "Pinnacle Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05197929163469181, "alpha_t_5y": 1.1573269532683215, "alpha_t_full": 1.2978092400490202, "r2_5y": 0.41632639565028373, "r2_full": 0.46778785537365564, "corr_portfolio": 0.26004502957055886, "corr_benchmark": 0.3472625919026572, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.3453302278849435, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.36, gsg +0.07, qqq -0.31, ivv +0.35, vea +0.11, vnq -0.08", "ref_full": "iwm +0.34, gsg +0.06, qqq -0.18, ivv +0.18, vweax +0.17, vwo -0.03" }, "pvivx": { "sym": "pvivx", "name": "Paradigm Micro-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004912284535574487, "alpha_t_5y": 0.1166633597463271, "alpha_t_full": 0.028253404399145757, "r2_5y": 0.8589909588467797, "r2_full": 0.83639344650274, "corr_portfolio": 0.2021265401538122, "corr_benchmark": 0.514421846842828, "alpha_pos_frac": 0.4724770642201835, "fund_max_dd": -0.4938387918587742, "first": "2008-01-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.02, qqq +0.36, ivv -0.25, vnq -0.10, gsg -0.05", "ref_full": "iwm +0.89, vnq -0.12, qqq +0.14, agg +0.23" }, "pwjax": { "sym": "pwjax", "name": "PGIM Jennison International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08169985389848289, "alpha_t_5y": -2.009848606161117, "alpha_t_full": -1.1851135843544853, "r2_5y": 0.834455807480096, "r2_full": 0.8024183917058687, "corr_portfolio": 0.1485942633159084, "corr_benchmark": 0.5627709005319801, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.4832661010127076, "first": "2012-06-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.82, qqq +0.86, ivv -0.81, gsg -0.07, vwo +0.11, iwm +0.09", "ref_full": "vea +0.75, qqq +0.70, ivv -0.58, vblix +0.10, vwo +0.11, gsg -0.05" }, "pwtax": { "sym": "pwtax", "name": "UBS U.S. Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013758785637428982, "alpha_t_5y": -0.619387631621317, "alpha_t_full": -1.4460411558610382, "r2_5y": 0.8441312553229423, "r2_full": 0.920148063013241, "corr_portfolio": 0.2534107357306364, "corr_benchmark": 0.6640502820924459, "alpha_pos_frac": 0.4980392156862745, "fund_max_dd": -0.5210365955233609, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.56, agg +0.28, iwm +0.12, gld +0.03", "ref_full": "ivv +0.49, iwm +0.10, agg +0.21, vwo +0.05, vnq +0.03, qqq +0.04" }, "pxbix": { "sym": "pxbix", "name": "Impax Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006481290827122443, "alpha_t_5y": -1.0834539238227618, "alpha_t_full": -1.17939495449595, "r2_5y": 0.935710760658347, "r2_full": 0.9117491230599559, "corr_portfolio": -0.12270355732331227, "corr_benchmark": 0.6921155986340783, "alpha_pos_frac": 0.6272727272727273, "fund_max_dd": -0.18005098581776235, "first": "2016-12-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.04, vweax +0.10, ief +0.40, vblix +0.27, vmbix +0.18, tlt -0.13", "ref_full": "ief +0.37, vweax +0.09, vblix +0.21, vmbix +0.18, tlt -0.08, fxy +0.02" }, "pxgox": { "sym": "pxgox", "name": "Impax Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05086958034969861, "alpha_t_5y": -1.8648886918094236, "alpha_t_full": -0.9266906367054832, "r2_5y": 0.8604391114467302, "r2_full": 0.8919023758600104, "corr_portfolio": 0.23325021785817743, "corr_benchmark": 0.6466963789429807, "alpha_pos_frac": 0.5, "fund_max_dd": -0.30607287608800093, "first": "2018-06-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.59, efa +0.38, gsg -0.05, vweax +0.22, fxe +0.09", "ref_full": "ivv +0.56, efa +0.34, gsg -0.05, vweax +0.16, fxe +0.11, vwo +0.06" }, "pxlix": { "sym": "pxlix", "name": "Impax Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03401419836385325, "alpha_t_5y": -1.3657871562992203, "alpha_t_full": -0.5995041829592596, "r2_5y": 0.8866635143819516, "r2_full": 0.9305474213014564, "corr_portfolio": 0.2459024657886835, "corr_benchmark": 0.6315481604138091, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.327570467945981, "first": "2016-12-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.11, qqq -0.15, gsg -0.04, vweax +0.15, iwm +0.04", "ref_full": "ivv +1.00, iwm +0.05, gsg -0.03, qqq -0.06, fxe +0.06" }, "pxnix": { "sym": "pxnix", "name": "Impax International Sustainable Economy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007885237620964925, "alpha_t_5y": 0.4985212525192788, "alpha_t_full": -1.6420576915170144, "r2_5y": 0.9467904927938834, "r2_full": 0.9517664066863529, "corr_portfolio": 0.3595703611054983, "corr_benchmark": 0.5456914422048871, "alpha_pos_frac": 0.49767441860465117, "fund_max_dd": -0.5472911896260447, "first": "2008-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.93, gsg -0.03, fxe +0.10, qqq +0.06, ivv -0.08, vweax +0.08", "ref_full": "efa +0.51, vea +0.31, vweax +0.20, gld +0.03, fxe +0.07, qqq +0.03" }, "pxsix": { "sym": "pxsix", "name": "Impax Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017678268865988393, "alpha_t_5y": 0.6639819201867835, "alpha_t_full": 0.011178167888067166, "r2_5y": 0.9075558093999754, "r2_full": 0.917540719762626, "corr_portfolio": 0.2562559234296981, "corr_benchmark": 0.5607958422416016, "alpha_pos_frac": 0.4511627906976744, "fund_max_dd": -0.5154927016749491, "first": "2008-03-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, ivv +0.35, gsg -0.06, vweax +0.18, qqq -0.08", "ref_full": "iwm +0.70, ivv +0.20, agg +0.29, ief -0.16, vweax +0.13, qqq -0.04" }, "pxwgx": { "sym": "pxwgx", "name": "Impax US Sustainable Economy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005581169864405661, "alpha_t_5y": 0.3073968581427121, "alpha_t_full": -0.5820566918227064, "r2_5y": 0.9371355136144317, "r2_full": 0.9598518623909001, "corr_portfolio": 0.2835235107332352, "corr_benchmark": 0.6194630716010548, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5759115799686289, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.87, iwm +0.05, gsg -0.04, vea +0.06, vnq +0.04", "ref_full": "ivv +0.63, iwm +0.09, qqq +0.15, efa +0.08, vnq +0.02" }, "pxwix": { "sym": "pxwix", "name": "Impax Global Women's Leadership Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02242616680743894, "alpha_t_5y": -1.286176199715256, "alpha_t_full": -2.096375864877455, "r2_5y": 0.9316333786267994, "r2_full": 0.9507171665639385, "corr_portfolio": 0.31139912512039786, "corr_benchmark": 0.6092511359507498, "alpha_pos_frac": 0.5617021276595745, "fund_max_dd": -0.5738680525376201, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.79, efa +0.27, gsg -0.04, qqq -0.09, fxe +0.06, vweax +0.10", "ref_full": "ivv +0.61, efa +0.25, iwm +0.05, fxe +0.07, vnq +0.03, vweax +0.08" }, "pyaix": { "sym": "pyaix", "name": "Payden Absolute Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00639775683231082, "alpha_t_5y": 1.0278195124861957, "alpha_t_full": 1.9459794242745732, "r2_5y": 0.34366324264726456, "r2_full": 0.3264354717401784, "corr_portfolio": 0.12526637204534918, "corr_benchmark": 0.1844971141588079, "alpha_pos_frac": 0.47794117647058826, "fund_max_dd": -0.15680465360347773, "first": "2014-11-10", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vmbix +0.02, vweax +0.13, vnq -0.01, gld +0.01, ief +0.17, tlt -0.05", "ref_full": "vweax +0.18, ivv -0.03, fxy +0.02, ief +0.11, tlt -0.17, vblix +0.18" }, "pycix": { "sym": "pycix", "name": "Payden Emerging Markets Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016866573243771023, "alpha_t_5y": -0.17596835587280238, "alpha_t_full": 2.0998814810370248, "r2_5y": 0.4505248868533184, "r2_full": 0.49626861920643406, "corr_portfolio": 0.230286091920182, "corr_benchmark": 0.40054992199503825, "alpha_pos_frac": 0.5850340136054422, "fund_max_dd": -0.2011523664313395, "first": "2013-11-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.32, vblix +0.06, vwo +0.03, qqq -0.02", "ref_full": "vweax +0.34, vblix +0.18, tlt -0.09, vwo +0.03, qqq -0.02" }, "pycsx": { "sym": "pycsx", "name": "Payden Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021139487523548343, "alpha_t_5y": 0.3162764625835131, "alpha_t_full": -0.12860899267609308, "r2_5y": 0.916254992336091, "r2_full": 0.8853073977187813, "corr_portfolio": -0.09098688448639893, "corr_benchmark": 0.7184358625140208, "alpha_pos_frac": 0.5567010309278351, "fund_max_dd": -0.18501511569738227, "first": "2018-01-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.27, ief +0.16, vmbix +0.22, vblix +0.10, vea +0.02, ivv -0.02", "ref_full": "vblix +0.19, vmbix +0.20, agg +0.14, vweax +0.08, ief +0.22, tlt -0.06" }, "pyeix": { "sym": "pyeix", "name": "Payden Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000653475628386612, "alpha_t_5y": -0.03240017758237641, "alpha_t_full": 0.26771639931307295, "r2_5y": 0.4468371465059663, "r2_full": 0.49190904697996474, "corr_portfolio": 0.24792164015207357, "corr_benchmark": 0.4379425189373732, "alpha_pos_frac": 0.5868263473053892, "fund_max_dd": -0.3022061807169598, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.64, vblix +0.09, vea +0.13, ivv -0.08, gsg -0.02", "ref_full": "vweax +0.63, agg -0.01, vwo +0.06, vblix +0.11, qqq -0.04, vea +0.06" }, "pyfix": { "sym": "pyfix", "name": "Payden Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023996648905609368, "alpha_t_5y": 3.765776075026605, "alpha_t_full": 2.3333805388323126, "r2_5y": 0.34162500891860936, "r2_full": 0.44794997871235676, "corr_portfolio": 0.30142074688661386, "corr_benchmark": 0.24414527563608165, "alpha_pos_frac": 0.42857142857142855, "fund_max_dd": -0.2024664241364098, "first": "2013-11-12", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false, "ref_5y": "vweax +0.19, ief -0.09, vea +0.02, gsg +0.01, tlt +0.02", "ref_full": "vweax +0.39, vmbix -0.15, vnq +0.01, qqq -0.04, ivv +0.06, vblix +0.03" }, "pygix": { "sym": "pygix", "name": "Payden Global Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008240317841879745, "alpha_t_5y": -0.9314694142595346, "alpha_t_full": -0.9314694142595346, "r2_5y": 0.7668616481440658, "r2_full": 0.7668616481440658, "corr_portfolio": -0.11480852972088013, "corr_benchmark": 0.7067277219942687, "alpha_pos_frac": 0.6428571428571429, "fund_max_dd": -0.15827608810434401, "first": "2021-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.02, vweax +0.11, ief +0.36, vblix +0.05, gsg -0.01, vea +0.02", "ref_full": "agg -0.02, vweax +0.11, ief +0.36, vblix +0.05, gsg -0.01, vea +0.02" }, "pysix": { "sym": "pysix", "name": "Payden Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005059130092346602, "alpha_t_5y": 0.8598114199104994, "alpha_t_full": 1.8050935485266004, "r2_5y": 0.7270974917076793, "r2_full": 0.6312969931688817, "corr_portfolio": 0.1060950436468034, "corr_benchmark": 0.599144502991432, "alpha_pos_frac": 0.45774647887323944, "fund_max_dd": -0.12704539386763491, "first": "2014-05-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.36, vweax +0.12, vea +0.02, qqq -0.01, tlt -0.02", "ref_full": "agg +0.01, vweax +0.23, ief +0.14, vnq +0.01, fxy +0.02, vblix +0.03" }, "pyvsx": { "sym": "pyvsx", "name": "Payden Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014543161933471865, "alpha_t_5y": -0.9025638769153471, "alpha_t_full": 0.11305015586129231, "r2_5y": 0.916680459863096, "r2_full": 0.933401633216848, "corr_portfolio": 0.40600984307453913, "corr_benchmark": 0.562765940424548, "alpha_pos_frac": 0.49640287769784175, "fund_max_dd": -0.3322685694155203, "first": "2014-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.56, iwm +0.07, vea +0.10, djp +0.03, fxe -0.08", "ref_full": "ivv +1.13, qqq -0.39, vnq +0.07, vea +0.05, agg -0.21, vblix +0.07" }, "pzrmx": { "sym": "pzrmx", "name": "PIMCO Inflation Response Multi-Asset Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022163007822231517, "alpha_t_5y": 1.21194369458308, "alpha_t_full": 0.4415564774313988, "r2_5y": 0.6949053637461277, "r2_full": 0.43008078271890693, "corr_portfolio": 0.24194658407323663, "corr_benchmark": 0.5350298088911094, "alpha_pos_frac": 0.47126436781609193, "fund_max_dd": -0.23424314845773142, "first": "2011-09-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.18, agg +0.54, vnq +0.10, gld +0.10, vweax +0.17, tlt -0.08", "ref_full": "djp +0.12, vnq +0.12, gld +0.14, agg +0.31, vweax +0.14, gsg +0.06" }, "qaacx": { "sym": "qaacx", "name": "Federated Hermes MDT All Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02395138994492004, "alpha_t_5y": 1.5797818597726123, "alpha_t_full": -0.3884504508328825, "r2_5y": 0.9586241251813632, "r2_full": 0.9528786227755814, "corr_portfolio": 0.28820387408659404, "corr_benchmark": 0.6021156965235751, "alpha_pos_frac": 0.5217391304347826, "fund_max_dd": -0.629812998900242, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.87, iwm +0.15", "ref_full": "ivv +0.84, iwm +0.16, vwo +0.03, gsg +0.01, agg +0.18, ief -0.14" }, "qabgx": { "sym": "qabgx", "name": "Federated Hermes MDT Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004889381530012925, "alpha_t_5y": 0.562950680340273, "alpha_t_full": -1.6629826250680138, "r2_5y": 0.9660365991768688, "r2_full": 0.9494013592877499, "corr_portfolio": 0.2925555523569823, "corr_benchmark": 0.6802242239161381, "alpha_pos_frac": 0.5795918367346938, "fund_max_dd": -0.44635320483251895, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.44, agg +0.15, iwm +0.10, efa +0.09, ief +0.11", "ref_full": "ivv +0.44, iwm +0.12, agg +0.09, efa +0.09, ief +0.09, vweax +0.07" }, "qalgx": { "sym": "qalgx", "name": "Federated Hermes MDT Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022546956124802225, "alpha_t_5y": 0.12395365027952242, "alpha_t_full": -1.0221550834950803, "r2_5y": 0.958730789731157, "r2_full": 0.9156587554449264, "corr_portfolio": 0.17575857658870161, "corr_benchmark": 0.6056959335994436, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5847200331689193, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.65, ivv +0.39, vea -0.30, efa +0.24, iwm +0.03", "ref_full": "qqq +0.46, ivv +0.52, vnq -0.06, iwm +0.08, agg +0.06" }, "qaltx": { "sym": "qaltx", "name": "Quantified Alternative Investment Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.5141353142752054, "r2_5y": NaN, "r2_full": 0.5602692285713015, "corr_portfolio": 0.016843153588773394, "corr_benchmark": 0.03355255420267928, "alpha_pos_frac": 0.3170731707317073, "fund_max_dd": -0.8689643011390209, "first": "2013-08-12", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "finux -0.01, ivv +0.33, vblix +0.11, iwm +0.11, gld +0.05, qqq +0.11" }, "qascx": { "sym": "qascx", "name": "Federated Hermes MDT Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023462720270785827, "alpha_t_5y": 1.2483366435873882, "alpha_t_full": -0.5402290518868433, "r2_5y": 0.9634195985085118, "r2_full": 0.9569635272291, "corr_portfolio": 0.25814681433836045, "corr_benchmark": 0.5335640730707569, "alpha_pos_frac": 0.5591836734693878, "fund_max_dd": -0.6993056212680069, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.98, ivv +0.06, gld -0.02", "ref_full": "iwm +1.00, vnq -0.03, ivv +0.07, djp +0.02, gld -0.02" }, "qasgx": { "sym": "qasgx", "name": "Federated Hermes MDT Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021540026665340588, "alpha_t_5y": -0.08780059603595819, "alpha_t_full": -0.6626969400605862, "r2_5y": 0.946363626151219, "r2_full": 0.9402365175124809, "corr_portfolio": 0.1898189507923645, "corr_benchmark": 0.5639562473312465, "alpha_pos_frac": 0.5591836734693878, "fund_max_dd": -0.6107616847146861, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.01, qqq +0.43, ivv -0.43", "ref_full": "iwm +0.98, qqq +0.30, vnq -0.08, ivv -0.21, agg +0.09" }, "qbdsx": { "sym": "qbdsx", "name": "Quantified Managed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02165186946793745, "alpha_t_5y": -1.4263888427097255, "alpha_t_full": -2.6230967767983726, "r2_5y": 0.27159749117125753, "r2_full": 0.4891330948340734, "corr_portfolio": 0.20671682055193985, "corr_benchmark": 0.6063862335125143, "alpha_pos_frac": 0.5894039735099338, "fund_max_dd": -0.18381638847616122, "first": "2013-08-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.06, tlt +0.08, vnq +0.03", "ref_full": "vnq +0.04, agg +0.47, vmbix -0.45, ivv +0.20, vblix +0.12, qqq -0.08" }, "qcbmrx": { "sym": "qcbmrx", "name": "Core Bond Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013642997842094734, "alpha_t_5y": -0.46132320945512767, "alpha_t_full": -0.5537809277709286, "r2_5y": 0.9829866992514457, "r2_full": 0.965002569270899, "corr_portfolio": -0.06151783360619771, "corr_benchmark": 0.7565938203874836, "alpha_pos_frac": 0.684931506849315, "fund_max_dd": -0.18267587301429922, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.28, vblix +0.09, vmbix +0.16, ief +0.20, vweax +0.08, qqq -0.01", "ref_full": "vblix +0.25, vmbix +0.17, vweax +0.10, ief +0.28, tlt -0.10, agg +0.08" }, "qceqrx": { "sym": "qceqrx", "name": "S&P 500 Index Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007661877619375585, "alpha_t_5y": -1.6924739134456488, "alpha_t_full": -1.2339833058452072, "r2_5y": 0.9959926537830533, "r2_full": 0.9968230809030183, "corr_portfolio": 0.2157357670725372, "corr_benchmark": 0.6525915042341275, "alpha_pos_frac": 0.4520547945205479, "fund_max_dd": -0.3490695723369236, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, iwm +0.10, qqq +0.05, vnq +0.01", "ref_full": "ivv +0.83, iwm +0.10, qqq +0.05, vnq +0.01" }, "qcgdx": { "sym": "qcgdx", "name": "Quantified Common Ground Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009111478849300775, "alpha_t_5y": -0.24761125934803452, "alpha_t_full": 0.10167386632438272, "r2_5y": 0.6932602082880136, "r2_full": 0.6352098598019037, "corr_portfolio": 0.2951975166190455, "corr_benchmark": 0.5417772741223043, "alpha_pos_frac": 0.5135135135135135, "fund_max_dd": -0.22373528505331963, "first": "2019-12-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.30, vea +1.16, efa -1.02, ivv +0.57, qqq -0.27", "ref_full": "iwm +0.29, ivv +0.28, gld +0.06, fxe +0.14" }, "qcglrx": { "sym": "qcglrx", "name": "Global Equities Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016948333750305626, "alpha_t_5y": -2.2009707408954946, "alpha_t_full": -0.5963048707422428, "r2_5y": 0.9876119220967969, "r2_full": 0.9902924751947466, "corr_portfolio": 0.2573468130163028, "corr_benchmark": 0.6441623711479851, "alpha_pos_frac": 0.5068493150684932, "fund_max_dd": -0.3308603998020777, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.63, vea +0.30, vwo +0.10, vnq -0.04, fxy -0.03, qqq +0.03", "ref_full": "ivv +0.56, vea +0.28, vwo +0.10, qqq +0.07, vnq -0.04, iwm +0.03" }, "qcgrrx": { "sym": "qcgrrx", "name": "Growth Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04072144515913464, "alpha_t_5y": -2.2990212099953755, "alpha_t_full": -1.9243094411552943, "r2_5y": 0.9637561997633558, "r2_full": 0.9680476634425421, "corr_portfolio": 0.06475399800760005, "corr_benchmark": 0.6374185773546986, "alpha_pos_frac": 0.6164383561643836, "fund_max_dd": -0.37841324601553017, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.71, ivv +0.40, vnq -0.07", "ref_full": "qqq +0.72, ivv +0.35, vnq -0.05" }, "qcilrx": { "sym": "qcilrx", "name": "Inflation-Linked Bond Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005398571077028357, "alpha_t_5y": 0.6276798449510329, "alpha_t_full": 1.158834283192468, "r2_5y": 0.7496150248332532, "r2_full": 0.7056305854210551, "corr_portfolio": -0.007228130350860066, "corr_benchmark": 0.5895627649478122, "alpha_pos_frac": 0.6027397260273972, "fund_max_dd": -0.08691829473908752, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.44, gsg +0.02, tlt -0.12, agg +0.28, djp +0.02", "ref_full": "ief +0.57, djp +0.03, tlt -0.07, vweax +0.06, gsg +0.02" }, "qcmmrx": { "sym": "qcmmrx", "name": "Money Market Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013533081326843398, "alpha_t_5y": -1.0370046914564166, "alpha_t_full": -1.1715356693214487, "r2_5y": -4.440892098500626e-16, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.08172221740535204, "corr_benchmark": 0.030830099461218258, "alpha_pos_frac": NaN, "fund_max_dd": -0.0008274938249231978, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "pure alpha (no sleeve selected)" }, "qcscrx": { "sym": "qcscrx", "name": "Responsible Balanced Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0057631460972520565, "alpha_t_5y": -0.968984056997378, "alpha_t_full": -1.2873818764982463, "r2_5y": 0.981174771945226, "r2_full": 0.9854705449682575, "corr_portfolio": 0.24538815600841646, "corr_benchmark": 0.7761740714935816, "alpha_pos_frac": 0.5616438356164384, "fund_max_dd": -0.23313845520832555, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.34, agg +0.16, vea +0.07, iwm +0.05, ief +0.18, efa +0.12", "ref_full": "ivv +0.34, ief +0.21, vea +0.18, iwm +0.05, vweax +0.09, vblix +0.05" }, "qcstrx": { "sym": "qcstrx", "name": "Total Global Stock Account", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011586430699053643, "alpha_t_5y": -2.1033931229972844, "alpha_t_full": -1.5600181734208711, "r2_5y": 0.9934325713827082, "r2_full": 0.994593101962707, "corr_portfolio": 0.2576979026833857, "corr_benchmark": 0.6510946711869858, "alpha_pos_frac": 0.5342465753424658, "fund_max_dd": -0.34812533100037546, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.27, vwo +0.09, iwm +0.07, qqq +0.05, fxy -0.02", "ref_full": "ivv +0.52, vea +0.26, vwo +0.08, iwm +0.07, qqq +0.05, vmbix -0.03" }, "qefa": { "sym": "qefa", "name": "State Street(R) SPDR(R) MSCI EAFE StrategicFactors(SM) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014942674161649213, "alpha_t_5y": 1.3327637138954231, "alpha_t_full": 0.7741498678844307, "r2_5y": 0.9668928744471801, "r2_full": 0.7721002190897279, "corr_portfolio": 0.31330528018662124, "corr_benchmark": 0.5034857332809332, "alpha_pos_frac": 0.4326241134751773, "fund_max_dd": -0.3171234695677232, "first": "2014-06-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.14, vea -0.29, fxy +0.05, vnq +0.04, qqq -0.02, fxe +0.05", "ref_full": "efa +0.77, vnq +0.06, fxy +0.08" }, "qemm": { "sym": "qemm", "name": "State Street(R) SPDR(R) MSCI Emerging Markets StrategicFactors(SM) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004187044464124753, "alpha_t_5y": 0.22388340633164155, "alpha_t_full": -0.2333632717965047, "r2_5y": 0.9204290797133534, "r2_full": 0.7760121249882087, "corr_portfolio": 0.27537768296033055, "corr_benchmark": 0.46329709431288313, "alpha_pos_frac": 0.48226950354609927, "fund_max_dd": -0.3688584558952134, "first": "2014-06-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.65, vea +1.05, efa -0.81, vnq -0.04", "ref_full": "vwo +0.59, vea +1.03, efa -0.82, vweax +0.14, gsg -0.03" }, "qevox": { "sym": "qevox", "name": "Quantified Evolution Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07598045791512203, "alpha_t_5y": -1.0667923652106366, "alpha_t_full": -1.636648463621859, "r2_5y": 0.3909582484126335, "r2_full": 0.4207050065966311, "corr_portfolio": 0.10341344803964338, "corr_benchmark": 0.3677303482861147, "alpha_pos_frac": 0.4935064935064935, "fund_max_dd": -0.28465135233787764, "first": "2019-09-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.31, gld +0.47, gsg +0.14, fxe -0.42, vweax -0.65, iwm +0.16", "ref_full": "gld +0.48, qqq +0.38, djp +0.19, fxe -0.28, vmbix -0.91, tlt +0.28" }, "qfvox": { "sym": "qfvox", "name": "Pear Tree Polaris Foreign Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029670599208201514, "alpha_t_5y": 0.7320758129985195, "alpha_t_full": 0.23243362588343025, "r2_5y": 0.5791890930871523, "r2_full": 0.6071569370096764, "corr_portfolio": 0.4819421180430373, "corr_benchmark": 0.311550745591643, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6672992939964422, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.68, qqq -0.26, vweax +0.98, agg -0.40, vwo +0.09", "ref_full": "efa +0.76, vweax +1.14, ivv -0.31, djp +0.11, ief -0.23, vnq -0.06" }, "qgitx": { "sym": "qgitx", "name": "Quantified Government Income Tactical Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05134896675334859, "alpha_t_5y": -1.3281568758341666, "alpha_t_full": -1.3281568758341666, "r2_5y": 0.29801373274558096, "r2_full": 0.29801373274558096, "corr_portfolio": -0.11598039824241559, "corr_benchmark": 0.4014538468773081, "alpha_pos_frac": 0.6101694915254238, "fund_max_dd": -0.36675692078484734, "first": "2021-04-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "tlt +0.37", "ref_full": "tlt +0.37" }, "qgro": { "sym": "qgro", "name": "American Century U.S. Quality Growth ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016697622703607886, "alpha_t_5y": -0.6184178177277725, "alpha_t_full": -0.07993261322296101, "r2_5y": 0.9068882605622446, "r2_full": 0.8648031885333898, "corr_portfolio": 0.13672810741386313, "corr_benchmark": 0.6394228198993316, "alpha_pos_frac": 0.5, "fund_max_dd": -0.32564904674427353, "first": "2018-09-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, qqq +0.48, iwm +0.22", "ref_full": "qqq +0.52, iwm +0.21, ivv +0.22, agg +0.37, vmbix -0.29" }, "qgrpx": { "sym": "qgrpx", "name": "UBS US Quality Growth At Reasonable Price Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.032802351489590195, "alpha_t_5y": -1.8349737463935338, "alpha_t_full": -1.9133602993517287, "r2_5y": 0.9514592678668737, "r2_full": 0.9515687127888783, "corr_portfolio": 0.006582596539856888, "corr_benchmark": 0.6599041203060875, "alpha_pos_frac": 0.5294117647058824, "fund_max_dd": -0.3028413267873665, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.91, qqq +0.32, iwm -0.13, vea -0.30, efa +0.23, gsg -0.02", "ref_full": "ivv +0.90, qqq +0.32, iwm -0.13, vea -0.30, efa +0.23, gsg -0.02" }, "qlenx": { "sym": "qlenx", "name": "AQR Long-Short Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.13244458117596195, "alpha_t_5y": 3.514375951518111, "alpha_t_full": 3.247457625314428, "r2_5y": 0.2601676067479628, "r2_full": 0.44687825604294173, "corr_portfolio": 0.7066792887973038, "corr_benchmark": 0.2659786491507395, "alpha_pos_frac": 0.5761589403973509, "fund_max_dd": -0.39590585442596415, "first": "2013-07-17", "verdict": "alpha, but correlated with current portfolio", "alpha_name": true, "ref_5y": "vea +0.45, vblix -0.13, vwo -0.15, gsg +0.06, fxy -0.13, vnq -0.07", "ref_full": "ivv +0.70, qqq -0.28, vea +0.22, iwm -0.13, vmbix -0.25, vnq -0.07" }, "qlmlfx": { "sym": "qlmlfx", "name": "Franklin Multi-Asset Variable Conservative Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08010848158291445, "alpha_t_5y": -3.0948678625025243, "alpha_t_full": -3.283432470090834, "r2_5y": 0.7321669613825433, "r2_full": 0.7984750623079331, "corr_portfolio": 0.2545525127077821, "corr_benchmark": 0.6876095779309312, "alpha_pos_frac": 0.5616438356164384, "fund_max_dd": -0.3008596389192182, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.34, agg +0.28, vea +0.12, iwm +0.09, vweax +0.14", "ref_full": "ivv +0.31, agg +0.04, iwm +0.10, vea +0.12, vweax +0.14, ief +0.20" }, "qlmlsx": { "sym": "qlmlsx", "name": "Franklin Multi-Asset Variable Moderate Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10354205662453586, "alpha_t_5y": -3.229084242786405, "alpha_t_full": -3.280678279118305, "r2_5y": 0.7457440768665893, "r2_full": 0.8156735950797561, "corr_portfolio": 0.27919907115483544, "corr_benchmark": 0.6294974462433921, "alpha_pos_frac": 0.5616438356164384, "fund_max_dd": -0.33847980997624694, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.59, vea +0.16, iwm +0.10, vweax +0.18, qqq -0.09", "ref_full": "ivv +0.43, vea +0.18, iwm +0.13, vblix +0.06" }, "qlmltx": { "sym": "qlmltx", "name": "Franklin Multi-Asset Variable Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1192687342604598, "alpha_t_5y": -3.121283163073632, "alpha_t_full": -3.203130805532085, "r2_5y": 0.7373170687661008, "r2_full": 0.8130759621436434, "corr_portfolio": 0.28945980833369467, "corr_benchmark": 0.5956692896942339, "alpha_pos_frac": 0.5753424657534246, "fund_max_dd": -0.3752131893121088, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.81, vea +0.20, iwm +0.15, qqq -0.17, vnq -0.08", "ref_full": "ivv +0.49, iwm +0.17, vea +0.21" }, "qmnix": { "sym": "qmnix", "name": "AQR Equity Market Neutral Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.12318896423806236, "alpha_t_5y": 3.583677518846551, "alpha_t_full": 2.5134585317180043, "r2_5y": 0.2684035684119158, "r2_full": 0.07521637717166096, "corr_portfolio": 0.606529943249583, "corr_benchmark": -0.13917695906733554, "alpha_pos_frac": 0.5401459854014599, "fund_max_dd": -0.3879617644035105, "first": "2014-10-10", "verdict": "alpha, but correlated with current portfolio", "alpha_name": true, "ref_5y": "agg -0.20, qqq -0.57, ivv +0.88, vnq -0.20, djp +0.05, iwm -0.06", "ref_full": "vmbix -0.30, iwm -0.08, vea +0.22, vwo -0.08, fxe -0.10, qqq -0.05" }, "qqqm": { "sym": "qqqm", "name": "Invesco NASDAQ 100 ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014070207557049, "alpha_t_5y": 0.46580081129611955, "alpha_t_full": 0.38773785634669694, "r2_5y": 0.9989802114747178, "r2_full": 0.9984651252394842, "corr_portfolio": -0.05597997583315415, "corr_benchmark": 0.6536140284218636, "alpha_pos_frac": 0.6307692307692307, "fund_max_dd": -0.3504380987399789, "first": "2020-10-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.99", "ref_full": "qqq +0.99" }, "qspmx": { "sym": "qspmx", "name": "Quantified Pattern Recognition Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006458050439535856, "alpha_t_5y": 0.11356980271609768, "alpha_t_full": -0.092881841956252, "r2_5y": 0.4227958947441619, "r2_full": 0.4339048956342969, "corr_portfolio": 0.11069339661718501, "corr_benchmark": 0.41865364154184664, "alpha_pos_frac": 0.47435897435897434, "fund_max_dd": -0.2836016233997094, "first": "2019-08-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.77, vnq -0.11", "ref_full": "ivv +0.73, vnq -0.10, vweax -0.26" }, "qstax": { "sym": "qstax", "name": "Quantified STF Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01272367874550188, "alpha_t_5y": 0.13441161508060273, "alpha_t_full": 0.1508897749132723, "r2_5y": 0.35494859506068943, "r2_full": 0.4461981823571396, "corr_portfolio": 0.05137473027453916, "corr_benchmark": 0.3708777344264506, "alpha_pos_frac": 0.5447154471544715, "fund_max_dd": -0.49376981822111365, "first": "2015-11-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.26, ivv -0.71, vweax -0.60", "ref_full": "qqq +1.05, vnq -0.10, ivv -0.31, vwo +0.12, vweax -0.30" }, "quasx": { "sym": "quasx", "name": "AB Small Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0734890400804549, "alpha_t_5y": -2.184887283622941, "alpha_t_full": -1.0470173558182436, "r2_5y": 0.9106563361424821, "r2_full": 0.9189071724262046, "corr_portfolio": 0.14416944487191602, "corr_benchmark": 0.5603800389301393, "alpha_pos_frac": 0.47896440129449835, "fund_max_dd": -0.6097122361208666, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.93, qqq +0.71, ivv -0.61", "ref_full": "iwm +0.86, qqq +0.49, vnq -0.08, ivv -0.25, vweax +0.09, gld +0.02" }, "qusox": { "sym": "qusox", "name": "Pear Tree Polaris Foreign Value Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024152284606167862, "alpha_t_5y": 0.6012416597726478, "alpha_t_full": 0.9402094556126751, "r2_5y": 0.5427939949004175, "r2_full": 0.5518814310542811, "corr_portfolio": 0.44386193314850486, "corr_benchmark": 0.296646688474429, "alpha_pos_frac": 0.48130841121495327, "fund_max_dd": -0.5798724249672338, "first": "2008-05-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.61, vweax +1.14, ivv -0.17, agg -0.37, fxe +0.19, qqq -0.11", "ref_full": "vea +0.48, vweax +1.08, ivv -0.33, djp +0.05, vwo +0.07, fxe +0.10" }, "qwld": { "sym": "qwld", "name": "State Street(R) SPDR(R) MSCI World StrategicFactors(SM) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003531139831240003, "alpha_t_5y": 0.3082116751773531, "alpha_t_full": 0.4473794411839137, "r2_5y": 0.9584251866475428, "r2_full": 0.7075817440336754, "corr_portfolio": 0.2973682109571012, "corr_benchmark": 0.5344077900314895, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.3189073975828345, "first": "2014-06-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.69, efa +0.51, qqq -0.14, vnq +0.06, vea -0.22, iwm -0.03", "ref_full": "ivv +0.45, efa +0.29, vnq +0.06, vwo -0.09, vweax +0.22, gld +0.04" }, "qwvox": { "sym": "qwvox", "name": "Clearwater Select Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05210526405307074, "alpha_t_5y": -1.4218404815303916, "alpha_t_full": -2.5862432894178404, "r2_5y": 0.8438453237008984, "r2_full": 0.7685231026940346, "corr_portfolio": 0.2713559983225675, "corr_benchmark": 0.4905302675665461, "alpha_pos_frac": 0.6574585635359116, "fund_max_dd": -0.5651990023201119, "first": "2011-01-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.79, ivv +0.33, qqq -0.17, djp -0.05, vwo +0.06", "ref_full": "iwm +0.88, vweax +0.23" }, "raax": { "sym": "raax", "name": "VanEck Real Assets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004276894010786887, "alpha_t_5y": -0.15210047545435365, "alpha_t_full": -0.7039684260739323, "r2_5y": 0.8190808100060822, "r2_full": 0.7522227265141693, "corr_portfolio": 0.31781265331078756, "corr_benchmark": 0.4343231968213434, "alpha_pos_frac": 0.6105263157894737, "fund_max_dd": -0.3390697706139564, "first": "2018-04-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.11, vea +0.19, iwm +0.18, gld +0.26, gsg +0.24, vnq +0.08", "ref_full": "vea +0.19, djp +0.12, gld +0.29, iwm +0.14, gsg +0.18, vnq +0.07" }, "raghx": { "sym": "raghx", "name": "Virtus KAR Health Sciences Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04510168666932879, "alpha_t_5y": -1.0097047542540039, "alpha_t_full": 0.24080768442048756, "r2_5y": 0.595425064007103, "r2_full": 0.6929757996647034, "corr_portfolio": 0.22831230875522945, "corr_benchmark": 0.5193052145673235, "alpha_pos_frac": 0.5361702127659574, "fund_max_dd": -0.40227603674772683, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.01, vnq +0.13, qqq -0.37, gsg -0.07, iwm +0.08, ief +0.13", "ref_full": "ivv +0.60, iwm +0.16, agg +0.17, vnq -0.05, gsg -0.04, efa +0.07" }, "ragtx": { "sym": "ragtx", "name": "Virtus Zevenbergen Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015148589723894641, "alpha_t_5y": -0.4675161430628605, "alpha_t_full": -0.6655619115325603, "r2_5y": 0.9286100366274173, "r2_full": 0.8936247063350088, "corr_portfolio": 0.07846992304041289, "corr_benchmark": 0.5759993417928082, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.5955175034749385, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.38, ivv -0.38, iwm +0.19, vnq -0.10", "ref_full": "qqq +1.17, ivv -0.23, iwm +0.15, vnq -0.06, gld +0.03, tlt +0.04" }, "ralax": { "sym": "ralax", "name": "Aggressive Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009210224411008263, "alpha_t_5y": -0.9603663499930943, "alpha_t_full": -0.844508365906051, "r2_5y": 0.970012732583934, "r2_full": 0.816913432718172, "corr_portfolio": 0.3022366416652295, "corr_benchmark": 0.5513627234547034, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5205758201058003, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.59, vea +0.21, iwm +0.07, ief +0.12, qqq -0.09, vwo +0.03", "ref_full": "ivv +0.27, efa +0.24, iwm +0.13, vweax +0.19, djp +0.04, vnq +0.04" }, "rapax": { "sym": "rapax", "name": "Cohen & Steers Real Assets Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003872857971169362, "alpha_t_5y": -0.2782374013080609, "alpha_t_full": -1.8270583539367014, "r2_5y": 0.911711064387955, "r2_full": 0.9220272727259112, "corr_portfolio": 0.38056818356690264, "corr_benchmark": 0.4963737367784319, "alpha_pos_frac": 0.5443786982248521, "fund_max_dd": -0.3145089247680882, "first": "2012-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.22, djp +0.30, vnq +0.22, qqq -0.16, gld +0.06, ivv +0.19", "ref_full": "vea +0.24, djp +0.23, vnq +0.21, gld +0.08, vweax +0.16, gsg +0.06" }, "ravi": { "sym": "ravi", "name": "FlexShares Ultra-Short Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002627167643601835, "alpha_t_5y": 0.48127539099999284, "alpha_t_full": 1.6584006215033549, "r2_5y": 0.06642926911806435, "r2_full": 0.09060614150568636, "corr_portfolio": 0.05942262171747824, "corr_benchmark": 0.18047488494850816, "alpha_pos_frac": 0.41875, "fund_max_dd": -0.0372180683259794, "first": "2012-10-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.10, tlt -0.02", "ref_full": "agg +0.09, tlt -0.05, vblix +0.06, fxy +0.01, vmbix -0.03" }, "rbbax": { "sym": "rbbax", "name": "Columbia Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00657114369093411, "alpha_t_5y": 1.127645877113091, "alpha_t_full": 0.8999976943622376, "r2_5y": 0.9492327951768618, "r2_full": 0.890319899682603, "corr_portfolio": 0.2819816606519108, "corr_benchmark": 0.770525388287296, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.23220798767684725, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.06, vmbix +0.27, iwm +0.08, vea +0.07, vweax +0.18, agg +0.24", "ref_full": "ivv +0.07, agg +0.26, iwm +0.07, vweax +0.21, vnq +0.04, efa +0.06" }, "rbcgx": { "sym": "rbcgx", "name": "REYNOLDS BLUE CHIP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0332250839194461, "alpha_t_5y": -1.127778224412495, "alpha_t_full": 0.4176610028014916, "r2_5y": 0.8619561504370304, "r2_full": 0.7281318532873164, "corr_portfolio": 0.16011640513963807, "corr_benchmark": 0.575970868361616, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.7712266630600033, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.73, iwm +0.10, vea -0.07", "ref_full": "qqq +0.65, iwm +0.24, vnq -0.11, vwo -0.11, djp +0.07, fxe +0.09" }, "rblax": { "sym": "rblax", "name": "Balanced Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009233736066113945, "alpha_t_5y": -1.1085545358905016, "alpha_t_full": -2.1068312828472004, "r2_5y": 0.9640121008499232, "r2_full": 0.9229792646255099, "corr_portfolio": 0.3391361870208502, "corr_benchmark": 0.6676901657950982, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.4366025564307384, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.18, agg +0.29, iwm +0.07, qqq -0.08, vweax +0.08", "ref_full": "ivv +0.18, vea +0.46, agg +0.21, iwm +0.12, vweax +0.18, efa -0.23" }, "rcbax": { "sym": "rcbax", "name": "AMERICAN FUNDS CORPORATE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014299929307097578, "alpha_t_5y": -2.967142927271693, "alpha_t_full": -1.7824511049861649, "r2_5y": 0.9692089215380625, "r2_full": 0.944466897154564, "corr_portfolio": -0.040754077751630334, "corr_benchmark": 0.7459269852496433, "alpha_pos_frac": 0.40869565217391307, "fund_max_dd": -0.23654725874312477, "first": "2016-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.50, agg +0.28, tlt -0.19, vweax +0.11, ief +0.20, vmbix -0.05", "ref_full": "vblix +0.51, vweax +0.17, ief +0.25, tlt -0.20, agg +0.14" }, "rcjtx": { "sym": "rcjtx", "name": "American Funds 2015 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003375690003670978, "alpha_t_5y": -0.5583036560149485, "alpha_t_full": -0.37125231440714274, "r2_5y": 0.9559777525401805, "r2_full": 0.9425533322139027, "corr_portfolio": 0.330624809689852, "corr_benchmark": 0.743929662519092, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.426893837619131, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vmbix +0.17, vea +0.12, qqq -0.12, ief +0.20, djp +0.02", "ref_full": "ivv +0.31, efa +0.15, ief +0.19, vnq +0.04, vwo +0.07, qqq -0.06" }, "rclax": { "sym": "rclax", "name": "Conservative Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008426513403080803, "alpha_t_5y": -1.3814138217580594, "alpha_t_full": -2.9804788814146863, "r2_5y": 0.939157740156874, "r2_full": 0.8611867827548976, "corr_portfolio": 0.23369545812904702, "corr_benchmark": 0.8148543934998574, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.22367659916368066, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.33, ivv +0.07, vea +0.08, iwm +0.04, vweax +0.12, ief +0.23", "ref_full": "efa +0.08, ief +0.26, iwm +0.05, vweax +0.21, ivv +0.07, agg +0.13" }, "rcmcx": { "sym": "rcmcx", "name": "Royce Capital Fund - Micro-Cap Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04462991772402237, "alpha_t_5y": 1.555033473587942, "alpha_t_full": -0.916835611867964, "r2_5y": 0.9169745494394586, "r2_full": 0.9164795140993235, "corr_portfolio": 0.2482786009897491, "corr_benchmark": 0.5127775215455846, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.5867440295753957, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.02, vnq -0.16, vea +0.11", "ref_full": "iwm +0.92, gld +0.08, vnq -0.11, vweax +0.23, fxe +0.10, djp +0.03" }, "rctix": { "sym": "rctix", "name": "River Canyon Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02144508932484724, "alpha_t_5y": 2.684831170299184, "alpha_t_full": 3.262620044358313, "r2_5y": 0.4010476865085091, "r2_full": 0.18237821743347615, "corr_portfolio": 0.09628859734864363, "corr_benchmark": 0.2314747842384135, "alpha_pos_frac": 0.5223880597014925, "fund_max_dd": -0.10891145943481484, "first": "2015-01-08", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vmbix +0.22, vweax +0.09", "ref_full": "vweax +0.08, vmbix +0.15, tlt -0.23, vblix +0.21, ief +0.14" }, "rdccx": { "sym": "rdccx", "name": "Columbia Disciplined Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027799849449109154, "alpha_t_5y": 1.551014095153225, "alpha_t_full": 0.16868411941413455, "r2_5y": 0.920525795620558, "r2_full": 0.9538302093315287, "corr_portfolio": 0.40051764726032113, "corr_benchmark": 0.5471027461682731, "alpha_pos_frac": 0.5260663507109005, "fund_max_dd": -0.5539920293534388, "first": "2008-07-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.24, qqq -0.56, iwm +0.17, vea +0.07, gsg +0.02, vnq +0.04", "ref_full": "ivv +1.19, qqq -0.43, iwm +0.14, vnq +0.05, vwo +0.05, gsg +0.02" }, "rdiv": { "sym": "rdiv", "name": "Invesco S&P Ultra Dividend Revenue ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05783344844899991, "alpha_t_5y": 1.6153640717727178, "alpha_t_full": 2.0184932276011565, "r2_5y": 0.7726407713286485, "r2_full": 0.7964963597431801, "corr_portfolio": 0.3939137087076264, "corr_benchmark": 0.44934704295871364, "alpha_pos_frac": 0.48322147651006714, "fund_max_dd": -0.49973901487914574, "first": "2013-10-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.35, vnq +0.15, qqq -0.92, ivv +1.39, gsg +0.06, gld -0.05", "ref_full": "iwm +0.33, vnq +0.17, gsg +0.07, qqq -0.86, ivv +1.31, vea +0.06" }, "rdlax": { "sym": "rdlax", "name": "Columbia Disciplined Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025210630066869112, "alpha_t_5y": -1.610503809131266, "alpha_t_full": -2.188909728423169, "r2_5y": 0.969504463589368, "r2_full": 0.9648724763996496, "corr_portfolio": 0.19326467403078917, "corr_benchmark": 0.6211156525355901, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5431841948997745, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.56, ivv +0.58, vnq -0.04, vea -0.20, efa +0.15", "ref_full": "ivv +0.68, qqq +0.41, vnq -0.03, agg +0.07, gld +0.02, efa -0.03" }, "rdwbx": { "sym": "rdwbx", "name": "AMERICAN FUNDS DEVELOPING WORLD GROWTH & INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017793491143688563, "alpha_t_5y": -0.5457708497390843, "alpha_t_full": -1.4787040864911964, "r2_5y": 0.7857010537132385, "r2_full": 0.8264739024138872, "corr_portfolio": 0.2904207955476652, "corr_benchmark": 0.4620312059782935, "alpha_pos_frac": 0.5069444444444444, "fund_max_dd": -0.3945155911853395, "first": "2014-03-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.73, qqq +0.09, vweax +0.31, agg -0.19", "ref_full": "vwo +0.56, vweax +0.36, vea +0.61, efa -0.47, agg -0.13, qqq +0.04" }, "reaax": { "sym": "reaax", "name": "Equity Aggressive Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009482205472751432, "alpha_t_5y": -0.9002957942662951, "alpha_t_full": -0.9143338067711129, "r2_5y": 0.970356726726537, "r2_full": 0.8313042263405682, "corr_portfolio": 0.3121804216018028, "corr_benchmark": 0.5365689785431843, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5952630559272116, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, vea +0.23, iwm +0.08, qqq -0.09, fxe +0.06, vweax +0.07", "ref_full": "ivv +0.30, efa +0.31, iwm +0.15, vnq +0.05, djp +0.05, vweax +0.16" }, "rebax": { "sym": "rebax", "name": "Columbia Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006859425686647468, "alpha_t_5y": -0.4362237269054615, "alpha_t_full": 0.019082744638670632, "r2_5y": 0.6195756294100647, "r2_full": 0.5145543747464068, "corr_portfolio": 0.22768778982893756, "corr_benchmark": 0.5392750031689936, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.3443010279970157, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, agg +0.20, vwo +0.06, vblix +0.11", "ref_full": "vweax +0.64, vwo +0.08, agg +0.18, tlt +0.05, qqq -0.02, gsg +0.01" }, "rebyx": { "sym": "rebyx", "name": "U.S. Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014880526892754044, "alpha_t_5y": 0.8480084395673596, "alpha_t_full": -0.7215608362140304, "r2_5y": 0.9613623401760827, "r2_full": 0.9447830569594509, "corr_portfolio": 0.2850392009124828, "corr_benchmark": 0.5291834320614589, "alpha_pos_frac": 0.7450980392156863, "fund_max_dd": -0.7615521588880102, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.88, efa +0.03, qqq -0.15, ivv +0.22, gld -0.02", "ref_full": "iwm +0.87, efa +0.06, djp +0.02, ivv +0.13, qqq -0.06, vnq -0.02" }, "recs": { "sym": "recs", "name": "Columbia Research Enhanced Core ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01672891136372589, "alpha_t_5y": 1.0042132763267868, "alpha_t_full": 0.663903351904511, "r2_5y": 0.9397693539416387, "r2_full": 0.8522786352695841, "corr_portfolio": 0.2545670731647488, "corr_benchmark": 0.6044217636669303, "alpha_pos_frac": 0.4805194805194805, "fund_max_dd": -0.34289666003770125, "first": "2019-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.05, qqq -0.11, iwm +0.03", "ref_full": "ivv +0.86, vweax +0.20" }, "redwx": { "sym": "redwx", "name": "GreenFi Redwood Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027211181548280606, "alpha_t_5y": -1.3644857490647275, "alpha_t_full": -0.48645410591140964, "r2_5y": 0.929940154078838, "r2_full": 0.9174497628049895, "corr_portfolio": 0.2434499340781259, "corr_benchmark": 0.605252541289675, "alpha_pos_frac": 0.5609756097560976, "fund_max_dd": -0.4108874278245135, "first": "2015-11-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.86, iwm +0.15, gsg -0.03", "ref_full": "ivv +0.72, iwm +0.24, efa +0.06, gld -0.03, agg +0.58, ief -0.45" }, "remsx": { "sym": "remsx", "name": "Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012267336851016027, "alpha_t_5y": -0.3663617846829786, "alpha_t_full": -0.8846073582528792, "r2_5y": 0.793274153717151, "r2_full": 0.8292943310904445, "corr_portfolio": 0.3216163479976866, "corr_benchmark": 0.43914429679885514, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6680208421110567, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.80, qqq +0.06, djp +0.03, fxy -0.11, gld +0.05", "ref_full": "vwo +0.63, vweax +0.58, djp +0.08, ief -0.11, qqq +0.07, vnq -0.04" }, "remx": { "sym": "remx", "name": "VanEck Rare Earth and Strategic Metals ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04936843194775946, "alpha_t_5y": -0.39717385354418144, "alpha_t_full": -1.6490630787416987, "r2_5y": 0.49845114592232953, "r2_full": 0.5177341636764653, "corr_portfolio": 0.18584936522214107, "corr_benchmark": 0.3409931622357713, "alpha_pos_frac": 0.4076086956521739, "fund_max_dd": -0.9020686740549454, "first": "2010-10-29", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.01, iwm +0.47, djp +0.28, gld +0.21", "ref_full": "vwo +0.58, iwm +0.43, gld +0.21, djp +0.19, vea +0.30, vnq -0.15" }, "retsx": { "sym": "retsx", "name": "Tax-Managed U.S. Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01819004265634059, "alpha_t_5y": -1.7954772854029821, "alpha_t_full": -1.5257446025474803, "r2_5y": 0.9787148218558288, "r2_full": 0.9782464563898785, "corr_portfolio": 0.2829792955352158, "corr_benchmark": 0.6081894368803957, "alpha_pos_frac": 0.4919093851132686, "fund_max_dd": -0.5735461228306303, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, iwm +0.03", "ref_full": "ivv +0.85, vwo +0.03, iwm +0.04, qqq +0.05, vnq +0.02, ief -0.04" }, "reuyx": { "sym": "reuyx", "name": "Sustainable Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015965520226600742, "alpha_t_5y": -1.1871675040400005, "alpha_t_full": -1.4123362948767142, "r2_5y": 0.9584311066747396, "r2_full": 0.9554372363859305, "corr_portfolio": 0.3005329808930533, "corr_benchmark": 0.6212041247737974, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6120220029113703, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.02, qqq -0.12, gsg -0.03, vea +0.05, vnq +0.03", "ref_full": "ivv +0.90, vnq +0.03, efa +0.06, qqq -0.04, gsg -0.01" }, "revs": { "sym": "revs", "name": "Columbia Research Enhanced Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.033054503665462316, "alpha_t_5y": 1.6103088284026006, "alpha_t_full": 1.087950966555736, "r2_5y": 0.891564952185601, "r2_full": 0.8119734029825674, "corr_portfolio": 0.3823377405862101, "corr_benchmark": 0.5205121732427481, "alpha_pos_frac": 0.4025974025974026, "fund_max_dd": -0.37852710335878714, "first": "2019-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.35, qqq -0.67, iwm +0.19, vea +0.05", "ref_full": "ivv +1.21, qqq -0.56, iwm +0.18, vweax +0.22" }, "rfayx": { "sym": "rfayx", "name": "Investment Grade Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0023603594099702173, "alpha_t_5y": -0.5965511268157717, "alpha_t_full": 0.015636699165930322, "r2_5y": 0.9730228667572349, "r2_full": 0.8063440748519253, "corr_portfolio": -0.10162455579807453, "corr_benchmark": 0.6709151223362981, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.19353580606665932, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.37, agg +0.25, vweax +0.07, vblix +0.06, vmbix +0.10, ivv -0.01", "ref_full": "ief +0.40, vweax +0.15, agg +0.17, vnq +0.01, fxy +0.02, tlt +0.02" }, "rfbsx": { "sym": "rfbsx", "name": "Short Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0034437395318759017, "alpha_t_5y": -1.0670611494271502, "alpha_t_full": 1.4734184185989583, "r2_5y": 0.8504584455999085, "r2_full": 0.6158393878907795, "corr_portfolio": -0.004165975491361336, "corr_benchmark": 0.528861052727931, "alpha_pos_frac": 0.5128205128205128, "fund_max_dd": -0.15657235864601915, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.02, ief +0.21, tlt -0.11, agg +0.26, vweax +0.04, ivv -0.01", "ref_full": "agg +0.11, vweax +0.10, ief +0.23, tlt -0.07, fxe +0.01, fxy +0.01" }, "rfcyx": { "sym": "rfcyx", "name": "Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002780007659969296, "alpha_t_5y": -0.47919089687002864, "alpha_t_full": -0.216585984036185, "r2_5y": 0.9433956787957819, "r2_full": 0.808789672135191, "corr_portfolio": -0.069717658319351, "corr_benchmark": 0.7006782068351609, "alpha_pos_frac": 0.4564102564102564, "fund_max_dd": -0.19344217156737453, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.36, ief +0.37, vweax +0.10, ivv -0.02, vmbix +0.10, vwo +0.01", "ref_full": "ief +0.41, vweax +0.19, agg +0.19, vnq +0.01, fxy +0.02, vwo +0.01" }, "rfrax": { "sym": "rfrax", "name": "Columbia Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011919757005801997, "alpha_t_5y": 1.5832883935905977, "alpha_t_full": 1.3957323404375401, "r2_5y": 0.5239736266942067, "r2_full": 0.5167124895045555, "corr_portfolio": 0.3216202051593705, "corr_benchmark": 0.25119114641574236, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.3202355692127631, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.28, vmbix -0.00, vblix +0.38, tlt -0.22, agg -0.29", "ref_full": "vweax +0.49, ief -0.06" }, "rgcyx": { "sym": "rgcyx", "name": "Opportunistic Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007073837132067339, "alpha_t_5y": 1.0132004360253017, "alpha_t_full": 1.248654769127508, "r2_5y": 0.7544815469496604, "r2_full": 0.676982557042357, "corr_portfolio": 0.25965817797288643, "corr_benchmark": 0.5353043458729024, "alpha_pos_frac": 0.6054054054054054, "fund_max_dd": -0.19472435399793253, "first": "2010-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, agg +0.10, vwo +0.03, ief +0.11", "ref_full": "vweax +0.52, vwo +0.05, agg +0.17, qqq -0.02, fxe +0.03, gsg +0.01" }, "rgeax": { "sym": "rgeax", "name": "Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006973089353849463, "alpha_t_5y": -0.5803362673954126, "alpha_t_full": -1.007461400277626, "r2_5y": 0.966178564119301, "r2_full": 0.9437017617889465, "corr_portfolio": 0.35005470755765083, "corr_benchmark": 0.5912839923918596, "alpha_pos_frac": 0.5526315789473685, "fund_max_dd": -0.595071607888996, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, efa +0.27, qqq -0.08, iwm +0.04, vnq -0.03", "ref_full": "ivv +0.48, vea +0.87, efa -0.44, vweax +0.12, iwm +0.06, vnq -0.03" }, "rgiax": { "sym": "rgiax", "name": "Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01177942442041083, "alpha_t_5y": 0.4104454867332744, "alpha_t_full": 0.24704387643622988, "r2_5y": 0.7302926897943018, "r2_full": 0.8139487291939547, "corr_portfolio": 0.3617432528033279, "corr_benchmark": 0.5429934817090951, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.3918671377462152, "first": "2010-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.29, vnq +0.25, djp +0.07, qqq -0.31, ivv +0.46, fxe +0.19", "ref_full": "vea +0.44, vnq +0.22, gsg +0.05, vweax +0.27, qqq -0.23, ivv +0.31" }, "rgsax": { "sym": "rgsax", "name": "Virtus KAR Global Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04728740379998337, "alpha_t_5y": -1.5065371209017657, "alpha_t_full": -1.8395610951283652, "r2_5y": 0.7944836124651921, "r2_full": 0.9051790853124441, "corr_portfolio": 0.3257729814894868, "corr_benchmark": 0.5502253015883982, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.6837079365742649, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.35, efa +0.37, vweax +0.20, gld -0.06, fxe +0.13, vnq +0.06", "ref_full": "iwm +0.41, efa +0.36, vweax +0.28, qqq +0.08, djp +0.04, ief -0.05" }, "rgwfx": { "sym": "rgwfx", "name": "American Funds Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019375673294250887, "alpha_t_5y": -1.4365943848650382, "alpha_t_full": -1.1077506889446953, "r2_5y": 0.9691899243395175, "r2_full": 0.9665207892475931, "corr_portfolio": 0.23291306628594832, "corr_benchmark": 0.6276280896895802, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.33931809534681534, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vwo +0.07, qqq +0.34, iwm +0.15, efa +0.11, vweax +0.10", "ref_full": "ivv +0.27, vea +0.17, qqq +0.30, iwm +0.13, vweax +0.14, vwo +0.05" }, "rhltx": { "sym": "rhltx", "name": "American Funds 2065 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012294310019194007, "alpha_t_5y": -1.2317616594367828, "alpha_t_full": -0.7562673870116031, "r2_5y": 0.9741855865566662, "r2_full": 0.9752927508007571, "corr_portfolio": 0.14850669816893586, "corr_benchmark": 0.6911490273610363, "alpha_pos_frac": 0.5492957746478874, "fund_max_dd": -0.27412059218294005, "first": "2020-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vea +0.18, vwo +0.07, iwm +0.07, qqq +0.11, vweax +0.11", "ref_full": "ivv +0.40, vea +0.19, qqq +0.13, iwm +0.07, vwo +0.07, vblix +0.04" }, "rimox": { "sym": "rimox", "name": "City National Rochdale Fixed Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011682086311741733, "alpha_t_5y": -0.15377434488170486, "alpha_t_full": 1.0677832449608735, "r2_5y": 0.5105531293966044, "r2_full": 0.5542051883467141, "corr_portfolio": 0.32423120824442364, "corr_benchmark": 0.33945327811493287, "alpha_pos_frac": 0.595, "fund_max_dd": -0.23609988739649201, "first": "2009-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, vwo +0.02", "ref_full": "vweax +0.49, vea +0.09, qqq -0.04, ivv +0.05, vwo +0.02, efa -0.08" }, "rinyx": { "sym": "rinyx", "name": "International Developed Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009015913870230055, "alpha_t_5y": 0.5170793976744403, "alpha_t_full": -1.1986806016405067, "r2_5y": 0.9236968153179959, "r2_full": 0.8981600035241492, "corr_portfolio": 0.4305475111042152, "corr_benchmark": 0.503889691794077, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.675106524997682, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.52, fxe +0.14, vweax +0.26, qqq -0.06, vea +0.34, tlt -0.04", "ref_full": "vea +1.04, vweax +0.32, ivv -0.10, fxe +0.08, tlt -0.03, efa -0.13" }, "rivjx": { "sym": "rivjx", "name": "American Funds International Vantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013522297709935422, "alpha_t_5y": -0.7019008274850039, "alpha_t_full": -0.19260831827913175, "r2_5y": 0.9135315339379497, "r2_full": 0.9174895037557972, "corr_portfolio": 0.23871083542100527, "corr_benchmark": 0.6069684399145011, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.3115533219142145, "first": "2019-11-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.78, qqq +0.19, ivv -0.21, vweax +0.19, vwo +0.06, fxe +0.09", "ref_full": "efa +0.75, qqq +0.23, ivv -0.26, vweax +0.19, fxe +0.14, vwo +0.05" }, "rlvsx": { "sym": "rlvsx", "name": "Tax-Exempt Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012094766155293169, "alpha_t_5y": -1.1075817213804904, "alpha_t_full": 1.5071502215880321, "r2_5y": 0.24977184705681943, "r2_full": 0.19267164736451436, "corr_portfolio": 0.04867067174009816, "corr_benchmark": 0.28177417043542763, "alpha_pos_frac": 0.5258964143426295, "fund_max_dd": -0.11761075673739763, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.26, ief +0.07, ivv -0.06, vnq +0.02, vwo +0.02", "ref_full": "agg +0.07, vweax +0.15, fxy +0.03, ief +0.05, gsg -0.01, vnq +0.01" }, "rmbhx": { "sym": "rmbhx", "name": "RMB Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03503609730950833, "alpha_t_5y": -1.9278720670144487, "alpha_t_full": -0.21852037459380924, "r2_5y": 0.9347759394292388, "r2_full": 0.7169197082228602, "corr_portfolio": 0.20160167121440212, "corr_benchmark": 0.5028047787872559, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.5288259342309172, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, gsg -0.03, vnq +0.04", "ref_full": "ivv +0.79, vnq -0.06, qqq +0.10, iwm +0.07, djp +0.04, agg +0.11" }, "rmdax": { "sym": "rmdax", "name": "Virtus Silvant Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052088040893137046, "alpha_t_5y": -1.3629780381514236, "alpha_t_full": -1.1293636208877422, "r2_5y": 0.8627192983663606, "r2_full": 0.8974942180543986, "corr_portfolio": 0.16138592176180297, "corr_benchmark": 0.59596854125466, "alpha_pos_frac": 0.5259515570934256, "fund_max_dd": -0.5587090875890496, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.06, iwm +0.48, qqq +0.63", "ref_full": "ivv +0.25, iwm +0.40, qqq +0.41, vnq -0.05, vwo +0.05, agg +0.12" }, "rmeax": { "sym": "rmeax", "name": "Aspiriant Risk-Managed Equity Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005246783663257761, "alpha_t_5y": 0.2599807500477614, "alpha_t_full": 0.20829719926732, "r2_5y": 0.8184367404271204, "r2_full": 0.8235238797931902, "corr_portfolio": 0.3321602753243598, "corr_benchmark": 0.5795871335729402, "alpha_pos_frac": 0.5225806451612903, "fund_max_dd": -0.262283305575415, "first": "2013-04-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.57, vwo +0.13, efa +0.12, iwm -0.05, qqq -0.09, ief +0.06", "ref_full": "ivv +0.39, vwo +0.12, efa +0.15, gsg -0.03, fxy +0.05, vnq -0.02" }, "rmgsx": { "sym": "rmgsx", "name": "Multi-Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006412719435876749, "alpha_t_5y": -0.5084316883611004, "alpha_t_full": -1.046422528429395, "r2_5y": 0.9118676217577494, "r2_full": 0.8599243604962132, "corr_portfolio": 0.28617694427432555, "corr_benchmark": 0.7058965464128752, "alpha_pos_frac": 0.5648148148148148, "fund_max_dd": -0.24927812505440505, "first": "2017-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.20, ivv +0.26, vmbix +0.26, vnq +0.05, vweax +0.13, vwo +0.04", "ref_full": "vea +0.28, agg +0.33, ivv +0.24, vnq +0.04, vweax +0.18, qqq -0.07" }, "rmhyx": { "sym": "rmhyx", "name": "Long Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001942237910907273, "alpha_t_5y": 0.1394837969733335, "alpha_t_full": -0.1988661504289442, "r2_5y": 0.792942033198298, "r2_full": 0.7792353835415129, "corr_portfolio": -0.07219643445808555, "corr_benchmark": 0.6861968593642135, "alpha_pos_frac": 0.52, "fund_max_dd": -0.19311676550762102, "first": "2019-11-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.44, tlt +0.15, vmbix +0.26, qqq -0.03, vnq +0.04, gsg -0.01", "ref_full": "vblix +0.22, vmbix +0.38, vnq +0.05, qqq -0.02, ief +0.16" }, "rmlax": { "sym": "rmlax", "name": "Moderate Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00957173213136495, "alpha_t_5y": -1.4342261921400632, "alpha_t_full": -2.4892814654269793, "r2_5y": 0.9590367099653732, "r2_full": 0.8993720635904087, "corr_portfolio": 0.29934569908521036, "corr_benchmark": 0.7529785896718303, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.340804450040321, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.28, agg +0.46, vea +0.12, iwm +0.05, qqq -0.05, vweax +0.09", "ref_full": "vea +0.17, agg +0.11, iwm +0.08, vweax +0.20, ief +0.20, ivv +0.10" }, "rmmbx": { "sym": "rmmbx", "name": "Aspiriant Risk-Managed Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009922198465432904, "alpha_t_5y": -0.8477825051801308, "alpha_t_full": 0.41576925361738826, "r2_5y": 0.2610446295604655, "r2_full": 0.27260921354772427, "corr_portfolio": 0.04501592008273409, "corr_benchmark": 0.29884816268154546, "alpha_pos_frac": 0.578125, "fund_max_dd": -0.12539567437155408, "first": "2015-07-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.07, vweax +0.23, ivv -0.04, vnq +0.02", "ref_full": "vweax +0.07, vblix +0.33, tlt -0.20, fxy +0.04, gsg -0.01, vnq +0.01" }, "rmqhx": { "sym": "rmqhx", "name": "Monthly Rebalance NASDAQ-100 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025934789084335573, "alpha_t_5y": -0.04464130874773164, "alpha_t_full": 0.03170771178263908, "r2_5y": 0.9183984091993759, "r2_full": 0.9522285641364838, "corr_portfolio": 0.1349769275905362, "corr_benchmark": 0.5998313937885955, "alpha_pos_frac": 0.3851851851851852, "fund_max_dd": -0.632084489649473, "first": "2014-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +2.05", "ref_full": "qqq +1.97, ivv +0.13" }, "rmtbx": { "sym": "rmtbx", "name": "Aspiriant Risk-Managed Taxable Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001435572476100862, "alpha_t_5y": -0.1555186927735442, "alpha_t_full": 0.4224479796313208, "r2_5y": 0.7655196514144595, "r2_full": 0.7320196347170396, "corr_portfolio": -0.03208952070353721, "corr_benchmark": 0.6643902462725825, "alpha_pos_frac": 0.6210526315789474, "fund_max_dd": -0.1626084469015825, "first": "2018-04-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.14, vweax +0.13, vmbix +0.15, ief +0.16, vea +0.02, vblix +0.05", "ref_full": "vmbix +0.18, vblix +0.31, tlt -0.19, ief +0.21, efa +0.02, fxy +0.03" }, "rmuyx": { "sym": "rmuyx", "name": "Invesco Rochester New York Municipals Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006975477420036463, "alpha_t_5y": -0.33715146007352115, "alpha_t_full": 0.3416510541185724, "r2_5y": 0.39733360920382643, "r2_full": 0.2486109020991173, "corr_portfolio": 0.03663158362547584, "corr_benchmark": 0.3532241073339083, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.36351925076473, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.52, vblix +0.37, ivv -0.20, vnq +0.06, tlt -0.18, qqq +0.06", "ref_full": "vweax +0.44, ief +0.12, agg +0.17, efa -0.02, fxy +0.04" }, "rmycx": { "sym": "rmycx", "name": "Multi-Strategy Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015183054764484004, "alpha_t_5y": -1.219445257941844, "alpha_t_full": -1.383096577432046, "r2_5y": 0.8711102276542378, "r2_full": 0.833659845185837, "corr_portfolio": 0.3005398554233332, "corr_benchmark": 0.6827804983624604, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.22849181174343125, "first": "2015-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vea +0.21, vmbix +0.37, vnq +0.07, ivv +0.24, qqq -0.10, vweax +0.15", "ref_full": "vea +0.23, agg +0.19, vnq +0.06, vweax +0.24, iwm +0.05, vmbix +0.17" }, "roam": { "sym": "roam", "name": "Hartford Multifactor Emerging Markets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.043545888652051584, "alpha_t_5y": 1.9864549213269114, "alpha_t_full": -0.1289170778361237, "r2_5y": 0.8905942299700517, "r2_full": 0.7674927753970283, "corr_portfolio": 0.2847443427038812, "corr_benchmark": 0.4853419241716439, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.4546292960708469, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.60, vea +1.10, efa -0.84", "ref_full": "vwo +0.59, vea +0.90, efa -0.69, agg +0.66, ief -0.46, gld +0.05" }, "rodm": { "sym": "rodm", "name": "Hartford Multifactor Developed Markets (ex-US) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027148123493924883, "alpha_t_5y": 1.902861958694369, "alpha_t_full": 0.822485829781441, "r2_5y": 0.9348460180135905, "r2_full": 0.804580426809329, "corr_portfolio": 0.3714959774555879, "corr_benchmark": 0.5167051065529216, "alpha_pos_frac": 0.48484848484848486, "fund_max_dd": -0.3598115542910316, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.70, vnq +0.06, fxe +0.14, qqq -0.12, ivv +0.14, djp +0.03", "ref_full": "efa +0.45, vnq +0.08, fxe +0.08, vweax +0.14, vea +0.28, qqq -0.03" }, "rokt": { "sym": "rokt", "name": "State Street(R) SPDR(R) S&P Kensho Final Frontiers ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07307827133067353, "alpha_t_5y": 1.270957892269991, "alpha_t_full": 1.2394151658958013, "r2_5y": 0.6595690299907736, "r2_full": 0.7183621362355006, "corr_portfolio": 0.2584759111568887, "corr_benchmark": 0.5162343403507579, "alpha_pos_frac": 0.4772727272727273, "fund_max_dd": -0.4316270722377138, "first": "2018-10-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.65, ivv +0.61, gld +0.17, vnq -0.15, qqq -0.19, fxe -0.17", "ref_full": "iwm +0.60, ivv +0.80, qqq -0.34, gld +0.12, vnq -0.09" }, "rosc": { "sym": "rosc", "name": "Hartford Multifactor Small Cap ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.048661024174370536, "alpha_t_5y": 1.8472804035704613, "alpha_t_full": 0.9265127359735732, "r2_5y": 0.8954952312556275, "r2_full": 0.7621069447340991, "corr_portfolio": 0.33489167379260476, "corr_benchmark": 0.48458092416636583, "alpha_pos_frac": 0.4961832061068702, "fund_max_dd": -0.4312814686359233, "first": "2015-03-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq -0.39, ivv +0.47, gld -0.07", "ref_full": "iwm +0.68, vnq +0.04, qqq -0.29, ivv +0.38, fxe +0.11, vweax +0.18" }, "rous": { "sym": "rous", "name": "Hartford Multifactor US Equity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02033675687418133, "alpha_t_5y": 1.1474930378670105, "alpha_t_full": 0.26085718942599956, "r2_5y": 0.912970742410192, "r2_full": 0.804675086406228, "corr_portfolio": 0.3294209282506615, "corr_benchmark": 0.5524819702644298, "alpha_pos_frac": 0.4772727272727273, "fund_max_dd": -0.3551066979006904, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq -0.26, iwm +0.12, vnq +0.04", "ref_full": "ivv +0.93, qqq -0.23, iwm +0.17, vwo -0.07, vweax +0.17" }, "rpbax": { "sym": "rpbax", "name": "T. Rowe Price Balanced Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007635140761232074, "alpha_t_5y": -1.1460063126433975, "alpha_t_full": -0.7609800132443717, "r2_5y": 0.9787564900778011, "r2_full": 0.9700514540578281, "corr_portfolio": 0.30741828004474064, "corr_benchmark": 0.6673396322125112, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.4084315299627802, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vea +0.08, agg +0.26, vweax +0.08, efa +0.12, iwm +0.02", "ref_full": "ivv +0.36, efa +0.19, ief +0.14, vweax +0.13, qqq +0.06, iwm +0.03" }, "rpfix": { "sym": "rpfix", "name": "Royce Premier Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015623623808098877, "alpha_t_5y": -0.5311524149837709, "alpha_t_full": 0.37675577131164123, "r2_5y": 0.8781826483874362, "r2_full": 0.8865676898654659, "corr_portfolio": 0.28508784181307295, "corr_benchmark": 0.5306477209931296, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5138866962516013, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.63, ivv +0.47, qqq -0.20, gsg -0.05, vea +0.10", "ref_full": "iwm +0.63, ivv +0.32, efa +0.10, vnq -0.05, djp +0.04, qqq -0.08" }, "rpgax": { "sym": "rpgax", "name": "T. Rowe Price Global Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009275869739162073, "alpha_t_5y": -1.1623381352795445, "alpha_t_full": 0.09045104915682793, "r2_5y": 0.9600992624798277, "r2_full": 0.934609708933083, "corr_portfolio": 0.32895422170119604, "corr_benchmark": 0.6262946395967832, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.24420286073914632, "first": "2013-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.25, vea +0.17, vblix +0.06, iwm +0.06, vwo +0.07, vweax +0.10", "ref_full": "ivv +0.25, vea +0.18, vblix +0.37, tlt -0.24, vwo +0.06, iwm +0.05" }, "rpgex": { "sym": "rpgex", "name": "T. Rowe Price Global Growth Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05109987455032343, "alpha_t_5y": -2.686135222002158, "alpha_t_full": -1.2009111705340427, "r2_5y": 0.9340084899781783, "r2_full": 0.941092787826117, "corr_portfolio": 0.2226134934664939, "corr_benchmark": 0.6021993657481696, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3967230494881442, "first": "2008-10-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.39, vea +0.14, vwo +0.19, iwm +0.09, ivv +0.11, vweax +0.11", "ref_full": "ivv +0.23, vwo +0.18, qqq +0.27, vea +0.22, vweax +0.16, iwm +0.06" }, "rpgix": { "sym": "rpgix", "name": "T. Rowe Price Global Industrials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028439375734003167, "alpha_t_5y": -1.036520903591619, "alpha_t_full": -0.03233133257549535, "r2_5y": 0.8912841767778236, "r2_full": 0.9051924744901989, "corr_portfolio": 0.33349915902714317, "corr_benchmark": 0.5609579050380327, "alpha_pos_frac": 0.47297297297297297, "fund_max_dd": -0.37910879875344283, "first": "2013-10-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.60, iwm +0.26, ivv +0.32, vnq -0.08, fxy -0.09, djp -0.04", "ref_full": "vea +0.54, iwm +0.26, ivv +0.30, vnq -0.07, vweax +0.17, gsg -0.03" }, "rpgrx": { "sym": "rpgrx", "name": "T. Rowe Price Target 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010227008667369562, "alpha_t_5y": -1.2531147863106171, "alpha_t_full": -0.15975664533764616, "r2_5y": 0.9668302651556551, "r2_full": 0.9081477359893633, "corr_portfolio": 0.2999280457369745, "corr_benchmark": 0.6306955546981389, "alpha_pos_frac": 0.5266666666666666, "fund_max_dd": -0.2673990922785273, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.33, vea +0.15, agg +0.18, iwm +0.07, vwo +0.05, vweax +0.10", "ref_full": "ivv +0.32, vea +0.21, iwm +0.10, ief +0.58, agg -0.65, vweax +0.16" }, "rpibx": { "sym": "rpibx", "name": "T. Rowe Price International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01267060174587144, "alpha_t_5y": -1.1711872626605828, "alpha_t_full": 0.3705967370806652, "r2_5y": 0.885142631333826, "r2_full": 0.8703239905353866, "corr_portfolio": 0.026761721306655967, "corr_benchmark": 0.41669572416061335, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3345662907055832, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "fxe +0.47, ief +0.24, fxy +0.24, vweax +0.36, vwo +0.04, qqq -0.02", "ref_full": "fxe +0.49, fxy +0.29, vweax +0.22, ief +0.19, vwo +0.03, gld +0.02" }, "rpidx": { "sym": "rpidx", "name": "T. Rowe Price Dynamic Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005034357398282388, "alpha_t_5y": 0.342728015534981, "alpha_t_full": 1.0206457282784902, "r2_5y": 0.16356216136286594, "r2_full": 0.21749288383010146, "corr_portfolio": 0.12417678734045792, "corr_benchmark": -0.07364411016754904, "alpha_pos_frac": 0.47674418604651164, "fund_max_dd": -0.19941530849588673, "first": "2019-01-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.15, tlt -0.37, vblix +0.39, efa -0.04", "ref_full": "vweax +0.46, agg -0.40, efa -0.05, fxy +0.06, ief +0.16" }, "rpiex": { "sym": "rpiex", "name": "T. Rowe Price Dynamic Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022121679649992523, "alpha_t_5y": -1.2574461024531627, "alpha_t_full": 0.37084883136597324, "r2_5y": 0.24983988070781082, "r2_full": 0.17676880303028175, "corr_portfolio": 0.11667815308115295, "corr_benchmark": -0.34119066590800423, "alpha_pos_frac": 0.49624060150375937, "fund_max_dd": -0.09535800155604779, "first": "2015-01-23", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "agg -0.42, vweax +0.18, qqq -0.06, vwo +0.05", "ref_full": "vmbix -0.17, qqq -0.05, vweax +0.16, gld +0.04, ief -0.13, djp -0.03" }, "rpifx": { "sym": "rpifx", "name": "T. Rowe Price Institutional Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021019245691407118, "alpha_t_5y": 2.4855886518512995, "alpha_t_full": 3.070814641384793, "r2_5y": 0.44683419865172813, "r2_full": 0.5505817608509271, "corr_portfolio": 0.26976022394127364, "corr_benchmark": 0.1694682513518322, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.22533270761197488, "first": "2008-02-04", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vweax +0.45, vmbix -0.10, fxe -0.03, iwm -0.01", "ref_full": "vweax +0.54, qqq -0.02, ief -0.05" }, "rpihx": { "sym": "rpihx", "name": "T. Rowe Price Global High Income Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014376653634829832, "alpha_t_5y": 0.16375390329747921, "alpha_t_full": 1.5146375270919339, "r2_5y": 0.750369717776098, "r2_full": 0.7099285390353565, "corr_portfolio": 0.2781893824459559, "corr_benchmark": 0.24510989502418762, "alpha_pos_frac": 0.5488721804511278, "fund_max_dd": -0.2377319643782808, "first": "2015-01-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.62, vmbix +0.01, vblix +0.43, tlt -0.27, agg -0.23", "ref_full": "vweax +0.67, agg -0.83, vblix +0.51, tlt -0.27, ief +0.23, vmbix +0.16" }, "rplcx": { "sym": "rplcx", "name": "T. Rowe Price Institutional Long Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0040040105768958, "alpha_t_5y": 0.5832277215394149, "alpha_t_full": 0.44420237555979997, "r2_5y": 0.9796489784371698, "r2_full": 0.9367787447198646, "corr_portfolio": -0.06594248358859238, "corr_benchmark": 0.673703551409502, "alpha_pos_frac": 0.5228758169934641, "fund_max_dd": -0.3444441902574842, "first": "2013-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.99, vweax +0.19, tlt -0.11, vwo +0.01, gld -0.01", "ref_full": "vblix +1.38, tlt -0.35, agg -0.83, vmbix +0.25, ief +0.33, ivv +0.03" }, "rpmgx": { "sym": "rpmgx", "name": "T. Rowe Price Mid-Cap Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06455248546879387, "alpha_t_5y": -2.505579501291613, "alpha_t_full": -0.5495623943210034, "r2_5y": 0.8881007522739893, "r2_full": 0.9295152634842686, "corr_portfolio": 0.218945077621003, "corr_benchmark": 0.6107897819432737, "alpha_pos_frac": 0.5646551724137931, "fund_max_dd": -0.5466162033830317, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.34, iwm +0.33, vnq +0.12, qqq +0.16, djp -0.03", "ref_full": "ivv +0.35, iwm +0.33, qqq +0.16, efa +0.08, vweax +0.09, agg +0.08" }, "rpsix": { "sym": "rpsix", "name": "T. Rowe Price Spectrum Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007263606516892175, "alpha_t_5y": -1.122084230114131, "alpha_t_full": -0.010429629174957187, "r2_5y": 0.8710530096597404, "r2_full": 0.805239598867886, "corr_portfolio": 0.262270579680245, "corr_benchmark": 0.6753342364119375, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.16702195872028036, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.45, agg +0.34, vea +0.04, vnq +0.00, qqq -0.07, ivv +0.09", "ref_full": "vweax +0.37, efa +0.05, ief +0.22, vnq +0.03, fxe +0.06, ivv +0.04" }, "rpxfx": { "sym": "rpxfx", "name": "RiverPark Large Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08700278321206799, "alpha_t_5y": -1.9265521202777731, "alpha_t_full": -2.079387469507541, "r2_5y": 0.8258447482152989, "r2_full": 0.8299582101432581, "corr_portfolio": 0.0843260902763514, "corr_benchmark": 0.5868939912563836, "alpha_pos_frac": 0.5621621621621622, "fund_max_dd": -0.5470173878312041, "first": "2010-10-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.85, iwm +0.14, vweax +0.37, gld -0.07, vnq +0.08", "ref_full": "qqq +0.62, iwm +0.14, ivv +0.26, vweax +0.16, agg +0.12" }, "rresx": { "sym": "rresx", "name": "Global Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02435910910817416, "alpha_t_5y": -1.396952658442163, "alpha_t_full": -0.9106841764429309, "r2_5y": 0.9314422837046633, "r2_full": 0.9470893158099866, "corr_portfolio": 0.2940919552597706, "corr_benchmark": 0.5866641261198777, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.7209020128032846, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.72, vea +0.24, ivv -0.08, vweax +0.15, fxe +0.07, iwm -0.03", "ref_full": "vnq +0.83, efa +0.22, ivv -0.14, agg -0.36, tlt +0.08, vwo +0.05" }, "rrfax": { "sym": "rrfax", "name": "Federated Hermes Inflation Protected Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001389086623710332, "alpha_t_5y": -0.10530617787383968, "alpha_t_full": -0.48771027561241254, "r2_5y": 0.7297613858742629, "r2_full": 0.5285720883734426, "corr_portfolio": -0.060654328894196155, "corr_benchmark": 0.5703627956665243, "alpha_pos_frac": 0.5344827586206896, "fund_max_dd": -0.150139171167458, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.45, djp +0.06, agg +0.28", "ref_full": "ief +0.48, gsg +0.04, vweax +0.14, agg +0.13, fxe +0.03, iwm +0.01" }, "rrgax": { "sym": "rrgax", "name": "DWS RREEF Global Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01789943085289973, "alpha_t_5y": -1.0577962862067867, "alpha_t_full": -2.192240593487022, "r2_5y": 0.934667948915014, "r2_full": 0.9239374867049188, "corr_portfolio": 0.2993945116733992, "corr_benchmark": 0.5931261134814287, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.7188186113046003, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.72, vea +0.25, ivv -0.07, vweax +0.13, iwm -0.04", "ref_full": "vnq +0.50, efa +0.32, vweax +0.28, vwo +0.05, qqq -0.04, tlt +0.03" }, "rrpax": { "sym": "rrpax", "name": "SIIT Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0052098739444484, "alpha_t_5y": 0.6413724183318519, "alpha_t_full": -0.5542933853516137, "r2_5y": 0.617098695870512, "r2_full": 0.4167311037025102, "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", "alpha_name": true, "ref_5y": "vmbix +0.03, djp +0.02, ief +0.40, tlt -0.14, gsg +0.02, agg +0.17", "ref_full": "ief +0.46, gsg +0.03, tlt -0.10, vweax +0.06, agg +0.06, fxe +0.02" }, "rrrax": { "sym": "rrrax", "name": "DWS RREEF Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005160567417787523, "alpha_t_5y": 0.04101430126286697, "alpha_t_full": 0.18778441386005662, "r2_5y": 0.9731939822941107, "r2_full": 0.9754103989572456, "corr_portfolio": 0.2349872403414556, "corr_benchmark": 0.5646195970385683, "alpha_pos_frac": 0.48249027237354086, "fund_max_dd": -0.7373390595610532, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.02, iwm -0.06", "ref_full": "vnq +1.03, agg -0.22, iwm -0.05, tlt +0.04, efa +0.03" }, "rseax": { "sym": "rseax", "name": "U.S. Strategic Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025117568758445726, "alpha_t_5y": -2.0357504810785265, "alpha_t_full": -1.5812134319626874, "r2_5y": 0.9700596373236934, "r2_full": 0.9553150422916712, "corr_portfolio": 0.2747160915435948, "corr_benchmark": 0.6073229497043684, "alpha_pos_frac": 0.4876543209876543, "fund_max_dd": -0.34365332104906987, "first": "2012-08-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.83, iwm +0.10, qqq +0.05", "ref_full": "ivv +0.83, iwm +0.11, qqq +0.04, vnq -0.02, vweax +0.06" }, "rseix": { "sym": "rseix", "name": "Royce Small-Cap Special Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03537240305914912, "alpha_t_5y": 1.0832802666255046, "alpha_t_full": 1.3814257775508187, "r2_5y": 0.7801543664813777, "r2_full": 0.8611650852085375, "corr_portfolio": 0.31448821921016257, "corr_benchmark": 0.4465564714557482, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.43212417306994444, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.61, qqq -0.38, ivv +0.51, gld -0.06", "ref_full": "iwm +0.69, agg -0.12, qqq -0.16, ivv +0.20, gld -0.03, gsg -0.02" }, "rsqax": { "sym": "rsqax", "name": "Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011017453420741114, "alpha_t_5y": 0.6508404108616871, "alpha_t_full": 0.47561745005413014, "r2_5y": 0.9212071558588162, "r2_full": 0.9552779972827008, "corr_portfolio": 0.38271519676565846, "corr_benchmark": 0.5474554338806844, "alpha_pos_frac": 0.5047619047619047, "fund_max_dd": -0.47988287704787036, "first": "2008-09-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.19, qqq -0.54, iwm +0.12, efa +0.10, vnq +0.06", "ref_full": "ivv +0.91, qqq -0.23, iwm +0.14, efa +0.11, tlt -0.04, vnq +0.03" }, "rtdyx": { "sym": "rtdyx", "name": "Multifactor U.S. Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00017973645421082182, "alpha_t_5y": 0.018291464395218556, "alpha_t_full": -0.21810827102266256, "r2_5y": 0.9804617588207625, "r2_full": 0.9723655154076208, "corr_portfolio": 0.30100765120358636, "corr_benchmark": 0.6066548604416244, "alpha_pos_frac": 0.539568345323741, "fund_max_dd": -0.3621933828419084, "first": "2014-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.99, iwm +0.09, qqq -0.07, vnq -0.02", "ref_full": "ivv +0.95, iwm +0.10, qqq -0.05, vnq -0.02" }, "rthax": { "sym": "rthax", "name": "Tax-Exempt High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00691462547917447, "alpha_t_5y": -0.398455228138847, "alpha_t_full": 0.76591739422698, "r2_5y": 0.29402154358644483, "r2_full": 0.27744263786569334, "corr_portfolio": 0.06617165726326281, "corr_benchmark": 0.30654367021320644, "alpha_pos_frac": 0.5968992248062015, "fund_max_dd": -0.1887202424335751, "first": "2015-06-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.21, vweax +0.43, ivv -0.09, vnq +0.03", "ref_full": "vweax +0.36, agg +0.17, fxy +0.05, gsg -0.02, qqq -0.02, vnq +0.02" }, "rtiyx": { "sym": "rtiyx", "name": "Multifactor International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017735292093557706, "alpha_t_5y": 1.2047161584610646, "alpha_t_full": 0.21264534081779365, "r2_5y": 0.9464838582293442, "r2_full": 0.9353926508838253, "corr_portfolio": 0.4133232703624738, "corr_benchmark": 0.5176198189377608, "alpha_pos_frac": 0.4748201438848921, "fund_max_dd": -0.38057997174936475, "first": "2014-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.45, fxe +0.15, vea +0.41, qqq -0.09, ivv +0.09, vweax +0.10", "ref_full": "vea +0.48, qqq -0.07, vweax +0.19, efa +0.43, fxe +0.07, gsg +0.01" }, "rtnax": { "sym": "rtnax", "name": "Tax-Managed International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008401389066636546, "alpha_t_5y": -0.46444312148865374, "alpha_t_full": -0.8025070174720969, "r2_5y": 0.9183236770963285, "r2_full": 0.922375697994931, "corr_portfolio": 0.3973499471047391, "corr_benchmark": 0.5192215287077078, "alpha_pos_frac": 0.4883720930232558, "fund_max_dd": -0.38928527054038764, "first": "2015-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.64, vwo +0.24, vweax +0.22, qqq -0.04, tlt -0.03, fxe +0.07", "ref_full": "vea +0.71, vwo +0.19, vweax +0.28, qqq -0.05, vnq -0.02, tlt -0.02" }, "rtrix": { "sym": "rtrix", "name": "Royce Small-Cap Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019483763708025185, "alpha_t_5y": 0.6343919387710217, "alpha_t_full": 0.8161305867304681, "r2_5y": 0.8709029398632978, "r2_full": 0.9288021275740742, "corr_portfolio": 0.3573449035149145, "corr_benchmark": 0.4890801371728383, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.542088392114485, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.72, qqq -0.57, ivv +0.81, gld -0.07, efa +0.38, vea -0.32", "ref_full": "iwm +0.69, efa +0.05, qqq -0.31, ivv +0.47, gld -0.02, vweax +0.06" }, "rtssx": { "sym": "rtssx", "name": "Tax-Managed U.S. Mid & Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022129047416415432, "alpha_t_5y": -1.2299252700922088, "alpha_t_full": -0.5704145128756858, "r2_5y": 0.9568134218507225, "r2_full": 0.9419652349920449, "corr_portfolio": 0.28233009025913663, "corr_benchmark": 0.5348264973795547, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5797417307927, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.74, ivv +0.34, qqq -0.14, vea +0.08, gld -0.04", "ref_full": "iwm +0.75, ivv +0.14, vnq +0.03, efa +0.03, vweax +0.07, tlt -0.02" }, "rtxax": { "sym": "rtxax", "name": "Tax-Managed Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015024183317563413, "alpha_t_5y": -0.744367148293187, "alpha_t_full": -0.11989505245543099, "r2_5y": 0.9041073619831319, "r2_full": 0.9361969117796806, "corr_portfolio": 0.34985879855115104, "corr_benchmark": 0.5781944172103002, "alpha_pos_frac": 0.5125, "fund_max_dd": -0.40679505748976275, "first": "2019-06-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.42, vea +0.33, gsg +0.14, iwm +0.08, qqq -0.19, ivv +0.26", "ref_full": "vnq +0.42, vea +0.36, gsg +0.12, iwm +0.07, qqq -0.19, ivv +0.26" }, "rvpix": { "sym": "rvpix", "name": "Royce Smaller-Companies Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006461621685516449, "alpha_t_5y": -0.17184251786237426, "alpha_t_full": -1.9298902340336475, "r2_5y": 0.8864821311336067, "r2_full": 0.9058945299171336, "corr_portfolio": 0.14144256632363947, "corr_benchmark": 0.5621960365501284, "alpha_pos_frac": 0.459915611814346, "fund_max_dd": -0.588157633478885, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.98, qqq +0.63, ivv -0.66, vweax +0.27", "ref_full": "iwm +0.84, qqq +0.32, vnq -0.07, gld +0.08, vweax +0.20, ivv -0.14" }, "ryaix": { "sym": "ryaix", "name": "Inverse NASDAQ-100 Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007017459496303092, "alpha_t_5y": -0.4513908383366885, "alpha_t_full": 0.3856117832655785, "r2_5y": 0.9742970836211464, "r2_full": 0.9485891837423667, "corr_portfolio": -0.14345208469683174, "corr_benchmark": -0.6089802871991201, "alpha_pos_frac": 0.32507739938080493, "fund_max_dd": -0.9877620229826148, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq -1.01", "ref_full": "qqq -1.01" }, "ryavx": { "sym": "ryavx", "name": "S&P MidCap 400 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023386283296665526, "alpha_t_5y": 0.6371502020883199, "alpha_t_full": 0.4464459235569999, "r2_5y": 0.8425255680666377, "r2_full": 0.8795346547478263, "corr_portfolio": 0.35832085443134803, "corr_benchmark": 0.46072986038888475, "alpha_pos_frac": 0.4307692307692308, "fund_max_dd": -0.7309084978670659, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.73, qqq -0.66, ivv +1.01, ief -0.39, vmbix +0.35", "ref_full": "iwm +0.77, vnq +0.11, gsg +0.04, ief -0.14, qqq -0.37, ivv +0.56" }, "ryawx": { "sym": "ryawx", "name": "S&P 500 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05106999675923073, "alpha_t_5y": -1.3063600646227527, "alpha_t_full": -1.600931392369437, "r2_5y": 0.854694750464113, "r2_full": 0.9149289077263538, "corr_portfolio": 0.2153057360716118, "corr_benchmark": 0.5952330639013447, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.537508499950835, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.66, iwm +0.29, vea +1.00, efa -0.85, vmbix -0.20", "ref_full": "ivv +0.43, qqq +0.42, iwm +0.23, djp +0.03, gld +0.02, vnq -0.02" }, "ryazx": { "sym": "ryazx", "name": "S&P SmallCap 600 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06423895785999183, "alpha_t_5y": 1.5506448207119878, "alpha_t_full": 0.4088459045997206, "r2_5y": 0.8404034872213015, "r2_full": 0.8611667057931678, "corr_portfolio": 0.32527134668447655, "corr_benchmark": 0.4274138034085911, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.7821558787717104, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.03, qqq -0.66, ivv +0.69, gld -0.08, djp +0.07", "ref_full": "iwm +1.22, qqq -0.27, vnq +0.11, ief -0.13, gsg +0.06, gld -0.07" }, "rybhx": { "sym": "rybhx", "name": "S&P MidCap 400 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036505210647164506, "alpha_t_5y": -0.7161386048958183, "alpha_t_full": -0.8695345377323621, "r2_5y": 0.7569077255687736, "r2_full": 0.8757854834840072, "corr_portfolio": 0.24623365890269988, "corr_benchmark": 0.5500983936399014, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.5215094426307954, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.67, qqq +0.24, vea +0.14", "ref_full": "iwm +0.62, qqq +0.21, ivv +0.17, djp +0.05" }, "rybix": { "sym": "rybix", "name": "Basic Materials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04159947551624369, "alpha_t_5y": -0.7950785653798059, "alpha_t_full": -0.9786045355527926, "r2_5y": 0.7178948973208841, "r2_full": 0.8110564103343846, "corr_portfolio": 0.3154888059401679, "corr_benchmark": 0.4874474391597668, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.6565762317059463, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.43, iwm +0.35, gld +0.35, ief -0.22, qqq -0.54, ivv +0.86", "ref_full": "efa +0.22, iwm +0.35, gld +0.30, vwo +0.17, djp +0.15, ivv +0.23" }, "rycix": { "sym": "rycix", "name": "Consumer Products Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.20363435140244127, "alpha_t_5y": -1.583987625527389, "alpha_t_full": -1.282777640913803, "r2_5y": 0.07525218209524198, "r2_full": 0.31492527067772624, "corr_portfolio": 0.1674674490504737, "corr_benchmark": 0.2633443175176476, "alpha_pos_frac": 0.6186770428015564, "fund_max_dd": -0.7521508251745724, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.13, ivv +1.01, qqq -0.53", "ref_full": "ivv +0.95, qqq -0.31" }, "rydhx": { "sym": "rydhx", "name": "Dow Jones Industrial Average Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0185408175467463, "alpha_t_5y": -1.0371638530990062, "alpha_t_full": -0.6022423799008951, "r2_5y": 0.9163430004556551, "r2_full": 0.9392628641006066, "corr_portfolio": 0.33960340278126827, "corr_benchmark": 0.5782618623419135, "alpha_pos_frac": 0.5121951219512195, "fund_max_dd": -0.3734071452875105, "first": "2015-12-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.47, qqq -0.58, iwm +0.07, gsg -0.03, vnq -0.05, efa +0.04", "ref_full": "ivv +1.44, qqq -0.47, vnq -0.03, efa +0.07, fxe -0.06, gsg -0.02" }, "rydvx": { "sym": "rydvx", "name": "Royce Smid-Cap Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020789718563539467, "alpha_t_5y": 0.6837280851304258, "alpha_t_full": 0.9619869800160823, "r2_5y": 0.8540366807156887, "r2_full": 0.920658959998583, "corr_portfolio": 0.35390008751342444, "corr_benchmark": 0.5340541353047111, "alpha_pos_frac": 0.4860557768924303, "fund_max_dd": -0.5334736927343766, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.50, efa +0.19, vwo -0.04, vnq -0.01, ivv +0.85, qqq -0.48", "ref_full": "iwm +0.53, efa +0.12, ivv +0.46, qqq -0.22, vweax +0.13, vnq +0.03" }, "ryeix": { "sym": "ryeix", "name": "Energy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.032889522702396444, "alpha_t_5y": 0.5215550321398412, "alpha_t_full": 0.244241178113824, "r2_5y": 0.699041598968268, "r2_full": 0.7659746408048886, "corr_portfolio": 0.3368011644876891, "corr_benchmark": 0.2900012745017753, "alpha_pos_frac": 0.46382978723404256, "fund_max_dd": -0.8300874775585978, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.64, iwm +0.53, qqq -0.90, ivv +1.34, vnq -0.18, ief -0.22", "ref_full": "ivv +1.18, gsg +0.57, qqq -0.72, iwm +0.46, vnq -0.19, vwo +0.20" }, "ryeux": { "sym": "ryeux", "name": "Europe 1.25x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0027276415857331194, "alpha_t_5y": -0.1029082233146648, "alpha_t_full": -1.751690026995879, "r2_5y": 0.9089930395517203, "r2_full": 0.9381311079262336, "corr_portfolio": 0.3521791290910052, "corr_benchmark": 0.5142206398509397, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.7550039513373907, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.87, vea -0.63, iwm -0.05, fxy -0.10, fxe +0.14", "ref_full": "efa +1.22, fxe +0.21, fxy -0.11, vnq +0.04, gsg +0.03, vwo -0.04" }, "ryfix": { "sym": "ryfix", "name": "Financial Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008459567997492434, "alpha_t_5y": -0.32207806197099775, "alpha_t_full": -0.37948502169836645, "r2_5y": 0.8827989416825663, "r2_full": 0.9207569155270378, "corr_portfolio": 0.3726882686308296, "corr_benchmark": 0.5049006383672743, "alpha_pos_frac": 0.3735408560311284, "fund_max_dd": -0.6446414605709037, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.24, vnq +0.19, ivv +1.31, qqq -0.65, ief -0.19, vweax +0.21", "ref_full": "vnq +0.22, ivv +1.18, vmbix +0.23, qqq -0.55, iwm +0.25, ief -0.34" }, "rygbx": { "sym": "rygbx", "name": "Government Long Bond 1.2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12344761215735321, "alpha_t_5y": -1.3603241245336677, "alpha_t_full": -1.9113965707292795, "r2_5y": 0.4340970434661301, "r2_full": 0.7012612143775196, "corr_portfolio": -0.17097221281463235, "corr_benchmark": 0.4857418537145877, "alpha_pos_frac": 0.8551236749116607, "fund_max_dd": -0.8484525674397714, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "tlt +1.22", "ref_full": "tlt +1.29" }, "ryhdx": { "sym": "ryhdx", "name": "High Yield Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0062545796441978736, "alpha_t_5y": -0.5637743897585465, "alpha_t_full": -0.6391794639467909, "r2_5y": 0.8776361403155553, "r2_full": 0.5487990439166386, "corr_portfolio": 0.18512632316184438, "corr_benchmark": 0.6399074213619333, "alpha_pos_frac": 0.5088495575221239, "fund_max_dd": -0.23330458032819323, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.16, agg +1.03, vweax +0.32, tlt -0.17, iwm +0.05", "ref_full": "ivv +0.38, agg +0.25, vweax +0.41, fxe +0.09, qqq -0.09, ief +0.15" }, "ryhix": { "sym": "ryhix", "name": "Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010422607180268629, "alpha_t_5y": -0.2525679244006685, "alpha_t_full": 0.11223144823920479, "r2_5y": 0.6234000064882842, "r2_full": 0.7194504574099275, "corr_portfolio": 0.2195172773444874, "corr_benchmark": 0.5252888781521021, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.4126983951437031, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.89, vnq +0.14, qqq -0.34, gsg -0.06, iwm +0.12, ief +0.15", "ref_full": "ivv +0.71, iwm +0.17, vnq -0.06, gsg -0.04, agg +0.18, vwo -0.04" }, "ryhrx": { "sym": "ryhrx", "name": "Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01447129097808171, "alpha_t_5y": -1.3586566377060154, "alpha_t_full": -2.7928455034124737, "r2_5y": 0.9820749562892005, "r2_full": 0.9818584152961864, "corr_portfolio": 0.2599069449746933, "corr_benchmark": 0.5811451535755506, "alpha_pos_frac": 0.5725490196078431, "fund_max_dd": -0.7449571430180212, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.93, iwm +0.11, qqq -0.03, gld -0.01", "ref_full": "vnq +0.92, iwm +0.13, qqq -0.04, gsg +0.01, agg -0.09, tlt +0.03" }, "ryidx": { "sym": "ryidx", "name": "Inverse Dow 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007583363554706919, "alpha_t_5y": -0.20785348173366183, "alpha_t_full": -0.4326188567462884, "r2_5y": 0.9125712406286995, "r2_full": 0.8770688919879661, "corr_portfolio": -0.3568752990730586, "corr_benchmark": -0.5583246175624159, "alpha_pos_frac": 0.40425531914893614, "fund_max_dd": -0.9977647109135068, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -2.99, qqq +1.16, iwm -0.15, gsg +0.07, vnq +0.09", "ref_full": "ivv -2.35, qqq +0.54, djp +0.06, vnq +0.05, efa -0.13, fxe +0.13" }, "ryiex": { "sym": "ryiex", "name": "Emerging Markets Bond Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024295849654071663, "alpha_t_5y": -1.3652475648063276, "alpha_t_full": -2.293952414212062, "r2_5y": 0.7816550063465861, "r2_full": 0.6879820197718771, "corr_portfolio": 0.14761560540438484, "corr_benchmark": 0.7251045938969345, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.31323032538819906, "first": "2013-10-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.91, efa +0.28, vweax +0.30, ivv +0.09, vwo +0.05, vea -0.21", "ref_full": "agg +0.89, vea +0.07, vweax +0.33, vwo +0.11, vnq +0.05, gsg +0.02" }, "ryiix": { "sym": "ryiix", "name": "Internet Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0716301297585291, "alpha_t_5y": -1.4661556562555134, "alpha_t_full": -1.7829323203695127, "r2_5y": 0.8152661524163476, "r2_full": 0.8660526017175725, "corr_portfolio": 0.05676830455644713, "corr_benchmark": 0.5612776562905989, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.9294117637373788, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.85, iwm +0.28, vwo +0.39, vea -1.53, efa +1.09, vweax +0.45", "ref_full": "qqq +1.03, iwm +0.25, ivv -0.39, vwo +0.11, vweax +0.10" }, "ryilx": { "sym": "ryilx", "name": "Inverse High Yield Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023535320868312656, "alpha_t_5y": -2.027131346438166, "alpha_t_full": -1.422074674184187, "r2_5y": 0.859259152202947, "r2_full": 0.4565988778456692, "corr_portfolio": -0.15955843994481447, "corr_benchmark": -0.5923984568617205, "alpha_pos_frac": 0.4690265486725664, "fund_max_dd": -0.7720956244530393, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.15, agg -1.02, vweax -0.28, tlt +0.16, iwm -0.05", "ref_full": "ivv -0.28, agg -0.19, vweax -0.37, fxy -0.07, ief -0.39, tlt +0.11" }, "ryipx": { "sym": "ryipx", "name": "Royce International Premier Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08847195232062144, "alpha_t_5y": -2.8405941824443017, "alpha_t_full": -1.0712173204885058, "r2_5y": 0.766678410484339, "r2_full": 0.7988618651281896, "corr_portfolio": 0.30479252192677375, "corr_benchmark": 0.5273194268724494, "alpha_pos_frac": 0.5604395604395604, "fund_max_dd": -0.42142993453610167, "first": "2011-01-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.24, vweax +0.52, fxe +0.29, qqq +0.08, fxy +0.10, efa +0.31", "ref_full": "vea +0.53, vweax +0.53, fxe +0.23, fxy +0.11, qqq +0.05, vwo +0.03" }, "ryiux": { "sym": "ryiux", "name": "Inverse Russell 2000 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02459604572271559, "alpha_t_5y": -1.3885241850123489, "alpha_t_full": -2.0965925689381706, "r2_5y": 0.9913153736601867, "r2_full": 0.9899538206675546, "corr_portfolio": -0.2554876338696516, "corr_benchmark": -0.5427799551665344, "alpha_pos_frac": 0.0759493670886076, "fund_max_dd": -0.9993843930452287, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm -1.99", "ref_full": "vmbix +0.15, iwm -1.99, agg -0.44, ief +0.24, ivv -0.04, vweax +0.07" }, "ryjsx": { "sym": "ryjsx", "name": "Japan 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0621289510638932, "alpha_t_5y": -0.6776151404461234, "alpha_t_full": -0.6660309744494108, "r2_5y": 0.7366211551883094, "r2_full": 0.737700246570335, "corr_portfolio": 0.2875627431646096, "corr_benchmark": 0.5088547154294694, "alpha_pos_frac": 0.5046296296296297, "fund_max_dd": -0.7840921297577559, "first": "2008-02-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +2.29, qqq +0.80, vnq -0.25, fxe -0.97, fxy +0.41, ivv -0.80", "ref_full": "vea +1.79, fxe -0.60, ief +0.52, qqq +0.26, vnq -0.16, gsg -0.09" }, "ryjux": { "sym": "ryjux", "name": "Inverse Government Long Bond Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007187557716958526, "alpha_t_5y": -0.056228253840840035, "alpha_t_full": -1.2057792043837745, "r2_5y": 0.9645370146852464, "r2_full": 0.9549598250689058, "corr_portfolio": 0.20208840195214578, "corr_benchmark": -0.6149898734328798, "alpha_pos_frac": 0.3872832369942196, "fund_max_dd": -0.8457711527599938, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt -0.85, agg +0.29, vblix -0.33, efa +0.03", "ref_full": "tlt -1.02, iwm +0.02, ief -0.19, agg +0.11, fxe -0.02" }, "rykix": { "sym": "rykix", "name": "Banking Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017423626300656022, "alpha_t_5y": 0.3249030089906629, "alpha_t_full": 0.7851473907761225, "r2_5y": 0.7443205804040616, "r2_full": 0.7274027642637702, "corr_portfolio": 0.38267717342243734, "corr_benchmark": 0.3338619222694096, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6823780758027203, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.71, ief -0.40, qqq -0.98, ivv +1.37, gld -0.12, vea +0.17", "ref_full": "iwm +0.62, vnq +0.19, tlt -0.17, qqq -0.84, ivv +1.26, gld -0.14" }, "ryldx": { "sym": "ryldx", "name": "Dow 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03130783317002654, "alpha_t_5y": -0.8575878520620875, "alpha_t_full": -0.2551621748476154, "r2_5y": 0.912781648616106, "r2_full": 0.9415969315644124, "corr_portfolio": 0.35751826009469634, "corr_benchmark": 0.5592049947159243, "alpha_pos_frac": 0.4978723404255319, "fund_max_dd": -0.821604104109909, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +3.02, qqq -1.17, iwm +0.14, gsg -0.07, vnq -0.09", "ref_full": "ivv +2.38, qqq -0.55, vnq -0.05, gsg -0.04, efa +0.13, fxe -0.14" }, "rylix": { "sym": "rylix", "name": "Leisure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05787572611204895, "alpha_t_5y": -1.414131035010217, "alpha_t_full": -0.7773938190894969, "r2_5y": 0.7569632650106483, "r2_full": 0.8496290642631454, "corr_portfolio": 0.23045275092025286, "corr_benchmark": 0.5663101575817997, "alpha_pos_frac": 0.5657370517928287, "fund_max_dd": -0.6819680571477325, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.33, ivv +0.38, vwo +0.15, vnq +0.11, gld -0.08, vweax +0.24", "ref_full": "ivv +0.48, iwm +0.34, vnq +0.08, vwo +0.07, gld -0.06, agg +0.13" }, "rymbx": { "sym": "rymbx", "name": "Commodities Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006091510110504883, "alpha_t_5y": 0.16367296616165455, "alpha_t_full": -0.49943324420529156, "r2_5y": 0.8502742127299846, "r2_full": 0.90834022476483, "corr_portfolio": 0.2291732820433703, "corr_benchmark": 0.08246757393810389, "alpha_pos_frac": 0.5702127659574469, "fund_max_dd": -0.9095439223481546, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "gsg +0.93", "ref_full": "gsg +0.89, djp +0.09, agg -0.10, vweax +0.07" }, "rymdx": { "sym": "rymdx", "name": "Mid-Cap 1.5x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03174217913899084, "alpha_t_5y": -1.0821552720806182, "alpha_t_full": -0.8740711714650078, "r2_5y": 0.9440318300989338, "r2_full": 0.9565800741134765, "corr_portfolio": 0.32280134827174517, "corr_benchmark": 0.5623318923877406, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.7543220573455245, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.88, ivv +0.86, qqq -0.38, vnq +0.08, vea +0.12, fxy -0.11", "ref_full": "iwm +0.86, ivv +0.71, qqq -0.17, vnq +0.06, djp +0.05, vweax +0.13" }, "rymfx": { "sym": "rymfx", "name": "Guggenheim Managed Futures Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06847074663605558, "alpha_t_5y": -1.6982502621811961, "alpha_t_full": -0.7335058449329084, "r2_5y": 0.3517548500287778, "r2_full": 0.07756433339960533, "corr_portfolio": 0.23525317740277807, "corr_benchmark": 0.07780897382137142, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.36522050666552897, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "ief -0.56, vea +0.24, djp +0.12, fxe -0.32, gld +0.12, fxy -0.14", "ref_full": "qqq +0.12, fxe -0.17, gld +0.08, agg -0.38, vnq -0.04, tlt +0.08" }, "rymhx": { "sym": "rymhx", "name": "Inverse Mid-Cap Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008715588776852409, "alpha_t_5y": 0.15363792825175818, "alpha_t_full": -0.5412553859551388, "r2_5y": 0.6709069302157831, "r2_full": 0.8740171154056187, "corr_portfolio": -0.2905723379884204, "corr_benchmark": -0.5245336023875748, "alpha_pos_frac": 0.36742424242424243, "fund_max_dd": -0.9509863550229379, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm -0.65, ivv -0.71, qqq +0.33", "ref_full": "iwm -0.59, ivv -0.46, qqq +0.12, vnq -0.04, djp -0.04, agg -0.08" }, "rymix": { "sym": "rymix", "name": "Telecommunications Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011710026197221291, "alpha_t_5y": -0.262276642389329, "alpha_t_full": -2.076363278551166, "r2_5y": 0.6690201295050732, "r2_full": 0.8145038678636484, "corr_portfolio": 0.2732146889858176, "corr_benchmark": 0.5403260862736543, "alpha_pos_frac": 0.46048109965635736, "fund_max_dd": -0.8781303742116715, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.49, iwm +0.31, vweax +0.22", "ref_full": "ivv +0.33, iwm +0.20, vwo +0.07, efa +0.15, qqq +0.15, vnq +0.02" }, "rymkx": { "sym": "rymkx", "name": "Russell 2000 1.5x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019941200667717644, "alpha_t_5y": -1.6873237201259879, "alpha_t_full": -1.913923014360108, "r2_5y": 0.9931575975499544, "r2_full": 0.9883334448088361, "corr_portfolio": 0.255169331373576, "corr_benchmark": 0.5446043287906834, "alpha_pos_frac": 0.6006600660066007, "fund_max_dd": -0.7756614584724202, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.50", "ref_full": "iwm +1.48, vnq +0.03, qqq +0.02, vweax -0.06" }, "rymsx": { "sym": "rymsx", "name": "Guggenheim Multi-Hedge Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.5645233921736843, "r2_5y": NaN, "r2_full": 0.4588554687869968, "corr_portfolio": 0.34138123182351143, "corr_benchmark": 0.3133183073019974, "alpha_pos_frac": 0.5060975609756098, "fund_max_dd": -0.295547106365326, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "vwo +0.09, ivv +0.09, tlt +0.06, fxy -0.09, agg +0.11, vnq +0.02" }, "rynvx": { "sym": "rynvx", "name": "Nova Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01881657610900278, "alpha_t_5y": -2.36853832031769, "alpha_t_full": -3.3459551006318784, "r2_5y": 0.9943191081589378, "r2_full": 0.9933387891845482, "corr_portfolio": 0.28498562811044514, "corr_benchmark": 0.617652003496684, "alpha_pos_frac": 0.5501618122977346, "fund_max_dd": -0.7653777333220104, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.47, qqq +0.02", "ref_full": "ivv +1.45, vwo +0.01, vnq +0.01, qqq +0.03" }, "ryocx": { "sym": "ryocx", "name": "NASDAQ-100 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01096847322081416, "alpha_t_5y": -1.343658293175689, "alpha_t_full": -1.8368314235381802, "r2_5y": 0.9927770192138181, "r2_full": 0.9904923781861276, "corr_portfolio": 0.14597551062388175, "corr_benchmark": 0.6113684084180029, "alpha_pos_frac": 0.4520123839009288, "fund_max_dd": -0.8374642638826186, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.01", "ref_full": "qqq +0.98, vnq +0.01, ivv +0.03, vweax -0.04, gsg +0.01" }, "ryoix": { "sym": "ryoix", "name": "Biotechnology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024869513038792278, "alpha_t_5y": 0.3353635452816324, "alpha_t_full": 0.7045580901779992, "r2_5y": 0.43785780774495364, "r2_full": 0.557627715703205, "corr_portfolio": 0.10528910999963037, "corr_benchmark": 0.4295160514937519, "alpha_pos_frac": 0.45353159851301117, "fund_max_dd": -0.7443486377779227, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.55, agg +0.37, qqq +0.13", "ref_full": "iwm +0.55, qqq +0.36, vnq -0.09, agg +0.19, gsg -0.04" }, "ryotx": { "sym": "ryotx", "name": "Royce Micro-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.047512437953839484, "alpha_t_5y": 1.6464095907337357, "alpha_t_full": -0.7309798353702643, "r2_5y": 0.9172711505749033, "r2_full": 0.9155717454463126, "corr_portfolio": 0.24814508679151426, "corr_benchmark": 0.5126085826363931, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.5685655843306591, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.03, vnq -0.17, vea +0.12", "ref_full": "iwm +0.93, vnq -0.12, gld +0.08, vweax +0.23, fxe +0.10, djp +0.03" }, "rypix": { "sym": "rypix", "name": "Transportation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.057659098509662374, "alpha_t_5y": -1.276889257677466, "alpha_t_full": -1.0982778238045514, "r2_5y": 0.8111452915456665, "r2_full": 0.8171682440499969, "corr_portfolio": 0.25272060030799515, "corr_benchmark": 0.5223228466872553, "alpha_pos_frac": 0.5446808510638298, "fund_max_dd": -0.6350754951500781, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.60, ivv +0.39, vwo +0.20, gld -0.08, vweax +0.24, gsg -0.04", "ref_full": "iwm +0.60, ivv +0.40, gsg -0.07, vweax +0.26, ief -0.12, efa +0.06" }, "rypmx": { "sym": "rypmx", "name": "Precious Metals Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.041014425524380345, "alpha_t_5y": -0.47019019987860783, "alpha_t_full": -1.1034916922705742, "r2_5y": 0.7016921984059747, "r2_full": 0.669830277176417, "corr_portfolio": 0.05781558178393666, "corr_benchmark": 0.3348108404820079, "alpha_pos_frac": 0.4260089686098655, "fund_max_dd": -0.8125402302294431, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gld +1.37, vea +1.62, iwm +0.17, efa -1.09", "ref_full": "gld +1.51, vwo +0.31, iwm +0.22, djp +0.12, fxe +0.20" }, "rypnx": { "sym": "rypnx", "name": "Royce Small-Cap Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.12845630499128305, "alpha_t_5y": 1.8140356180754418, "alpha_t_full": 3.1901265787315833, "r2_5y": 0.6914814558260913, "r2_full": 0.7895849155367258, "corr_portfolio": 0.27796828260420947, "corr_benchmark": 0.428403744348809, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.6262269196698758, "first": "2007-06-04", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false, "ref_5y": "iwm +0.99, djp +0.09", "ref_full": "iwm +1.04, djp +0.07, vweax +0.21, ief -0.14, qqq -0.06" }, "ryrix": { "sym": "ryrix", "name": "Retailing Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.053364345096237734, "alpha_t_5y": -1.169628279793111, "alpha_t_full": -0.6845357169309375, "r2_5y": 0.741416683408227, "r2_full": 0.7812777343413397, "corr_portfolio": 0.1822096063892944, "corr_benchmark": 0.5571280387454024, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.5826257551401757, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.55, iwm +0.37, djp -0.08, vwo +0.20, vnq +0.12, vea -0.18", "ref_full": "ivv +0.32, iwm +0.34, qqq +0.23, gsg -0.06, vnq +0.05, gld -0.03" }, "ryrrx": { "sym": "ryrrx", "name": "Russell 2000 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014130629890605217, "alpha_t_5y": -1.5203719602665804, "alpha_t_full": -2.4101657412151574, "r2_5y": 0.9904425456386181, "r2_full": 0.986097053452108, "corr_portfolio": 0.25681968779650605, "corr_benchmark": 0.5428638085140628, "alpha_pos_frac": 0.4177215189873418, "fund_max_dd": -0.6035576889579828, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.00", "ref_full": "iwm +0.98, ivv +0.04, vnq +0.01, vweax -0.03" }, "ryrux": { "sym": "ryrux", "name": "Russell 2000 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021504167932619736, "alpha_t_5y": -1.1441026510771917, "alpha_t_full": -1.5532469485637066, "r2_5y": 0.9902221603747049, "r2_full": 0.9862971380818543, "corr_portfolio": 0.2562007727194706, "corr_benchmark": 0.5417078682053206, "alpha_pos_frac": 0.5316455696202531, "fund_max_dd": -0.880635884801133, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.99", "ref_full": "iwm +1.97, ivv +0.07, vnq +0.02, vweax -0.07" }, "rysbx": { "sym": "rysbx", "name": "Strengthening Dollar 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029912666295975603, "alpha_t_5y": -2.836322302416828, "alpha_t_full": -2.385091251392638, "r2_5y": 0.9675983158101178, "r2_full": 0.9542665414053692, "corr_portfolio": -0.0667983806177908, "corr_benchmark": -0.2590452101251219, "alpha_pos_frac": 0.4304932735426009, "fund_max_dd": -0.43875900300063775, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "fxe -1.47, fxy -0.31, vea -0.17, djp -0.03, efa +0.10", "ref_full": "fxe -1.47, fxy -0.30, efa -0.05, djp -0.03, gld -0.02, vweax -0.04" }, "ryshx": { "sym": "ryshx", "name": "Inverse Russell 2000 Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.19969555173079973, "alpha_t_5y": -1.4297905982605634, "alpha_t_full": -1.5396774421700128, "r2_5y": 0.3177755465626555, "r2_full": 0.6557141433933703, "corr_portfolio": -0.19579499771322045, "corr_benchmark": -0.3922089873419153, "alpha_pos_frac": 0.7537878787878788, "fund_max_dd": -0.9914656054314909, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm -1.00", "ref_full": "iwm -1.01" }, "rysix": { "sym": "rysix", "name": "Electronics Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.10069527101726494, "alpha_t_5y": 1.5205524314746297, "alpha_t_full": -0.09957219492564524, "r2_5y": 0.8278729211841404, "r2_full": 0.7880473080889623, "corr_portfolio": 0.12777787799977566, "corr_benchmark": 0.5189507567787015, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.8859843894711514, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.83, vwo +0.14, ivv -1.19, iwm +0.50, vnq -0.27, vea +0.24", "ref_full": "qqq +1.21, iwm +0.46, vnq -0.13, ivv -0.43, vwo +0.11" }, "rysox": { "sym": "rysox", "name": "S&P 500 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015823677779950966, "alpha_t_5y": -2.5106545220489602, "alpha_t_full": -3.276165060047344, "r2_5y": 0.991945100498692, "r2_full": 0.9903403980837633, "corr_portfolio": 0.2852270368846363, "corr_benchmark": 0.6157114044725359, "alpha_pos_frac": 0.24472573839662448, "fund_max_dd": -0.5523521074750886, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.00", "ref_full": "ivv +0.96, vwo +0.01, qqq +0.02, vnq +0.01, ief -0.04, agg +0.04" }, "rytix": { "sym": "rytix", "name": "Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00571905125673092, "alpha_t_5y": 0.21277405107780195, "alpha_t_full": -1.5057116797073857, "r2_5y": 0.9440680964607926, "r2_full": 0.9373395992934892, "corr_portfolio": 0.12741626128723035, "corr_benchmark": 0.5930124581150699, "alpha_pos_frac": 0.44621513944223107, "fund_max_dd": -0.8399765714757991, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.19, iwm +0.24, ivv -0.34, vwo +0.08, vnq -0.07", "ref_full": "qqq +0.90, iwm +0.20, vnq -0.06, vwo +0.05, gld +0.02" }, "rytmx": { "sym": "rytmx", "name": "Inverse S&P 500 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009710927012418094, "alpha_t_5y": -0.92618275196002, "alpha_t_full": 0.34809548226779635, "r2_5y": 0.9943959028593259, "r2_full": 0.9701356457762813, "corr_portfolio": -0.284245892017383, "corr_benchmark": -0.6162081652789874, "alpha_pos_frac": 0.31007751937984496, "fund_max_dd": -0.9987393425657819, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -1.99", "ref_full": "ivv -2.00" }, "ryttx": { "sym": "ryttx", "name": "S&P 500 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026876601685442883, "alpha_t_5y": -2.7812773840709664, "alpha_t_full": -3.295331394080351, "r2_5y": 0.9952544909930313, "r2_full": 0.9920769034652821, "corr_portfolio": 0.28470964445484487, "corr_benchmark": 0.6163564050924916, "alpha_pos_frac": 0.5465116279069767, "fund_max_dd": -0.8491114515376746, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.96, qqq +0.03", "ref_full": "ivv +1.94, vwo +0.02, qqq +0.04, vnq +0.01" }, "ryuix": { "sym": "ryuix", "name": "Utilities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022835488588274614, "alpha_t_5y": 0.4514728958225532, "alpha_t_full": 0.2304649120756107, "r2_5y": 0.47251232851081526, "r2_full": 0.5904340736803062, "corr_portfolio": 0.2455620082943161, "corr_benchmark": 0.4774540323000827, "alpha_pos_frac": 0.5372549019607843, "fund_max_dd": -0.6181295487564202, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.60, gld +0.08", "ref_full": "ivv +1.15, qqq -0.48, agg +0.41, vnq +0.15, iwm -0.11, gld +0.06" }, "ryurx": { "sym": "ryurx", "name": "Inverse S&P 500 Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005230302024292975, "alpha_t_5y": -0.552631925435135, "alpha_t_full": -1.4045966494766116, "r2_5y": 0.9819869262425792, "r2_full": 0.9883042754586097, "corr_portfolio": -0.2826423000308707, "corr_benchmark": -0.6154309285595081, "alpha_pos_frac": 0.3851132686084142, "fund_max_dd": -0.951569194491279, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -1.00", "ref_full": "ivv -0.97, vnq -0.01, qqq -0.02, vweax +0.03" }, "ryvfx": { "sym": "ryvfx", "name": "Royce Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04322151815240718, "alpha_t_5y": 1.4024793335349446, "alpha_t_full": -0.127663995440681, "r2_5y": 0.8726371627536549, "r2_full": 0.8851151382322967, "corr_portfolio": 0.32764867717673873, "corr_benchmark": 0.4654626891664974, "alpha_pos_frac": 0.5372549019607843, "fund_max_dd": -0.57722285268165, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.85, qqq -0.46, ivv +0.62, gld -0.07, vnq -0.07", "ref_full": "iwm +0.77, gsg +0.07, efa +0.10, qqq -0.23, ivv +0.34, vnq -0.06" }, "ryvix": { "sym": "ryvix", "name": "Energy Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04707076761430666, "alpha_t_5y": -0.5150296594410011, "alpha_t_full": -0.7597448385574518, "r2_5y": 0.6409086666289319, "r2_full": 0.6926935983698377, "corr_portfolio": 0.32025058229380876, "corr_benchmark": 0.25508014740052865, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.9405847807407028, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.93, gsg +0.70, agg -0.43, qqq -1.15, ivv +1.63, vnq -0.39", "ref_full": "iwm +0.80, gsg +0.66, efa +0.23, qqq -0.74, vnq -0.26, ivv +1.00" }, "ryvlx": { "sym": "ryvlx", "name": "NASDAQ-100(R) 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023218836448843826, "alpha_t_5y": -1.5096129624620391, "alpha_t_full": -2.069398683519272, "r2_5y": 0.9935691578431325, "r2_full": 0.991679062370437, "corr_portfolio": 0.14647623538912158, "corr_benchmark": 0.6089223251681237, "alpha_pos_frac": 0.6124031007751938, "fund_max_dd": -0.8326659277703485, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +2.01", "ref_full": "qqq +1.96, ivv +0.08, vweax -0.06" }, "ryvtx": { "sym": "ryvtx", "name": "Inverse NASDAQ-100(R) 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015833136820359257, "alpha_t_5y": -1.0126109306875366, "alpha_t_full": -1.0337411644282772, "r2_5y": 0.9933619532651766, "r2_full": 0.42111846164374245, "corr_portfolio": -0.14654220268983334, "corr_benchmark": -0.6093664287508418, "alpha_pos_frac": 0.9534883720930233, "fund_max_dd": -20.461748748681938, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq -2.01", "ref_full": "qqq -2.01" }, "rywax": { "sym": "rywax", "name": "S&P SmallCap 600 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02664079882818031, "alpha_t_5y": -0.6603920146676777, "alpha_t_full": -0.9602411016028709, "r2_5y": 0.8422837041679674, "r2_full": 0.9194328353825358, "corr_portfolio": 0.25610757581323246, "corr_benchmark": 0.5222841416611613, "alpha_pos_frac": 0.2593984962406015, "fund_max_dd": -0.6021070131690186, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.92, qqq +0.08", "ref_full": "iwm +0.97, qqq +0.09, vwo -0.04, vnq -0.02" }, "rywbx": { "sym": "rywbx", "name": "Weakening Dollar 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010356880381388843, "alpha_t_5y": -1.0880396166723054, "alpha_t_full": -2.4960851486829805, "r2_5y": 0.9738182389543523, "r2_full": 0.961323395186794, "corr_portfolio": 0.06903658353343442, "corr_benchmark": 0.2611292020874013, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.7159533173212387, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "fxe +1.47, fxy +0.30, vea +0.07, djp +0.03, vmbix +0.10, tlt -0.02", "ref_full": "fxe +1.47, fxy +0.30, efa +0.06, djp +0.03, vweax +0.06, gld +0.02" }, "rywtx": { "sym": "rywtx", "name": "Emerging Markets 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08409705663383106, "alpha_t_5y": -1.1211861084747872, "alpha_t_full": -1.5735973376244257, "r2_5y": 0.8656580388693202, "r2_full": 0.8790268229903306, "corr_portfolio": 0.20977572793784346, "corr_benchmark": 0.46225074910808533, "alpha_pos_frac": 0.4945652173913043, "fund_max_dd": -0.784694813616017, "first": "2010-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +2.50, qqq +0.39, vea -1.10, gsg +0.10, efa +0.69", "ref_full": "vwo +1.85, qqq +0.56, vnq -0.12, iwm +0.18, ivv -0.45, djp +0.07" }, "rywwx": { "sym": "rywwx", "name": "Inverse Emerging Markets 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013126261740859959, "alpha_t_5y": 0.1749204832569638, "alpha_t_full": 0.08469365515292239, "r2_5y": 0.8651684635014754, "r2_full": 0.8783267926973398, "corr_portfolio": -0.21040111796011587, "corr_benchmark": -0.4616277350166514, "alpha_pos_frac": 0.5108695652173914, "fund_max_dd": -0.9812334102518688, "first": "2010-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo -2.49, qqq -0.35, vea +1.28, gsg -0.10, efa -0.81, iwm -0.11", "ref_full": "vwo -1.85, qqq -0.56, ivv +0.45, iwm -0.18, vnq +0.12, djp -0.07" }, "ryzax": { "sym": "ryzax", "name": "S&P 500 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019668825618369305, "alpha_t_5y": 0.6085062197000843, "alpha_t_full": 0.9313963724521809, "r2_5y": 0.8159852214348207, "r2_full": 0.883148773646683, "corr_portfolio": 0.4226849604598691, "corr_benchmark": 0.4364708764565696, "alpha_pos_frac": 0.33617021276595743, "fund_max_dd": -0.6981828851492073, "first": "2009-11-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.39, vnq +0.04, ief -0.14, qqq -0.93, ivv +1.48, gsg +0.05", "ref_full": "iwm +0.40, vnq -0.00, ivv +1.44, qqq -0.79, vmbix -0.15, gsg +0.06" }, "saaax": { "sym": "saaax", "name": "SIMT MULTI-ASSET ACCUMULATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02856754852950641, "alpha_t_5y": -1.736990508983914, "alpha_t_full": -0.4516968762684329, "r2_5y": 0.8355695856533434, "r2_full": 0.783586839616806, "corr_portfolio": 0.23065879638217016, "corr_benchmark": 0.7653569130134127, "alpha_pos_frac": 0.5748502994011976, "fund_max_dd": -0.2548877641163424, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.17, ief +0.66, djp +0.15, ivv +0.15, fxe -0.17, vwo +0.07", "ref_full": "vea +0.14, ief +0.72, djp +0.15, ivv +0.13, fxe -0.14, vwo +0.07" }, "safex": { "sym": "safex", "name": "Ultra Short Government Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0019322202029165272, "alpha_t_5y": -0.4614431833874669, "alpha_t_full": -0.20735792795405927, "r2_5y": 0.18214770723209273, "r2_full": 0.12845643716030297, "corr_portfolio": 0.03968032167838505, "corr_benchmark": 0.005881244057398238, "alpha_pos_frac": 0.5833333333333334, "fund_max_dd": -0.002988005703608021, "first": "2020-02-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.13, vea -0.02, vmbix -0.03", "ref_full": "vweax +0.08, vea -0.01, agg -0.04, ief +0.03" }, "sagwx": { "sym": "sagwx", "name": "Touchstone Small Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017866498035860132, "alpha_t_5y": 0.7133473035732792, "alpha_t_full": 1.1595892797469871, "r2_5y": 0.9068550379164706, "r2_full": 0.9381801522099281, "corr_portfolio": 0.28916407505635383, "corr_benchmark": 0.5336974843525263, "alpha_pos_frac": 0.4745098039215686, "fund_max_dd": -0.5187331827150172, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.64, ivv +0.48, qqq -0.21, gld -0.06, vnq +0.07", "ref_full": "iwm +0.70, ivv +0.26, qqq -0.07, gld -0.03, vweax +0.10" }, "saoox": { "sym": "saoox", "name": "Overlay A Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0954161301598164, "alpha_t_5y": -1.6489985559967342, "alpha_t_full": -1.6489985559967342, "r2_5y": 0.46747078069480963, "r2_full": 0.46747078069480963, "corr_portfolio": 0.0798294688842596, "corr_benchmark": 0.5358334616788315, "alpha_pos_frac": 0.6724137931034483, "fund_max_dd": -0.38152199778997586, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.37, vea +0.24, ief +0.28, iwm +0.12", "ref_full": "ivv +0.37, vea +0.24, ief +0.28, iwm +0.12" }, "satox": { "sym": "satox", "name": "Tax-Aware Overlay A Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0980142268090896, "alpha_t_5y": -1.898308227232397, "alpha_t_full": -1.898308227232397, "r2_5y": 0.4883922957932221, "r2_full": 0.4883922957932221, "corr_portfolio": 0.08066742482730875, "corr_benchmark": 0.5478688517083871, "alpha_pos_frac": 0.603448275862069, "fund_max_dd": -0.3342904905065387, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.29, ief +0.24", "ref_full": "ivv +0.42, vea +0.29, ief +0.24" }, "sbhex": { "sym": "sbhex", "name": "Segall Bryant & Hamill Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0356169508401017, "alpha_t_5y": 1.4450986007220774, "alpha_t_full": 0.7387199979726522, "r2_5y": 0.8793051576955213, "r2_full": 0.8736500875466315, "corr_portfolio": 0.3107619684458237, "corr_benchmark": 0.4755648653479824, "alpha_pos_frac": 0.5725806451612904, "fund_max_dd": -0.41432306218907733, "first": "2015-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.66, vea +1.75, efa -1.53, vnq -0.09, fxy -0.06, qqq +0.04", "ref_full": "vwo +0.63, vea +1.45, efa -1.28, vnq -0.07, vweax +0.17, qqq +0.05" }, "sboox": { "sym": "sboox", "name": "Overlay B Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03739162851128726, "alpha_t_5y": -2.28227189176887, "alpha_t_full": -2.28227189176887, "r2_5y": 0.725229911510487, "r2_full": 0.725229911510487, "corr_portfolio": 0.035698196085811935, "corr_benchmark": 0.7916385245854356, "alpha_pos_frac": 0.5689655172413793, "fund_max_dd": -0.21634805716708028, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.08, agg +0.08, ivv +0.12, ief +0.39, iwm +0.04, vwo +0.04", "ref_full": "vea +0.08, agg +0.08, ivv +0.12, ief +0.39, iwm +0.04, vwo +0.04" }, "sbstx": { "sym": "sbstx", "name": "Western Asset Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007777983882424524, "alpha_t_5y": -0.9428712063803404, "alpha_t_full": -1.1761643021619144, "r2_5y": 0.46812717237697, "r2_full": 0.37729241052652895, "corr_portfolio": 0.01610282245849208, "corr_benchmark": 0.34813773294134465, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.16297122155005683, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.34, tlt -0.28, vblix +0.26", "ref_full": "agg +0.06, vweax +0.18, ief +0.29, tlt -0.08, qqq -0.01" }, "sbtox": { "sym": "sbtox", "name": "Tax-Aware Overlay B Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04928923812437942, "alpha_t_5y": -2.95843899643817, "alpha_t_full": -2.95843899643817, "r2_5y": 0.6210759240608577, "r2_full": 0.6210759240608577, "corr_portfolio": 0.07341859600501481, "corr_benchmark": 0.6450376822337014, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.1667088372720673, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.17, agg +0.19, vea +0.08, vwo +0.04", "ref_full": "ivv +0.17, agg +0.19, vea +0.08, vwo +0.04" }, "scaux": { "sym": "scaux", "name": "Invesco Income Advantage U.S. Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011887233569018652, "alpha_t_5y": -1.0020528882000301, "alpha_t_full": -2.618506883763487, "r2_5y": 0.9530567711805875, "r2_full": 0.9343219624255404, "corr_portfolio": 0.32956669188027876, "corr_benchmark": 0.5970827105804588, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.5455858253616876, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.90, qqq -0.13, fxe -0.08, vea +0.05", "ref_full": "ivv +0.83, vnq +0.06, vwo +0.06, qqq -0.07, iwm +0.04, vweax -0.08" }, "scavx": { "sym": "scavx", "name": "AB Small Cap Value Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005048736547052695, "alpha_t_5y": 0.1792969779622921, "alpha_t_full": 0.6906000256210623, "r2_5y": 0.9085765790109849, "r2_full": 0.9260199151725126, "corr_portfolio": 0.3480601202460406, "corr_benchmark": 0.4807745261427445, "alpha_pos_frac": 0.4222222222222222, "fund_max_dd": -0.4924910825424281, "first": "2014-12-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, qqq -0.58, ivv +0.77, gld -0.06, ief -0.09, vea +0.07", "ref_full": "iwm +0.89, qqq -0.50, ivv +0.60, gld -0.07, gsg +0.03, vea +0.06" }, "scfzx": { "sym": "scfzx", "name": "PGIM Securitized Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022081326153688813, "alpha_t_5y": 3.532608360560146, "alpha_t_full": 1.6492433999475693, "r2_5y": 0.33997593391947045, "r2_full": 0.2961009340087707, "corr_portfolio": 0.15922289408319823, "corr_benchmark": -0.009867175414066393, "alpha_pos_frac": 0.675, "fund_max_dd": -0.1720351345307467, "first": "2019-07-02", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false, "ref_5y": "vweax +0.10, vmbix -0.05, vea -0.02, vblix +0.35, tlt -0.23, agg -0.13", "ref_full": "vweax +0.23, agg -0.24, vblix +0.23, vea -0.03, tlt -0.12" }, "scjax": { "sym": "scjax", "name": "Steward Covered Call Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002883293177774984, "alpha_t_5y": -0.04691468225811697, "alpha_t_full": -0.5004653566052938, "r2_5y": 0.4016264011097671, "r2_full": 0.5935406301830435, "corr_portfolio": 0.1963444479727745, "corr_benchmark": 0.5047417064732694, "alpha_pos_frac": 0.5510204081632653, "fund_max_dd": -0.3318972171721004, "first": "2017-12-20", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.72", "ref_full": "ivv +0.76, fxe -0.12" }, "sclax": { "sym": "sclax", "name": "SIMT MULTI-ASSET CAPITAL STABILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005039341166401543, "alpha_t_5y": -0.9218187542871296, "alpha_t_full": -0.5191721907674192, "r2_5y": 0.7617777988682018, "r2_full": 0.694230139740796, "corr_portfolio": 0.21106826154893404, "corr_benchmark": 0.7383758012221079, "alpha_pos_frac": 0.4491017964071856, "fund_max_dd": -0.0559295399725781, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.17, agg -0.04, ivv +0.04, efa -0.11, ief +0.15, iwm +0.02", "ref_full": "vea +0.06, ief +0.20, ivv +0.01, iwm +0.02, vmbix -0.07, qqq +0.02" }, "scoax": { "sym": "scoax", "name": "SIIT CORE FIXED INCOME", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016100515871870593, "alpha_t_5y": -0.3453460531716475, "alpha_t_full": -2.0695524376608625, "r2_5y": 0.9675347552609728, "r2_full": 0.8031456356852053, "corr_portfolio": -0.08720308411450203, "corr_benchmark": 0.7094615663714977, "alpha_pos_frac": 0.6763005780346821, "fund_max_dd": -0.1940103835188398, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.02, vweax +0.07, ief +0.41, vblix +0.33, tlt -0.17, vmbix +0.22", "ref_full": "ief +0.38, vweax +0.22, agg +0.18, vnq +0.01, tlt +0.04, fxy +0.02" }, "scorx": { "sym": "scorx", "name": "Saturna Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011904989248123811, "alpha_t_5y": -0.9978082719236923, "alpha_t_full": -1.478054748471628, "r2_5y": 0.9084211474577959, "r2_full": 0.9204803345252058, "corr_portfolio": 0.30580988136909126, "corr_benchmark": 0.6888760949181263, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.3277125836936998, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.39, ief +0.19, gld +0.04, qqq -0.09, efa -0.23", "ref_full": "ivv +0.37, efa +0.12, ief +0.17, gld +0.03, vweax +0.08, iwm +0.02" }, "scpax": { "sym": "scpax", "name": "SIIT LARGE CAP DISCIPLINED EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012022620828729038, "alpha_t_5y": 1.3055687114090746, "alpha_t_full": -1.43779975645413, "r2_5y": 0.981053271720228, "r2_full": 0.9517729019068256, "corr_portfolio": 0.3216860808966367, "corr_benchmark": 0.5921119462278053, "alpha_pos_frac": 0.6036036036036037, "fund_max_dd": -0.6171987331183295, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.05, qqq -0.15, iwm +0.05, efa +0.04, fxy -0.02", "ref_full": "ivv +0.90, efa +0.06, iwm +0.05, qqq -0.04, vweax +0.07, fxy -0.03" }, "scrsx": { "sym": "scrsx", "name": "Small Cap Core Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022834701488048995, "alpha_t_5y": 0.1445308305133001, "alpha_t_full": -1.4659792944225458, "r2_5y": 0.9715415492837141, "r2_full": 0.9753007327595673, "corr_portfolio": 0.28972332925909167, "corr_benchmark": 0.5616813305401663, "alpha_pos_frac": 0.4672131147540984, "fund_max_dd": -0.4506531933813409, "first": "2015-12-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.91, ivv +0.38, qqq -0.20, vnq -0.04, gld -0.02", "ref_full": "iwm +0.92, ivv +0.24, qqq -0.12, fxy -0.04" }, "scvax": { "sym": "scvax", "name": "Allspring Small Company Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01625543943789464, "alpha_t_5y": 0.6571453600910675, "alpha_t_full": 0.4951811336443001, "r2_5y": 0.92251171328849, "r2_full": 0.9371453201983847, "corr_portfolio": 0.34342920998581844, "corr_benchmark": 0.47384643534690585, "alpha_pos_frac": 0.4473684210526316, "fund_max_dd": -0.7029677540153072, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.83, qqq -0.54, ivv +0.73, fxy -0.05, gsg +0.03, gld -0.03", "ref_full": "iwm +0.90, vnq +0.11, qqq -0.25, ivv +0.26, tlt -0.07, gsg +0.02" }, "scvex": { "sym": "scvex", "name": "Hartford Schroders International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009205569816993144, "alpha_t_5y": -0.5198570222096556, "alpha_t_full": -0.45457484384354063, "r2_5y": 0.9359684048805023, "r2_full": 0.9201530034545002, "corr_portfolio": 0.32273250464421954, "corr_benchmark": 0.5461872284810529, "alpha_pos_frac": 0.5147679324894515, "fund_max_dd": -0.6033289267463622, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.72, vwo +0.18, qqq +0.09, gld -0.03, fxe +0.08", "ref_full": "efa +0.69, vwo +0.11, vweax +0.29, qqq +0.08, vnq -0.03, fxe +0.07" }, "sdgax": { "sym": "sdgax", "name": "DWS Capital Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04789440744509283, "alpha_t_5y": -2.6330369323437868, "alpha_t_full": -2.5215402197900074, "r2_5y": 0.9573746991060444, "r2_full": 0.9588363337512774, "corr_portfolio": 0.15446765288205425, "corr_benchmark": 0.6272434138941436, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.4619926808964686, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.59, ivv +0.50, vea -0.09, djp -0.03, fxe +0.07", "ref_full": "qqq +0.46, ivv +0.60, vnq -0.05, gld +0.02, vwo -0.02, agg +0.06" }, "sdhax": { "sym": "sdhax", "name": "Lord Abbett Short Duration High Income Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010539896945826886, "alpha_t_5y": -1.1933112518992663, "alpha_t_full": -0.15744914287640882, "r2_5y": 0.3723977497187121, "r2_full": 0.40687492769026, "corr_portfolio": 0.11826372356936564, "corr_benchmark": 0.27763701965404014, "alpha_pos_frac": 0.6046511627906976, "fund_max_dd": -0.12918420475303727, "first": "2015-06-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.24, ivv -0.05, vblix +0.24, tlt -0.16, vnq +0.01", "ref_full": "vweax +0.16, vblix +0.34, tlt -0.24, vea -0.03, agg +0.18, ief -0.10" }, "sdlax": { "sym": "sdlax", "name": "SIIT Dynamic Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011722898383578515, "alpha_t_5y": -1.210332034367617, "alpha_t_full": -0.32649492852291107, "r2_5y": 0.9821521923066487, "r2_full": 0.8990521800355147, "corr_portfolio": 0.29988360817414167, "corr_benchmark": 0.580616782410957, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.32417079996337494, "first": "2010-08-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, tlt -0.10, djp +0.03, vmbix +0.13, gld +0.03, fxe -0.04", "ref_full": "ivv +0.81, fxe -0.15, vweax +0.21, qqq +0.06, gld +0.02" }, "sdmax": { "sym": "sdmax", "name": "PGIM Short Duration Multi-Sector Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002414080004866458, "alpha_t_5y": -0.3518130391763207, "alpha_t_full": 0.5135687381362967, "r2_5y": 0.5376392205642975, "r2_full": 0.5802742999381605, "corr_portfolio": 0.12595435359044413, "corr_benchmark": 0.4339475834259802, "alpha_pos_frac": 0.4794520547945205, "fund_max_dd": -0.0989686278716837, "first": "2013-12-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.03, vweax +0.13, ief +0.22, tlt -0.24, vblix +0.27, ivv -0.02", "ref_full": "vweax +0.17, ief +0.14, qqq -0.01, fxy +0.02, tlt -0.19, vblix +0.24" }, "sdsax": { "sym": "sdsax", "name": "Western Asset Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002851339924086007, "alpha_t_5y": -0.27523412966580035, "alpha_t_full": -0.34680445728653264, "r2_5y": 0.7003304418692127, "r2_full": 0.6770173340332138, "corr_portfolio": 0.2146807270098967, "corr_benchmark": 0.488790835044518, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.2722467319438354, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, ief +0.09, vblix +0.40, tlt -0.27, vmbix +0.09", "ref_full": "vweax +0.68, ief +0.20, agg +0.09, vwo +0.02, qqq -0.02" }, "sdscx": { "sym": "sdscx", "name": "BNY Mellon Small/Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09463500434223975, "alpha_t_5y": -2.340688202296248, "alpha_t_full": -1.120689305019058, "r2_5y": 0.851100958030443, "r2_full": 0.8743004297358694, "corr_portfolio": 0.09931337202700996, "corr_benchmark": 0.5726837242541749, "alpha_pos_frac": 0.5175097276264592, "fund_max_dd": -0.9409694069137917, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.78, qqq +0.77, ivv -0.72, vnq +0.11", "ref_full": "iwm +0.65, qqq +0.47, vnq -0.06, agg +0.17, ivv -0.11, gld +0.03" }, "sdyax": { "sym": "sdyax", "name": "SIMT Dynamic Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018713432264168432, "alpha_t_5y": -1.977314404402312, "alpha_t_full": -0.5127382844087518, "r2_5y": 0.9828855890910343, "r2_full": 0.9341337770225999, "corr_portfolio": 0.2834891637326368, "corr_benchmark": 0.5984886648766927, "alpha_pos_frac": 0.47244094488188976, "fund_max_dd": -0.32445352412678685, "first": "2015-08-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.00, tlt -0.10, djp +0.03, gld +0.03, vmbix +0.12, fxe -0.05", "ref_full": "ivv +0.93, vweax +0.24, vblix -0.20, djp +0.03, tlt +0.11" }, "seacx": { "sym": "seacx", "name": "Steward Select Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00803870479778068, "alpha_t_5y": -1.3388776429507272, "alpha_t_full": -1.6428338877848807, "r2_5y": 0.9087589510853812, "r2_full": 0.7962170140704442, "corr_portfolio": -0.04872292973547669, "corr_benchmark": 0.6904858879682424, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.16953322816590377, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.21, ief +0.37, vweax +0.05, vblix +0.19, tlt -0.13", "ref_full": "ief +0.38, vweax +0.11, ivv +0.01, agg +0.09, fxy +0.02, vnq +0.01" }, "sebfx": { "sym": "sebfx", "name": "Saturna Global Sustainable Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009747558794494356, "alpha_t_5y": -1.1555416693332736, "alpha_t_full": -0.7667542894884246, "r2_5y": 0.7332173055341229, "r2_full": 0.6571368603372247, "corr_portfolio": 0.13600899211033232, "corr_benchmark": 0.6191400642844697, "alpha_pos_frac": 0.5572519083969466, "fund_max_dd": -0.13507671911014352, "first": "2015-03-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.10, fxe +0.16, vwo +0.05, vweax +0.15, gld +0.02, ief +0.14", "ref_full": "agg +0.10, fxe +0.13, vweax +0.17, vwo +0.04, ief +0.18, gld +0.02" }, "seblx": { "sym": "seblx", "name": "Touchstone Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013663811092709699, "alpha_t_5y": -1.2696047885852393, "alpha_t_full": -0.42952461129456615, "r2_5y": 0.9470093428578278, "r2_full": 0.9658662541085801, "corr_portfolio": 0.2616792659257007, "corr_benchmark": 0.6975152318008551, "alpha_pos_frac": 0.5204460966542751, "fund_max_dd": -0.366963290426481, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, agg +0.29, vweax +0.10", "ref_full": "ivv +0.59, agg +0.09, efa +0.05, ief +0.10, vweax +0.04, vnq -0.01" }, "secax": { "sym": "secax", "name": "SIIT Small Cap II Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006014732865184483, "alpha_t_5y": 0.3827428152568678, "alpha_t_full": -0.42481121032098673, "r2_5y": 0.9676250617681423, "r2_full": 0.9195158724648405, "corr_portfolio": 0.3055607444103034, "corr_benchmark": 0.5069708167964191, "alpha_pos_frac": 0.572289156626506, "fund_max_dd": -0.4242198832149363, "first": "2012-04-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, ief -0.07, efa +0.03, qqq -0.25, ivv +0.43, vnq -0.05", "ref_full": "iwm +0.89, ief +0.01, vweax +0.17, efa +0.05, gld -0.03, vmbix -0.20" }, "secex": { "sym": "secex", "name": "NAA LARGE CORE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00951188950201282, "alpha_t_5y": -1.1849462787146035, "alpha_t_full": -1.726935363897953, "r2_5y": 0.9874114585889305, "r2_full": 0.9707083723590489, "corr_portfolio": 0.29076407431436513, "corr_benchmark": 0.6198039103235035, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.5909373287116937, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.89, vea +0.40, efa -0.34, qqq +0.06, vwo -0.03, vmbix +0.04", "ref_full": "ivv +0.85, qqq +0.08, iwm +0.06, djp +0.02, vwo -0.02, tlt -0.01" }, "secpx": { "sym": "secpx", "name": "SDIT ULTRA SHORT DURATION BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003332085614124667, "alpha_t_5y": 0.07308436613459494, "alpha_t_full": -0.1876007889817094, "r2_5y": 0.3533672821449355, "r2_full": 0.23108088455160658, "corr_portfolio": 0.0653688824180498, "corr_benchmark": 0.18083130262539066, "alpha_pos_frac": 0.37572254335260113, "fund_max_dd": -0.11640889670226062, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.07, ivv -0.01, ief +0.09, tlt -0.16, vblix +0.17, efa -0.01", "ref_full": "vweax +0.12, ief +0.08, tlt -0.03, iwm -0.01, vnq +0.00, fxy +0.01" }, "sedax": { "sym": "sedax", "name": "SIIT EMERGING MARKETS DEBT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017582821897122864, "alpha_t_5y": 0.887493766766655, "alpha_t_full": -0.4243301042392399, "r2_5y": 0.5292060222813725, "r2_full": 0.41069664940902184, "corr_portfolio": 0.26206859698627566, "corr_benchmark": 0.3612345235489743, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.31479763689933393, "first": "2007-09-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.65, fxe +0.21, vwo +0.12, qqq -0.06, vblix +0.06, gsg -0.02", "ref_full": "vweax +0.70, vwo +0.11, qqq -0.06, agg +0.16, fxe +0.09" }, "seekx": { "sym": "seekx", "name": "Steward Values Enhanced Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006808980575776401, "alpha_t_5y": 0.08919985322258413, "alpha_t_full": -0.1255117217948356, "r2_5y": 0.4584574929661748, "r2_full": 0.809117970615713, "corr_portfolio": 0.2310765364429176, "corr_benchmark": 0.5179237664575302, "alpha_pos_frac": 0.3968871595330739, "fund_max_dd": -0.5825675869774922, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.00", "ref_full": "ivv +0.90, iwm +0.13" }, "sefix": { "sym": "sefix", "name": "SIT INTERNATIONAL FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01915035957027798, "alpha_t_5y": -1.7578276644093287, "alpha_t_full": 0.12878450968611216, "r2_5y": 0.40837228985928986, "r2_full": 0.29815051502121315, "corr_portfolio": -0.06249269984844923, "corr_benchmark": 0.4606971400416392, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.19162356284878257, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.20, vweax +0.20, fxe -0.08, fxy +0.04, gsg -0.01", "ref_full": "agg +0.08, ief +0.14, vweax +0.10, vnq +0.01, fxe -0.04, gld +0.01" }, "segmx": { "sym": "segmx", "name": "SDIT GNMA FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004643178966655565, "alpha_t_5y": -0.7133376225738223, "alpha_t_full": -0.3863505107989662, "r2_5y": 0.9301706843199249, "r2_full": 0.692242245561753, "corr_portfolio": -0.08346133110711698, "corr_benchmark": 0.6350131261668897, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.1678801122069168, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.69, ief +0.21, vweax +0.07, tlt -0.12, vblix +0.13, qqq -0.01", "ref_full": "ief +0.51, vweax +0.11, agg +0.15, tlt -0.06, vnq +0.01, efa +0.01" }, "sehax": { "sym": "sehax", "name": "SIIT U.S. Equity Factor Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026763430323664204, "alpha_t_5y": 2.16561309000132, "alpha_t_full": 1.1038769745822523, "r2_5y": 0.9665899524198349, "r2_full": 0.922051049268812, "corr_portfolio": 0.30231953506887727, "corr_benchmark": 0.6160979462252689, "alpha_pos_frac": 0.425531914893617, "fund_max_dd": -0.3492586443500323, "first": "2018-04-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.00, iwm +0.15, qqq -0.18, gsg -0.01", "ref_full": "ivv +0.88, iwm +0.14, qqq -0.10, vweax +0.16, gld -0.03" }, "seiax": { "sym": "seiax", "name": "SIIT Multi-Asset Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01901145419152614, "alpha_t_5y": 1.7005017346331137, "alpha_t_full": 0.7967663234832458, "r2_5y": 0.7771193891658553, "r2_full": 0.7250295262601543, "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", "alpha_name": true, "ref_5y": "djp +0.17, ief +0.30, qqq -0.20, ivv +0.24, gsg +0.06, vblix -0.10", "ref_full": "djp +0.16, vnq +0.04, qqq -0.12, ivv +0.14, ief +0.10, gsg +0.06" }, "seimx": { "sym": "seimx", "name": "STET INTERMEDIATE TERM MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01574372014866929, "alpha_t_5y": -1.5594266593718844, "alpha_t_full": 0.7531040078248167, "r2_5y": 0.40537178730135626, "r2_full": 0.2833746971581772, "corr_portfolio": 0.04405973064368222, "corr_benchmark": 0.32663263392462566, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.12716247415140003, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.26, ief +0.06, ivv -0.05, vblix +0.22, tlt -0.14, vnq +0.01", "ref_full": "vweax +0.23, ief +0.07, fxy +0.03, agg +0.09, efa -0.02, vnq +0.01" }, "seitx": { "sym": "seitx", "name": "SIT INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017046762078875517, "alpha_t_5y": 0.7082378885086502, "alpha_t_full": -0.856487187119542, "r2_5y": 0.8612967173422152, "r2_full": 0.8617084241632522, "corr_portfolio": 0.4288837542768118, "corr_benchmark": 0.47227538947254166, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.6698421396259855, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.84, vweax +0.47, agg -0.49, qqq -0.06, vblix +0.12, vwo +0.05", "ref_full": "efa +0.77, vweax +0.55, ief -0.14, ivv -0.08, vwo +0.04, djp +0.03" }, "sekax": { "sym": "sekax", "name": "DWS Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04612116201863004, "alpha_t_5y": -1.2822181295729753, "alpha_t_full": -1.748751753129404, "r2_5y": 0.8181398429209532, "r2_full": 0.8592532228844152, "corr_portfolio": 0.2695593489825829, "corr_benchmark": 0.4396998155611429, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.6729679273395023, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.84, qqq +0.08, fxe -0.23, vnq -0.06, vea +1.47, efa -1.31", "ref_full": "vwo +0.70, vweax +0.39, qqq +0.10, vnq -0.04, djp +0.05, agg -0.11" }, "selcx": { "sym": "selcx", "name": "SIMT LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011026199951530953, "alpha_t_5y": -0.7371889379908061, "alpha_t_full": -0.9497871272574788, "r2_5y": 0.9691819511908215, "r2_full": 0.9102576247296026, "corr_portfolio": 0.18849138746371302, "corr_benchmark": 0.5916173859322118, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.6793483178225879, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.48, ivv +0.58, djp -0.02, vnq -0.03", "ref_full": "ivv +0.54, qqq +0.45, vweax +0.09" }, "semcx": { "sym": "semcx", "name": "SIMT MID CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004515618836822579, "alpha_t_5y": -0.2616406952325331, "alpha_t_full": -0.6380305036403752, "r2_5y": 0.9446567144683865, "r2_full": 0.8964374082941801, "corr_portfolio": 0.32456600604764446, "corr_benchmark": 0.5482155327426762, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.6107943666322704, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.37, ivv +0.74, qqq -0.26, vnq +0.08, vea +0.07, fxy -0.06", "ref_full": "ivv +0.60, iwm +0.37, qqq -0.11, vwo +0.06, vweax +0.19, vnq +0.04" }, "semvx": { "sym": "semvx", "name": "Hartford Schroders Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017736611381585186, "alpha_t_5y": -0.6623218041200013, "alpha_t_full": -0.3874850090942111, "r2_5y": 0.8955659433797357, "r2_full": 0.8690685075559246, "corr_portfolio": 0.2925145883835023, "corr_benchmark": 0.45492448806876395, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.6516824844847663, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.82, qqq +0.04, vnq -0.12, vea +1.86, efa -1.60, fxe -0.15", "ref_full": "vwo +0.66, vweax +0.35, qqq +0.10, vnq -0.05, efa +0.08, djp +0.03" }, "sencx": { "sym": "sencx", "name": "Touchstone Large Cap Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014538712366713589, "alpha_t_5y": -0.8985922551623178, "alpha_t_full": 0.48408669831132173, "r2_5y": 0.945867428531376, "r2_full": 0.9743199029340798, "corr_portfolio": 0.2779910136529435, "corr_benchmark": 0.6010246402270523, "alpha_pos_frac": 0.49416342412451364, "fund_max_dd": -0.5189216515050803, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.08, vnq -0.04, qqq -0.06", "ref_full": "ivv +0.95, vnq -0.03, vwo +0.02, gsg +0.01, efa +0.02" }, "sequx": { "sym": "sequx", "name": "SEQUOIA FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037200357571390164, "alpha_t_5y": -0.11527164645886044, "alpha_t_full": -0.2332236310134723, "r2_5y": 0.8048320625009835, "r2_full": 0.799897274356355, "corr_portfolio": 0.261736351513361, "corr_benchmark": 0.5545402637587092, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.45806087913741567, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.54, efa +0.71, iwm +0.15, vweax +0.35, gsg -0.05, vea -0.51", "ref_full": "ivv +0.46, iwm +0.18, vweax +0.27, gsg -0.05, qqq +0.09, efa +0.07" }, "sesvx": { "sym": "sesvx", "name": "SIMT SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029767467364526217, "alpha_t_5y": 1.1851852743244142, "alpha_t_full": 0.5378058610118523, "r2_5y": 0.9203339434856294, "r2_full": 0.9097882211328013, "corr_portfolio": 0.3545420642471649, "corr_benchmark": 0.4668359906048155, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.6179192382860605, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, qqq -0.54, ivv +0.73, gld -0.06, ief -0.09, vea +0.07", "ref_full": "iwm +0.84, vnq +0.07, qqq -0.28, ivv +0.34, gld -0.07, djp +0.05" }, "setax": { "sym": "setax", "name": "SIMT REAL ESTATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021603628778845762, "alpha_t_5y": 1.9267054723149803, "alpha_t_full": 0.1340004229202342, "r2_5y": 0.979932281879005, "r2_full": 0.9695313909079708, "corr_portfolio": 0.23948114174407492, "corr_benchmark": 0.5479606341567896, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.750582530017067, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.04, iwm -0.03, agg -0.08", "ref_full": "vnq +0.97, agg -0.08, vweax +0.09, qqq -0.02, fxe +0.04, gld -0.02" }, "sfrex": { "sym": "sfrex", "name": "Schwab Fundamental Global Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024265148448055406, "alpha_t_5y": -0.9025151928731249, "alpha_t_full": -0.9034039107243307, "r2_5y": 0.8409841581583929, "r2_full": 0.8847472026222989, "corr_portfolio": 0.3352236988605986, "corr_benchmark": 0.5607923256100893, "alpha_pos_frac": 0.5661764705882353, "fund_max_dd": -0.41977319768955934, "first": "2014-10-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.55, vwo +0.26, efa +0.21, qqq -0.13, iwm +0.05", "ref_full": "vnq +0.52, vea +0.25, vwo +0.19, qqq -0.12, iwm +0.07, vweax +0.15" }, "sgffx": { "sym": "sgffx", "name": "Sparrow Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07451194281686829, "alpha_t_5y": -1.5385899838933792, "alpha_t_full": -1.2056794024400637, "r2_5y": 0.7045916156820311, "r2_full": 0.7924489638816963, "corr_portfolio": 0.13256091003923617, "corr_benchmark": 0.5278545212465834, "alpha_pos_frac": 0.5017182130584192, "fund_max_dd": -0.6209503271343455, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.63, iwm +0.23, vweax -0.27", "ref_full": "qqq +0.53, iwm +0.26, vwo +0.09, djp +0.04, ivv +0.12, agg +0.10" }, "sggax": { "sym": "sggax", "name": "DWS Large Cap Focus Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04114308939478053, "alpha_t_5y": -1.9196767482355388, "alpha_t_full": -2.0292061734309397, "r2_5y": 0.9467673763721411, "r2_full": 0.9429421008525823, "corr_portfolio": 0.1336717075352616, "corr_benchmark": 0.6209051660394521, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6541001692471631, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.69, ivv +0.43, vea -0.10, djp -0.03, fxe +0.07", "ref_full": "qqq +0.50, ivv +0.53, vnq -0.06, gld +0.03, iwm +0.04, vwo -0.03" }, "sghax": { "sym": "sghax", "name": "DWS Global High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00348266646998636, "alpha_t_5y": -0.4490998002891077, "alpha_t_full": 0.2697090642980038, "r2_5y": 0.8543898665389144, "r2_full": 0.776747271081108, "corr_portfolio": 0.32649369270149314, "corr_benchmark": 0.4262495235984756, "alpha_pos_frac": 0.558974358974359, "fund_max_dd": -0.32148828459353995, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.91, vea +0.03, vmbix -0.04", "ref_full": "vweax +0.88, efa +0.02, tlt -0.04, agg +0.08, djp +0.01" }, "sgidx": { "sym": "sgidx", "name": "Steward Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001182552068369796, "alpha_t_5y": 0.051462717014728154, "alpha_t_full": 0.39341036647558947, "r2_5y": 0.8681068997104835, "r2_full": 0.9321801061775563, "corr_portfolio": 0.3915294827505413, "corr_benchmark": 0.5804042826275163, "alpha_pos_frac": 0.4744186046511628, "fund_max_dd": -0.5025800762056821, "first": "2008-04-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.82, vea +0.21, qqq -0.33, iwm +0.15, vwo +0.07", "ref_full": "ivv +0.69, vea +0.21, qqq -0.17, iwm +0.12, vnq +0.02, vwo +0.03" }, "sginx": { "sym": "sginx", "name": "DWS GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0027125081839520543, "alpha_t_5y": -0.3126928003507351, "alpha_t_full": -0.6742942592938147, "r2_5y": 0.8895124890865426, "r2_full": 0.6176540676537472, "corr_portfolio": -0.08335630353527378, "corr_benchmark": 0.6375319558394018, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.173691075062832, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.81, agg +0.16", "ref_full": "ief +0.45, efa +0.01, agg +0.16, vweax +0.07, tlt -0.04, iwm +0.02" }, "sgmax": { "sym": "sgmax", "name": "SIIT Global Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028185714934246518, "alpha_t_5y": 1.7030929128183936, "alpha_t_full": 1.3602432114185505, "r2_5y": 0.8386662838240824, "r2_full": 0.8325575649248753, "corr_portfolio": 0.43515673435682833, "corr_benchmark": 0.5472158076251898, "alpha_pos_frac": 0.45454545454545453, "fund_max_dd": -0.3126983632815715, "first": "2016-02-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.83, qqq -0.41, efa +0.23, vnq +0.07, iwm -0.05, fxe -0.07", "ref_full": "ivv +0.65, qqq -0.29, efa +0.21, vnq +0.08, vweax +0.15, fxe -0.08" }, "sgoax": { "sym": "sgoax", "name": "SAAT MARKET GROWTH STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005991137887279502, "alpha_t_5y": -0.4791686030748928, "alpha_t_full": -1.2878426480834089, "r2_5y": 0.9529291803075054, "r2_full": 0.95047884040769, "corr_portfolio": 0.36735511954119016, "corr_benchmark": 0.5729704066794364, "alpha_pos_frac": 0.352059925093633, "fund_max_dd": -0.5790474981209224, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.71, efa +0.19, iwm +0.13, qqq -0.21, vweax +0.20, ief -0.04", "ref_full": "ivv +0.53, efa +0.17, iwm +0.15, vweax +0.23, qqq -0.07, vwo +0.04" }, "sgovx": { "sym": "sgovx", "name": "First Eagle Overseas Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011966658927927249, "alpha_t_5y": 0.8717221014390047, "alpha_t_full": 0.464277580992002, "r2_5y": 0.9249634806861664, "r2_full": 0.7615095589435206, "corr_portfolio": 0.37131659810360335, "corr_benchmark": 0.5484847298537936, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.3567757513485754, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.52, gld +0.15, qqq -0.14, vwo +0.09, ivv +0.17, fxy +0.05", "ref_full": "efa +0.43, gld +0.14, vweax +0.38, vnq -0.06, fxy +0.09, iwm +0.05" }, "sgqax": { "sym": "sgqax", "name": "DWS International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06148670619959729, "alpha_t_5y": -2.980365412463204, "alpha_t_full": -3.188143417675029, "r2_5y": 0.9266969847309194, "r2_full": 0.9327478422168912, "corr_portfolio": 0.2663337154031754, "corr_benchmark": 0.5976862900147283, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.6277416880542822, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea -0.08, qqq +0.23, efa +0.69, vwo +0.15, fxe +0.15, vweax +0.20", "ref_full": "efa +0.47, qqq +0.18, vweax +0.28, vwo +0.11, iwm +0.09, fxe +0.10" }, "sgvax": { "sym": "sgvax", "name": "Western Asset Mortgage Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038579435275827322, "alpha_t_5y": 0.37136952447430055, "alpha_t_full": 0.22459149826981845, "r2_5y": 0.8503104010118092, "r2_full": 0.5288864483100959, "corr_portfolio": -0.0901440891516294, "corr_benchmark": 0.5682542959329798, "alpha_pos_frac": 0.5897435897435898, "fund_max_dd": -0.19902639285233825, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.50, ief +0.34, vweax +0.18, ivv -0.03", "ref_full": "ief +0.46, vweax +0.16, agg +0.14, tlt -0.06, vnq +0.01" }, "sgyax": { "sym": "sgyax", "name": "SIIT HIGH YIELD BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012766270508800238, "alpha_t_5y": 1.462303114194073, "alpha_t_full": -0.9491773967198108, "r2_5y": 0.8051058919824782, "r2_full": 0.8056009106700601, "corr_portfolio": 0.31694171278908323, "corr_benchmark": 0.40145680817660395, "alpha_pos_frac": 0.5, "fund_max_dd": -0.36448667538894597, "first": "2007-09-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.86, iwm +0.01", "ref_full": "vweax +0.87, vea +0.01, tlt -0.03, djp +0.01, agg +0.05, fxy -0.01" }, "shgtx": { "sym": "shgtx", "name": "Columbia Seligman Global Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07147219246455537, "alpha_t_5y": 1.9666943520742362, "alpha_t_full": 1.2336348494184086, "r2_5y": 0.8989685703884857, "r2_full": 0.886779371708591, "corr_portfolio": 0.17537329316549405, "corr_benchmark": 0.5750310677861885, "alpha_pos_frac": 0.450199203187251, "fund_max_dd": -0.7746605055108774, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.90, iwm +0.33, vnq -0.18, vwo +0.07, gld +0.04", "ref_full": "qqq +0.80, iwm +0.30, vnq -0.12, efa +0.05, vweax +0.11, gld +0.03" }, "shrix": { "sym": "shrix", "name": "Stone Ridge High Yield Reinsurance Risk Premium Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0618829924451556, "alpha_t_5y": 3.1372452422226598, "alpha_t_full": 1.6263052335033517, "r2_5y": 1.1102230246251565e-16, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.016399634028212557, "corr_benchmark": 0.02442168922346554, "alpha_pos_frac": NaN, "fund_max_dd": -0.19666066298257434, "first": "2013-02-04", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "pure alpha (no sleeve selected)" }, "shssx": { "sym": "shssx", "name": "BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0066727477151842475, "alpha_t_5y": -0.16346391381109454, "alpha_t_full": 1.5059529122779374, "r2_5y": 0.5646439547410846, "r2_full": 0.6836721041277563, "corr_portfolio": 0.2451418425430114, "corr_benchmark": 0.5090234422780319, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.3748471055849134, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.11, qqq -0.45, vnq +0.11, gsg -0.07, ief +0.14", "ref_full": "ivv +0.71, gsg -0.04, iwm +0.11, vnq -0.04, agg +0.14, vwo -0.05" }, "shtix": { "sym": "shtix", "name": "INVESCO Short Duration Inflation Protected Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011121831742701785, "alpha_t_5y": 0.1420122954611823, "alpha_t_full": 0.2872651798164601, "r2_5y": 0.6411202398149943, "r2_full": 0.4276082614352875, "corr_portfolio": 0.01602722882002604, "corr_benchmark": 0.43528677991952797, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.06722863503184273, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.34, gsg +0.03, tlt -0.15, agg +0.29, vwo -0.01, djp +0.02", "ref_full": "ief +0.29, gsg +0.02, tlt -0.07, vweax +0.03, agg +0.04, fxy +0.01" }, "shyd": { "sym": "shyd", "name": "VanEck Short High Yield Muni ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01038165452729437, "alpha_t_5y": -0.5502790423317491, "alpha_t_full": -0.43491424444783217, "r2_5y": 0.24672705521436067, "r2_full": 0.31538180529987847, "corr_portfolio": 0.13146992836280838, "corr_benchmark": 0.39211902152313366, "alpha_pos_frac": 0.5241379310344828, "fund_max_dd": -0.31218763035796293, "first": "2014-01-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.28, vweax +0.27", "ref_full": "agg +1.38, ief -0.79, vweax +0.35, gld +0.06, vnq +0.06, qqq -0.05" }, "sibax": { "sym": "sibax", "name": "Sit Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013756469499824725, "alpha_t_5y": -1.3208391843736755, "alpha_t_full": -2.203681125671917, "r2_5y": 0.9602939448586054, "r2_full": 0.9606690413083623, "corr_portfolio": 0.20595504782556587, "corr_benchmark": 0.7032581130659004, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.43619089929283605, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.53, ief +0.15, qqq +0.17, vnq -0.03, vblix +0.06, vea -0.03", "ref_full": "ivv +0.49, qqq +0.15, ief +0.13, vnq -0.03, agg +0.09, vweax +0.05" }, "sidcx": { "sym": "sidcx", "name": "SIIT Intermediate Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00041494706879688446, "alpha_t_5y": -0.08276666692197311, "alpha_t_full": 0.4337210428870327, "r2_5y": 0.9640520101976677, "r2_full": 0.9156303682411004, "corr_portfolio": -0.04716926592943582, "corr_benchmark": 0.7115270265216238, "alpha_pos_frac": 0.5343511450381679, "fund_max_dd": -0.20753324779675086, "first": "2015-04-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.56, agg +0.09, tlt -0.25, ief +0.28, vweax +0.10, iwm -0.01", "ref_full": "vblix +0.49, vweax +0.15, ief +0.25, tlt -0.20, agg +0.16, efa -0.01" }, "sidvx": { "sym": "sidvx", "name": "Hartford Schroders International Multi-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.037243122920779255, "alpha_t_5y": 2.314795203440405, "alpha_t_full": 0.5417839996485416, "r2_5y": 0.9324031138014959, "r2_full": 0.9203599821195994, "corr_portfolio": 0.4478606181489313, "corr_benchmark": 0.5069533968717986, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6255064694074307, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.73, vwo +0.18, qqq -0.13, gsg +0.04, ivv +0.10, tlt -0.03", "ref_full": "efa +0.63, vweax +0.36, vwo +0.12, djp +0.05, fxe +0.09, agg -0.10" }, "siemx": { "sym": "siemx", "name": "SIT EMERGING MARKETS EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022585215087751964, "alpha_t_5y": -0.7285768375044918, "alpha_t_full": -0.8911987544043838, "r2_5y": 0.8180332017399558, "r2_full": 0.8476188322146169, "corr_portfolio": 0.32515372380281793, "corr_benchmark": 0.4138071307058858, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.6521895604214314, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.71, vea +1.62, efa -1.41, fxy -0.16, iwm -0.09, vweax +0.23", "ref_full": "vwo +0.63, vweax +0.59, ief -0.12, efa +0.09, vnq -0.03, djp +0.03" }, "sifax": { "sym": "sifax", "name": "SIMT MULTI-ASSET INFLATION MANAGED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01296460354360577, "alpha_t_5y": 1.170596821986398, "alpha_t_full": 0.1970390925726616, "r2_5y": 0.7788786371500701, "r2_full": 0.7186583175328269, "corr_portfolio": 0.3187087270083986, "corr_benchmark": 0.2390740982548418, "alpha_pos_frac": 0.5149700598802395, "fund_max_dd": -0.24742797626420165, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.16, ief +0.29, qqq -0.20, ivv +0.23, gsg +0.06, vblix -0.09", "ref_full": "djp +0.16, vnq +0.04, qqq -0.12, gsg +0.06, ivv +0.15, ief +0.10" }, "sigax": { "sym": "sigax", "name": "Western Asset Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006553271692584733, "alpha_t_5y": -0.8443698980225754, "alpha_t_full": -1.762763004031577, "r2_5y": 0.922159194313761, "r2_full": 0.7840188004800444, "corr_portfolio": 0.05656468513916306, "corr_benchmark": 0.7112111195807824, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.30985299699829283, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.67, tlt -0.33, ief +0.32, vweax +0.17, djp +0.01", "ref_full": "agg +0.21, vweax +0.62, tlt +0.11, ief +0.20" }, "sihax": { "sym": "sihax", "name": "Guggenheim High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009515697164674215, "alpha_t_5y": 0.13249081738953744, "alpha_t_full": 1.6794447227459555, "r2_5y": 0.8412587436937011, "r2_full": 0.7273704475161165, "corr_portfolio": 0.30376366375251307, "corr_benchmark": 0.43050732153395166, "alpha_pos_frac": 0.49828178694158076, "fund_max_dd": -0.3672000915099686, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.80, iwm +0.01", "ref_full": "vweax +0.78, vwo +0.01, tlt -0.03, agg +0.05" }, "sims": { "sym": "sims", "name": "State Street(R) SPDR(R) S&P Kensho Intelligent Structures ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0807717129733577, "alpha_t_5y": -1.898952059264414, "alpha_t_full": -1.1826553680396357, "r2_5y": 0.8363260713544076, "r2_full": 0.7990211964356106, "corr_portfolio": 0.20143190197643304, "corr_benchmark": 0.565640804302055, "alpha_pos_frac": 0.5612244897959183, "fund_max_dd": -0.43969988872821086, "first": "2017-12-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.76, qqq +0.20, vwo +0.12, vweax +0.24", "ref_full": "iwm +0.74, qqq +0.12, vea +0.14, vweax +0.25" }, "sioax": { "sym": "sioax", "name": "SIMT MULTI-ASSET INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007315882968263176, "alpha_t_5y": 0.9417594377206522, "alpha_t_full": 1.7059577954854535, "r2_5y": 0.8244456561703029, "r2_full": 0.7467415349671123, "corr_portfolio": 0.2938126221954463, "corr_benchmark": 0.6592508517591171, "alpha_pos_frac": 0.5269461077844312, "fund_max_dd": -0.221002354954007, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vweax +0.37, agg +0.29, efa +0.17, vnq +0.03, vea -0.11, djp +0.01", "ref_full": "vweax +0.45, vnq +0.02, agg +0.24, ivv +0.10, qqq -0.04, vea +0.03" }, "sisax": { "sym": "sisax", "name": "SAAT TAX-MANAGED AGGRESSIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016379396610050072, "alpha_t_5y": -0.13119896133624762, "alpha_t_full": -1.0423324017582845, "r2_5y": 0.9531076594403288, "r2_full": 0.951155449960162, "corr_portfolio": 0.36808917357934706, "corr_benchmark": 0.5736806206271986, "alpha_pos_frac": 0.5450980392156862, "fund_max_dd": -0.5625924545912557, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.71, efa +0.20, iwm +0.13, qqq -0.21, vweax +0.18, gld -0.02", "ref_full": "ivv +0.52, efa +0.16, iwm +0.15, vweax +0.23, qqq -0.07, vwo +0.04" }, "sislx": { "sym": "sislx", "name": "Shelton International Select Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005390969158317522, "alpha_t_5y": -0.015513052765412047, "alpha_t_full": 0.6427460007587791, "r2_5y": 0.7026641192333485, "r2_full": 0.7600427424607223, "corr_portfolio": 0.3563906502442917, "corr_benchmark": 0.4928378172201514, "alpha_pos_frac": 0.5181818181818182, "fund_max_dd": -0.3284819363262077, "first": "2017-01-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.56, vwo +0.20, vweax +0.60, iwm -0.08, tlt -0.09, fxy +0.10", "ref_full": "vea +0.60, vweax +0.46, vwo +0.16, iwm -0.06, agg -0.15, fxy +0.07" }, "sitex": { "sym": "sitex", "name": "SIT EMERGING MARKETS DEBT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010117628163816702, "alpha_t_5y": 0.500151609581514, "alpha_t_full": -0.013000007035079383, "r2_5y": 0.5228911214376635, "r2_full": 0.43908140601444123, "corr_portfolio": 0.2615833697542279, "corr_benchmark": 0.36050442633597257, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.4523364221058086, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.65, fxe +0.21, vwo +0.13, qqq -0.06, vblix +0.07, gsg -0.02", "ref_full": "vweax +0.71, vwo +0.11, qqq -0.06, agg +0.10, fxe +0.10, tlt +0.03" }, "siusx": { "sym": "siusx", "name": "Guggenheim Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0023335738701699164, "alpha_t_5y": -0.4807733914884092, "alpha_t_full": 2.5029655123461962, "r2_5y": 0.9597128338023924, "r2_full": 0.5904500627898146, "corr_portfolio": -0.1089439163270465, "corr_benchmark": 0.67040323659489, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.21618616339512142, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.09, vblix +0.36, tlt -0.16, ief +0.37, vweax +0.15, ivv -0.02", "ref_full": "ief +0.29, vweax +0.18, agg +0.13, tlt +0.05, fxy +0.03, iwm +0.01" }, "sivix": { "sym": "sivix", "name": "State Street Institutional Small-Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013334778640365308, "alpha_t_5y": -0.7011515522790771, "alpha_t_full": 0.03413516642551869, "r2_5y": 0.9500778339320063, "r2_full": 0.9278130524267687, "corr_portfolio": 0.28430092024388015, "corr_benchmark": 0.47584840078603974, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5651868910185377, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, ivv +0.48, qqq -0.26, gld -0.04", "ref_full": "iwm +0.77, agg -0.40, ivv +0.21, qqq -0.07, ief +0.15, vweax +0.11" }, "sjnk": { "sym": "sjnk", "name": "State Street(R) SPDR Bloomberg Short Term High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004626516099127904, "alpha_t_5y": 0.40761975697151953, "alpha_t_full": -0.7727705465382892, "r2_5y": 0.7696361717382268, "r2_full": 0.7205596567858011, "corr_portfolio": 0.2587047113092735, "corr_benchmark": 0.5954107173967865, "alpha_pos_frac": 0.5508982035928144, "fund_max_dd": -0.19739653287678027, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.12, agg +0.93, vweax +0.31, ief -0.36, vblix -0.11, iwm +0.04", "ref_full": "ivv +0.11, vweax +0.42, agg +0.33, vnq +0.04, tlt -0.07, iwm +0.03" }, "skirx": { "sym": "skirx", "name": "DWS Enhanced Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012852888527322746, "alpha_t_5y": -0.5171231158234127, "alpha_t_full": 0.10177691717219306, "r2_5y": 0.8485336480758375, "r2_full": 0.7703704238126237, "corr_portfolio": 0.22790620018233054, "corr_benchmark": 0.1284409098397757, "alpha_pos_frac": 0.4956896551724138, "fund_max_dd": -0.6752435900395654, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "djp +0.71, gld +0.05", "ref_full": "djp +0.56, vwo +0.19, gsg +0.12, qqq -0.04, vnq +0.06, iwm -0.06" }, "sktax": { "sym": "sktax", "name": "SAAT CORE MARKET STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021952363863779302, "alpha_t_5y": -0.17476741654096387, "alpha_t_full": -1.4452271535077106, "r2_5y": 0.9526155029977045, "r2_full": 0.9493825032356286, "corr_portfolio": 0.3679266651230321, "corr_benchmark": 0.5729227015563962, "alpha_pos_frac": 0.5490196078431373, "fund_max_dd": -0.5888170171214142, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.71, efa +0.20, iwm +0.13, qqq -0.21, vweax +0.17, gld -0.02", "ref_full": "ivv +0.53, efa +0.16, iwm +0.15, vweax +0.23, qqq -0.07, vwo +0.04" }, "slanx": { "sym": "slanx", "name": "DWS Latin America Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013918729616191738, "alpha_t_5y": 0.1959901422002521, "alpha_t_full": -0.177348691285043, "r2_5y": 0.46631785942061, "r2_full": 0.7047312025414655, "corr_portfolio": 0.28544211376499207, "corr_benchmark": 0.3845797400817661, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.7072614029112081, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.49, vea +0.39, djp +0.13, iwm +0.18, qqq -0.16", "ref_full": "vwo +0.75, djp +0.19, vweax +0.26, efa +0.11, agg +0.21, iwm +0.07" }, "slasx": { "sym": "slasx", "name": "SELECTED AMERICAN SHARES", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007878775387612027, "alpha_t_5y": 0.2736167852883524, "alpha_t_full": -0.1004101338163321, "r2_5y": 0.8639599781035976, "r2_full": 0.9308771110708792, "corr_portfolio": 0.32202831188452274, "corr_benchmark": 0.5305838830386695, "alpha_pos_frac": 0.49800796812749004, "fund_max_dd": -0.5843114971131771, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.90, iwm +0.18, vwo +0.20, tlt -0.09, qqq -0.18, gld -0.05", "ref_full": "ivv +0.79, vwo +0.08, iwm +0.14, qqq -0.07, tlt -0.05, efa +0.08" }, "slcax": { "sym": "slcax", "name": "SIIT LARGE CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004532452334666184, "alpha_t_5y": 0.516250447048776, "alpha_t_full": -0.706850929975449, "r2_5y": 0.9824573657528889, "r2_full": 0.9449148934557879, "corr_portfolio": 0.3296386208769951, "corr_benchmark": 0.578615646826996, "alpha_pos_frac": 0.6036036036036037, "fund_max_dd": -0.551692769106434, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.04, qqq -0.21, iwm +0.10, efa +0.05", "ref_full": "ivv +0.84, iwm +0.12, efa +0.06, qqq -0.06, gld -0.03, vwo +0.03" }, "sldax": { "sym": "sldax", "name": "SIIT Long Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007848136746365017, "alpha_t_5y": 0.10145283441147869, "alpha_t_full": -0.3939052028379489, "r2_5y": 0.9762968455639341, "r2_full": 0.8965791735649473, "corr_portfolio": -0.059043176036376, "corr_benchmark": 0.7120451921488067, "alpha_pos_frac": 0.573170731707317, "fund_max_dd": -0.35280107780149883, "first": "2012-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +1.02, vweax +0.13, tlt -0.09", "ref_full": "vblix +0.87, vweax +0.16, agg +0.23, ief -0.16, fxy +0.03, vnq +0.01" }, "sldbx": { "sym": "sldbx", "name": "SIIT Limited Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 4.293338729405256e-05, "alpha_t_5y": 0.008231778597560972, "alpha_t_full": 0.6025635432794104, "r2_5y": 0.6821907866991906, "r2_full": 0.5849171968051132, "corr_portfolio": -0.026996617428932335, "corr_benchmark": 0.40660779694236615, "alpha_pos_frac": 0.4316546762589928, "fund_max_dd": -0.056691724885013506, "first": "2014-08-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.07, vweax +0.07, ivv -0.02, ief +0.28, tlt -0.22, vblix +0.18", "ref_full": "vmbix +0.06, vweax +0.07, ief +0.27, tlt -0.15, vblix +0.10, vea -0.01" }, "slgax": { "sym": "slgax", "name": "SIMT Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006901702594442846, "alpha_t_5y": -0.7188768202855589, "alpha_t_full": -0.47616858212925434, "r2_5y": 0.9806146182681543, "r2_full": 0.8837112806585056, "corr_portfolio": 0.3123137860479798, "corr_benchmark": 0.55681413610476, "alpha_pos_frac": 0.4873096446700508, "fund_max_dd": -0.3679565697094276, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.05, qqq -0.20, iwm +0.11, efa +0.04, gld -0.01", "ref_full": "ivv +0.87, iwm +0.12, qqq -0.07, vweax +0.14, gld -0.03, efa +0.05" }, "slgfx": { "sym": "slgfx", "name": "SIMT Large Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005506868853257871, "alpha_t_5y": -1.0237523880387531, "alpha_t_full": 0.12376612116302782, "r2_5y": 0.9943628314073844, "r2_full": 0.9429383265252191, "corr_portfolio": 0.23869840728892297, "corr_benchmark": 0.6433206168554, "alpha_pos_frac": 0.4742268041237113, "fund_max_dd": -0.3455758718286537, "first": "2018-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.88, iwm +0.06, qqq +0.05, vnq +0.01", "ref_full": "ivv +0.75, vweax +0.18, iwm +0.06, qqq +0.10, gld -0.03, vnq +0.03" }, "sllax": { "sym": "sllax", "name": "SIMT Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005353166618827044, "alpha_t_5y": 0.31800843345397645, "alpha_t_full": -0.3999194970637461, "r2_5y": 0.9636397295597481, "r2_full": 0.8968014078247935, "corr_portfolio": 0.3015590967313962, "corr_benchmark": 0.49381677717875516, "alpha_pos_frac": 0.5076142131979695, "fund_max_dd": -0.44077865500348756, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.85, ief -0.08, ivv +0.49, qqq -0.28, vnq -0.05", "ref_full": "iwm +0.87, ivv +0.19, qqq -0.09, ief -0.12, vweax +0.12" }, "slmcx": { "sym": "slmcx", "name": "Columbia Seligman Technology and Information Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08494185132965161, "alpha_t_5y": 2.3215362237116346, "alpha_t_full": 1.4504939420554903, "r2_5y": 0.895236152188734, "r2_full": 0.8843148056242152, "corr_portfolio": 0.18027465173793542, "corr_benchmark": 0.571462592622238, "alpha_pos_frac": 0.42231075697211157, "fund_max_dd": -0.7367200910952567, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.88, iwm +0.33, vnq -0.17, vwo +0.09", "ref_full": "vea +0.19, qqq +0.80, iwm +0.31, vnq -0.12, efa -0.16, vweax +0.09" }, "slpax": { "sym": "slpax", "name": "SIIT SMALL CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006069537838490807, "alpha_t_5y": 0.40366772340634083, "alpha_t_full": -1.0700741565392822, "r2_5y": 0.9678919155339735, "r2_full": 0.9454463247636984, "corr_portfolio": 0.30217925633534237, "corr_benchmark": 0.5267291106713684, "alpha_pos_frac": 0.5675675675675675, "fund_max_dd": -0.6629140806996587, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.82, ivv +0.37, qqq -0.20, vnq -0.05", "ref_full": "iwm +0.84, vea +0.05, vnq +0.04, ief -0.17, agg +0.13, vweax +0.07" }, "slvax": { "sym": "slvax", "name": "Columbia Select Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02645259903409571, "alpha_t_5y": 1.225297696608466, "alpha_t_full": 1.7489865487219358, "r2_5y": 0.8903160719509724, "r2_full": 0.9269311772538126, "corr_portfolio": 0.40474225510179673, "corr_benchmark": 0.5134600197121855, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6000749579481421, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.63, iwm +0.19, vea +0.56, djp +0.06, efa -0.39", "ref_full": "ivv +1.18, qqq -0.45, iwm +0.19, vwo +0.08, tlt -0.05, vnq +0.03" }, "slyg": { "sym": "slyg", "name": "State Street(R) SPDR(R) S & P 600(TM) Small Cap Growth ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0038415311960807853, "alpha_t_5y": -0.19583649945124942, "alpha_t_full": 0.46325433354110856, "r2_5y": 0.9538420483362545, "r2_full": 0.919207889720857, "corr_portfolio": 0.2790211314587813, "corr_benchmark": 0.5317428135508852, "alpha_pos_frac": 0.4860557768924303, "fund_max_dd": -0.6214596035786664, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.90, ivv +0.09, vwo -0.04, gld -0.02", "ref_full": "iwm +0.86, qqq +0.08, vweax +0.13, vnq -0.03, djp +0.02" }, "slyv": { "sym": "slyv", "name": "State Street(R) SPDR(R) S & P 600(TM) Small Cap Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.032980266715800885, "alpha_t_5y": 1.197194442188288, "alpha_t_full": 1.6950025656562475, "r2_5y": 0.9122703606799796, "r2_full": 0.9106993290359668, "corr_portfolio": 0.33661155658601183, "corr_benchmark": 0.47934535042231147, "alpha_pos_frac": 0.4698275862068966, "fund_max_dd": -0.6132319103592666, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.94, qqq -0.56, ivv +0.64, gld -0.06, djp +0.03", "ref_full": "iwm +0.93, qqq -0.34, ivv +0.36, gld -0.06, djp +0.06, agg +0.11" }, "smcwx": { "sym": "smcwx", "name": "SMALLCAP WORLD FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0595617188601684, "alpha_t_5y": -2.980132488000278, "alpha_t_full": -1.7394157922999582, "r2_5y": 0.933950149549689, "r2_full": 0.9237649366676058, "corr_portfolio": 0.23297212930815756, "corr_benchmark": 0.6054902641761436, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.6246288825964021, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.41, vea +0.32, qqq +0.31, ivv -0.27, vweax +0.32, vwo +0.10", "ref_full": "iwm +0.35, efa +0.20, qqq +0.18, vweax +0.41, vwo +0.09, vnq -0.06" }, "smeax": { "sym": "smeax", "name": "INVESCO Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02490604316500357, "alpha_t_5y": -1.0023254797246182, "alpha_t_full": -0.39567397751496197, "r2_5y": 0.9287863215622676, "r2_full": 0.8808983514155748, "corr_portfolio": 0.256338128891895, "corr_benchmark": 0.5048220625360194, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.5500767505304633, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, ivv +0.21, vnq -0.05, vea +0.67, efa -0.57, vmbix -0.13", "ref_full": "iwm +0.81, ivv +0.21, vnq -0.03" }, "smgax": { "sym": "smgax", "name": "SAAT CONSERVATIVE STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01104681628863849, "alpha_t_5y": 0.9503986999283929, "alpha_t_full": 2.077292283771257, "r2_5y": 0.8594038004367901, "r2_full": 0.9010314878824804, "corr_portfolio": 0.37479404130265315, "corr_benchmark": 0.5631679395696336, "alpha_pos_frac": 0.8132295719844358, "fund_max_dd": -0.6964232264556713, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.19, ivv +0.45, qqq -0.23, vweax +0.20", "ref_full": "vnq +0.25, ivv +0.36, vmbix -0.10, vweax +0.23, qqq -0.13, vwo +0.03" }, "smgix": { "sym": "smgix", "name": "Columbia Contrarian Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020991048696333302, "alpha_t_5y": -0.8637382154941529, "alpha_t_full": 0.7231046517634848, "r2_5y": 0.9213473366365056, "r2_full": 0.9673382777832537, "corr_portfolio": 0.2544668595159661, "corr_benchmark": 0.5789810645171765, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5061566680656691, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, vwo +0.04", "ref_full": "ivv +0.89, vwo +0.02, qqq +0.06, gsg +0.02, efa +0.04" }, "sminx": { "sym": "sminx", "name": "SIMT Tax-Managed International Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03279703847610598, "alpha_t_5y": 1.3525562969109206, "alpha_t_full": 0.6507905694608733, "r2_5y": 0.7398732518512476, "r2_full": 0.7430433882163621, "corr_portfolio": 0.43262753932353454, "corr_benchmark": 0.47414016161936656, "alpha_pos_frac": 0.49107142857142855, "fund_max_dd": -0.32055981207109785, "first": "2016-10-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.65, qqq -0.16, fxy +0.10, vweax +0.25, iwm -0.07, ivv +0.13", "ref_full": "efa +0.66, vweax +0.46, qqq -0.08, iwm -0.06, fxy +0.11, vmbix -0.17" }, "smlax": { "sym": "smlax", "name": "DWS Managed Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016264016551424926, "alpha_t_5y": -1.1691453176695574, "alpha_t_full": 0.643725159537915, "r2_5y": 0.4089385563793958, "r2_full": 0.23723716600483646, "corr_portfolio": 0.02475018068507235, "corr_benchmark": 0.3633986965969015, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.17332588499845192, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, vblix +0.29, ivv -0.07, vnq +0.03, tlt -0.15", "ref_full": "vweax +0.25, ief +0.09, agg +0.08, fxy +0.03, gsg -0.01, vnq +0.01" }, "smlv": { "sym": "smlv", "name": "State Street(R) SPDR(R) US Small Cap Low Volatility Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0499153245801534, "alpha_t_5y": 1.6230990167812318, "alpha_t_full": 2.277067691008286, "r2_5y": 0.8407741349875464, "r2_full": 0.8500629427130433, "corr_portfolio": 0.3372659559702666, "corr_benchmark": 0.45743114026223336, "alpha_pos_frac": 0.5, "fund_max_dd": -0.4244941870247587, "first": "2013-02-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.74, qqq -0.58, ivv +0.69, djp -0.06, vwo -0.08, vnq +0.06", "ref_full": "iwm +0.75, qqq -0.50, ivv +0.52, vnq +0.13, gld -0.07, gsg -0.02" }, "smoax": { "sym": "smoax", "name": "SAAT MODERATE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00328306134689711, "alpha_t_5y": -0.4258590257249426, "alpha_t_full": -1.3299586655305888, "r2_5y": 0.8922333298032118, "r2_full": 0.7946602842755638, "corr_portfolio": 0.3537561971539901, "corr_benchmark": 0.7443811812541647, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.3779240446582227, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.10, agg +0.34, ivv +0.29, qqq -0.12, djp +0.03, vweax +0.11", "ref_full": "ivv +0.14, agg +0.21, vnq +0.07, vweax +0.16, efa +0.05, vwo +0.02" }, "smog": { "sym": "smog", "name": "VanEck Low Carbon Energy ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07605627920160937, "alpha_t_5y": -1.2261069412786099, "alpha_t_full": -1.0834358423541872, "r2_5y": 0.6915077842334526, "r2_full": 0.7045658836863218, "corr_portfolio": 0.12288284768677182, "corr_benchmark": 0.5182089278719655, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.8439415133366142, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.50, iwm +0.46, agg +0.40, qqq +0.60, ivv -0.83, vea +0.28", "ref_full": "efa +0.44, iwm +0.44, vwo +0.33, qqq +0.35, ivv -0.45, djp +0.10" }, "smqfx": { "sym": "smqfx", "name": "SIIT EMERGING MARKETS EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027186307031820536, "alpha_t_5y": 0.9388058930448723, "alpha_t_full": 0.628948804559655, "r2_5y": 0.8100200813936993, "r2_full": 0.8015129682250468, "corr_portfolio": 0.35312890706253586, "corr_benchmark": 0.4303843183864041, "alpha_pos_frac": 0.5073529411764706, "fund_max_dd": -0.40133275399479174, "first": "2014-11-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.56, vea +1.55, efa -1.32, fxy -0.12, vweax +0.30, vnq -0.07", "ref_full": "vwo +0.51, vweax +0.57, vea +1.29, efa -1.12, vmbix -0.22, vnq -0.04" }, "smsax": { "sym": "smsax", "name": "SIMT Multi-Strategy Alternative Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005741460690949587, "alpha_t_5y": -0.506167559430747, "alpha_t_full": -0.8720920861861279, "r2_5y": 0.6703818939872035, "r2_full": 0.49900467026477036, "corr_portfolio": 0.2729803768339342, "corr_benchmark": 0.41511767643815717, "alpha_pos_frac": 0.450261780104712, "fund_max_dd": -0.10984441701958725, "first": "2010-04-05", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "iwm +0.10, vwo +0.04, gld +0.03, vweax +0.09, fxy -0.04, vea +0.04", "ref_full": "iwm +0.11, vweax +0.19, vwo +0.04, fxe -0.04, vnq -0.02, gld +0.01" }, "smxax": { "sym": "smxax", "name": "SIIT Extended Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018202705498841346, "alpha_t_5y": -1.042733308741589, "alpha_t_full": -0.5700751727657806, "r2_5y": 0.9645463503983309, "r2_full": 0.9313747562949443, "corr_portfolio": 0.2247238584135127, "corr_benchmark": 0.5851901125914629, "alpha_pos_frac": 0.4774193548387097, "fund_max_dd": -0.41483666416965936, "first": "2013-03-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.73, qqq +0.24, vnq +0.04, vweax +0.09", "ref_full": "iwm +0.70, qqq +0.19, vweax +0.24, vnq +0.05, vwo +0.03, vmbix -0.07" }, "sngvx": { "sym": "sngvx", "name": "SIT U S GOVERNMENT SECURITIES FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007842739974614406, "alpha_t_5y": 0.11062770234525096, "alpha_t_full": 0.38742962533003306, "r2_5y": 0.7817214638119865, "r2_full": 0.5178350920901809, "corr_portfolio": -0.11713183173217045, "corr_benchmark": 0.5155697771330827, "alpha_pos_frac": 0.4717948717948718, "fund_max_dd": -0.08879524335166755, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.29, vmbix +0.25, qqq -0.02, tlt -0.04, gsg -0.01, vea +0.02", "ref_full": "ief +0.27, vweax +0.06, agg +0.08, tlt -0.03, fxy +0.02, vnq +0.00" }, "snidx": { "sym": "snidx", "name": "AB Core Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002834542311201267, "alpha_t_5y": -0.4005761194904175, "alpha_t_full": -0.6312521519844444, "r2_5y": 0.9126928657641198, "r2_full": 0.7877802144163715, "corr_portfolio": -0.09989990156377518, "corr_benchmark": 0.6679079408397266, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.1847427513676898, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.24, ief +0.30, vweax +0.11, ivv -0.03, vmbix +0.18, vblix +0.05", "ref_full": "ief +0.38, vweax +0.19, agg +0.14, vnq +0.01, tlt +0.04, gld +0.01" }, "sniex": { "sym": "sniex", "name": "BNY Mellon International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004856833776449237, "alpha_t_5y": -0.19659261670620415, "alpha_t_full": -0.652942051531523, "r2_5y": 0.8696439894859957, "r2_full": 0.8860720221618984, "corr_portfolio": 0.37460342680580283, "corr_benchmark": 0.5158300797680773, "alpha_pos_frac": 0.5165289256198347, "fund_max_dd": -0.5695869655476355, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.83, vwo +0.09, fxe +0.09, vweax +0.20, iwm -0.04", "ref_full": "efa +0.72, vweax +0.37, vnq -0.04, vwo +0.07, fxy +0.07, fxe +0.06" }, "snsax": { "sym": "snsax", "name": "SAAT DEFENSIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0024070933082417237, "alpha_t_5y": -0.5371450798587706, "alpha_t_full": -2.665278767349568, "r2_5y": 0.7848427791192472, "r2_full": 0.5776328139217268, "corr_portfolio": 0.27058429615623636, "corr_benchmark": 0.7433391677160848, "alpha_pos_frac": 0.5025641025641026, "fund_max_dd": -0.12213110883719325, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.07, ivv +0.11, qqq -0.05, vea +0.03, ief +0.20, tlt -0.04", "ref_full": "ivv +0.07, agg +0.06, vweax +0.11, ief +0.07, gld +0.01, qqq -0.01" }, "sntix": { "sym": "sntix", "name": "Sit Tax-Free Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021033657994868993, "alpha_t_5y": -1.2820249525084244, "alpha_t_full": 0.619696792218872, "r2_5y": 0.22173155480735862, "r2_full": 0.23359533955339773, "corr_portfolio": 0.09416053986311125, "corr_benchmark": 0.2674620586804211, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.17996727684767866, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.46, ivv -0.13, vnq +0.04, qqq +0.05", "ref_full": "vweax +0.31, agg +0.13, efa -0.02, fxy +0.03, vnq +0.02, iwm -0.02" }, "sntkx": { "sym": "sntkx", "name": "Steward Values Enhanced International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00965497088620775, "alpha_t_5y": 0.4697909206856447, "alpha_t_full": -1.3362739095073404, "r2_5y": 0.9203399098892863, "r2_full": 0.9431496183664801, "corr_portfolio": 0.36074730866871024, "corr_benchmark": 0.5326402701251359, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.6072246591544187, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.11, vwo +0.35, ivv +0.28, gsg +0.07, efa +0.41, qqq -0.09", "ref_full": "efa +0.53, vwo +0.24, ivv +0.16, djp +0.09, iwm +0.07, vnq -0.04" }, "soaix": { "sym": "soaix", "name": "Spirit of America Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012296705021446858, "alpha_t_5y": -0.11793702967236726, "alpha_t_full": 1.162481353434535, "r2_5y": 0.8224167413833219, "r2_full": 0.6992077912597007, "corr_portfolio": 0.12389553914793835, "corr_benchmark": 0.7835788651689454, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.16758000515237603, "first": "2009-01-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.33, vnq +0.06, vweax +0.24, tlt +0.12, iwm +0.03, gsg +0.02", "ref_full": "agg +0.16, vweax +0.30, tlt +0.15, vnq +0.03, iwm +0.03, ief +0.16" }, "sokax": { "sym": "sokax", "name": "SAAT CORE MARKET STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006931408571490683, "alpha_t_5y": -0.7708995785115337, "alpha_t_full": -1.8901916177528646, "r2_5y": 0.9274203090769632, "r2_full": 0.9135133922835602, "corr_portfolio": 0.344520093729418, "corr_benchmark": 0.7282793503680869, "alpha_pos_frac": 0.600896860986547, "fund_max_dd": -0.3563199492712057, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.18, agg +0.33, ivv +0.16, djp +0.04, vweax +0.20, iwm +0.04", "ref_full": "ivv +0.17, agg +0.09, efa +0.14, vweax +0.27, iwm +0.06, ief +0.17" }, "spab": { "sym": "spab", "name": "State Street(R) SPDR(R) Portfolio Aggregate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017880678087322628, "alpha_t_5y": -0.4809848154491624, "alpha_t_full": 0.005486089703379102, "r2_5y": 0.9763276895981458, "r2_full": 0.7254926726574003, "corr_portfolio": -0.08888726589607811, "corr_benchmark": 0.7062221452746815, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.18555793701641843, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.70, ief +0.16, vweax +0.03, vnq +0.01, vblix +0.02", "ref_full": "agg +0.96, gld +0.01, efa +0.02, vnq -0.01" }, "spbo": { "sym": "spbo", "name": "State Street(R) SPDR Portfolio Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008020353789819917, "alpha_t_5y": 0.11455674376632487, "alpha_t_full": 0.1243152244202635, "r2_5y": 0.9443570273521186, "r2_full": 0.516803350306644, "corr_portfolio": -0.017453918791769562, "corr_benchmark": 0.6885131577942624, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.22039506767691308, "first": "2011-04-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +1.58, ivv +0.06, vmbix -0.40, vblix +0.19, ief -0.25, tlt -0.07", "ref_full": "agg +0.89, vweax +0.20, vnq +0.03, tlt +0.04" }, "spdax": { "sym": "spdax", "name": "DWS Multi-Asset Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015197547244351711, "alpha_t_5y": -2.849117701086502, "alpha_t_full": -4.343771789708947, "r2_5y": 0.9735504874844015, "r2_full": 0.950317639147642, "corr_portfolio": 0.2846451716501803, "corr_benchmark": 0.7872846005874587, "alpha_pos_frac": 0.6098654708520179, "fund_max_dd": -0.43004166466637084, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.21, agg +0.49, vea +0.09, iwm +0.03, vwo +0.04, vnq +0.03", "ref_full": "ivv +0.27, efa +0.13, ief +0.11, vnq +0.05, vwo +0.06, agg +0.17" }, "spdw": { "sym": "spdw", "name": "State Street(R) SPDR(R) Portfolio Developed World ex-US ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000224524289997356, "alpha_t_5y": -0.058972311875770886, "alpha_t_full": 0.020645847393015254, "r2_5y": 0.9970134092762205, "r2_full": 0.9081890086603744, "corr_portfolio": 0.3666720952997476, "corr_benchmark": 0.5547101706120205, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6002180326553332, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.90, iwm +0.01, efa +0.07, vwo +0.01, qqq +0.01", "ref_full": "efa +0.82, djp +0.07, vweax +0.19, qqq +0.04, fxe +0.08, vwo +0.03" }, "specx": { "sym": "specx", "name": "Alger Spectra Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024641884055353544, "alpha_t_5y": -0.30056642344581497, "alpha_t_full": -0.4331698112803541, "r2_5y": 0.6325724867322104, "r2_full": 0.7851915042666775, "corr_portfolio": 0.10154250257861976, "corr_benchmark": 0.519900179162112, "alpha_pos_frac": 0.5913312693498453, "fund_max_dd": -0.8420370388314375, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.13", "ref_full": "qqq +0.73, ivv +0.27, vnq -0.08, iwm +0.11, gld +0.04" }, "spedx": { "sym": "spedx", "name": "Alger Dynamic Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -2.1773814793831616, "r2_5y": NaN, "r2_full": 0.6569313152933419, "corr_portfolio": 0.1555013257947815, "corr_benchmark": 0.4515214209563395, "alpha_pos_frac": 0.5571428571428572, "fund_max_dd": -0.2152230715317427, "first": "2009-11-06", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "qqq +0.48, iwm +0.24, ivv -0.20, vnq -0.05, tlt +0.05" }, "spegx": { "sym": "spegx", "name": "Alger Responsible Investing Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.031428964860752036, "alpha_t_5y": -1.4352735430891959, "alpha_t_full": -3.0046499712854886, "r2_5y": 0.942110846205268, "r2_full": 0.9490241758849541, "corr_portfolio": 0.16534361471522863, "corr_benchmark": 0.6169070921880421, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6728879916940299, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.66, ivv +0.38", "ref_full": "qqq +0.53, ivv +0.41, iwm +0.05, vweax +0.09, gld +0.02, vnq -0.02" }, "spem": { "sym": "spem", "name": "State Street(R) SPDR(R) Portfolio Emerging Markets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033495975883478303, "alpha_t_5y": 0.546021085718462, "alpha_t_full": -0.052721177204843185, "r2_5y": 0.9930506308217548, "r2_full": 0.9301656640363171, "corr_portfolio": 0.2671702087606569, "corr_benchmark": 0.4713164625605704, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6440955976281577, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.96, vea +0.03", "ref_full": "vwo +0.81, efa +0.07, djp +0.05, vweax +0.15, qqq +0.05, vnq -0.03" }, "speu": { "sym": "speu", "name": "State Street(R) SPDR(R) Portfolio Europe ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01054351461949335, "alpha_t_5y": 0.6883128029342387, "alpha_t_full": -0.13475995654194622, "r2_5y": 0.9559468450476164, "r2_full": 0.912864703479018, "corr_portfolio": 0.35389156420011014, "corr_benchmark": 0.5179063666389895, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.624535155154798, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.32, fxe +0.23, vea -0.32, fxy -0.09, vweax +0.15, qqq -0.04", "ref_full": "efa +0.96, fxe +0.17, vweax +0.17, ief -0.21, vwo -0.04, agg +0.16" }, "spfax": { "sym": "spfax", "name": "PGIM JENNISON FOCUSED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07862168206253312, "alpha_t_5y": -2.427173559057048, "alpha_t_full": -1.4756307303177336, "r2_5y": 0.9072756557356368, "r2_full": 0.9013537286707103, "corr_portfolio": 0.07841243536706055, "corr_benchmark": 0.5831294902482805, "alpha_pos_frac": 0.511326860841424, "fund_max_dd": -0.618918023926341, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.06", "ref_full": "qqq +0.87, ivv +0.13, vnq -0.07, iwm +0.06, agg +0.09, fxe +0.04" }, "spgbx": { "sym": "spgbx", "name": "Symmetry Panoramic Global Systematic Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01307202558421973, "alpha_t_5y": -1.5519355141586542, "alpha_t_full": -1.2121397688417757, "r2_5y": 0.8093824560829852, "r2_full": 0.7649572610959036, "corr_portfolio": -0.14366390427942927, "corr_benchmark": 0.6459191015468991, "alpha_pos_frac": 0.5977011494252874, "fund_max_dd": -0.17025727605395313, "first": "2018-11-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.17, ief +0.33, vweax +0.14, fxe -0.03, vblix +0.04", "ref_full": "ief +0.30, vweax +0.11, vmbix +0.17, vblix +0.08, fxe -0.03, agg -0.07" }, "spgex": { "sym": "spgex", "name": "Symmetry Panoramic Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005657434002470377, "alpha_t_5y": 0.315931932466036, "alpha_t_full": 0.9651311596765396, "r2_5y": 0.920808546577217, "r2_full": 0.5899757645962309, "corr_portfolio": 0.2883422078162079, "corr_benchmark": 0.5507913458529868, "alpha_pos_frac": 0.632183908045977, "fund_max_dd": -0.3695271757021328, "first": "2018-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.53, vea +0.27, iwm +0.13, vwo +0.09, qqq -0.12, gsg +0.02", "ref_full": "iwm +0.27, vea +0.17, fxe +0.36, ivv +0.22, tlt +0.30, agg -0.64" }, "spgm": { "sym": "spgm", "name": "State Street(R) SPDR(R) Portfolio MSCI Global Stock Market ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010924667907285903, "alpha_t_5y": 0.14446312660120647, "alpha_t_full": 0.04281835468465267, "r2_5y": 0.9873520134302142, "r2_full": 0.7172017852610486, "corr_portfolio": 0.28698717938703766, "corr_benchmark": 0.5432318229197318, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3396738951253594, "first": "2012-03-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.55, vea +0.29, vwo +0.10, iwm +0.06, vweax +0.06, vnq -0.01", "ref_full": "ivv +0.48, vea +0.27, vweax +0.29, vwo +0.05, iwm +0.05" }, "spgp": { "sym": "spgp", "name": "Invesco S&P 500 GARP ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01167216446699115, "alpha_t_5y": -0.43346135165331956, "alpha_t_full": -0.0906016862043672, "r2_5y": 0.8785567194998978, "r2_full": 0.7897319187081919, "corr_portfolio": 0.31920069445985383, "corr_benchmark": 0.56262163552692, "alpha_pos_frac": 0.5340909090909091, "fund_max_dd": -0.4208225767219662, "first": "2011-06-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.07, iwm +0.27, qqq -0.30", "ref_full": "ivv +0.79, iwm +0.20, vweax +0.37, fxe -0.11, efa -0.07" }, "spgsx": { "sym": "spgsx", "name": "State Street Premier Growth Equity V.I.S. Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0062103560755529565, "alpha_t_5y": -0.10157522216301634, "alpha_t_full": -0.7953186818523243, "r2_5y": 0.6841155376729815, "r2_full": 0.8163976197990845, "corr_portfolio": 0.145695220626689, "corr_benchmark": 0.5141757903168992, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.5890746626753876, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.64, ivv +0.43", "ref_full": "qqq +0.49, ivv +0.54, agg -0.31, ief +0.15" }, "spgtx": { "sym": "spgtx", "name": "Symmetry Panoramic Tax Managed Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009812805557013452, "alpha_t_5y": 0.5844040449699519, "alpha_t_full": 1.0607769964886857, "r2_5y": 0.9294935913710632, "r2_full": 0.6154521538602751, "corr_portfolio": 0.2920889423806638, "corr_benchmark": 0.5611595761958311, "alpha_pos_frac": 0.632183908045977, "fund_max_dd": -0.3509820720578448, "first": "2018-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.27, iwm +0.13, vwo +0.11, qqq -0.11, gsg +0.02", "ref_full": "iwm +0.34, vea +0.21, fxe +0.30, qqq +0.12, vnq -0.11, tlt +0.10" }, "sphb": { "sym": "sphb", "name": "Invesco S&P 500 High Beta ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.032158230872179144, "alpha_t_5y": 0.7879213538987062, "alpha_t_full": -0.15005119424121072, "r2_5y": 0.8785391054263282, "r2_full": 0.8649521075937459, "corr_portfolio": 0.25071422153532463, "corr_benchmark": 0.5172901281004925, "alpha_pos_frac": 0.4943820224719101, "fund_max_dd": -0.4683571603983159, "first": "2011-05-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, iwm +0.61, qqq +0.26, vnq -0.15, vea +0.86, efa -0.69", "ref_full": "iwm +0.63, ivv +0.61, gsg +0.07, vnq -0.14, vea +0.69, efa -0.49" }, "sphd": { "sym": "sphd", "name": "Invesco S&P 500 High Dividend Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0163421390177129, "alpha_t_5y": 0.6133632501962206, "alpha_t_full": 1.5586484364237256, "r2_5y": 0.803245117567016, "r2_full": 0.8580823960785076, "corr_portfolio": 0.4030764787926089, "corr_benchmark": 0.48626547377841384, "alpha_pos_frac": 0.4875, "fund_max_dd": -0.41386653878324575, "first": "2012-10-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.35, efa +0.06, qqq -0.80, ivv +1.23, djp +0.04", "ref_full": "vnq +0.32, ivv +1.16, qqq -0.69, efa +0.06, gsg +0.03, iwm +0.05" }, "sphq": { "sym": "sphq", "name": "Invesco S&P 500 Quality ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007851308343041053, "alpha_t_5y": 0.35663965682688004, "alpha_t_full": -0.334094439238253, "r2_5y": 0.8999852220638628, "r2_full": 0.8551642146506861, "corr_portfolio": 0.2989056662430717, "corr_benchmark": 0.5929751963390164, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.5782945183268314, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, vea +0.13", "ref_full": "ivv +0.73, qqq +0.10, iwm +0.09, vnq -0.04, gld +0.03, vweax +0.08" }, "sphy": { "sym": "sphy", "name": "State Street(R) SPDR(R) Portfolio High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008082252803090917, "alpha_t_5y": -0.05834888977862843, "alpha_t_full": -0.4180735887885728, "r2_5y": 0.773318146550063, "r2_full": 0.46125759061662885, "corr_portfolio": 0.1697475904406023, "corr_benchmark": 0.5288416057624873, "alpha_pos_frac": 0.47560975609756095, "fund_max_dd": -0.21969347136238093, "first": "2012-06-20", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.14, agg +1.13, vweax +0.45, ief -0.42, vblix -0.14, iwm +0.04", "ref_full": "vweax +0.51, ivv +0.13, agg +0.26, vnq +0.05" }, "spiax": { "sym": "spiax", "name": "INVESCO S&P 500 INDEX FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003892219037962976, "alpha_t_5y": -0.7500066935058011, "alpha_t_full": -0.8397918088807569, "r2_5y": 0.9945534803993717, "r2_full": 0.987354963680869, "corr_portfolio": 0.2811324033552422, "corr_benchmark": 0.614014845380336, "alpha_pos_frac": 0.5275080906148867, "fund_max_dd": -0.5547379767424678, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01" }, "spib": { "sym": "spib", "name": "State Street(R) SPDR(R) Portfolio Intermediate Term Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005170499129822369, "alpha_t_5y": 0.10545222862466057, "alpha_t_full": 0.22488376028764434, "r2_5y": 0.9282060855819092, "r2_full": 0.6205015041840347, "corr_portfolio": 0.005872417331564821, "corr_benchmark": 0.6877273324311332, "alpha_pos_frac": 0.42196531791907516, "fund_max_dd": -0.14936516197717886, "first": "2009-02-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.91, tlt -0.21, ivv +0.03, vmbix -0.15, vblix +0.12, ief +0.13", "ref_full": "agg +0.44, vweax +0.18, ief +0.28, tlt -0.06, ivv +0.02, gld +0.01" }, "spilx": { "sym": "spilx", "name": "Symmetry Panoramic International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008403595526252562, "alpha_t_5y": 0.42461138054238745, "alpha_t_full": 0.927833569249514, "r2_5y": 0.901181153090666, "r2_full": 0.5930394236940276, "corr_portfolio": 0.29779517726539106, "corr_benchmark": 0.4860863098815355, "alpha_pos_frac": 0.5517241379310345, "fund_max_dd": -0.3669319148593564, "first": "2018-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.87, vwo +0.25, efa -0.26, djp +0.03, vnq -0.04, vweax +0.11", "ref_full": "vea +0.57, fxe +0.37, vwo +0.15, vnq -0.08, tlt +0.29, agg -0.60" }, "spinx": { "sym": "spinx", "name": "SIIT S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008825994067415214, "alpha_t_5y": -0.1673256405695595, "alpha_t_full": 0.061961662616799675, "r2_5y": 0.9944094696300239, "r2_full": 0.9505642508870152, "corr_portfolio": 0.28227146598425684, "corr_benchmark": 0.6060957722112987, "alpha_pos_frac": 0.5205479452054794, "fund_max_dd": -0.3381615912609902, "first": "2013-12-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.92, vweax +0.13, gld -0.02, qqq +0.03" }, "spip": { "sym": "spip", "name": "State Street(R) SPDR(R) Portfolio TIPS ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0001884205404123066, "alpha_t_5y": 0.012468226297335645, "alpha_t_full": 0.11241728915359997, "r2_5y": 0.6874480310355628, "r2_full": 0.6132917980889292, "corr_portfolio": -0.05338143466673184, "corr_benchmark": 0.616785627284084, "alpha_pos_frac": 0.5288888888888889, "fund_max_dd": -0.15384320672535434, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.39, gsg +0.03, ief +0.40, djp +0.04", "ref_full": "ief +0.49, gsg +0.04, agg +0.22, vweax +0.10, tlt +0.06, gld +0.02" }, "splb": { "sym": "splb", "name": "State Street(R) SPDR(R) Portfolio Long Term Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001643818992599515, "alpha_t_5y": -0.1336044532300551, "alpha_t_full": -0.7995032394497968, "r2_5y": 0.9456166546034491, "r2_full": 0.7219264382783048, "corr_portfolio": -0.024592984363954094, "corr_benchmark": 0.7850195034216941, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.34461214366904447, "first": "2009-03-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.60, ivv +0.10, agg +2.62, ief -1.02, vmbix -0.64, vweax -0.15", "ref_full": "agg +1.45, tlt +0.52, ivv +0.09, ief -0.70, vweax +0.33" }, "splv": { "sym": "splv", "name": "Invesco S&P 500 Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010503501869023624, "alpha_t_5y": -0.3946427321125469, "alpha_t_full": 0.851951030808655, "r2_5y": 0.7429513031676807, "r2_full": 0.819258726067456, "corr_portfolio": 0.34073076944107844, "corr_benchmark": 0.5286972473884982, "alpha_pos_frac": 0.5393258426966292, "fund_max_dd": -0.36261436357625043, "first": "2011-05-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.31, ivv +1.24, qqq -0.61, iwm -0.16, vwo -0.06, ief +0.10", "ref_full": "vnq +0.30, ivv +1.17, qqq -0.42, iwm -0.19, gsg -0.03, vwo -0.04" }, "spmb": { "sym": "spmb", "name": "State Street(R) SPDR(R) Portfolio Mortgage Backed Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001793038299491995, "alpha_t_5y": 0.2862817793782509, "alpha_t_full": -0.49624527419596676, "r2_5y": 0.9473587344317556, "r2_full": 0.4003861514149427, "corr_portfolio": -0.011845346050258483, "corr_benchmark": 0.5651515306138521, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.1803333934596375, "first": "2009-02-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.72, agg +0.43, vblix -0.05", "ref_full": "agg +1.18, tlt -0.12, vnq +0.02, fxe -0.03" }, "spmd": { "sym": "spmd", "name": "State Street(R) SPDR(R) Portfolio S&P 400(TM) Mid Cap ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00841816279532428, "alpha_t_5y": -0.45396678917085065, "alpha_t_full": -0.7747795549173755, "r2_5y": 0.9500058115037964, "r2_full": 0.8970945429336352, "corr_portfolio": 0.3071831547947461, "corr_benchmark": 0.5411668990848592, "alpha_pos_frac": 0.5855263157894737, "fund_max_dd": -0.4186114008075352, "first": "2013-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.57, qqq -0.25, vnq +0.05, fxy -0.08, vea +0.08", "ref_full": "iwm +0.61, ivv +0.53, qqq -0.21, vnq +0.05, vweax +0.10" }, "spmfx": { "sym": "spmfx", "name": "Symmetry Panoramic Municipal Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017242548857001716, "alpha_t_5y": -2.631700283461765, "alpha_t_full": -2.252664825163263, "r2_5y": 0.3427767612470781, "r2_full": 0.32630888367998157, "corr_portfolio": 0.042020657455235706, "corr_benchmark": 0.4115819769995423, "alpha_pos_frac": 0.45977011494252873, "fund_max_dd": -0.0537610570186261, "first": "2018-11-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, vweax +0.08", "ref_full": "vmbix +0.08, vweax +0.09, vblix +0.03, gsg -0.01, fxy +0.02" }, "spmo": { "sym": "spmo", "name": "Invesco S&P 500 Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028902827055418936, "alpha_t_5y": 0.7195476078664902, "alpha_t_full": 0.5872947203262238, "r2_5y": 0.7851390225914626, "r2_full": 0.743718861174376, "corr_portfolio": 0.23439672328782793, "corr_benchmark": 0.5377880335163583, "alpha_pos_frac": 0.512, "fund_max_dd": -0.3094754342439773, "first": "2015-10-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.05, vnq -0.20, vea +1.63, efa -1.40, fxe -0.18, vweax -0.27", "ref_full": "ivv +0.61, qqq +0.33, gld +0.08, vmbix -0.21, vblix +0.23, agg -0.52" }, "spqax": { "sym": "spqax", "name": "PGIM JENNISON GLOBAL EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009910068565233805, "alpha_t_5y": 0.48282605072142504, "alpha_t_full": 0.3351354147287458, "r2_5y": 0.8800341661953094, "r2_full": 0.8991560343248687, "corr_portfolio": 0.3930154358289163, "corr_benchmark": 0.5739617724755451, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.5135384747664761, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.43, ivv +0.66, qqq -0.27, vnq +0.08", "ref_full": "ivv +0.56, efa +0.23, vweax +0.24, iwm +0.10, qqq -0.10, gsg +0.03" }, "sprax": { "sym": "sprax", "name": "PGIM QUANT SOLUTIONS MID-CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027698923665509315, "alpha_t_5y": 1.1102949427514046, "alpha_t_full": 0.48146334590640866, "r2_5y": 0.8997975721945465, "r2_full": 0.9107703357574514, "corr_portfolio": 0.3959868143618255, "corr_benchmark": 0.495189000615195, "alpha_pos_frac": 0.5291828793774319, "fund_max_dd": -0.6282373710442972, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.45, vnq +0.08, efa +0.10, ief -0.07, qqq -0.64, ivv +1.09", "ref_full": "iwm +0.49, ivv +0.96, qqq -0.48, vweax +0.22, djp +0.07, gld -0.04" }, "spsb": { "sym": "spsb", "name": "State Street(R) SPDR(R) Portfolio Short Term Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001149900721810994, "alpha_t_5y": 0.3380860673774131, "alpha_t_full": 0.4052731121872132, "r2_5y": 0.8203210308850797, "r2_full": 0.33003953366758476, "corr_portfolio": 0.049795381631569616, "corr_benchmark": 0.42754426748570534, "alpha_pos_frac": 0.4175257731958763, "fund_max_dd": -0.11753410138601694, "first": "2010-01-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.54, tlt -0.12, vmbix -0.07, ief +0.06, vweax +0.02, fxy +0.01", "ref_full": "agg +0.37, tlt -0.07, vweax +0.09, gld +0.01, vmbix +0.05" }, "spsm": { "sym": "spsm", "name": "State Street(R) SPDR(R) Portfolio S&P 600(TM) Small Cap ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017025756736873628, "alpha_t_5y": 0.885911239131568, "alpha_t_full": 0.8566379993528349, "r2_5y": 0.9549920451936282, "r2_full": 0.9428839978182835, "corr_portfolio": 0.30816582262298364, "corr_benchmark": 0.5124517261005846, "alpha_pos_frac": 0.4342105263157895, "fund_max_dd": -0.42890311805457404, "first": "2013-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.91, qqq -0.32, ivv +0.41, gld -0.04", "ref_full": "iwm +0.93, qqq -0.22, ivv +0.27, gld -0.03, vweax +0.08" }, "spti": { "sym": "spti", "name": "State Street(R) SPDR(R) Portfolio Intermediate Term Treasury ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015194207822377083, "alpha_t_5y": -0.49321010149876604, "alpha_t_full": 0.19938655047559678, "r2_5y": 0.9800223746663445, "r2_full": 0.6741720949800212, "corr_portfolio": -0.1952352553666767, "corr_benchmark": 0.573867825431277, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.16113371609549165, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.72, tlt -0.11, agg +0.27, ivv -0.01, vblix -0.03", "ref_full": "ief +0.62, tlt -0.07, qqq -0.02, vweax +0.04, agg +0.05, fxe +0.02" }, "sptl": { "sym": "sptl", "name": "State Street(R) SPDR(R) Portfolio Long Term Treasury ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001463823453543695, "alpha_t_5y": 0.39242785688134435, "alpha_t_full": 0.08614999195220516, "r2_5y": 0.9961996705752296, "r2_full": 0.9397955582464, "corr_portfolio": -0.19950584867724785, "corr_benchmark": 0.6411961260729345, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.4619654036724331, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +0.72, ief +0.22, vblix +0.16, vmbix -0.06, efa -0.01, vweax -0.03", "ref_full": "tlt +0.80, ief +0.19, vwo +0.01" }, "sptm": { "sym": "sptm", "name": "State Street(R) SPDR(R) Portfolio S&P 1500(R) Composite Stock Market ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013951476325406846, "alpha_t_5y": 0.3627968082787364, "alpha_t_full": 0.3582804223518813, "r2_5y": 0.9969971518266509, "r2_full": 0.8630908758456446, "corr_portfolio": 0.2862996281271352, "corr_benchmark": 0.610320941799692, "alpha_pos_frac": 0.5498281786941581, "fund_max_dd": -0.5480140880174706, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, iwm +0.06, qqq -0.01, vweax +0.02", "ref_full": "ivv +0.78, agg -1.02, ief +0.57, iwm +0.14, vweax +0.18, vnq +0.03" }, "spts": { "sym": "spts", "name": "State Street(R) SPDR(R) Portfolio Short Term Treasury ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002918988030304069, "alpha_t_5y": -0.8514486529440746, "alpha_t_full": -0.07498361813975485, "r2_5y": 0.8156860778385929, "r2_full": 0.20079611440957934, "corr_portfolio": -0.09368465015055957, "corr_benchmark": 0.23346453201919723, "alpha_pos_frac": 0.45614035087719296, "fund_max_dd": -0.05825318887504449, "first": "2011-12-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.22, tlt -0.08, agg +0.28, ivv -0.02, vblix -0.06, fxy +0.01", "ref_full": "ief +0.35, tlt -0.07" }, "spubx": { "sym": "spubx", "name": "Symmetry Panoramic US Systematic Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003090634972159064, "alpha_t_5y": -0.43891272567854334, "alpha_t_full": -0.5022295135737715, "r2_5y": 0.8661701532490202, "r2_full": 0.8453893138014109, "corr_portfolio": -0.1258995576029626, "corr_benchmark": 0.667411929174259, "alpha_pos_frac": 0.5057471264367817, "fund_max_dd": -0.13692420053323673, "first": "2018-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.33, vmbix +0.15, ief +0.17, vweax +0.04, fxy +0.02", "ref_full": "ief +0.26, vmbix +0.27, vweax +0.03, vblix +0.12, tlt -0.07, fxy +0.02" }, "spusx": { "sym": "spusx", "name": "Symmetry Panoramic US Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007552764765909878, "alpha_t_5y": 0.3911907679805278, "alpha_t_full": 0.8324216574987576, "r2_5y": 0.9228237577574726, "r2_full": 0.5956306298372811, "corr_portfolio": 0.26030140869221235, "corr_benchmark": 0.5486144628673522, "alpha_pos_frac": 0.5287356321839081, "fund_max_dd": -0.3843508851086732, "first": "2018-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.90, iwm +0.22, qqq -0.20, vea +0.05", "ref_full": "iwm +0.41, ivv +0.47, tlt +0.12, fxe +0.33, vwo -0.17, vnq -0.12" }, "spvm": { "sym": "spvm", "name": "Invesco S&P 500 Value with Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01421108329038408, "alpha_t_5y": 0.5571104113379164, "alpha_t_full": 1.1331747957239702, "r2_5y": 0.8665113390577655, "r2_full": 0.7838671759232411, "corr_portfolio": 0.4377787450216702, "corr_benchmark": 0.4552331865358623, "alpha_pos_frac": 0.5113636363636364, "fund_max_dd": -0.4535285069835572, "first": "2011-06-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.28, ivv +1.53, qqq -0.89, ief -0.16, gsg +0.04, efa +0.07", "ref_full": "ivv +1.31, qqq -0.69, iwm +0.22, vweax +0.39, ief -0.16, gsg +0.04" }, "spyd": { "sym": "spyd", "name": "State Street(R) SPDR(R) Portfolio S&P 500(R) High Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029630763479585997, "alpha_t_5y": 1.1307928073338616, "alpha_t_full": 1.1809371887370361, "r2_5y": 0.8535959917721317, "r2_full": 0.8763420320059812, "corr_portfolio": 0.3941741109813434, "corr_benchmark": 0.48020272781743806, "alpha_pos_frac": 0.5, "fund_max_dd": -0.46420002972848695, "first": "2015-10-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.31, iwm +0.22, qqq -0.82, ivv +1.23, djp +0.08, gld -0.04", "ref_full": "vnq +0.31, iwm +0.23, tlt -0.04, qqq -0.77, ivv +1.21, gsg +0.05" }, "spyg": { "sym": "spyg", "name": "State Street(R) SPDR(R) Portfolio S&P 500(R) Growth ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01281260523920006, "alpha_t_5y": -0.9023298849196361, "alpha_t_full": -0.5300975623310489, "r2_5y": 0.9745738151923758, "r2_full": 0.9578799804340131, "corr_portfolio": 0.18670656459837065, "corr_benchmark": 0.6247492508655842, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6764212615737084, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.56, ivv +0.64, iwm -0.06, vnq -0.05, vea -0.04", "ref_full": "qqq +0.45, ivv +0.63, vnq -0.02, gld +0.02, efa -0.07, fxe +0.05" }, "spygx": { "sym": "spygx", "name": "Spyglass Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08014126121079351, "alpha_t_5y": -1.2154352091086982, "alpha_t_full": -0.3496234531011818, "r2_5y": 0.7289590654882849, "r2_full": 0.7597896852618395, "corr_portfolio": 0.04561194125639754, "corr_benchmark": 0.5931339271498434, "alpha_pos_frac": 0.47959183673469385, "fund_max_dd": -0.5774077552256748, "first": "2018-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.82, iwm +0.69, vea -0.21, vweax +0.51, ivv -0.32", "ref_full": "qqq +0.84, iwm +0.69, ivv -0.40, vblix +0.13, vea -0.14" }, "spyv": { "sym": "spyv", "name": "State Street(R) SPDR(R) Portfolio S&P 500(R) Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015812321639688053, "alpha_t_5y": 0.9742311228823483, "alpha_t_full": 0.5173855821466217, "r2_5y": 0.9266653503039398, "r2_full": 0.9235725319236505, "corr_portfolio": 0.37915651896427016, "corr_benchmark": 0.5385096491023775, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5844807705543409, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.32, qqq -0.58, iwm +0.09, vnq +0.07, vea +0.04", "ref_full": "ivv +1.18, qqq -0.40, iwm +0.09, vnq +0.04, tlt -0.05, vweax +0.09" }, "spyx": { "sym": "spyx", "name": "State Street(R) SPDR(R) S&P(R) 500 Fossil Fuel Reserves Free ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006128549935603652, "alpha_t_5y": -0.10157729089493854, "alpha_t_full": 0.14763887408170798, "r2_5y": 0.9927394019053115, "r2_full": 0.9727048543733027, "corr_portfolio": 0.24389944389714724, "corr_benchmark": 0.6371281578554063, "alpha_pos_frac": 0.5609756097560976, "fund_max_dd": -0.3284015235437633, "first": "2015-12-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, gsg -0.02, qqq +0.03", "ref_full": "ivv +0.94, gsg -0.02, qqq +0.04, vweax +0.05" }, "sqmax": { "sym": "sqmax", "name": "DWS Massachusetts Tax-Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021378059472158477, "alpha_t_5y": -1.7913547465984772, "alpha_t_full": 0.4731798973797969, "r2_5y": 0.41471479601020356, "r2_full": 0.23796412422460966, "corr_portfolio": 0.013999399708583974, "corr_benchmark": 0.3628780192644691, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.15453053487135182, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, ief +0.08, ivv -0.06, vnq +0.02, vblix +0.22, tlt -0.14", "ref_full": "agg +0.17, vweax +0.25, fxy +0.05, efa -0.03, vnq +0.01, gsg -0.01" }, "sraax": { "sym": "sraax", "name": "SIMT Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011561695189680069, "alpha_t_5y": 0.14596083757798406, "alpha_t_full": 0.07726796548615701, "r2_5y": 0.6361546335236679, "r2_full": 0.5360252807508248, "corr_portfolio": 0.010490632838661624, "corr_benchmark": 0.45095329530124595, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.0671450464493153, "first": "2009-07-07", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "vmbix +0.04, gsg +0.04, ief +0.35, tlt -0.16, agg +0.27, vwo -0.01", "ref_full": "agg +0.11, gsg +0.03, ief +0.38, tlt -0.11, vweax +0.03, gld +0.01" }, "sreax": { "sym": "sreax", "name": "PGIM Select Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009795398440893676, "alpha_t_5y": -0.5028802249348002, "alpha_t_full": 0.4965929225233243, "r2_5y": 0.9183767413586451, "r2_full": 0.9130687747907603, "corr_portfolio": 0.2825879100269735, "corr_benchmark": 0.5951843966975151, "alpha_pos_frac": 0.539568345323741, "fund_max_dd": -0.39140088141481444, "first": "2014-08-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.70, vea +0.28, ivv -0.09, vweax +0.13", "ref_full": "vnq +0.68, vea +0.26, ivv -0.18, vweax +0.16, qqq +0.07, fxe +0.06" }, "srigx": { "sym": "srigx", "name": "Gabelli SRI Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01896473635114385, "alpha_t_5y": -1.0919815556535282, "alpha_t_full": -0.4114278205263277, "r2_5y": 0.9243089995400673, "r2_full": 0.8646336903620748, "corr_portfolio": 0.36907937245040595, "corr_benchmark": 0.5845649845886152, "alpha_pos_frac": 0.4533333333333333, "fund_max_dd": -0.4778632788996606, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.84, efa +0.30, qqq -0.38, iwm +0.17, gsg -0.04, vweax +0.19", "ref_full": "ivv +0.44, iwm +0.25, efa +0.20, vweax +0.24, qqq -0.07, fxe +0.06" }, "srmax": { "sym": "srmax", "name": "DWS Short-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013686210379820471, "alpha_t_5y": -2.690355167810339, "alpha_t_full": -0.7324119670530853, "r2_5y": 0.35454778214261107, "r2_full": 0.1839489629572315, "corr_portfolio": 0.03804659058127346, "corr_benchmark": 0.2941469755261842, "alpha_pos_frac": 0.5181159420289855, "fund_max_dd": -0.0554284700100095, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.17, ief +0.04, ivv -0.02", "ref_full": "vweax +0.09, agg +0.05, fxy +0.01, efa -0.01, vnq +0.00, vwo +0.01" }, "srtmx": { "sym": "srtmx", "name": "Series M", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021993898203276654, "alpha_t_5y": -2.383789986041744, "alpha_t_full": -0.9953081981025105, "r2_5y": 0.3298593763866753, "r2_full": 0.07251840280565613, "corr_portfolio": 0.03270307035529143, "corr_benchmark": 0.3187025187101844, "alpha_pos_frac": 0.5079365079365079, "fund_max_dd": -0.15874564701135796, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.15, vweax +0.23, ivv -0.03", "ref_full": "agg +0.17, vweax +0.16, fxy +0.04" }, "srwax": { "sym": "srwax", "name": "SAAT MARKET GROWTH STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0049023847658919845, "alpha_t_5y": -0.47709690099509205, "alpha_t_full": -1.9680776733654675, "r2_5y": 0.9322050300337957, "r2_full": 0.9329968325289819, "corr_portfolio": 0.3643840773435107, "corr_benchmark": 0.6739793143001525, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.4690255887605007, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.23, ivv +0.21, ief +0.17, vweax +0.21, djp +0.04, iwm +0.05", "ref_full": "ivv +0.20, efa +0.16, vweax +0.26, iwm +0.09, vwo +0.07, ief +0.13" }, "sscgx": { "sym": "sscgx", "name": "SIMT SMALL CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03549021064777737, "alpha_t_5y": -1.6340673345785324, "alpha_t_full": -1.5118748556695987, "r2_5y": 0.9466282248187217, "r2_full": 0.9021365067162934, "corr_portfolio": 0.24243021398862255, "corr_benchmark": 0.5251892794294326, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.6915843801946028, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.89, qqq +0.13, vnq -0.06", "ref_full": "iwm +0.87, qqq +0.22, vnq -0.03, vweax +0.12, djp +0.04, ivv -0.10" }, "sscvx": { "sym": "sscvx", "name": "Columbia Select Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007713044175394434, "alpha_t_5y": 0.2909852966285788, "alpha_t_full": -0.3964726389231567, "r2_5y": 0.912048339546665, "r2_full": 0.9222417880992344, "corr_portfolio": 0.33938820135445363, "corr_benchmark": 0.505202050875716, "alpha_pos_frac": 0.4708171206225681, "fund_max_dd": -0.6397931076035683, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.75, vnq +0.03, ief -0.14, efa +0.04, qqq -0.44, ivv +0.69", "ref_full": "iwm +0.78, ivv +0.39, qqq -0.17, vweax +0.13, tlt -0.11, agg +0.23" }, "ssdix": { "sym": "ssdix", "name": "DWS Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03881401623077449, "alpha_t_5y": -1.5913954945007482, "alpha_t_full": -2.093837253695373, "r2_5y": 0.9291386139019214, "r2_full": 0.9355437366587744, "corr_portfolio": 0.2212854711937069, "corr_benchmark": 0.5547190085590515, "alpha_pos_frac": 0.49606299212598426, "fund_max_dd": -0.6603229706913764, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.84, qqq +0.20, ivv -0.11", "ref_full": "iwm +0.83, qqq +0.21, vnq -0.03, vweax +0.09, djp +0.02, ivv -0.06" }, "sseax": { "sym": "sseax", "name": "SIIT Screened World Equity Ex-US Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007783720870964067, "alpha_t_5y": -0.03549480320026594, "alpha_t_full": -0.4596710247673054, "r2_5y": 0.8673616883388485, "r2_full": 0.8770065056399856, "corr_portfolio": 0.4083339772115271, "corr_benchmark": 0.4862911229803079, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.5537525492215161, "first": "2008-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.62, vwo +0.16, vweax +0.39, agg -0.42, vblix +0.10", "ref_full": "vea +0.29, vwo +0.17, vweax +0.48, ief -0.13, efa +0.27, djp +0.02" }, "ssgax": { "sym": "ssgax", "name": "SAAT AGGRESSIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003634362527898798, "alpha_t_5y": 0.028816456880231895, "alpha_t_full": -1.6405333044342687, "r2_5y": 0.9387104510053845, "r2_full": 0.9432891651136787, "corr_portfolio": 0.3703961304881523, "corr_benchmark": 0.6289429362703423, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.5639911490709185, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.28, ivv +0.28, vweax +0.21, iwm +0.07, vwo +0.06, vblix +0.04", "ref_full": "ivv +0.27, efa +0.19, vweax +0.26, iwm +0.12, vwo +0.09, agg +0.07" }, "ssgfx": { "sym": "ssgfx", "name": "SATURNA GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03331112729289755, "alpha_t_5y": -1.9108930729246734, "alpha_t_full": -2.359819334143873, "r2_5y": 0.9514885743607215, "r2_full": 0.9411696152514478, "corr_portfolio": 0.1942736215050734, "corr_benchmark": 0.6143466884077321, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.48534010056793586, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.76, qqq +0.36, iwm -0.07, gsg -0.02, vea -0.07, fxe +0.07", "ref_full": "qqq +0.40, ivv +0.53, vnq -0.04, vwo -0.03, iwm +0.04, vweax +0.07" }, "sshfx": { "sym": "sshfx", "name": "Sound Shore Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013701688958189656, "alpha_t_5y": 0.5415083432735011, "alpha_t_full": 0.10322305556895314, "r2_5y": 0.8747088738986708, "r2_full": 0.9231097576542782, "corr_portfolio": 0.37518854442834615, "corr_benchmark": 0.5427631973380292, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.5262426446238028, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.26, ivv +1.14, qqq -0.53, vea +0.14", "ref_full": "ivv +0.92, iwm +0.22, qqq -0.27, efa +0.14, vnq -0.06, vweax +0.13" }, "ssifx": { "sym": "ssifx", "name": "Saturna International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02132254759109785, "alpha_t_5y": -0.6706447924702054, "alpha_t_full": -1.7901016622348318, "r2_5y": 0.8435559319844157, "r2_full": 0.8165751691260008, "corr_portfolio": 0.21056869713557577, "corr_benchmark": 0.5995337613150674, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5624479281017112, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.64, qqq +0.49, ivv -0.17, gsg -0.04", "ref_full": "efa +0.38, qqq +0.30, vweax +0.32, vnq -0.09, gld +0.07, iwm +0.09" }, "ssmax": { "sym": "ssmax", "name": "SIIT SMALL MID CAP EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01514811024767041, "alpha_t_5y": -0.9497018323035705, "alpha_t_full": -1.7666950051126753, "r2_5y": 0.960975536144706, "r2_full": 0.923721989536542, "corr_portfolio": 0.31147828706163755, "corr_benchmark": 0.5262843223931724, "alpha_pos_frac": 0.6081081081081081, "fund_max_dd": -0.628231017564227, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.66, ivv +0.55, qqq -0.27, gld -0.04, vea +0.05", "ref_full": "iwm +0.67, ivv +0.16, vnq +0.05, vea +0.05, vweax +0.13, ief -0.09" }, "sspix": { "sym": "sspix", "name": "SIMT S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0019966865109394983, "alpha_t_5y": -0.44652209969988077, "alpha_t_full": -0.16380556310636912, "r2_5y": 0.9959653537161497, "r2_full": 0.9686090633191313, "corr_portfolio": 0.28268726919998716, "corr_benchmark": 0.6052421363701266, "alpha_pos_frac": 0.5339805825242718, "fund_max_dd": -0.5565430493206387, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.92, vwo +0.02, vnq +0.02, gld -0.01, qqq +0.03, vweax +0.04" }, "stbax": { "sym": "stbax", "name": "INVESCO Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004069147046679687, "alpha_t_5y": -0.685908408856218, "alpha_t_full": -0.7499031972503628, "r2_5y": 0.6095170453310916, "r2_full": 0.3442160704207553, "corr_portfolio": 0.07409511028295458, "corr_benchmark": 0.369882680089354, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.09450564540684947, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.03, vweax +0.13, ivv -0.02, tlt -0.25, ief +0.27, vblix +0.22", "ref_full": "vweax +0.19, ief +0.21, tlt -0.07, ivv -0.01, agg +0.05" }, "stdax": { "sym": "stdax", "name": "SAAT DEFENSIVE STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00356480761393116, "alpha_t_5y": -1.102471020645315, "alpha_t_full": -0.16031239356733734, "r2_5y": 0.44995823137947266, "r2_full": 0.5326233473884298, "corr_portfolio": 0.2997942396937014, "corr_benchmark": 0.36455296457093567, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5292226980025216, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.11, vea +0.01, fxy -0.01, tlt +0.01", "ref_full": "vnq +0.21, efa +0.12, fxy -0.10, vweax +0.13, tlt -0.11, agg +0.20" }, "stesx": { "sym": "stesx", "name": "International Strategic Equities Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007234577608597295, "alpha_t_5y": 0.39572147044373995, "alpha_t_full": -0.4247485325160864, "r2_5y": 0.9324276146550564, "r2_full": 0.9311978393626503, "corr_portfolio": 0.36473982533080646, "corr_benchmark": 0.5584301971305775, "alpha_pos_frac": 0.45081967213114754, "fund_max_dd": -0.36859764235254533, "first": "2015-12-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +1.01, vwo +0.20, fxy -0.10, vnq -0.07, qqq +0.05, efa -0.22", "ref_full": "vea +0.69, vwo +0.17, qqq +0.08, vnq -0.06, gld +0.04, vweax +0.09" }, "sthyx": { "sym": "sthyx", "name": "AB Sustainable Thematic Credit Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009200310820914118, "alpha_t_5y": -1.4931856058908626, "alpha_t_full": -1.4931856058908626, "r2_5y": 0.9517776031536302, "r2_full": 0.9517776031536302, "corr_portfolio": -0.07957782730036313, "corr_benchmark": 0.8109439947762732, "alpha_pos_frac": 0.6896551724137931, "fund_max_dd": -0.24272254624496137, "first": "2021-05-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.63, vweax +0.20, ief +0.24, tlt -0.27", "ref_full": "vblix +0.63, vweax +0.20, ief +0.24, tlt -0.27" }, "stiax": { "sym": "stiax", "name": "Federated Hermes Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003564040863997932, "alpha_t_5y": -0.394546012364716, "alpha_t_full": 0.07144821663403868, "r2_5y": 0.8169779481161017, "r2_full": 0.7138318943905787, "corr_portfolio": 0.25381585705098425, "corr_benchmark": 0.6302474531575851, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.22115550758243252, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.44, vmbix +0.25, vea +0.05, iwm +0.03, agg +0.14, qqq -0.02", "ref_full": "vweax +0.55, agg +0.13, efa +0.03, ief +0.10, iwm +0.02, djp +0.02" }, "stmsx": { "sym": "stmsx", "name": "SIMT TAX-MANAGED SMALL/MID CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010689251374105244, "alpha_t_5y": -0.6342410347703876, "alpha_t_full": -1.2409668892664818, "r2_5y": 0.9581115395767525, "r2_full": 0.9484149139753945, "corr_portfolio": 0.3180557327903571, "corr_benchmark": 0.5302914246985766, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.6077818374490643, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.70, ivv +0.48, qqq -0.23, agg -0.28, vblix +0.09, vea +0.04", "ref_full": "iwm +0.69, ivv +0.17, efa +0.06, vweax +0.14, ief -0.09, vnq +0.03" }, "stsvx": { "sym": "stsvx", "name": "BNY Mellon Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00809710558846632, "alpha_t_5y": -0.34896825165524903, "alpha_t_full": 0.7060985707155244, "r2_5y": 0.930420794639907, "r2_full": 0.9478950199620064, "corr_portfolio": 0.3313703865662111, "corr_benchmark": 0.4808594821700588, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.5804729586881874, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq -0.43, ivv +0.62, djp +0.06, ief -0.11", "ref_full": "iwm +0.86, vnq +0.04, tlt -0.06, qqq -0.24, ivv +0.30, djp +0.03" }, "suhax": { "sym": "suhax", "name": "DWS Health and Wellness Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0197429043005061, "alpha_t_5y": -0.46535913221180625, "alpha_t_full": 0.4579895889668694, "r2_5y": 0.5506873546227127, "r2_full": 0.6873716673249115, "corr_portfolio": 0.22652269774731623, "corr_benchmark": 0.5012666223702624, "alpha_pos_frac": 0.5234042553191489, "fund_max_dd": -0.41645234070476567, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.09, qqq -0.45, vnq +0.13, gsg -0.07, ief +0.13", "ref_full": "ivv +0.64, gsg -0.04, iwm +0.09, agg +0.13, vnq -0.04, efa +0.06" }, "suiax": { "sym": "suiax", "name": "DWS CROCI International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04209676844045105, "alpha_t_5y": 1.959071310603812, "alpha_t_full": -0.19157920084912727, "r2_5y": 0.8933222590054727, "r2_full": 0.910265108893864, "corr_portfolio": 0.4209251849996812, "corr_benchmark": 0.4918830820703518, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.640634373931622, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.84, fxe +0.18, qqq -0.13, ivv +0.17, fxy +0.07", "ref_full": "efa +0.88, vweax +0.18, djp +0.04, qqq -0.06, vwo +0.04, ief -0.05" }, "supax": { "sym": "supax", "name": "DWS Equity Sector Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007036585759776892, "alpha_t_5y": -0.7662955562631518, "alpha_t_full": -3.2171317708998073, "r2_5y": 0.9795364840876287, "r2_full": 0.9485037348568303, "corr_portfolio": 0.2921579422460209, "corr_benchmark": 0.6380923190743013, "alpha_pos_frac": 0.5219123505976095, "fund_max_dd": -0.4675861419778574, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.98, qqq -0.07, vwo +0.03", "ref_full": "ivv +0.58, efa +0.10, vweax +0.16, ief +0.09, iwm +0.04, gld +0.03" }, "susax": { "sym": "susax", "name": "SIIT Ultra Short Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0020859568649958943, "alpha_t_5y": 0.4549529621711795, "alpha_t_full": 1.5741840278731465, "r2_5y": 0.36992359181840717, "r2_full": 0.2578163759832742, "corr_portfolio": 0.061993289840728334, "corr_benchmark": 0.20024529991524423, "alpha_pos_frac": 0.3699421965317919, "fund_max_dd": -0.042828794357573585, "first": "2011-06-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.06, ief +0.09, tlt -0.17, vblix +0.19, vea -0.02", "ref_full": "vweax +0.11, ief +0.08, vea -0.01, tlt -0.03, fxy +0.01" }, "suvax": { "sym": "suvax", "name": "PGIM QUANT SOLUTIONS LARGE-CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027114861627098957, "alpha_t_5y": 1.2922742343552123, "alpha_t_full": 0.6940884974167063, "r2_5y": 0.9083308016797973, "r2_full": 0.9296483232362184, "corr_portfolio": 0.41165082045003365, "corr_benchmark": 0.483089502078413, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.6043293776397148, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.28, ivv +1.30, qqq -0.71, vea +0.15, gsg +0.04, gld -0.04", "ref_full": "ivv +1.18, qqq -0.53, iwm +0.27, efa +0.09, tlt -0.04, gld -0.03" }, "suwax": { "sym": "suwax", "name": "DWS Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005789363087450952, "alpha_t_5y": -0.5792713537973276, "alpha_t_full": -0.8339857973878873, "r2_5y": 0.9803178463474728, "r2_full": 0.9781224351560778, "corr_portfolio": 0.29197188686979636, "corr_benchmark": 0.6089323844976346, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.554232167248415, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.93, iwm +0.06", "ref_full": "ivv +0.86, iwm +0.08, vwo +0.03, gsg +0.02, qqq +0.04, fxy -0.02" }, "svaax": { "sym": "svaax", "name": "Federated Hermes Strategic Value Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03579898477997121, "alpha_t_5y": 1.4185151081665177, "alpha_t_full": 1.112599569177353, "r2_5y": 0.7787379027671671, "r2_full": 0.8013297025959875, "corr_portfolio": 0.42668603626810436, "corr_benchmark": 0.5037422952096241, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.510372946340051, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.22, efa +0.18, qqq -0.75, ivv +1.12, gsg +0.03", "ref_full": "ivv +0.96, qqq -0.45, efa +0.17, vnq +0.07, agg +0.14, iwm -0.04" }, "svoax": { "sym": "svoax", "name": "SIMT US MANAGED VOLATILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0025829612447300344, "alpha_t_5y": 0.12756745370226097, "alpha_t_full": 0.9239423438452737, "r2_5y": 0.8401328681369876, "r2_full": 0.819487287441444, "corr_portfolio": 0.3898118314406364, "corr_benchmark": 0.5225520921932116, "alpha_pos_frac": 0.5390625, "fund_max_dd": -0.4721887949833474, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.31, qqq -0.64, vnq +0.11", "ref_full": "ivv +0.85, qqq -0.25, vnq +0.05, iwm +0.06, agg +0.21, tlt -0.05" }, "svsax": { "sym": "svsax", "name": "SAAT CONSERVATIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009516133600884991, "alpha_t_5y": -0.16529850656519368, "alpha_t_full": -1.4683717927453697, "r2_5y": 0.8544378453882021, "r2_full": 0.6216684987369767, "corr_portfolio": 0.3430520842416221, "corr_benchmark": 0.7426609420966029, "alpha_pos_frac": 0.6591928251121076, "fund_max_dd": -0.27314342023018934, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.06, agg +0.28, vnq +0.02, ivv +0.18, qqq -0.08, djp +0.02", "ref_full": "ivv +0.13, agg +0.16, vweax +0.17, vnq +0.02, qqq -0.03, efa +0.02" }, "svspx": { "sym": "svspx", "name": "State Street S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008989018110113684, "alpha_t_5y": -0.14770503799134824, "alpha_t_full": -0.1315592358421855, "r2_5y": 0.9925156551022063, "r2_full": 0.9874330411428335, "corr_portfolio": 0.2853088097503285, "corr_benchmark": 0.6115950907360761, "alpha_pos_frac": 0.43042071197411, "fund_max_dd": -0.5531441030828776, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.00", "ref_full": "ivv +0.97, vnq +0.01, vwo +0.01, qqq +0.02, tlt -0.02, agg +0.03" }, "svtax": { "sym": "svtax", "name": "SIMT GLOBAL MANAGED VOLATILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0024718279792203418, "alpha_t_5y": 0.13689122907369364, "alpha_t_full": -0.5533060934869392, "r2_5y": 0.8019732790894076, "r2_full": 0.8127455947889641, "corr_portfolio": 0.408274099173005, "corr_benchmark": 0.5459839273827453, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.4467053262715269, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.78, qqq -0.32, efa +0.51, vnq +0.11, iwm -0.09, vea -0.36", "ref_full": "ivv +0.49, efa +0.21, fxe -0.17, qqq -0.14, vweax +0.17, agg +0.12" }, "svyax": { "sym": "svyax", "name": "SIIT U.S. Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012961369860605938, "alpha_t_5y": 0.6409206040592197, "alpha_t_full": 0.9160709238537684, "r2_5y": 0.8385087317994756, "r2_full": 0.8347001843231272, "corr_portfolio": 0.40285544921308425, "corr_benchmark": 0.5328653877594982, "alpha_pos_frac": 0.5658536585365853, "fund_max_dd": -0.33986027432380417, "first": "2009-01-12", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.59, vnq +0.09, iwm +0.05", "ref_full": "ivv +0.91, qqq -0.31, vnq +0.06, iwm +0.07, vweax +0.11, vwo -0.02" }, "swasx": { "sym": "swasx", "name": "Schwab Global Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018843970425333888, "alpha_t_5y": -1.0663377128904907, "alpha_t_full": -2.429898637417802, "r2_5y": 0.922874500432202, "r2_full": 0.9255697518888609, "corr_portfolio": 0.3269993025732362, "corr_benchmark": 0.5971449700188743, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.694773819014467, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.65, vea +0.25, ivv -0.11, vwo +0.05, vweax +0.11, fxe +0.06", "ref_full": "vnq +0.46, efa +0.28, vweax +0.31, vwo +0.09, qqq -0.05, iwm +0.04" }, "swrlx": { "sym": "swrlx", "name": "Touchstone International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04353036083252402, "alpha_t_5y": 2.039532739603882, "alpha_t_full": 0.5883010125793039, "r2_5y": 0.8880250520419148, "r2_full": 0.9191400605830778, "corr_portfolio": 0.37510261553513957, "corr_benchmark": 0.5120780658521424, "alpha_pos_frac": 0.40358744394618834, "fund_max_dd": -0.5944175924740822, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.71, vwo +0.13, fxe +0.14, vweax +0.20, qqq -0.05, gld +0.03", "ref_full": "efa +0.64, vwo +0.12, vweax +0.21, fxe +0.12, iwm +0.03, gld +0.03" }, "sxmax": { "sym": "sxmax", "name": "SAAT MODERATE STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022151326510925075, "alpha_t_5y": 0.18631456806568641, "alpha_t_full": 0.25473207123617503, "r2_5y": 0.8989483285121648, "r2_full": 0.8923193038101702, "corr_portfolio": 0.40463158712067815, "corr_benchmark": 0.5640955491403198, "alpha_pos_frac": 0.6143497757847534, "fund_max_dd": -0.5255335721711414, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.73, qqq -0.33, vnq +0.11, efa +0.18, vweax +0.12, vea -0.11", "ref_full": "ivv +0.54, vnq +0.11, efa +0.13, qqq -0.14, vweax +0.19, gld -0.03" }, "sxpax": { "sym": "sxpax", "name": "DWS S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00414038142650129, "alpha_t_5y": -1.0745974971677654, "alpha_t_full": -1.2841391725480902, "r2_5y": 0.9970034236750231, "r2_full": 0.99195269312141, "corr_portfolio": 0.2828495808179668, "corr_benchmark": 0.61639622759402, "alpha_pos_frac": 0.4246031746031746, "fund_max_dd": -0.5562394220985549, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.96, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.95, vnq +0.01, qqq +0.02, gsg +0.01, efa +0.01, fxy -0.01" }, "szcax": { "sym": "szcax", "name": "DWS Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01899794428820041, "alpha_t_5y": 0.661163298159345, "alpha_t_full": 0.17903532998980218, "r2_5y": 0.8600944837054727, "r2_full": 0.9286320044989589, "corr_portfolio": 0.31285570819166586, "corr_benchmark": 0.48134626815813114, "alpha_pos_frac": 0.5872340425531914, "fund_max_dd": -0.6333283238018051, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.77, qqq -0.25, ivv +0.32, vnq -0.05, gsg +0.03, vweax -0.15", "ref_full": "iwm +0.87, vwo +0.06, gsg +0.03, tlt -0.10, agg +0.17, qqq -0.05" }, "szeax": { "sym": "szeax", "name": "DWS Emerging Markets Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009753149060489436, "alpha_t_5y": -0.45940029981206315, "alpha_t_full": -1.2122138527024016, "r2_5y": 0.3937948753332211, "r2_full": 0.4210667269897448, "corr_portfolio": 0.2707928490772545, "corr_benchmark": 0.3772732940016355, "alpha_pos_frac": 0.6143497757847534, "fund_max_dd": -0.35345940925865793, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.72, vwo +0.06, gsg -0.03, qqq -0.06, vea +0.08", "ref_full": "vweax +0.62, vwo +0.07, agg +0.10, qqq -0.03, fxe +0.04" }, "sziax": { "sym": "sziax", "name": "DWS Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007325063879715317, "alpha_t_5y": -1.3270267100671647, "alpha_t_full": -3.2976771655584223, "r2_5y": 0.9449311056741717, "r2_full": 0.750372647489822, "corr_portfolio": -0.04056781209155129, "corr_benchmark": 0.7085695750131078, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.2120569026374849, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.21, vweax +0.11, vblix +0.14, vmbix +0.23, ief +0.12", "ref_full": "ief +0.35, vweax +0.24, efa +0.01, tlt +0.05, agg +0.09, vnq +0.01" }, "szmax": { "sym": "szmax", "name": "DWS Intermediate Tax-Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013905619331358695, "alpha_t_5y": -1.445846261530097, "alpha_t_full": 0.42509716764371247, "r2_5y": 0.43658681049374115, "r2_full": 0.08373427875369677, "corr_portfolio": 0.02402987923937379, "corr_benchmark": 0.35826906746258946, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1505290092645981, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.21, vweax +0.24, ivv -0.05, tlt -0.14, ief +0.08, vnq +0.02", "ref_full": "agg +0.04, vweax +0.16, ief +0.14, vnq +0.02, efa -0.06, vwo +0.04" }, "taclx": { "sym": "taclx", "name": "Touchstone Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0166369613020124, "alpha_t_5y": -0.756824060618185, "alpha_t_full": -0.7933870936665005, "r2_5y": 0.8730950810559862, "r2_full": 0.9159980835008217, "corr_portfolio": 0.3243297340692296, "corr_benchmark": 0.5711878487341614, "alpha_pos_frac": 0.5285714285714286, "fund_max_dd": -0.3421231281166708, "first": "2014-07-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.20, qqq -0.41, vnq +0.09, gsg -0.04, iwm +0.04", "ref_full": "ivv +1.17, qqq -0.32, gsg -0.03, iwm +0.04, gld -0.03, efa +0.04" }, "taftx": { "sym": "taftx", "name": "Tax-Exempt Fund of California", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012205395363934045, "alpha_t_5y": -0.9455091216007804, "alpha_t_full": 0.8115869717361234, "r2_5y": 0.3815810445752015, "r2_full": 0.3005472604666415, "corr_portfolio": 0.028709077056261162, "corr_benchmark": 0.3485239948649605, "alpha_pos_frac": 0.5758754863813229, "fund_max_dd": -0.1882563606550819, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.41, ief +0.14, ivv -0.07, vnq +0.02", "ref_full": "vweax +0.28, ief +0.08, fxy +0.03, agg +0.11, efa -0.03, vnq +0.01" }, "taiax": { "sym": "taiax", "name": "American Funds Tax-Aware Conservative Growth and Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013560102742089422, "alpha_t_5y": 0.16949845296966767, "alpha_t_full": 1.7180102916891025, "r2_5y": 0.9342296294724978, "r2_full": 0.9388106295806032, "corr_portfolio": 0.3521310821607113, "corr_benchmark": 0.6537644153384005, "alpha_pos_frac": 0.5818181818181818, "fund_max_dd": -0.21418738477208132, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.11, vmbix +0.11, qqq -0.12, vweax +0.12, vwo +0.03", "ref_full": "ivv +0.35, vea +0.12, vweax +0.13, agg +0.11, qqq -0.06, vnq +0.02" }, "taibx": { "sym": "taibx", "name": "PGIM CORE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -7.317530540983009e-05, "alpha_t_5y": -0.009905815372951137, "alpha_t_full": 0.8012205158006409, "r2_5y": 0.9137126880487153, "r2_full": 0.5938323472107132, "corr_portfolio": -0.0850546256840323, "corr_benchmark": 0.6647333637658718, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1958359538753941, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.03, vblix +0.48, tlt -0.26, ief +0.36, vmbix +0.15, ivv -0.02", "ref_full": "ief +0.45, vweax +0.19, agg +0.11, vnq +0.01, fxy +0.02" }, "tarkx": { "sym": "tarkx", "name": "Tarkio Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013701488912166949, "alpha_t_5y": 0.2584935647333879, "alpha_t_full": 0.23875445885766686, "r2_5y": 0.7806234221610513, "r2_full": 0.8256147594545371, "corr_portfolio": 0.28391285261238003, "corr_benchmark": 0.4971607138872499, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.40551322110436383, "first": "2011-07-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.77, ivv +0.56, vnq -0.13, vea +0.23, fxe -0.20, qqq -0.16", "ref_full": "iwm +0.75, ivv +0.36, vnq -0.09, vea +0.13, agg -0.17, gsg -0.04" }, "tasvx": { "sym": "tasvx", "name": "PGIM QUANT SOLUTIONS SMALL-CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06083425469777116, "alpha_t_5y": 2.1223566532738567, "alpha_t_full": 1.3261603171555296, "r2_5y": 0.9052859085131341, "r2_full": 0.9119997209167668, "corr_portfolio": 0.35819479431526535, "corr_benchmark": 0.4463265887486797, "alpha_pos_frac": 0.4304932735426009, "fund_max_dd": -0.5855753958374172, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.90, qqq -0.63, ivv +0.70, gld -0.07, vea +0.08, gsg +0.03", "ref_full": "iwm +0.93, qqq -0.44, ivv +0.45, vweax +0.13, tlt -0.10, agg +0.22" }, "tavfx": { "sym": "tavfx", "name": "THIRD AVENUE VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07329861735518511, "alpha_t_5y": 1.938272364420833, "alpha_t_full": 0.6249104369192557, "r2_5y": 0.7711761986951664, "r2_full": 0.7983656015507717, "corr_portfolio": 0.44203657808898966, "corr_benchmark": 0.42655043427291794, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.6142329062540588, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.75, gsg +0.14, iwm +0.29, qqq -0.21, ief -0.22, vwo +0.10", "ref_full": "efa +0.38, iwm +0.39, gsg +0.08, vweax +0.40, vwo +0.15, qqq -0.14" }, "tbdax": { "sym": "tbdax", "name": "PGIM JENNISON DIVERSIFIED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03829313782982906, "alpha_t_5y": -1.928987884116902, "alpha_t_full": -1.6258461959529187, "r2_5y": 0.9561958320631292, "r2_full": 0.940374569446459, "corr_portfolio": 0.15200958847314588, "corr_benchmark": 0.6085887506915143, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.6954212929720875, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.75, ivv +0.34, vnq -0.04", "ref_full": "qqq +0.54, ivv +0.49, vnq -0.05, vweax +0.07, fxe +0.03" }, "tbhdx": { "sym": "tbhdx", "name": "TWEEDY, BROWNE WORLDWIDE HIGH DIVIDEND YIELD VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0052116001187744974, "alpha_t_5y": 0.21019575803145896, "alpha_t_full": -0.1041420923127156, "r2_5y": 0.771207981487551, "r2_full": 0.7550899048557901, "corr_portfolio": 0.4263484857615368, "corr_benchmark": 0.4460923503000416, "alpha_pos_frac": 0.481981981981982, "fund_max_dd": -0.46030462585587906, "first": "2007-09-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +0.57, qqq -0.38, ivv +0.46, vweax +0.22, gsg -0.03, vwo +0.05", "ref_full": "vea +0.54, vweax +0.48, qqq -0.20, ivv +0.30, vnq -0.04, vwo -0.05" }, "tbirx": { "sym": "tbirx", "name": "Nuveen Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004370874867362364, "alpha_t_5y": -0.9322126477042361, "alpha_t_full": -1.915972193966149, "r2_5y": 0.9638739423789057, "r2_full": 0.9239183132412087, "corr_portfolio": -0.11611449689917872, "corr_benchmark": 0.6935240161737364, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.19329256864633604, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.12, vblix +0.37, ief +0.33, tlt -0.20, vmbix +0.17, ivv -0.01", "ref_full": "ief +0.28, vweax +0.14, agg +0.10, tlt +0.06, vmbix +0.27, fxy +0.02" }, "tblpx": { "sym": "tblpx", "name": "T. Rowe Price Retirement Blend 2005 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007325578106378209, "alpha_t_5y": -1.2362083512507587, "alpha_t_full": -1.2362083512507587, "r2_5y": 0.9673174610791481, "r2_full": 0.9673174610791481, "corr_portfolio": 0.10016570657235478, "corr_benchmark": 0.8244808509511198, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.18357198274566067, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.21, agg +0.28, vea +0.10, iwm +0.04, vweax +0.12, vwo +0.02", "ref_full": "ivv +0.21, agg +0.28, vea +0.10, iwm +0.04, vweax +0.12, vwo +0.02" }, "tblqx": { "sym": "tblqx", "name": "T. Rowe Price Retirement Blend 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009557028064807566, "alpha_t_5y": -1.6099137281052223, "alpha_t_full": -1.6099137281052223, "r2_5y": 0.9711902923042652, "r2_full": 0.9711902923042652, "corr_portfolio": 0.10585784989135748, "corr_benchmark": 0.813964360570201, "alpha_pos_frac": 0.6181818181818182, "fund_max_dd": -0.1906347175346924, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.23, vmbix +0.16, vea +0.14, iwm +0.04, vblix +0.06, vweax +0.10", "ref_full": "ivv +0.23, vmbix +0.16, vea +0.14, iwm +0.04, vblix +0.06, vweax +0.10" }, "tblsx": { "sym": "tblsx", "name": "T. Rowe Price Retirement Blend 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008794414236035861, "alpha_t_5y": -1.4509858705019856, "alpha_t_full": -1.4509858705019856, "r2_5y": 0.9734096561045046, "r2_full": 0.9734096561045046, "corr_portfolio": 0.10430425667502596, "corr_benchmark": 0.8044885393397108, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.1962191955317103, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.26, vmbix +0.16, vea +0.13, iwm +0.05, vblix +0.07, vwo +0.03", "ref_full": "ivv +0.26, vmbix +0.16, vea +0.13, iwm +0.05, vblix +0.07, vwo +0.03" }, "tblvx": { "sym": "tblvx", "name": "T. Rowe Price Retirement Blend 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01250332385452279, "alpha_t_5y": -1.7991882476861432, "alpha_t_full": -1.7991882476861432, "r2_5y": 0.9737582078926297, "r2_full": 0.9737582078926297, "corr_portfolio": 0.10859316746514451, "corr_benchmark": 0.7771371524648036, "alpha_pos_frac": 0.6, "fund_max_dd": -0.21480330665382397, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.30, vea +0.14, vmbix +0.22, iwm +0.06, vweax +0.11, vwo +0.03", "ref_full": "ivv +0.30, vea +0.14, vmbix +0.22, iwm +0.06, vweax +0.11, vwo +0.03" }, "tblwx": { "sym": "tblwx", "name": "T. Rowe Price Retirement Blend 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011424477839342693, "alpha_t_5y": -1.4911901295459322, "alpha_t_full": -1.4911901295459322, "r2_5y": 0.9766346192562622, "r2_full": 0.9766346192562622, "corr_portfolio": 0.11335122354226923, "corr_benchmark": 0.7536266596128371, "alpha_pos_frac": 0.6181818181818182, "fund_max_dd": -0.23450918291666478, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.36, vea +0.17, vmbix +0.11, iwm +0.07, vwo +0.04, vblix +0.06", "ref_full": "ivv +0.36, vea +0.17, vmbix +0.11, iwm +0.07, vwo +0.04, vblix +0.06" }, "tblyx": { "sym": "tblyx", "name": "T. Rowe Price Retirement Blend 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008897337210590604, "alpha_t_5y": -1.039988549124631, "alpha_t_full": -1.039988549124631, "r2_5y": 0.9780593397203962, "r2_full": 0.9780593397203962, "corr_portfolio": 0.11863649102272891, "corr_benchmark": 0.7285037996125456, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.24542151360309505, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.42, vea +0.21, iwm +0.08, vblix +0.18, vwo +0.05, tlt -0.09", "ref_full": "ivv +0.42, vea +0.21, iwm +0.08, vblix +0.18, vwo +0.05, tlt -0.09" }, "tcelx": { "sym": "tcelx", "name": "T. Rowe Price China Evolution Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013357165759896024, "alpha_t_5y": 0.21446560789209823, "alpha_t_full": 1.1439762143310443, "r2_5y": 0.6068620013122152, "r2_full": 0.5929492695820581, "corr_portfolio": 0.08615435524847269, "corr_benchmark": 0.3075966333491269, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5127023251476607, "first": "2019-12-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +1.30, vea -0.26, ivv -0.18, djp +0.07", "ref_full": "vwo +1.15, efa -0.23, ivv -0.14" }, "tcpax": { "sym": "tcpax", "name": "Touchstone US Quality Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013473749670604507, "alpha_t_5y": 0.2020223431425468, "alpha_t_full": -0.2840375802307903, "r2_5y": 0.9237599138395599, "r2_full": 0.8335433333071119, "corr_portfolio": -0.14387340994997028, "corr_benchmark": 0.6432737479959961, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.1847196397466846, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.48, vblix +0.09, vmbix +0.14, ivv -0.02, fxe +0.02, vweax +0.04", "ref_full": "ief +0.41, agg +0.24, vweax +0.07, fxe +0.02, gsg -0.01, vnq +0.01" }, "tcsgx": { "sym": "tcsgx", "name": "SDIT SHORT DURATION GOVERNMENT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007837722453329804, "alpha_t_5y": -1.5725379906108004, "alpha_t_full": 0.14787823381526188, "r2_5y": 0.6889997405361794, "r2_full": 0.49737844055026237, "corr_portfolio": -0.10498261954722136, "corr_benchmark": 0.4056145457733893, "alpha_pos_frac": 0.4277456647398844, "fund_max_dd": -0.0663603266285061, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.06, ief +0.26, tlt -0.21, vblix +0.13, iwm -0.01, agg +0.12", "ref_full": "ief +0.26, tlt -0.07, vweax +0.06, agg +0.06, fxy +0.01" }, "tebix": { "sym": "tebix", "name": "FRANKLIN MUTUAL BEACON FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003354308348911261, "alpha_t_5y": 0.01558119906718989, "alpha_t_full": -0.5910160761065968, "r2_5y": 0.8803341243512884, "r2_full": 0.8804203680883486, "corr_portfolio": 0.3837118821281761, "corr_benchmark": 0.5141796585952813, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.5544551722068904, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.88, iwm +0.11, vnq +0.05, vea -0.51, ivv +0.90, qqq -0.47", "ref_full": "ivv +0.53, efa +0.29, qqq -0.19, iwm +0.14, vweax +0.30, fxe -0.12" }, "tedix": { "sym": "tedix", "name": "FRANKLIN MUTUAL GLOBAL DISCOVERY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011142403985054119, "alpha_t_5y": 0.6070349900583708, "alpha_t_full": 0.04685259110871671, "r2_5y": 0.9051905953548391, "r2_full": 0.7869012621920606, "corr_portfolio": 0.4235693500039823, "corr_benchmark": 0.49806567071369573, "alpha_pos_frac": 0.5136186770428015, "fund_max_dd": -0.40206505803602355, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.47, iwm +0.08, vnq +0.01, ief -0.09, qqq -0.51, ivv +0.89", "ref_full": "ivv +0.54, efa +0.23, vweax +0.46, vnq -0.12, qqq -0.23, iwm +0.17" }, "tedmx": { "sym": "tedmx", "name": "Templeton Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013082920248961459, "alpha_t_5y": 0.44827513795094326, "alpha_t_full": -0.6486742310262377, "r2_5y": 0.8878724988507509, "r2_full": 0.7856738323327139, "corr_portfolio": 0.28043500878377614, "corr_benchmark": 0.462343002249201, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6527840677388017, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.83, qqq +0.07, vnq -0.10, vea +1.98, efa -1.74, gld -0.05", "ref_full": "vwo +0.59, vweax +0.65, vnq -0.10, efa +0.10, djp +0.06, qqq +0.06" }, "tedpx": { "sym": "tedpx", "name": "Nuveen Emerging Markets Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00795937723694686, "alpha_t_5y": 0.5049768477418767, "alpha_t_full": 1.030792100491646, "r2_5y": 0.5051618854328769, "r2_full": 0.5745090654232632, "corr_portfolio": 0.2789774978816627, "corr_benchmark": 0.468173994742671, "alpha_pos_frac": 0.6277372262773723, "fund_max_dd": -0.25912914689034616, "first": "2014-09-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.53, agg +0.21, vwo +0.05, qqq -0.04, efa +0.05, gsg -0.02", "ref_full": "vweax +0.54, agg +0.08, vwo +0.10, qqq -0.04, vblix +0.28, tlt -0.16" }, "tegax": { "sym": "tegax", "name": "Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04932371174114823, "alpha_t_5y": -1.4064804905827897, "alpha_t_full": -1.0560578742481548, "r2_5y": 0.8636179515605972, "r2_full": 0.8594969043366607, "corr_portfolio": 0.19116207790398057, "corr_benchmark": 0.5679976728707351, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.5328046688063566, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.27, iwm +0.39, qqq +0.39", "ref_full": "ivv +0.40, iwm +0.32, qqq +0.28, vweax +0.15, djp +0.03" }, "temfx": { "sym": "temfx", "name": "Templeton Foreign Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00020484061938370963, "alpha_t_5y": 0.00803438241926528, "alpha_t_full": -0.5598484572967287, "r2_5y": 0.8858321879974462, "r2_full": 0.8317695315449095, "corr_portfolio": 0.3990984384394927, "corr_benchmark": 0.4656387248021525, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.5962477472706134, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.16, vwo +0.26, gsg +0.06, efa +0.59, iwm +0.10, qqq -0.09", "ref_full": "efa +0.68, vweax +0.49, djp +0.07, vnq -0.06, vwo +0.10, fxe +0.14" }, "temgx": { "sym": "temgx", "name": "Templeton Global Smaller Companies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.050099859068741454, "alpha_t_5y": -2.3269367347661856, "alpha_t_full": -1.9918781613801537, "r2_5y": 0.912093830551821, "r2_full": 0.8535864077952877, "corr_portfolio": 0.33887596024747985, "corr_benchmark": 0.557831882455319, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6859830409880414, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.37, efa +0.25, vweax +0.25, djp -0.03, vea +0.22, ivv +0.05", "ref_full": "efa +0.33, iwm +0.36, vweax +0.62, vnq -0.07, fxe +0.13, vwo +0.04" }, "temix": { "sym": "temix", "name": "FRANKLIN MUTUAL INTERNATIONAL VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0295758131342809, "alpha_t_5y": 1.329194670555332, "alpha_t_full": 0.024040863844660507, "r2_5y": 0.8775372030287454, "r2_full": 0.6996023842927213, "corr_portfolio": 0.4002518463070662, "corr_benchmark": 0.387064690867593, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.43402906584161527, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.91, qqq -0.27, fxy -0.11, ivv +0.25, ief -0.44, agg +0.43", "ref_full": "efa +0.82, vweax +0.53, fxe -0.29, vwo -0.12, tlt -0.08, vnq -0.05" }, "temmx": { "sym": "temmx", "name": "Templeton Emerging Markets Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017368016625203347, "alpha_t_5y": 0.54132234865792, "alpha_t_full": -0.8937315302149146, "r2_5y": 0.7169158920415164, "r2_full": 0.6457182845006184, "corr_portfolio": 0.30572138870935517, "corr_benchmark": 0.4463637215951019, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.7011370490343567, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.48, vweax +0.38, vea +0.83, efa -0.64, gld -0.05", "ref_full": "vwo +0.35, vweax +0.84, fxe +0.16, qqq +0.03, vnq -0.04, iwm +0.05" }, "temux": { "sym": "temux", "name": "Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022403912767268126, "alpha_t_5y": -0.823833936435252, "alpha_t_full": -1.1858314588954255, "r2_5y": 0.8684800649692416, "r2_full": 0.8665995760844923, "corr_portfolio": 0.2959677158429232, "corr_benchmark": 0.47271736738487086, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6808523022868087, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.75, qqq +0.06, vea +1.16, efa -0.98, fxy -0.09, iwm -0.06", "ref_full": "vwo +0.66, vweax +0.50, djp +0.05, vnq -0.06, ivv +0.07, efa +0.06" }, "temwx": { "sym": "temwx", "name": "Templeton World Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03487309904446352, "alpha_t_5y": -1.580666676599509, "alpha_t_full": -1.5557480481509052, "r2_5y": 0.9155281637053836, "r2_full": 0.8651124183447844, "corr_portfolio": 0.28443345631858785, "corr_benchmark": 0.5246059220038021, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.552579063475811, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.65, vea +0.41, vnq -0.13, iwm +0.08, gsg -0.03, vweax +0.18", "ref_full": "efa +0.47, ivv +0.28, vnq -0.08, vweax +0.28, iwm +0.09, qqq +0.05" }, "tepax": { "sym": "tepax", "name": "American Funds Tax-Exempt Preservation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014808118611659876, "alpha_t_5y": -2.25273594547045, "alpha_t_full": 0.04777759081988913, "r2_5y": 0.3066376694992944, "r2_full": 0.2705633781900335, "corr_portfolio": 0.018190050463802218, "corr_benchmark": 0.3295800287658935, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.07123755794386166, "first": "2012-05-23", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.11, vweax +0.12, ivv -0.03, vnq +0.01", "ref_full": "agg +0.11, vweax +0.11, fxy +0.03, efa -0.01, vnq +0.02, iwm -0.01" }, "teplx": { "sym": "teplx", "name": "Templeton Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03869812066245285, "alpha_t_5y": -2.338289855903176, "alpha_t_full": -2.1926727373679586, "r2_5y": 0.9361349493260542, "r2_full": 0.9052112594867344, "corr_portfolio": 0.3736562489361961, "corr_benchmark": 0.5285375716948753, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6254376005049376, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.44, ivv +0.69, qqq -0.22, iwm +0.10, vnq -0.09, vwo +0.05", "ref_full": "efa +0.54, ivv +0.24, vweax +0.25, vnq -0.07, iwm +0.10, fxe +0.08" }, "teqix": { "sym": "teqix", "name": "FRANKLIN MUTUAL QUEST FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004101037589816822, "alpha_t_5y": -0.2249285130433639, "alpha_t_full": -0.03354877483344801, "r2_5y": 0.8524073979100659, "r2_full": 0.6980716843708858, "corr_portfolio": 0.35896953202970655, "corr_benchmark": 0.4498033924686179, "alpha_pos_frac": 0.5657894736842105, "fund_max_dd": -0.5040691271509095, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.29, iwm +0.12, vnq +0.04, fxy -0.05, qqq -0.37, ivv +0.62", "ref_full": "ivv +0.35, efa +0.18, vweax +0.33, iwm +0.15, qqq -0.16, vnq -0.05" }, "tesix": { "sym": "tesix", "name": "FRANKLIN MUTUAL SHARES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002934774485842309, "alpha_t_5y": -0.15489060470652039, "alpha_t_full": -0.9030916649837551, "r2_5y": 0.9059513632968883, "r2_full": 0.9110178215869473, "corr_portfolio": 0.40843876205205004, "corr_benchmark": 0.5200861281928941, "alpha_pos_frac": 0.5176470588235295, "fund_max_dd": -0.537641288963237, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.19, ivv +1.28, qqq -0.68, efa +0.13, gld -0.04, vweax +0.10", "ref_full": "ivv +0.72, qqq -0.28, iwm +0.16, vweax +0.29, efa +0.14, gld -0.04" }, "tfcax": { "sym": "tfcax", "name": "SIMT Tax-Free Conservative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012118263296577003, "alpha_t_5y": -4.3925123686637155, "alpha_t_full": -4.8833311106678705, "r2_5y": 0.18432046196159912, "r2_full": 0.12129798043500883, "corr_portfolio": 0.04910903071653832, "corr_benchmark": 0.03292002723070588, "alpha_pos_frac": 0.411214953271028, "fund_max_dd": -0.0019997019175110875, "first": "2017-03-21", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.08, vea -0.01, vmbix -0.02", "ref_full": "vweax +0.05, vea -0.01" }, "tfoax": { "sym": "tfoax", "name": "Touchstone Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012198584120271598, "alpha_t_5y": -0.7416491215134645, "alpha_t_full": -0.6668741262912636, "r2_5y": 0.9433136043220262, "r2_full": 0.9418561019113083, "corr_portfolio": 0.27267459755885776, "corr_benchmark": 0.5940257405240361, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.5400289788226308, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, iwm +0.05, qqq -0.09, gsg -0.02, vnq -0.03, vwo +0.03", "ref_full": "ivv +0.90, vnq -0.04, iwm +0.06, efa +0.04, tlt -0.05, agg +0.11" }, "tfscx": { "sym": "tfscx", "name": "Foreign Smaller Companies Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04250392218280916, "alpha_t_5y": -1.774367904377442, "alpha_t_full": -1.5141048631186051, "r2_5y": 0.8582688246599991, "r2_full": 0.6990355129552959, "corr_portfolio": 0.3552470610263158, "corr_benchmark": 0.51263013996154, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.730853077273471, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.56, vweax +0.38, vwo +0.15, fxe +0.21, iwm +0.04, gld -0.03", "ref_full": "efa +0.41, vweax +0.74, vwo +0.13, vnq -0.08, fxe +0.16, iwm +0.06" }, "tgfrx": { "sym": "tgfrx", "name": "TANAKA Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04228985858449913, "alpha_t_5y": 0.5670192191170562, "alpha_t_full": -0.995576180348869, "r2_5y": 0.6698187613501998, "r2_full": 0.7112570644339447, "corr_portfolio": 0.16079718476127808, "corr_benchmark": 0.5000343087114791, "alpha_pos_frac": 0.4196078431372549, "fund_max_dd": -0.7443439001214138, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.08, iwm +0.68, qqq +0.54, gld +0.20, vnq -0.24", "ref_full": "iwm +0.52, qqq +0.51, gld +0.10, vnq -0.07, vweax +0.22" }, "tggbx": { "sym": "tggbx", "name": "TCW Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005409106249142305, "alpha_t_5y": -0.42887214940089696, "alpha_t_full": 0.4500015805363648, "r2_5y": 0.7924566723410872, "r2_full": 0.7330126819891073, "corr_portfolio": -0.006292855876287324, "corr_benchmark": 0.5729334003265142, "alpha_pos_frac": 0.4853801169590643, "fund_max_dd": -0.2729214111993973, "first": "2011-12-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.10, fxe +0.20, fxy +0.15, vweax +0.35, ief +0.34, gsg -0.01", "ref_full": "agg +0.22, fxe +0.20, fxy +0.14, vweax +0.23, vmbix +0.24, vblix +0.06" }, "tgpex": { "sym": "tgpex", "name": "T. Rowe Price Global Impact Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06290808680310311, "alpha_t_5y": -2.4530887206017025, "alpha_t_full": -2.4530887206017025, "r2_5y": 0.8951694678546708, "r2_full": 0.8951694678546708, "corr_portfolio": -0.0010356133121334652, "corr_benchmark": 0.6813106663901541, "alpha_pos_frac": 0.4, "fund_max_dd": -0.3511631929430079, "first": "2021-03-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.09, vea +0.37, iwm +0.14, qqq +0.31, vnq +0.09, djp -0.05", "ref_full": "ivv +0.09, vea +0.37, iwm +0.14, qqq +0.31, vnq +0.09, djp -0.05" }, "tgrnx": { "sym": "tgrnx", "name": "Nuveen Green Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003677153703942069, "alpha_t_5y": -0.6904905008996188, "alpha_t_full": 0.06723156574267623, "r2_5y": 0.9285592403743748, "r2_full": 0.8874654309451266, "corr_portfolio": -0.05616261698686053, "corr_benchmark": 0.6728401105118296, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.17406011251972076, "first": "2018-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.38, vweax +0.14, vblix +0.35, tlt -0.20, ivv -0.02", "ref_full": "vblix +0.33, vweax +0.20, ief +0.32, tlt -0.16, vea -0.02, fxy +0.03" }, "tgtrx": { "sym": "tgtrx", "name": "Templeton Global Bond Enhanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010250694028466397, "alpha_t_5y": 0.4808010973064042, "alpha_t_full": -0.2151589318499735, "r2_5y": 0.6852459098214085, "r2_full": 0.32913200454147307, "corr_portfolio": 0.17533529892107785, "corr_benchmark": 0.34562327690055017, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.33657275894656113, "first": "2008-10-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.10, fxy +0.26, vmbix +0.18, vwo +0.13, fxe +0.23, vweax +0.27", "ref_full": "vea +0.09, vweax +0.40, vnq -0.05, vwo +0.09, ief +0.10, djp +0.03" }, "tgvfx": { "sym": "tgvfx", "name": "Touchstone Dynamic Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022693779186302616, "alpha_t_5y": -1.0698996999579025, "alpha_t_full": -1.3050268068280486, "r2_5y": 0.9455915083656954, "r2_full": 0.9450609159063889, "corr_portfolio": 0.1800202215553992, "corr_benchmark": 0.6128668352246216, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.6940851744209513, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.55, ivv +0.49, iwm +0.06, vnq -0.05", "ref_full": "qqq +0.47, ivv +0.45, iwm +0.12, vnq -0.05, djp +0.04, vweax +0.08" }, "thcgx": { "sym": "thcgx", "name": "Thornburg Focus Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10077500125099643, "alpha_t_5y": -2.452090359513747, "alpha_t_full": -3.1689244428122203, "r2_5y": 0.85859945942488, "r2_full": 0.8854006516659712, "corr_portfolio": 0.11814944682682724, "corr_benchmark": 0.5760948734844902, "alpha_pos_frac": 0.5033112582781457, "fund_max_dd": -0.6346979045973737, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, qqq +0.68, ivv -0.34", "ref_full": "qqq +0.56, iwm +0.44, vnq -0.05, vwo +0.04, agg +0.11" }, "thyax": { "sym": "thyax", "name": "Touchstone High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0058476393001630125, "alpha_t_5y": -0.5618781652624866, "alpha_t_full": 0.468877424885306, "r2_5y": 0.7314446915161489, "r2_full": 0.7505627044897035, "corr_portfolio": 0.320674482590304, "corr_benchmark": 0.4360670140715314, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.3148610592143326, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.77, vea +0.04, gsg +0.01", "ref_full": "vweax +0.79, efa +0.02, djp +0.01, agg +0.11, ief -0.08" }, "tiagx": { "sym": "tiagx", "name": "Timothy Plan Small/Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004374074462184923, "alpha_t_5y": 0.10817880606765895, "alpha_t_full": -0.9220393989284299, "r2_5y": 0.836590981682894, "r2_full": 0.8506662612421949, "corr_portfolio": 0.1800611481886855, "corr_benchmark": 0.5559653010391866, "alpha_pos_frac": 0.41721854304635764, "fund_max_dd": -0.3434110325511702, "first": "2013-08-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv -0.14, iwm +0.47, qqq +0.57, vea +0.91, efa -0.78, vmbix -0.17", "ref_full": "ivv -0.02, iwm +0.51, qqq +0.47, vnq -0.08, vea +0.55, efa -0.50" }, "tibdx": { "sym": "tibdx", "name": "Nuveen Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003768095511713674, "alpha_t_5y": -0.7291637189351359, "alpha_t_full": -0.1437835881389538, "r2_5y": 0.949286684651662, "r2_full": 0.8452828116622756, "corr_portfolio": -0.04336856780608212, "corr_benchmark": 0.7073725960375853, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.1838649988113752, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.05, vweax +0.10, vblix +0.38, ief +0.29, tlt -0.17, vmbix +0.19", "ref_full": "ief +0.37, vweax +0.24, agg +0.10, tlt +0.04, vnq +0.01, fxy +0.02" }, "tibfx": { "sym": "tibfx", "name": "Nuveen Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003171355342784108, "alpha_t_5y": -0.5874768679167109, "alpha_t_full": 0.07976006442818569, "r2_5y": 0.9400934980353155, "r2_full": 0.7512967753672654, "corr_portfolio": -0.010280208636048872, "corr_benchmark": 0.7064398600908561, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.18432690770448923, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.19, vweax +0.15, vblix +0.41, ief +0.29, tlt -0.18, vmbix +0.21", "ref_full": "ief +0.33, vweax +0.29, agg +0.11, tlt +0.04, vnq +0.01, fxy +0.02" }, "tibnx": { "sym": "tibnx", "name": "Nuveen International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015053982619540487, "alpha_t_5y": -1.7919270772699745, "alpha_t_full": -0.5089389064667408, "r2_5y": 0.6330313002374823, "r2_full": 0.5254682854586538, "corr_portfolio": 0.02307543932768409, "corr_benchmark": 0.5531375636513809, "alpha_pos_frac": 0.5565217391304348, "fund_max_dd": -0.16446696667408633, "first": "2016-08-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg -0.10, vweax +0.24, ief +0.34, fxe -0.05, gsg -0.01, vea +0.02", "ref_full": "vblix +0.06, vweax +0.20, ief +0.18, vea +0.04, ivv -0.03, fxe -0.04" }, "ticix": { "sym": "ticix", "name": "Timothy Plan Israel Common Values Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0519394312487389, "alpha_t_5y": 0.7503004471327416, "alpha_t_full": 0.6598268014559805, "r2_5y": 0.3825783761134137, "r2_full": 0.42515027236747405, "corr_portfolio": 0.20518213328979942, "corr_benchmark": 0.39885990256637016, "alpha_pos_frac": 0.4966887417218543, "fund_max_dd": -0.43871192379439283, "first": "2013-08-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.26, vweax +0.81, vea +0.97, efa -0.68", "ref_full": "vea +0.87, qqq +0.27, vweax +0.64, iwm +0.20, ivv -0.26, efa -0.60" }, "tigix": { "sym": "tigix", "name": "Timothy Plan Growth & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01608047430553173, "alpha_t_5y": -1.086398104717766, "alpha_t_full": -2.2235326226170957, "r2_5y": 0.8232578108205777, "r2_full": 0.8247565268245257, "corr_portfolio": 0.3667809432258915, "corr_benchmark": 0.6228481314582354, "alpha_pos_frac": 0.47651006711409394, "fund_max_dd": -0.25034714037757, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.06, ivv +0.71, qqq -0.39, ief +0.32, iwm +0.07, djp +0.03", "ref_full": "iwm +0.14, vnq +0.04, ivv +0.60, qqq -0.30, ief +0.26, djp +0.03" }, "tihyx": { "sym": "tihyx", "name": "Nuveen High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033281293213682467, "alpha_t_5y": 0.43999122691554066, "alpha_t_full": 0.5456279701989836, "r2_5y": 0.872607288032864, "r2_full": 0.8693318948158415, "corr_portfolio": 0.31299117388435915, "corr_benchmark": 0.44363857147987257, "alpha_pos_frac": 0.5397489539748954, "fund_max_dd": -0.27526287934450333, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vweax +0.95, iwm +0.02", "ref_full": "vweax +0.95, ivv +0.02, gsg +0.01, tlt -0.02, agg +0.11, ief -0.05" }, "tiilx": { "sym": "tiilx", "name": "Nuveen Inflation Linked Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005046667168392786, "alpha_t_5y": 0.5339043922548284, "alpha_t_full": 0.6717314996878575, "r2_5y": 0.7255794646861289, "r2_full": 0.6022438159839631, "corr_portfolio": -0.04128237922594017, "corr_benchmark": 0.5525487601146473, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.14238606524330766, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.48, gsg +0.04, tlt -0.13, agg +0.29", "ref_full": "ief +0.57, gsg +0.04, vweax +0.09, gld +0.01" }, "tilcx": { "sym": "tilcx", "name": "T. Rowe Price Large-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009603344129705841, "alpha_t_5y": 0.513253889063099, "alpha_t_full": 1.5679538708555485, "r2_5y": 0.9072786801645909, "r2_full": 0.9527359080266093, "corr_portfolio": 0.4042023819321801, "corr_benchmark": 0.5177123370582921, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5759781312668458, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.65, iwm +0.18, vea +0.13, ief -0.07, gsg +0.02", "ref_full": "ivv +1.10, qqq -0.41, iwm +0.13, efa +0.11, ief -0.11, vnq +0.03" }, "tipx": { "sym": "tipx", "name": "State Street(R) SPDR(R) Bloomberg 1-10 Year TIPS ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003877718660655112, "alpha_t_5y": 0.36917443825813195, "alpha_t_full": 0.5159568775161554, "r2_5y": 0.6973663662835564, "r2_full": 0.4506341556181699, "corr_portfolio": -0.006429401727302882, "corr_benchmark": 0.5002038147821971, "alpha_pos_frac": 0.5228758169934641, "fund_max_dd": -0.10082719446862809, "first": "2013-05-31", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.52, gsg +0.05, tlt -0.14, agg +0.29", "ref_full": "agg +0.17, djp +0.02, ief +0.46, tlt -0.07, vnq +0.02, gsg +0.03" }, "tiqix": { "sym": "tiqix", "name": "Touchstone Non-US Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007305037870847398, "alpha_t_5y": 0.3662747299809181, "alpha_t_full": 0.1097738970522562, "r2_5y": 0.9254221502330444, "r2_full": 0.8884068599345404, "corr_portfolio": 0.3407998897004793, "corr_benchmark": 0.5657158688409324, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5407236597520484, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.77, qqq +0.13, vwo +0.07, iwm +0.04, gld -0.03", "ref_full": "ivv +0.19, efa +0.30, qqq +0.23, iwm +0.15, vwo +0.05, vnq -0.03" }, "tirex": { "sym": "tirex", "name": "Nuveen Real Estate Securities Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022385797858475776, "alpha_t_5y": 0.11901781875257816, "alpha_t_full": 0.6482845519083327, "r2_5y": 0.9412989888253742, "r2_full": 0.9775615716150807, "corr_portfolio": 0.22950083016247208, "corr_benchmark": 0.5581867543536156, "alpha_pos_frac": 0.512396694214876, "fund_max_dd": -0.7418012341570974, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.00, ivv -0.04, tlt -0.05, fxe +0.11, efa -0.06, vweax +0.12", "ref_full": "vnq +1.00, agg -0.24, fxe +0.03, ief +0.09, vwo +0.02, iwm -0.03" }, "tisix": { "sym": "tisix", "name": "Nuveen Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0004210202017476031, "alpha_t_5y": 0.08834473767631905, "alpha_t_full": 1.6105823072039647, "r2_5y": 0.673398344747874, "r2_full": 0.5708609065327301, "corr_portfolio": 0.007121416958294401, "corr_benchmark": 0.4084491663092341, "alpha_pos_frac": 0.42196531791907516, "fund_max_dd": -0.04904547539368498, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.26, vweax +0.07, tlt -0.22, vblix +0.21, ivv -0.02", "ref_full": "ief +0.31, vweax +0.12, tlt -0.07, qqq -0.01, fxy +0.01" }, "tixrx": { "sym": "tixrx", "name": "Nuveen 5-15 Year Laddered Tax Exempt Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020210782815439164, "alpha_t_5y": -1.7641369799518989, "alpha_t_full": 0.32488467298656026, "r2_5y": 0.36897320063062267, "r2_full": 0.27214381763462125, "corr_portfolio": 0.03944421174667722, "corr_benchmark": 0.33956767537470134, "alpha_pos_frac": 0.5815899581589958, "fund_max_dd": -0.1457201169849206, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.36, ief +0.13, ivv -0.04", "ref_full": "agg +0.09, vweax +0.23, ief +0.08, fxy +0.03, efa -0.03, vnq +0.01" }, "tlbdx": { "sym": "tlbdx", "name": "Nuveen Life Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006655695362888842, "alpha_t_5y": -0.9122353099275746, "alpha_t_full": -0.8186871788527866, "r2_5y": 0.8998971933320954, "r2_full": 0.8878116480936917, "corr_portfolio": -0.043818996075680405, "corr_benchmark": 0.7167382322409915, "alpha_pos_frac": 0.696969696969697, "fund_max_dd": -0.20517786794841741, "first": "2017-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.38, vweax +0.11, vblix +0.13, vmbix +0.20, qqq -0.02, vea +0.01", "ref_full": "vblix +0.25, vmbix +0.19, vweax +0.13, ief +0.19, tlt -0.08, agg +0.10" }, "tlchx": { "sym": "tlchx", "name": "Nuveen Life Large Cap Responsible Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02086513820805512, "alpha_t_5y": -0.5848364377457491, "alpha_t_full": -0.5792091706509536, "r2_5y": 0.7797102257858974, "r2_full": 0.8773256861183754, "corr_portfolio": 0.25990003486132357, "corr_benchmark": 0.6023504488106346, "alpha_pos_frac": 0.6938775510204082, "fund_max_dd": -0.3641138060834036, "first": "2017-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.72, iwm +0.13, fxe +0.19, vweax +0.36, tlt -0.06", "ref_full": "ivv +0.80, iwm +0.12, fxe +0.12, vweax +0.19, vblix -0.05" }, "tldtx": { "sym": "tldtx", "name": "T. Rowe Price U.S. Limited Duration TIPS Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010313460679504873, "alpha_t_5y": -0.08634953818249569, "alpha_t_full": 0.002753399771860757, "r2_5y": 0.43434781893387675, "r2_full": 0.43341776945247135, "corr_portfolio": 0.027216011407627073, "corr_benchmark": 0.4080329095930516, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.0723938443514921, "first": "2020-11-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.05, gsg +0.04, ief +0.46, tlt -0.21, vblix +0.12", "ref_full": "vmbix +0.06, gsg +0.04, ief +0.45, tlt -0.21, vblix +0.12" }, "tleqx": { "sym": "tleqx", "name": "Nuveen Life Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008303276779404229, "alpha_t_5y": 0.1926003809660545, "alpha_t_full": -0.1349904270911176, "r2_5y": 0.8166884165229206, "r2_full": 0.8844797677600239, "corr_portfolio": 0.2653844323587489, "corr_benchmark": 0.5439448573909197, "alpha_pos_frac": 0.6632653061224489, "fund_max_dd": -0.45667253547867037, "first": "2017-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.91, fxe +0.16, tlt -0.08, vweax +0.30", "ref_full": "iwm +0.93, vweax +0.21, vblix -0.16, agg +0.61, ief -0.31" }, "tlgqx": { "sym": "tlgqx", "name": "Nuveen Life Growth Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05828714039190567, "alpha_t_5y": -1.4582454453936788, "alpha_t_full": -1.409246268992822, "r2_5y": 0.8177103431335587, "r2_full": 0.8759822831582449, "corr_portfolio": 0.10384148549279063, "corr_benchmark": 0.6046528084623692, "alpha_pos_frac": 0.6020408163265306, "fund_max_dd": -0.45765843250842353, "first": "2017-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +0.82, fxe +0.22, vweax +0.43, tlt -0.09", "ref_full": "qqq +0.74, ivv +0.19, fxe +0.13, vweax +0.19" }, "tlgwx": { "sym": "tlgwx", "name": "Nuveen Life Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030758404597649575, "alpha_t_5y": -0.8620406140527941, "alpha_t_full": -0.9995199153604857, "r2_5y": 0.7902801785463281, "r2_full": 0.8823616221939712, "corr_portfolio": 0.2430914031430581, "corr_benchmark": 0.5984815905781112, "alpha_pos_frac": 0.5816326530612245, "fund_max_dd": -0.3708079635673429, "first": "2017-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.91, fxe +0.19, vweax +0.33, tlt -0.08", "ref_full": "ivv +0.75, fxe +0.11, qqq +0.12, iwm +0.06, tlt -0.05, vweax +0.17" }, "tlinx": { "sym": "tlinx", "name": "Nuveen Life International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018574283398758412, "alpha_t_5y": -0.705372870992214, "alpha_t_full": -0.704616309591385, "r2_5y": 0.8711888506387717, "r2_full": 0.9015626580788142, "corr_portfolio": 0.3539921991152976, "corr_benchmark": 0.5289661040132084, "alpha_pos_frac": 0.5612244897959183, "fund_max_dd": -0.42133698732400215, "first": "2017-12-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.59, fxe +0.15, tlt -0.29, vea +0.38, vblix +0.29, vnq -0.05", "ref_full": "efa +0.58, vea +0.38, vnq -0.04, fxe +0.12, tlt -0.05, vwo +0.04" }, "tllvx": { "sym": "tllvx", "name": "Nuveen Life Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011200335123902493, "alpha_t_5y": 0.4205399461361495, "alpha_t_full": 0.1880959918755948, "r2_5y": 0.8240187056890247, "r2_full": 0.9082809714182025, "corr_portfolio": 0.38124394624928964, "corr_benchmark": 0.5327687203063075, "alpha_pos_frac": 0.5510204081632653, "fund_max_dd": -0.3831468461566856, "first": "2017-12-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.27, qqq -0.62, iwm +0.12, vea +0.11, tlt -0.07, vweax +0.23", "ref_full": "ivv +1.35, qqq -0.59, iwm +0.11, vea +0.11, tlt -0.06" }, "tlrsx": { "sym": "tlrsx", "name": "Nuveen Life Real Estate Securities Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021331490866848282, "alpha_t_5y": -0.796751543998245, "alpha_t_full": -0.23271473016647548, "r2_5y": 0.8905902517054904, "r2_full": 0.9346229895436637, "corr_portfolio": 0.20292871672635387, "corr_benchmark": 0.5549688041037197, "alpha_pos_frac": 0.6224489795918368, "fund_max_dd": -0.43296213274717843, "first": "2017-12-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.00, fxe +0.11, ivv -0.09, tlt -0.06, vweax +0.21", "ref_full": "vnq +0.99, iwm -0.06, fxe +0.08, agg -0.21, vmbix +0.18, qqq +0.03" }, "tlstx": { "sym": "tlstx", "name": "Nuveen Life Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0034462865784682275, "alpha_t_5y": 0.14249143615668608, "alpha_t_full": 0.04467431294282402, "r2_5y": 0.8856477335605826, "r2_full": 0.9372122165594157, "corr_portfolio": 0.23957837233438792, "corr_benchmark": 0.6241593662464042, "alpha_pos_frac": 0.6326530612244898, "fund_max_dd": -0.3490662851066765, "first": "2017-12-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.82, iwm +0.13, fxe +0.21, vweax +0.27, efa -0.09, tlt -0.05", "ref_full": "ivv +0.85, iwm +0.12, fxe +0.11, vweax +0.14, tlt -0.03, efa -0.05" }, "tmarx": { "sym": "tmarx", "name": "Touchstone Ares Credit Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008429682211551909, "alpha_t_5y": 0.8284881792505848, "alpha_t_full": -0.02018216837623111, "r2_5y": 0.6582599362919822, "r2_full": 0.559242701630241, "corr_portfolio": 0.3027543651853113, "corr_benchmark": 0.4133762896755626, "alpha_pos_frac": 0.46308724832214765, "fund_max_dd": -0.2141455656729454, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.61, vea +0.04, djp +0.02", "ref_full": "vweax +0.53, iwm +0.04, vnq +0.02, gsg +0.01, fxy +0.02" }, "tmcpx": { "sym": "tmcpx", "name": "TOUCHSTONE MID CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022765670412607873, "alpha_t_5y": -0.7932113048978959, "alpha_t_full": -0.5652044265972193, "r2_5y": 0.8523020201988072, "r2_full": 0.8898825587710921, "corr_portfolio": 0.2976946409215874, "corr_benchmark": 0.5605178911570456, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5878023523599276, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.36, ivv +0.82, qqq -0.30, gsg -0.08, vnq +0.11", "ref_full": "ivv +0.51, iwm +0.37, efa +0.08, qqq -0.07, vweax +0.10" }, "tmfcx": { "sym": "tmfcx", "name": "Touchstone Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018994763195588564, "alpha_t_5y": -0.8840172377632847, "alpha_t_full": -0.8130985656838767, "r2_5y": 0.905123563717301, "r2_full": 0.9359530684868202, "corr_portfolio": 0.37987062403937333, "corr_benchmark": 0.5263205784247647, "alpha_pos_frac": 0.5532994923857868, "fund_max_dd": -0.419489428950529, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.34, vnq +0.09, ivv +1.03, qqq -0.58, vea +0.11, ief -0.12", "ref_full": "iwm +0.36, ivv +0.92, qqq -0.42, vnq +0.09, ief -0.12, vweax +0.14" }, "tmlcx": { "sym": "tmlcx", "name": "SIMT TAX-MANAGED LARGE CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007386396475065068, "alpha_t_5y": -0.7037497122214031, "alpha_t_full": -0.11472372051533891, "r2_5y": 0.9734406901989422, "r2_full": 0.9528337072122464, "corr_portfolio": 0.33370898890783685, "corr_benchmark": 0.5769074586265504, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5664415594562522, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.19, qqq -0.32, iwm +0.07, efa +0.03, gsg -0.01, vweax +0.05", "ref_full": "ivv +0.86, iwm +0.09, qqq -0.07, efa +0.08, gld -0.03, vnq +0.02" }, "tmmax": { "sym": "tmmax", "name": "SIMT Tax-Managed Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011514001382991594, "alpha_t_5y": 0.5342879741034053, "alpha_t_full": 1.2358979487472528, "r2_5y": 0.8123122725481964, "r2_full": 0.8646342739152554, "corr_portfolio": 0.36035076159362317, "corr_benchmark": 0.549882425964922, "alpha_pos_frac": 0.5412844036697247, "fund_max_dd": -0.4149390913433948, "first": "2007-12-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.29, qqq -0.53, vnq +0.12, iwm -0.08, vwo -0.05, gsg -0.02", "ref_full": "ivv +0.91, qqq -0.25, vnq +0.06, vweax +0.10, gsg -0.02, agg +0.07" }, "tmvix": { "sym": "tmvix", "name": "Timothy Plan Large/Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01758279311182873, "alpha_t_5y": -0.8086762770172905, "alpha_t_full": -0.4345256688745536, "r2_5y": 0.8851241849423525, "r2_full": 0.9196009910685685, "corr_portfolio": 0.31243241681877615, "corr_benchmark": 0.5892814276532146, "alpha_pos_frac": 0.4966887417218543, "fund_max_dd": -0.37299888321470676, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.77, vnq +0.13, iwm +0.16, qqq -0.18", "ref_full": "ivv +0.84, iwm +0.19, qqq -0.21, vnq +0.08" }, "tnbix": { "sym": "tnbix", "name": "1290 SmartBeta Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010793272291305608, "alpha_t_5y": -0.6135878840175188, "alpha_t_full": 0.18426905600030818, "r2_5y": 0.9020037332256803, "r2_full": 0.8633030467259928, "corr_portfolio": 0.33473219274093285, "corr_benchmark": 0.5767739628930186, "alpha_pos_frac": 0.5259259259259259, "fund_max_dd": -0.3265018435866631, "first": "2014-12-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.85, efa +0.17, qqq -0.17, vnq +0.09, iwm -0.09, fxe +0.09", "ref_full": "ivv +0.80, efa +0.22, qqq -0.13, iwm -0.10, vnq +0.06, fxy +0.08" }, "tnhax": { "sym": "tnhax", "name": "1290 High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00037767929661428095, "alpha_t_5y": -0.03746448487052538, "alpha_t_full": 0.6638623709893018, "r2_5y": 0.6598742090190228, "r2_full": 0.7077285071841867, "corr_portfolio": 0.2958297036916569, "corr_benchmark": 0.37277906438308495, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.1714297713943057, "first": "2014-12-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.65, vea +0.03", "ref_full": "vweax +0.61, agg -0.32, vmbix +0.17, efa +0.03, vblix +0.19, tlt -0.09" }, "tnibx": { "sym": "tnibx", "name": "T. Rowe Price International Bond Fund (USD Hedged)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01588375553400806, "alpha_t_5y": -1.6109341197194107, "alpha_t_full": -0.38649174056107144, "r2_5y": 0.5463412437026851, "r2_full": 0.47418563592132523, "corr_portfolio": -0.030490805905260605, "corr_benchmark": 0.4465064746743509, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.15584452612005995, "first": "2017-09-13", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.24, vweax +0.32, fxe -0.08, ivv -0.04, gsg -0.01, vea +0.03", "ref_full": "vblix +0.05, vweax +0.23, ief +0.28, agg -0.17, fxe -0.04, fxy +0.02" }, "tnmax": { "sym": "tnmax", "name": "1290 Multi-Alternative Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03539703407012242, "alpha_t_5y": -2.8312620343924344, "alpha_t_full": -2.918563484623044, "r2_5y": 0.8503143867598897, "r2_full": 0.799226306791716, "corr_portfolio": 0.24045439049591852, "corr_benchmark": 0.5560225497835922, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.1729469370126424, "first": "2015-07-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true, "ref_5y": "vea +0.08, djp +0.11, iwm +0.08, gld +0.08, qqq +0.08, vnq +0.07", "ref_full": "vea +0.08, djp +0.10, iwm +0.07, gld +0.10, qqq +0.07, vnq +0.05" }, "tnshx": { "sym": "tnshx", "name": "Nuveen Short Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004181481745956104, "alpha_t_5y": -0.8168492411631878, "alpha_t_full": -0.670213834004791, "r2_5y": 0.6889930081333167, "r2_full": 0.6292954814738013, "corr_portfolio": -0.10127732887790011, "corr_benchmark": 0.3938882689097294, "alpha_pos_frac": 0.48031496062992124, "fund_max_dd": -0.058120657861327585, "first": "2015-08-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.30, tlt -0.21, vblix +0.14, ivv -0.03, vweax +0.07, agg +0.10", "ref_full": "ief +0.33, tlt -0.14, vblix +0.06, efa -0.02, vweax +0.05, agg +0.05" }, "tnuax": { "sym": "tnuax", "name": "1290 Diversified Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008304432229347472, "alpha_t_5y": 0.37637217168935494, "alpha_t_full": 0.08665769700082011, "r2_5y": 0.6725764008629302, "r2_full": 0.5662770618086841, "corr_portfolio": 0.057081448626015774, "corr_benchmark": 0.5495464086003801, "alpha_pos_frac": 0.4140625, "fund_max_dd": -0.2669814752000538, "first": "2015-07-10", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.69, vblix +0.22, fxe +0.13, vwo +0.07, qqq -0.06, vweax +0.14", "ref_full": "vmbix +0.81, vweax +0.17, fxe +0.07, vblix +0.39, tlt -0.24, vwo +0.03" }, "tnvax": { "sym": "tnvax", "name": "1290 GAMCO Small/Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027094667016830803, "alpha_t_5y": 0.877645501140947, "alpha_t_full": 0.8527773471078363, "r2_5y": 0.866559664576723, "r2_full": 0.8441440699028264, "corr_portfolio": 0.3340503279585454, "corr_benchmark": 0.46862461946009704, "alpha_pos_frac": 0.4962962962962963, "fund_max_dd": -0.4437971472690221, "first": "2014-12-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.69, efa -0.18, qqq -0.40, ivv +0.53, gld -0.05, vea +0.36", "ref_full": "iwm +0.70, efa +0.13, qqq -0.32, ivv +0.42, agg -0.63, vmbix +0.58" }, "tnxax": { "sym": "tnxax", "name": "1290 Loomis Sayles Multi-Asset Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004534266462270225, "alpha_t_5y": -0.23108819301113134, "alpha_t_full": -0.06880427080331819, "r2_5y": 0.6573373600713366, "r2_full": 0.6584219421195963, "corr_portfolio": 0.25219895347897514, "corr_benchmark": 0.5625485692424445, "alpha_pos_frac": 0.5, "fund_max_dd": -0.21396987068940543, "first": "2016-03-08", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "ivv +0.21, vea +0.11, ief +0.11, vweax +0.19, vnq +0.04", "ref_full": "ivv +0.32, vweax +0.18, fxy +0.05, vnq +0.03, vea +0.06, ief +0.06" }, "tnxix": { "sym": "tnxix", "name": "1290 Avantis U.S. Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017073199720448063, "alpha_t_5y": -0.7104204028312707, "alpha_t_full": -0.8612761961931487, "r2_5y": 0.8826980282229338, "r2_full": 0.8568666981480556, "corr_portfolio": 0.26613514353586765, "corr_benchmark": 0.5938922040188416, "alpha_pos_frac": 0.5185185185185185, "fund_max_dd": -0.34150070416676204, "first": "2017-02-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.94, vnq -0.06, vwo +0.07", "ref_full": "ivv +0.77, vea +0.13, gsg -0.02, agg -0.60, vblix +0.54, tlt -0.23" }, "tobax": { "sym": "tobax", "name": "Touchstone Active Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00042990751022034486, "alpha_t_5y": -0.0590506116194693, "alpha_t_full": -0.11914904524456885, "r2_5y": 0.905219014536107, "r2_full": 0.7943005652840152, "corr_portfolio": -0.056222711394749054, "corr_benchmark": 0.6994373189347011, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.19739885459287065, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.34, vweax +0.20, ief +0.31, ivv -0.03, fxe +0.03, vblix +0.04", "ref_full": "ief +0.33, vweax +0.23, agg +0.17, vnq +0.01, tlt +0.03, fxy +0.02" }, "tohax": { "sym": "tohax", "name": "Touchstone Core Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018561284690775094, "alpha_t_5y": -1.6432959647593064, "alpha_t_full": 0.41445894552235796, "r2_5y": 0.3880924978444493, "r2_full": 0.2785707499231548, "corr_portfolio": 0.023993278218285938, "corr_benchmark": 0.34858777572100624, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.13343509057708547, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.37, ief +0.12, ivv -0.05, vnq +0.02", "ref_full": "agg +0.09, vweax +0.25, ief +0.08, efa -0.02, fxy +0.03, vnq +0.01" }, "tollx": { "sym": "tollx", "name": "DWS RREEF Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009385699776296932, "alpha_t_5y": -0.2997461060195893, "alpha_t_full": -0.06979380362718335, "r2_5y": 0.7175402998644105, "r2_full": 0.7602860973576113, "corr_portfolio": 0.3221941272851716, "corr_benchmark": 0.5393025065001795, "alpha_pos_frac": 0.5235849056603774, "fund_max_dd": -0.4333391524353768, "first": "2008-06-30", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.45, vea +0.31, djp +0.10, qqq -0.30, ivv +0.40, iwm -0.12", "ref_full": "efa +0.36, vnq +0.13, vweax +0.26, gsg +0.07, agg +0.27, ivv +0.15" }, "tortx": { "sym": "tortx", "name": "Tortoise Energy Infrastructure Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09567974398387213, "alpha_t_5y": 1.7220840837941773, "alpha_t_full": 0.8590315951908718, "r2_5y": 0.5658226668473736, "r2_full": 0.5889933972192282, "corr_portfolio": 0.31465409468814814, "corr_benchmark": 0.3571116704560039, "alpha_pos_frac": 0.5480225988700564, "fund_max_dd": -0.6912975361479028, "first": "2011-06-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.21, gsg +0.36, vnq +0.07, ief -0.08, qqq -0.69, ivv +1.11", "ref_full": "iwm +0.29, gsg +0.38, vweax +0.55, vnq +0.04, qqq -0.57, ivv +0.90" }, "tpdix": { "sym": "tpdix", "name": "Timothy Plan Defensive Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004417629917070942, "alpha_t_5y": -0.36613801792863293, "alpha_t_full": -0.6221287095118972, "r2_5y": 0.9207196127142301, "r2_full": 0.8983363569708609, "corr_portfolio": 0.2665273578608807, "corr_benchmark": 0.5857347435706933, "alpha_pos_frac": 0.45695364238410596, "fund_max_dd": -0.22259698108512038, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "gld +0.27, vnq +0.23, djp +0.12, vea +0.10, iwm +0.07, qqq -0.04", "ref_full": "vnq +0.20, gld +0.26, gsg +0.10, vea +0.10, iwm +0.06, agg +0.12" }, "tpfix": { "sym": "tpfix", "name": "Timothy Plan Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0061035219957801135, "alpha_t_5y": -0.8587878516118129, "alpha_t_full": -1.8136804068843047, "r2_5y": 0.9029254113053236, "r2_full": 0.8712756165580903, "corr_portfolio": -0.13888873413936428, "corr_benchmark": 0.6431073773181452, "alpha_pos_frac": 0.5629139072847682, "fund_max_dd": -0.17926314144188082, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.08, ief +0.30, vmbix +0.33, vblix +0.15, tlt -0.09, ivv -0.02", "ref_full": "ief +0.34, vmbix +0.33, vweax +0.05, agg +0.07, gsg -0.01" }, "tphix": { "sym": "tphix", "name": "Timothy Plan High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018540618457562835, "alpha_t_5y": 0.19053385911349738, "alpha_t_full": 0.28182300128356264, "r2_5y": 0.6921396048256956, "r2_full": 0.7343320360068726, "corr_portfolio": 0.3195654863368166, "corr_benchmark": 0.4075867296703279, "alpha_pos_frac": 0.5761589403973509, "fund_max_dd": -0.22383412296604766, "first": "2013-08-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.66, vea +0.03", "ref_full": "vweax +0.74, vea +0.03, gsg +0.01" }, "tpiix": { "sym": "tpiix", "name": "Timothy Plan International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013643332667524117, "alpha_t_5y": -0.758175227919962, "alpha_t_full": -0.8613641526855961, "r2_5y": 0.9348612628090381, "r2_full": 0.9316151148141599, "corr_portfolio": 0.3486736982037281, "corr_benchmark": 0.5478109643607183, "alpha_pos_frac": 0.5761589403973509, "fund_max_dd": -0.35877959028245743, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.17, vwo +0.14, qqq +0.06, efa +0.56, iwm +0.08, vnq -0.04", "ref_full": "vea +0.35, qqq +0.05, vwo +0.10, iwm +0.07, efa +0.35, vweax +0.11" }, "tpinx": { "sym": "tpinx", "name": "Templeton Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010996555372185305, "alpha_t_5y": -0.06511833175267567, "alpha_t_full": -0.12545547580655314, "r2_5y": 0.7405630114768447, "r2_full": 0.2622309264369689, "corr_portfolio": 0.13685293887770406, "corr_benchmark": 0.3346805394133094, "alpha_pos_frac": 0.4512820512820513, "fund_max_dd": -0.2641471315137768, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "fxy +0.31, vea +0.08, vmbix +0.31, vwo +0.10, fxe +0.16, djp +0.03", "ref_full": "vwo +0.08, vweax +0.31, fxy +0.08, vnq -0.04, efa +0.06, djp +0.03" }, "tplgx": { "sym": "tplgx", "name": "T. Rowe Price Institutional Large-Cap Core Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05389101534465177, "alpha_t_5y": -2.4957616739656645, "alpha_t_full": -2.0106829534315116, "r2_5y": 0.9515155554342631, "r2_full": 0.9513380937484411, "corr_portfolio": 0.1305940109278208, "corr_benchmark": 0.6054882672860983, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.5457104744919576, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.83, ivv +0.37, vea -0.59, efa +0.47, iwm -0.05, vwo +0.05", "ref_full": "qqq +0.63, ivv +0.45, vnq -0.02, agg +0.05" }, "tplix": { "sym": "tplix", "name": "Timothy Plan Large/Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011339503828614294, "alpha_t_5y": -0.4398570370363441, "alpha_t_full": -1.4519092929480937, "r2_5y": 0.9008956153917442, "r2_full": 0.9153785537817065, "corr_portfolio": 0.23073911702831057, "corr_benchmark": 0.6087423656336501, "alpha_pos_frac": 0.5033112582781457, "fund_max_dd": -0.3570701617056087, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, qqq +0.37, iwm +0.16, vea +0.52, efa -0.46", "ref_full": "ivv +0.58, iwm +0.21, qqq +0.22, vnq -0.05, agg +0.28, vmbix -0.24" }, "tpvix": { "sym": "tpvix", "name": "Timothy Plan Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00029061826996658937, "alpha_t_5y": 0.010986273384264873, "alpha_t_full": 0.6336779890864354, "r2_5y": 0.9055715403992617, "r2_full": 0.9184432345770694, "corr_portfolio": 0.327551138338135, "corr_benchmark": 0.49744918083069284, "alpha_pos_frac": 0.5099337748344371, "fund_max_dd": -0.4317301761521851, "first": "2013-08-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, qqq -0.52, ivv +0.71, gld -0.04", "ref_full": "iwm +0.83, qqq -0.41, ivv +0.51, gld -0.04, vnq +0.04" }, "tpyax": { "sym": "tpyax", "name": "TOUCHSTONE SANDS CAPITAL INTERNATIONAL GROWTH EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05634430923936797, "alpha_t_5y": -1.7891633611209798, "alpha_t_full": -1.9651311457930067, "r2_5y": 0.839748195822791, "r2_full": 0.8629799842438873, "corr_portfolio": 0.30223032176668474, "corr_benchmark": 0.5688699033851561, "alpha_pos_frac": 0.5342465753424658, "fund_max_dd": -0.5731233303577601, "first": "2007-12-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.75, qqq +0.20, djp -0.07, vwo +0.09", "ref_full": "ivv +0.41, vea +0.28, iwm +0.10, vweax +0.16, vwo +0.05, gsg -0.02" }, "tqccx": { "sym": "tqccx", "name": "Touchstone Dividend Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008998296733762873, "alpha_t_5y": -0.4960412767989978, "alpha_t_full": 0.1412905146889138, "r2_5y": 0.9098079665586607, "r2_full": 0.8951434983144485, "corr_portfolio": 0.3641196313451587, "corr_benchmark": 0.5380473750045869, "alpha_pos_frac": 0.4669260700389105, "fund_max_dd": -0.5895475515912292, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.19, qqq -0.46, iwm +0.08, vnq +0.06, efa +0.05", "ref_full": "ivv +1.01, qqq -0.27, iwm +0.09, vnq +0.04, gsg +0.02, vweax +0.07" }, "tqgex": { "sym": "tqgex", "name": "T. Rowe Price Integrated Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007829592561041014, "alpha_t_5y": 0.09272907143396741, "alpha_t_full": -0.20760366823958581, "r2_5y": 0.9826962766878367, "r2_full": 0.9839025106274341, "corr_portfolio": 0.3060388732998692, "corr_benchmark": 0.6404952485201714, "alpha_pos_frac": 0.4830508474576271, "fund_max_dd": -0.3296927714614275, "first": "2016-04-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.61, vea +0.27, vwo +0.07, fxy -0.02", "ref_full": "ivv +0.57, vea +0.26, vwo +0.07, qqq +0.04, vweax +0.04, fxe +0.02" }, "tqmvx": { "sym": "tqmvx", "name": "T. Rowe Price Integrated U.S. Large-Cap Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02844040374582707, "alpha_t_5y": 1.643555313429379, "alpha_t_full": 1.3529170412040217, "r2_5y": 0.9233318838430614, "r2_full": 0.9438235183951817, "corr_portfolio": 0.42737758258647374, "corr_benchmark": 0.504211497673351, "alpha_pos_frac": 0.4583333333333333, "fund_max_dd": -0.40703516123410266, "first": "2016-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.41, qqq -0.75, iwm +0.18, vea +0.41, tlt -0.04, efa -0.29", "ref_full": "ivv +1.34, qqq -0.67, iwm +0.20, tlt -0.07, vea +0.14, fxe -0.08" }, "tqpix": { "sym": "tqpix", "name": "Touchstone Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013489704745172965, "alpha_t_5y": 1.1177621451231041, "alpha_t_full": 1.1177621451231041, "r2_5y": 0.7126533046445852, "r2_full": 0.7126533046445852, "corr_portfolio": 0.015213580149402436, "corr_benchmark": 0.7143370501527285, "alpha_pos_frac": 0.5272727272727272, "fund_max_dd": -0.16714462816894182, "first": "2021-07-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.51, vweax +0.33, fxe +0.05", "ref_full": "agg +0.51, vweax +0.33, fxe +0.05" }, "tqsmx": { "sym": "tqsmx", "name": "T. Rowe Price Integrated U.S. Small-Mid Cap Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013590465270681673, "alpha_t_5y": 0.7981646009260286, "alpha_t_full": 0.9513207120681831, "r2_5y": 0.9568181201678779, "r2_full": 0.967055745351405, "corr_portfolio": 0.3124192629490617, "corr_benchmark": 0.5898785977106905, "alpha_pos_frac": 0.525, "fund_max_dd": -0.4066264708444868, "first": "2016-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.60, ivv +0.55, qqq -0.23, vea +0.33, fxy -0.06, efa -0.23", "ref_full": "iwm +0.58, ivv +0.44, qqq -0.14, vnq +0.05, vea +0.07, fxe -0.06" }, "tramx": { "sym": "tramx", "name": "T. Rowe Price Africa & Middle East Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.047557490333085525, "alpha_t_5y": 1.2817923764786006, "alpha_t_full": -0.40894139010845343, "r2_5y": 0.5424513945792293, "r2_full": 0.4762353800277499, "corr_portfolio": 0.31166436668125347, "corr_benchmark": 0.3775798855117675, "alpha_pos_frac": 0.545045045045045, "fund_max_dd": -0.6805263566192155, "first": "2007-09-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.35, gld +0.11, vweax +0.28, vea +0.12", "ref_full": "vwo +0.25, vweax +0.59, vea +0.16, gld +0.04, agg -0.15" }, "trarx": { "sym": "trarx", "name": "T. Rowe Price Target 2005 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005127085812969271, "alpha_t_5y": -0.8905488551110471, "alpha_t_full": 2.2113289624131207, "r2_5y": 0.9485364457096923, "r2_full": 0.0456032957676874, "corr_portfolio": 0.05644415966548862, "corr_benchmark": 0.17737008862978826, "alpha_pos_frac": 0.06666666666666667, "fund_max_dd": -0.17749989602476413, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.15, agg +0.30, vea +0.08, vweax +0.13, iwm +0.03, vwo +0.03", "ref_full": "ivv +0.29, ief +0.33" }, "trbcx": { "sym": "trbcx", "name": "T. Rowe Price Blue Chip Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05472797763246065, "alpha_t_5y": -2.5311348644683296, "alpha_t_full": -2.112088989588918, "r2_5y": 0.9516010487708304, "r2_full": 0.9516033979978289, "corr_portfolio": 0.1307505750476654, "corr_benchmark": 0.6053566186178474, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.5455831379903442, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.83, ivv +0.37, vea -0.58, efa +0.46, iwm -0.05, vwo +0.05", "ref_full": "qqq +0.63, ivv +0.45, vnq -0.02, agg +0.05" }, "trbfx": { "sym": "trbfx", "name": "T. Rowe Price Limited Duration Inflation Focused Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011672968641135678, "alpha_t_5y": -0.09314984250820958, "alpha_t_full": -1.5634591676116525, "r2_5y": 0.4180591630434928, "r2_full": 0.3752619704867528, "corr_portfolio": 0.03156612282076349, "corr_benchmark": 0.38322631059508383, "alpha_pos_frac": 0.48497854077253216, "fund_max_dd": -0.07330836023878018, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.39, gsg +0.04, tlt -0.14, agg +0.23", "ref_full": "ief +0.34, gsg +0.01, tlt -0.08, vweax +0.07, agg +0.06, djp +0.02" }, "trblx": { "sym": "trblx", "name": "T. Rowe Price Retirement Blend 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00984946623536544, "alpha_t_5y": -1.0745923216771005, "alpha_t_full": -1.0745923216771005, "r2_5y": 0.9794213768737597, "r2_full": 0.9794213768737597, "corr_portfolio": 0.12432114863218756, "corr_benchmark": 0.7084868839951941, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.2592406548268763, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, vea +0.22, iwm +0.10, vblix +0.16, vwo +0.06, tlt -0.09", "ref_full": "ivv +0.47, vea +0.22, iwm +0.10, vblix +0.16, vwo +0.06, tlt -0.09" }, "trbnx": { "sym": "trbnx", "name": "T. Rowe Price Retirement Blend 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011840539746625538, "alpha_t_5y": -1.2166180984457386, "alpha_t_full": -1.2166180984457386, "r2_5y": 0.9801971098491221, "r2_full": 0.9801971098491221, "corr_portfolio": 0.13208646449908376, "corr_benchmark": 0.6903531545837926, "alpha_pos_frac": 0.5818181818181818, "fund_max_dd": -0.26812983244054733, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.06", "ref_full": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.06" }, "trbox": { "sym": "trbox", "name": "T. Rowe Price Retirement Blend 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01181730211577758, "alpha_t_5y": -1.2134218555432257, "alpha_t_full": -1.2134218555432257, "r2_5y": 0.9801959714542713, "r2_full": 0.9801959714542713, "corr_portfolio": 0.1323807561826688, "corr_benchmark": 0.6914619990998114, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26675389087565127, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.07, gld +0.02, vweax +0.06", "ref_full": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.07, gld +0.02, vweax +0.06" }, "trbpx": { "sym": "trbpx", "name": "T. Rowe Price Retirement Blend 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011510514058804886, "alpha_t_5y": -1.1785624139143889, "alpha_t_full": -1.1785624139143889, "r2_5y": 0.9800486832246978, "r2_full": 0.9800486832246978, "corr_portfolio": 0.13268252999816066, "corr_benchmark": 0.6901183715050525, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26775977188239486, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.06", "ref_full": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.06" }, "trbqx": { "sym": "trbqx", "name": "T. Rowe Price Retirement Blend 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01116736975356141, "alpha_t_5y": -1.1567203039476093, "alpha_t_full": -1.1567203039476093, "r2_5y": 0.9797380909929635, "r2_full": 0.9797380909929635, "corr_portfolio": 0.13114396734773132, "corr_benchmark": 0.6964489202017895, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26469965796006767, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, vblix +0.03, gld +0.02", "ref_full": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, vblix +0.03, gld +0.02" }, "trbsx": { "sym": "trbsx", "name": "T. Rowe Price Retirement Blend 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011901376322548564, "alpha_t_5y": -1.2087313768912438, "alpha_t_full": -1.2087313768912438, "r2_5y": 0.9796068898092607, "r2_full": 0.9796068898092607, "corr_portfolio": 0.1308819039755111, "corr_benchmark": 0.6908790211206896, "alpha_pos_frac": 0.6, "fund_max_dd": -0.2664408230433456, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.07", "ref_full": "ivv +0.52, vea +0.23, iwm +0.10, vwo +0.06, gld +0.02, vweax +0.07" }, "trbux": { "sym": "trbux", "name": "T. Rowe Price Ultra Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0025018046396946417, "alpha_t_5y": 0.43018274238039467, "alpha_t_full": 1.6033496863010481, "r2_5y": 0.1809270187573888, "r2_full": 0.2179753350278557, "corr_portfolio": 0.07427905760334669, "corr_benchmark": 0.1297093729891529, "alpha_pos_frac": 0.42953020134228187, "fund_max_dd": -0.041502532323576036, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.16, iwm -0.01", "ref_full": "vweax +0.13, vea -0.01, fxy +0.01, ief +0.10, agg -0.06, tlt -0.02" }, "trdfx": { "sym": "trdfx", "name": "Steward Values Enhanced Small-Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026178111304811635, "alpha_t_5y": 0.06486432216511408, "alpha_t_full": 0.24920548309932636, "r2_5y": 0.8099932828886669, "r2_full": 0.8964199200003877, "corr_portfolio": 0.28837206601486226, "corr_benchmark": 0.5080527914849432, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.6159716192207023, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.75, vnq +0.04, ivv +0.40, qqq -0.20", "ref_full": "iwm +0.78, ivv +0.28, qqq -0.11, vnq +0.04" }, "tremx": { "sym": "tremx", "name": "T. Rowe Price Emerging Europe Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.043069418354454166, "alpha_t_5y": -0.3147269673042128, "alpha_t_full": -1.387685552582982, "r2_5y": 0.2718878217873195, "r2_full": 0.48376529246485, "corr_portfolio": 0.2362461861483492, "corr_benchmark": 0.30054435504995547, "alpha_pos_frac": 0.6723404255319149, "fund_max_dd": -0.9214788812603731, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "efa +1.07, gsg -0.25, vnq -0.26, vwo +0.33", "ref_full": "efa +0.41, vwo +0.37, vweax +0.83, ief -0.26, fxe +0.22" }, "trffx": { "sym": "trffx", "name": "T. Rowe Price Target 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014544189710082173, "alpha_t_5y": -1.3131530753145277, "alpha_t_full": 0.16012950494914685, "r2_5y": 0.9687375986218919, "r2_full": 0.9066117169549635, "corr_portfolio": 0.2981205764796205, "corr_benchmark": 0.596843954403721, "alpha_pos_frac": 0.49333333333333335, "fund_max_dd": -0.3186205982611737, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, vea +0.21, iwm +0.10, vwo +0.08, vweax +0.08, gld +0.01", "ref_full": "ivv +0.28, vea +0.22, iwm +0.14, qqq +0.10, vwo +0.05, vweax +0.09" }, "trfox": { "sym": "trfox", "name": "T. Rowe Price Target 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011897502962338885, "alpha_t_5y": -1.1134922989725864, "alpha_t_full": 0.13228822573583787, "r2_5y": 0.9688465996535496, "r2_full": 0.9054136810429749, "corr_portfolio": 0.2964354168647663, "corr_benchmark": 0.6035326497293934, "alpha_pos_frac": 0.4866666666666667, "fund_max_dd": -0.3092287583317923, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.48, vea +0.21, iwm +0.10, vwo +0.08, vblix +0.03, vweax +0.06", "ref_full": "ivv +0.26, vea +0.21, iwm +0.13, qqq +0.10, vwo +0.05, vweax +0.11" }, "trgrx": { "sym": "trgrx", "name": "T. Rowe Price Global Real Estate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02844015976449519, "alpha_t_5y": -1.77753502924947, "alpha_t_full": -1.9347388132254566, "r2_5y": 0.9426884731738355, "r2_full": 0.9263729345563406, "corr_portfolio": 0.3017466432737209, "corr_benchmark": 0.5859666293413365, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.4466112184597826, "first": "2008-10-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.70, vea +0.26, ivv -0.08, vweax +0.13", "ref_full": "vnq +0.49, efa +0.28, vweax +0.30, qqq -0.08, vwo +0.04, ivv +0.07" }, "trhrx": { "sym": "trhrx", "name": "T. Rowe Price Target 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01207877911178926, "alpha_t_5y": -1.3228468589271583, "alpha_t_full": 0.2440259385831957, "r2_5y": 0.9679801109410252, "r2_full": 0.9099835059418188, "corr_portfolio": 0.29687643803098435, "corr_benchmark": 0.6203384576671678, "alpha_pos_frac": 0.5133333333333333, "fund_max_dd": -0.28530464649762055, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.39, vea +0.18, iwm +0.08, vblix +0.07, vwo +0.06, vweax +0.08", "ref_full": "ivv +0.36, vea +0.25, iwm +0.11, tlt +0.18, agg -0.71, vmbix +0.41" }, "trhyx": { "sym": "trhyx", "name": "T. Rowe Price Institutional High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006768398489427483, "alpha_t_5y": 0.08242413781562652, "alpha_t_full": 1.480519848210283, "r2_5y": 0.8498392216634094, "r2_full": 0.7855493101996891, "corr_portfolio": 0.2935555395326901, "corr_benchmark": 0.3729841132823971, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.2730604222583841, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.87, ief +0.01, vblix +0.33, tlt -0.20, agg -0.22, iwm +0.01", "ref_full": "vweax +0.88, efa +0.02, agg -0.08, tlt +0.01, fxe +0.01" }, "trigx": { "sym": "trigx", "name": "T. Rowe Price International Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05290985878082539, "alpha_t_5y": 3.3392444800143872, "alpha_t_full": 0.5434185918797275, "r2_5y": 0.9427746795831248, "r2_full": 0.9525444853031396, "corr_portfolio": 0.4368738108493859, "corr_benchmark": 0.5006283416085692, "alpha_pos_frac": 0.512396694214876, "fund_max_dd": -0.6228372700498777, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.86, qqq -0.17, vwo +0.10, ivv +0.17, tlt -0.04, fxe +0.09", "ref_full": "efa +0.87, vweax +0.24, qqq -0.06, iwm +0.05, fxe +0.09, ief -0.08" }, "trlax": { "sym": "trlax", "name": "T. Rowe Price Retirement Income 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010755620326556487, "alpha_t_5y": -1.477321685959638, "alpha_t_full": -0.7999256737802066, "r2_5y": 0.959626090065676, "r2_full": 0.8958767555025539, "corr_portfolio": 0.2584422867756668, "corr_benchmark": 0.6891757502935738, "alpha_pos_frac": 0.5619047619047619, "fund_max_dd": -0.23824468596925807, "first": "2017-06-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.25, vea +0.12, agg +0.24, iwm +0.06, vwo +0.04, vweax +0.11", "ref_full": "ivv +0.26, vea +0.16, ief +0.60, agg -0.58, iwm +0.09, vweax +0.16" }, "trlgx": { "sym": "trlgx", "name": "T. Rowe Price Large-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03587613155237114, "alpha_t_5y": -1.4848986936644417, "alpha_t_full": -0.8655117621728822, "r2_5y": 0.9321163518743018, "r2_full": 0.9463027568685443, "corr_portfolio": 0.14241515613408276, "corr_benchmark": 0.6056939230230594, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.5556106299233603, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.68, ivv +0.43, vea -0.56, efa +0.43, vwo +0.06", "ref_full": "qqq +0.62, ivv +0.39, agg +0.16, ief -0.10, iwm +0.03" }, "trlvx": { "sym": "trlvx", "name": "SIMT CORE FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007983084668146664, "alpha_t_5y": -1.7821373666434288, "alpha_t_full": -0.9904016315761347, "r2_5y": 0.9703398562896085, "r2_full": 0.8380583887470379, "corr_portfolio": -0.07571077731760581, "corr_benchmark": 0.7174791376242576, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.2051291296142419, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.08, vweax +0.09, ief +0.38, vblix +0.30, vmbix +0.21, tlt -0.16", "ref_full": "ief +0.38, vweax +0.27, agg +0.18, vnq +0.01, tlt +0.04, fxy +0.02" }, "trmcx": { "sym": "trmcx", "name": "T. Rowe Price Mid-Cap Value Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028688318519591298, "alpha_t_5y": 1.1251904423148595, "alpha_t_full": 1.8163079633957764, "r2_5y": 0.8773420927644138, "r2_full": 0.932915178163034, "corr_portfolio": 0.3748937184824466, "corr_benchmark": 0.5328352832188834, "alpha_pos_frac": 0.4605263157894737, "fund_max_dd": -0.5527600007517954, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.48, efa +0.30, vnq +0.17, gsg +0.06, fxy -0.14, qqq -0.08", "ref_full": "iwm +0.40, ivv +0.70, qqq -0.31, djp +0.06, efa +0.08, vweax +0.12" }, "trmvx": { "sym": "trmvx", "name": "SIMT LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022359181397809166, "alpha_t_5y": 1.2770186315414245, "alpha_t_full": 0.7774781870450267, "r2_5y": 0.9229123692920486, "r2_full": 0.9307318127702451, "corr_portfolio": 0.4179553578657548, "corr_benchmark": 0.4958292132608764, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.6035437878459973, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.21, ivv +1.35, qqq -0.72, efa +0.11, gsg +0.03, gld -0.03", "ref_full": "ivv +1.11, qqq -0.45, iwm +0.19, efa +0.11, gld -0.05, gsg +0.03" }, "trosx": { "sym": "trosx", "name": "T. Rowe Price Overseas Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021745478704865663, "alpha_t_5y": -0.18459656006094852, "alpha_t_full": -0.6210699080868276, "r2_5y": 0.9692138355276334, "r2_full": 0.966853625233582, "corr_portfolio": 0.39011073874025265, "corr_benchmark": 0.539462923742001, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6111402752503642, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.68, vea +0.23, vwo +0.05, iwm +0.02", "ref_full": "efa +0.51, vweax +0.19, vea +0.37, vnq -0.03, vwo +0.02, iwm +0.02" }, "trpbx": { "sym": "trpbx", "name": "T. Rowe Price Spectrum Moderate Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011799937201924213, "alpha_t_5y": -1.5039031053794765, "alpha_t_full": 0.04775229162299506, "r2_5y": 0.9643634086432588, "r2_full": 0.9595948171623156, "corr_portfolio": 0.30385994820148754, "corr_benchmark": 0.6521074357638844, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.4164005501885859, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.33, vea +0.13, vblix +0.07, iwm +0.05, vwo +0.06, vmbix +0.08", "ref_full": "ivv +0.34, efa +0.14, ief +0.11, iwm +0.06, vwo +0.05, vweax +0.12" }, "trrax": { "sym": "trrax", "name": "T. Rowe Price Retirement 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007747352256038378, "alpha_t_5y": -1.2567372308673457, "alpha_t_full": 0.26987493322874506, "r2_5y": 0.9630960700683868, "r2_full": 0.8998043241644407, "corr_portfolio": 0.2794188545031089, "corr_benchmark": 0.6653124654412251, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.38811080108942575, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.23, vmbix +0.16, vea +0.11, iwm +0.05, vblix +0.07, vwo +0.03", "ref_full": "ivv +0.21, efa +0.12, ief +0.15, vwo +0.06, vnq +0.03, iwm +0.05" }, "trrbx": { "sym": "trrbx", "name": "T. Rowe Price Retirement 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0067954816406082625, "alpha_t_5y": -1.043454096137894, "alpha_t_full": 0.33179242349230176, "r2_5y": 0.9670374420348634, "r2_full": 0.9096702426633683, "corr_portfolio": 0.2987242249086373, "corr_benchmark": 0.6078040258946251, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4704105646231611, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.26, vea +0.11, agg +0.24, iwm +0.05, vwo +0.04, vweax +0.11", "ref_full": "ivv +0.26, efa +0.16, vwo +0.08, vnq +0.04, iwm +0.06, ief +0.06" }, "trrcx": { "sym": "trrcx", "name": "T. Rowe Price Retirement 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009760265625433282, "alpha_t_5y": -1.1512686853183531, "alpha_t_full": 0.15829446742304656, "r2_5y": 0.9661891340274643, "r2_full": 0.9327839969440646, "corr_portfolio": 0.298281333930085, "corr_benchmark": 0.6116897426441269, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5227635722973087, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, vea +0.15, agg +0.18, iwm +0.07, vwo +0.06, vweax +0.10", "ref_full": "ivv +0.33, efa +0.18, iwm +0.09, vwo +0.09, vnq +0.03, vweax +0.07" }, "trrdx": { "sym": "trrdx", "name": "T. Rowe Price Retirement 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010830752731474717, "alpha_t_5y": -1.0488135988627456, "alpha_t_full": 0.37186926890365346, "r2_5y": 0.968835670458075, "r2_full": 0.9313488500914314, "corr_portfolio": 0.2973140641234486, "corr_benchmark": 0.5713062117907163, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5350214865231903, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.45, vea +0.20, iwm +0.09, vwo +0.08, vblix +0.04, vnq +0.02", "ref_full": "ivv +0.34, efa +0.21, iwm +0.12, vwo +0.07, qqq +0.08, agg -0.08" }, "trrex": { "sym": "trrex", "name": "T. Rowe Price Real Estate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005885163466209333, "alpha_t_5y": 0.44107027356510864, "alpha_t_full": -0.8084848732901899, "r2_5y": 0.9708938881395605, "r2_full": 0.9757096156107621, "corr_portfolio": 0.2515211343367717, "corr_benchmark": 0.5431697331007489, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.7488544903907176, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.03, iwm -0.04, vblix -0.03", "ref_full": "vnq +0.97, agg -0.14, vweax +0.05, vwo -0.04, efa +0.03, djp +0.02" }, "trrfx": { "sym": "trrfx", "name": "T. Rowe Price Retirement 2005 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007568457804766639, "alpha_t_5y": -1.2569886659750549, "alpha_t_full": -0.11967313014495103, "r2_5y": 0.9597539144745771, "r2_full": 0.9071238469857814, "corr_portfolio": 0.28139335643396185, "corr_benchmark": 0.6818919935288905, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.3328666765098459, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.20, agg +0.28, vea +0.09, iwm +0.04, vweax +0.12, vwo +0.03", "ref_full": "ivv +0.22, efa +0.11, ief +0.15, vnq +0.03, vwo +0.05, vweax +0.11" }, "trrgx": { "sym": "trrgx", "name": "T. Rowe Price Retirement 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006865851684431413, "alpha_t_5y": -1.0586634983495495, "alpha_t_full": 0.3418879285133048, "r2_5y": 0.9633895955322626, "r2_full": 0.9145631057646804, "corr_portfolio": 0.29613026405873155, "corr_benchmark": 0.6421584279318412, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.43172748938898153, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.25, vmbix +0.15, vea +0.12, iwm +0.05, vblix +0.07, vwo +0.04", "ref_full": "ivv +0.23, efa +0.14, vnq +0.04, vwo +0.07, ief +0.10, iwm +0.05" }, "trrhx": { "sym": "trrhx", "name": "T. Rowe Price Retirement 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008418963320023145, "alpha_t_5y": -1.1323923108726488, "alpha_t_full": 0.1415198912322203, "r2_5y": 0.9648300050296621, "r2_full": 0.9216978831299523, "corr_portfolio": 0.3026529138056301, "corr_benchmark": 0.5993653227448795, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.5004081796561142, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.29, vea +0.12, agg +0.22, iwm +0.06, vwo +0.05, vweax +0.11", "ref_full": "ivv +0.30, efa +0.17, vwo +0.09, vnq +0.04, iwm +0.06, vweax +0.08" }, "trrix": { "sym": "trrix", "name": "T. Rowe Price Retirement Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007084101326517241, "alpha_t_5y": -0.9493888368452377, "alpha_t_full": -0.36303260675342036, "r2_5y": 0.934946404785372, "r2_full": 0.9147592151165767, "corr_portfolio": 0.29097661056927476, "corr_benchmark": 0.686648648646273, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.2778294900136292, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.19, vmbix +0.13, vea +0.11, vweax +0.18, iwm +0.04, vblix +0.06", "ref_full": "ivv +0.19, efa +0.09, ief +0.16, vweax +0.18, iwm +0.05, vwo +0.04" }, "trrjx": { "sym": "trrjx", "name": "T. Rowe Price Retirement 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010423587413493477, "alpha_t_5y": -1.0932487126937769, "alpha_t_full": 0.23437496477487976, "r2_5y": 0.9675561764802142, "r2_full": 0.942718952987872, "corr_portfolio": 0.299599963722003, "corr_benchmark": 0.6101010975450186, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.5356859988759048, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.40, vea +0.18, iwm +0.09, vblix +0.06, vwo +0.07, vweax +0.07", "ref_full": "ivv +0.31, efa +0.20, iwm +0.11, vwo +0.08, vnq +0.03, qqq +0.06" }, "trrkx": { "sym": "trrkx", "name": "T. Rowe Price Retirement 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010389604014155956, "alpha_t_5y": -0.9539348131624712, "alpha_t_full": -0.04017903051840123, "r2_5y": 0.9691692394628704, "r2_full": 0.9360509701158718, "corr_portfolio": 0.2983804012237256, "corr_benchmark": 0.5711957232581181, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.5354175200651627, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.49, vea +0.22, iwm +0.10, vwo +0.08, vblix +0.12, tlt -0.07", "ref_full": "ivv +0.35, efa +0.20, iwm +0.12, vwo +0.06, qqq +0.09, vweax +0.09" }, "trrlx": { "sym": "trrlx", "name": "T. Rowe Price Retirement 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012997522341150208, "alpha_t_5y": -1.1609937693902082, "alpha_t_full": -0.34407150455267993, "r2_5y": 0.9688407705124041, "r2_full": 0.9210180779908169, "corr_portfolio": 0.2967686034330136, "corr_benchmark": 0.5723250432274474, "alpha_pos_frac": 0.4928571428571429, "fund_max_dd": -0.32520951718812996, "first": "2014-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.21, iwm +0.10, vwo +0.08, vweax +0.07, gld +0.01", "ref_full": "ivv +0.37, vea +0.31, iwm +0.14, qqq +0.09, agg -1.40, ief +1.02" }, "trrmx": { "sym": "trrmx", "name": "T. Rowe Price Retirement 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01279698031208594, "alpha_t_5y": -1.1591867796003157, "alpha_t_full": 0.4205754298688524, "r2_5y": 0.969421520520343, "r2_full": 0.9361873685850389, "corr_portfolio": 0.29816081980592246, "corr_benchmark": 0.5705376126570693, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5358517145063242, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.50, vea +0.21, iwm +0.10, vwo +0.08, vweax +0.08, gld +0.01", "ref_full": "ivv +0.35, efa +0.21, iwm +0.12, vwo +0.06, qqq +0.09, agg -0.09" }, "trrnx": { "sym": "trrnx", "name": "T. Rowe Price Retirement 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013120859171532424, "alpha_t_5y": -1.1817936981040122, "alpha_t_full": -0.05534007697110711, "r2_5y": 0.9694055184825424, "r2_full": 0.9368630952288441, "corr_portfolio": 0.2978277265690301, "corr_benchmark": 0.5711043901734617, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5359178444695402, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.21, iwm +0.10, vwo +0.08, vweax +0.07, gld +0.02", "ref_full": "ivv +0.35, efa +0.20, iwm +0.12, vwo +0.06, qqq +0.09, vweax +0.10" }, "trrox": { "sym": "trrox", "name": "T. Rowe Price Target 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005411737326257871, "alpha_t_5y": -0.9382141563204397, "alpha_t_full": -0.3411686158616236, "r2_5y": 0.9515446847401793, "r2_full": 0.8769643010721835, "corr_portfolio": 0.2852016210940783, "corr_benchmark": 0.719234837672153, "alpha_pos_frac": 0.52, "fund_max_dd": -0.18106322287007803, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.17, agg +0.30, vea +0.08, vweax +0.13, iwm +0.03, vwo +0.03", "ref_full": "ivv +0.21, vmbix +0.12, vea +0.13, vweax +0.18, ief +0.40, agg -0.36" }, "trrtx": { "sym": "trrtx", "name": "T. Rowe Price Target 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005608057831872258, "alpha_t_5y": -0.960950239517472, "alpha_t_full": 0.19964189101416369, "r2_5y": 0.9542564332633557, "r2_full": 0.8750664379474382, "corr_portfolio": 0.2926118900129521, "corr_benchmark": 0.7042287993584035, "alpha_pos_frac": 0.5266666666666666, "fund_max_dd": -0.18648199521672404, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.17, agg +0.30, vea +0.09, iwm +0.04, vweax +0.12, vwo +0.03", "ref_full": "ivv +0.17, vmbix +0.05, vea +0.12, vweax +0.14, iwm +0.05, ief +0.18" }, "trrux": { "sym": "trrux", "name": "T. Rowe Price Target 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005797150732222942, "alpha_t_5y": -0.9452953748098398, "alpha_t_full": -0.1073174371667398, "r2_5y": 0.9547686146215258, "r2_full": 0.8840467124040199, "corr_portfolio": 0.29756024184792296, "corr_benchmark": 0.6774556762627556, "alpha_pos_frac": 0.52, "fund_max_dd": -0.20190030115654423, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.19, agg +0.28, vea +0.09, iwm +0.04, vweax +0.12, vwo +0.03", "ref_full": "ivv +0.20, vea +0.14, ief +0.45, iwm +0.06, agg -0.39, vweax +0.17" }, "trrwx": { "sym": "trrwx", "name": "T. Rowe Price Target 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008749640423241499, "alpha_t_5y": -1.220927327354485, "alpha_t_full": -0.16065125448657153, "r2_5y": 0.9647925652179377, "r2_full": 0.8999283132367657, "corr_portfolio": 0.29968086851194886, "corr_benchmark": 0.6408545310070322, "alpha_pos_frac": 0.52, "fund_max_dd": -0.24625757817661187, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.28, vea +0.12, agg +0.22, iwm +0.06, vwo +0.04, vweax +0.11", "ref_full": "ivv +0.28, vea +0.19, ief +0.52, agg -0.54, iwm +0.09, vweax +0.16" }, "trsgx": { "sym": "trsgx", "name": "T. Rowe Price Spectrum Moderate Growth Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01724870005066107, "alpha_t_5y": -1.7424072214030564, "alpha_t_full": -0.6166921614446276, "r2_5y": 0.9662744699259024, "r2_full": 0.9670521999336156, "corr_portfolio": 0.3060216917010713, "corr_benchmark": 0.6175436073692715, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5183913048532682, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.45, vea +0.17, iwm +0.07, vblix +0.07, vwo +0.08, gld +0.01", "ref_full": "ivv +0.38, efa +0.19, iwm +0.08, vwo +0.06, qqq +0.07, vweax +0.09" }, "trssx": { "sym": "trssx", "name": "T. Rowe Price Institutional Small-Cap Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02222356904005556, "alpha_t_5y": -1.2100877925042608, "alpha_t_full": 1.6231242300101039, "r2_5y": 0.9517826295882349, "r2_full": 0.9686385101759726, "corr_portfolio": 0.24667288833176768, "corr_benchmark": 0.5654874312204761, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5637954249716823, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.70, ivv +0.15, vea +0.08, djp -0.03, vnq +0.04", "ref_full": "iwm +0.75, ivv +0.11, vnq +0.03, efa +0.04, qqq +0.03" }, "trszx": { "sym": "trszx", "name": "T. Rowe Price Mid-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028338331554714335, "alpha_t_5y": -1.0501667418271383, "alpha_t_full": -0.42800826280857623, "r2_5y": 0.9176624000076412, "r2_full": 0.9099747569767132, "corr_portfolio": 0.04665805054534509, "corr_benchmark": 0.6419122161243292, "alpha_pos_frac": 0.4782608695652174, "fund_max_dd": -0.37236442610077347, "first": "2020-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.56, qqq +0.38, vnq +0.07, vweax +0.15", "ref_full": "iwm +0.56, qqq +0.50, vnq +0.08, ivv -0.17, vweax +0.17" }, "trtfx": { "sym": "trtfx", "name": "T. Rowe Price Target 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010497697349105557, "alpha_t_5y": -0.9340837293677829, "alpha_t_full": 0.11605533142538758, "r2_5y": 0.9686320774801054, "r2_full": 0.9078405634977668, "corr_portfolio": 0.29583272422335183, "corr_benchmark": 0.5978221267538361, "alpha_pos_frac": 0.4785714285714286, "fund_max_dd": -0.3258964762824349, "first": "2014-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.51, vea +0.23, iwm +0.10, vwo +0.08, vblix +0.02", "ref_full": "ivv +0.29, vea +0.24, iwm +0.14, qqq +0.10, vwo +0.05, agg -0.09" }, "trulx": { "sym": "trulx", "name": "T. Rowe Price U.S. Large-Cap Core Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005109895199233121, "alpha_t_5y": -0.4096332681982857, "alpha_t_full": 0.07592124678079665, "r2_5y": 0.963875967575659, "r2_full": 0.9738046922313519, "corr_portfolio": 0.2862033297916868, "corr_benchmark": 0.612235786722797, "alpha_pos_frac": 0.48, "fund_max_dd": -0.33677103176147216, "first": "2009-06-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.14, qqq -0.14, iwm -0.04, djp -0.02", "ref_full": "ivv +1.01, qqq -0.05, gsg -0.01, iwm -0.02, vnq +0.01" }, "trvlx": { "sym": "trvlx", "name": "T. Rowe Price Value Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01528574858831253, "alpha_t_5y": 0.7997559740074232, "alpha_t_full": 1.3755960819240527, "r2_5y": 0.8949063097211563, "r2_full": 0.9504379480838104, "corr_portfolio": 0.37788207395631823, "corr_benchmark": 0.5409339904373314, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.602219262833283, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.21, qqq -0.56, iwm +0.12, efa +0.10, vnq +0.04, fxe -0.07", "ref_full": "ivv +1.03, qqq -0.31, iwm +0.10, efa +0.10, vnq +0.05, tlt -0.05" }, "trzix": { "sym": "trzix", "name": "T. Rowe Price Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002361284297069335, "alpha_t_5y": 0.31535467648551807, "alpha_t_full": 0.3506374863748972, "r2_5y": 0.9937972240743347, "r2_full": 0.9943063182814709, "corr_portfolio": 0.14804798480358977, "corr_benchmark": 0.5677063820099201, "alpha_pos_frac": 0.4782608695652174, "fund_max_dd": -0.318947233795982, "first": "2020-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.00", "ref_full": "iwm +1.00" }, "tsbax": { "sym": "tsbax", "name": "T. Rowe Price Retirement Blend 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008286671624540573, "alpha_t_5y": -1.3135067408590417, "alpha_t_full": -1.3135067408590417, "r2_5y": 0.9738509659235169, "r2_full": 0.9738509659235169, "corr_portfolio": 0.10754332722181416, "corr_benchmark": 0.7945064432509238, "alpha_pos_frac": 0.6, "fund_max_dd": -0.20084952893327235, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.26, vea +0.12, agg +0.25, iwm +0.05, vweax +0.12, vwo +0.03", "ref_full": "ivv +0.26, vea +0.12, agg +0.25, iwm +0.05, vweax +0.12, vwo +0.03" }, "tsbpx": { "sym": "tsbpx", "name": "Nuveen Core Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003925572521197579, "alpha_t_5y": -0.7476988170930152, "alpha_t_full": 0.44370658978528643, "r2_5y": 0.9509919246391779, "r2_full": 0.9196280180086353, "corr_portfolio": -0.08436424084916484, "corr_benchmark": 0.686817447574109, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.1896542336929249, "first": "2012-09-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.11, vblix +0.34, tlt -0.14, ief +0.38, vmbix +0.18, vweax +0.09", "ref_full": "vblix +0.32, vmbix +0.18, tlt -0.14, ief +0.30, vweax +0.10, vea -0.01" }, "tsdjx": { "sym": "tsdjx", "name": "Nuveen Short Duration Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006689555465986192, "alpha_t_5y": 0.13064752293120213, "alpha_t_full": 0.4355423893717955, "r2_5y": 0.6636139157385208, "r2_full": 0.6213371268212871, "corr_portfolio": -0.029857852392141365, "corr_benchmark": 0.4325640268952362, "alpha_pos_frac": 0.5747126436781609, "fund_max_dd": -0.06310683448911014, "first": "2018-11-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.28, vweax +0.08, tlt -0.20, vblix +0.19, ivv -0.01, efa -0.01", "ref_full": "ief +0.32, vweax +0.12, tlt -0.16, vea -0.02, vblix +0.14, vmbix -0.06" }, "tsdlx": { "sym": "tsdlx", "name": "T. Rowe Price Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010898458664806016, "alpha_t_5y": 0.20716241807954092, "alpha_t_full": 0.2022331204115063, "r2_5y": 0.6587985814750772, "r2_full": 0.6583539684083753, "corr_portfolio": -0.06587200268851977, "corr_benchmark": 0.44889381583949167, "alpha_pos_frac": 0.6349206349206349, "fund_max_dd": -0.07281521855435902, "first": "2020-12-09", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.04, vweax +0.12, ivv -0.02, tlt -0.23, ief +0.25, vblix +0.19", "ref_full": "vmbix +0.04, vweax +0.12, ivv -0.02, tlt -0.23, ief +0.25, vblix +0.20" }, "tsdox": { "sym": "tsdox", "name": "TOUCHSTONE ULTRA SHORT DURATION FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032727580873629287, "alpha_t_5y": 0.6658381895200904, "alpha_t_full": 0.693749274170612, "r2_5y": 0.22094155104451774, "r2_full": 0.1542804751390795, "corr_portfolio": 0.07503269551980664, "corr_benchmark": 0.13330816115372185, "alpha_pos_frac": 0.38831615120274915, "fund_max_dd": -0.05268803943796485, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.16, ivv -0.01, efa -0.01", "ref_full": "vweax +0.10, ief +0.09, tlt -0.03, efa -0.01" }, "tsemx": { "sym": "tsemx", "name": "Touchstone Sands Capital Emerging Markets Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0680618625349383, "alpha_t_5y": -1.7633338815153479, "alpha_t_full": -1.0549216926276264, "r2_5y": 0.8248337437763046, "r2_full": 0.794051176610709, "corr_portfolio": 0.16226871654529576, "corr_benchmark": 0.4858989293789298, "alpha_pos_frac": 0.5070422535211268, "fund_max_dd": -0.5287111163736016, "first": "2014-05-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.87, qqq +0.58, ivv -0.58, iwm +0.12, gld -0.06", "ref_full": "vwo +0.70, qqq +0.49, ivv -0.51, vweax +0.35, iwm +0.13, gsg -0.04" }, "tsfax": { "sym": "tsfax", "name": "Touchstone Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009853225557502237, "alpha_t_5y": 0.3281549926453823, "alpha_t_full": 0.0598277016107248, "r2_5y": 0.8540747954654336, "r2_full": 0.8965947029838409, "corr_portfolio": 0.31340281120611374, "corr_benchmark": 0.5109798511811051, "alpha_pos_frac": 0.5025380710659898, "fund_max_dd": -0.3898163197734611, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.62, vnq +0.06, gld -0.06, qqq -0.45, ivv +0.71, gsg -0.03", "ref_full": "iwm +0.66, vnq +0.04, ivv +0.59, qqq -0.34, gld -0.04" }, "ttifx": { "sym": "ttifx", "name": "Goldman Sachs Tactical Tilt Overlay Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010978962122686087, "alpha_t_5y": 1.1800164587152346, "alpha_t_full": -1.1342793206340536, "r2_5y": 0.6230382281878435, "r2_full": 0.541168976992241, "corr_portfolio": 0.29977539755958466, "corr_benchmark": 0.3947180583359356, "alpha_pos_frac": 0.5179856115107914, "fund_max_dd": -0.20775620755882096, "first": "2014-08-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.18, efa +0.06, tlt -0.12, agg +0.40, gsg +0.01, iwm +0.02", "ref_full": "vea +0.22, fxe -0.22, vweax +0.28, qqq -0.05, vmbix +0.33, vblix -0.09" }, "tuhyx": { "sym": "tuhyx", "name": "T. Rowe Price U.S. High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007131775644874554, "alpha_t_5y": -0.7334208456028953, "alpha_t_full": -0.003123140713372362, "r2_5y": 0.7771007872339812, "r2_full": 0.7397182386467104, "corr_portfolio": 0.28052164153029346, "corr_benchmark": 0.2966262182403779, "alpha_pos_frac": 0.5904761904761905, "fund_max_dd": -0.2237925464690994, "first": "2017-06-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.96, vmbix -0.09", "ref_full": "vweax +0.84, agg -0.81, ief +0.32, vblix +0.38, tlt -0.18, fxe +0.06" }, "tunix": { "sym": "tunix", "name": "Transamerica Strategic Income", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018097799022433175, "alpha_t_5y": 0.11416453828863908, "alpha_t_full": 0.49459915125690035, "r2_5y": 0.29770203213890367, "r2_full": 0.4534975551444759, "corr_portfolio": 0.2137960698600892, "corr_benchmark": 0.3599568807885904, "alpha_pos_frac": 0.44776119402985076, 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"all", "in_portfolio": false, "alpha_ann_5y": 0.0005314113245306716, "alpha_t_5y": 0.02515958379515888, "alpha_t_full": -0.10087708797212586, "r2_5y": 0.9035884244520413, "r2_full": 0.9126699093069754, "corr_portfolio": 0.4048592277493252, "corr_benchmark": 0.5150992158466197, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.7928720723552083, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.31, qqq -0.65, iwm +0.22, vwo +0.05, ief -0.12, vea +0.09", "ref_full": "ivv +1.11, qqq -0.40, iwm +0.16, efa +0.08, gld -0.03, vweax +0.09" }, "tvoax": { "sym": "tvoax", "name": "TOUCHSTONE SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02940369518741987, "alpha_t_5y": 1.1738930332871558, "alpha_t_full": -0.0034075328355098926, "r2_5y": 0.9070907197188594, "r2_full": 0.9176502330481154, "corr_portfolio": 0.3349254412114544, "corr_benchmark": 0.476500980023629, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6167304459079515, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.69, qqq -0.59, ivv +0.86, gld -0.06, vea +0.06", "ref_full": "iwm +0.81, qqq -0.32, ivv +0.44, tlt -0.04, gsg +0.03, gld -0.02" }, "twbix": { "sym": "twbix", "name": "BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021319083655352143, "alpha_t_5y": -3.104901156205169, "alpha_t_full": -3.1161729380098953, "r2_5y": 0.9777615250830234, "r2_full": 0.9714676732721989, "corr_portfolio": 0.2570161869197176, "corr_benchmark": 0.729315748058049, "alpha_pos_frac": 0.5369649805447471, "fund_max_dd": -0.33875219292386827, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.59, agg +0.18, iwm +0.03, vweax +0.06, ief +0.14, vnq -0.01", "ref_full": "ivv +0.50, ief +0.18, qqq +0.05, iwm +0.03, vweax +0.06, agg +0.07" }, "tweix": { "sym": "tweix", "name": "EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008423797441813812, "alpha_t_5y": 0.049623704625772334, "alpha_t_full": 1.6120015481032623, "r2_5y": 0.857021650957648, "r2_full": 0.9172042662592518, "corr_portfolio": 0.39009926962587826, "corr_benchmark": 0.5355268130622929, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.39299031397330886, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.07, qqq -0.57, vnq +0.12, efa +0.09, fxe -0.06", "ref_full": "ivv +0.94, qqq -0.35, efa +0.11, fxe -0.10, vnq +0.03, agg +0.06" }, "twsmx": { "sym": "twsmx", "name": "STRATEGIC ALLOCATION: MODERATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011828559826431592, "alpha_t_5y": -1.447743704618519, "alpha_t_full": -0.8478425309442296, "r2_5y": 0.967407561280668, "r2_full": 0.9461352316545019, "corr_portfolio": 0.31691361824840486, "corr_benchmark": 0.6817079272442443, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.3789188365991417, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.28, vea +0.17, iwm +0.11, agg +0.20, vweax +0.13, vwo +0.03", "ref_full": "ivv +0.32, efa +0.13, ief +0.16, iwm +0.10, vweax +0.16, vwo +0.04" }, "twtix": { "sym": "twtix", "name": "INTERMEDIATE-TERM TAX-FREE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013373943259680922, "alpha_t_5y": -1.305241327533494, "alpha_t_full": 0.7524338795070357, "r2_5y": 0.40833961450205614, "r2_full": 0.29032316965725447, "corr_portfolio": 0.045230956916167776, "corr_benchmark": 0.3393655420746933, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.11976386982381448, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.25, ief +0.06, ivv -0.06, vnq +0.02, vblix +0.23, tlt -0.15", "ref_full": "vweax +0.23, ief +0.06, fxy +0.03, agg +0.10, efa -0.02, vnq +0.01" }, "twusx": { "sym": "twusx", "name": "SHORT-TERM GOVERNMENT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0076452010953555975, "alpha_t_5y": -1.371174218443526, "alpha_t_full": -0.8297097237250268, "r2_5y": 0.6442309345671755, "r2_full": 0.508865178637503, "corr_portfolio": -0.1309637734131736, "corr_benchmark": 0.36251792886634177, "alpha_pos_frac": 0.3988439306358382, "fund_max_dd": -0.0935745082555941, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.32, tlt -0.20, vblix +0.12, ivv -0.02, vweax +0.06, agg +0.10", "ref_full": "ief +0.27, tlt -0.07, vweax +0.05, fxy +0.01, agg +0.03, qqq -0.00" }, "twvlx": { "sym": "twvlx", "name": "VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022016342415424904, "alpha_t_5y": 1.1507797759900378, "alpha_t_full": 1.6471280214358002, "r2_5y": 0.8961221948127278, "r2_full": 0.9283059976790959, "corr_portfolio": 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"ref_full": "efa +0.33, vweax +0.46, iwm +0.12, vnq -0.08, vwo +0.05, djp +0.02" }, "ubvlx": { "sym": "ubvlx", "name": "Undiscovered Managers Behavioral Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.037532078624002645, "alpha_t_5y": 1.1885116162665683, "alpha_t_full": 1.7451002290236537, "r2_5y": 0.8679141533045474, "r2_full": 0.8766255529091115, "corr_portfolio": 0.36362196532320196, "corr_benchmark": 0.4398895227295159, "alpha_pos_frac": 0.4396551724137931, "fund_max_dd": -0.6724248435588833, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, qqq -0.88, ivv +1.15, gld -0.08, efa +0.08, djp +0.04", "ref_full": "iwm +0.82, vnq +0.10, qqq -0.46, ivv +0.53, ief -0.26, agg +0.21" }, "udbpx": { "sym": "udbpx", "name": "UBS Sustainable Development Bank Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016052758887704626, "alpha_t_5y": -0.369654732975471, "alpha_t_full": 0.1412759164741626, "r2_5y": 0.9537433213639928, "r2_full": 0.9457981155984283, "corr_portfolio": -0.2290846646938052, "corr_benchmark": 0.5922471620418397, "alpha_pos_frac": 0.6477272727272727, "fund_max_dd": -0.15443177739034253, "first": "2018-10-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.64, tlt -0.10, agg +0.21, ivv -0.03, fxy +0.01, qqq +0.01", "ref_full": "ief +0.69, tlt -0.08, fxy +0.02, vmbix +0.04, efa -0.01, agg +0.04" }, "ugsdx": { "sym": "ugsdx", "name": "U.S. Government Securities Ultra-Short Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008723085442498184, "alpha_t_5y": -1.212715216600105, "alpha_t_full": -1.0136780381786201, "r2_5y": 0.06122236504345613, "r2_full": 0.06342619662816884, "corr_portfolio": -0.04238391995507159, "corr_benchmark": 0.13242771263411637, "alpha_pos_frac": 0.3561643835616438, "fund_max_dd": -0.028518379402283522, "first": "2014-01-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.14, tlt -0.03", "ref_full": "ief +0.13, tlt -0.03" }, "ulst": { "sym": "ulst", "name": "State Street(R) Ultra Short Term Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0028050043421371726, "alpha_t_5y": 0.7610294364196811, "alpha_t_full": 0.7153409509726596, "r2_5y": 0.10057393870148823, "r2_full": 0.07955462627438736, "corr_portfolio": 0.06793588181741887, "corr_benchmark": 0.13662013787709984, "alpha_pos_frac": 0.4697986577181208, "fund_max_dd": -0.062036329618759156, "first": "2013-10-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.05", "ref_full": "vweax +0.06, fxy +0.01, gld +0.01, vnq +0.01, vea -0.01" }, "umemx": { "sym": "umemx", "name": "Columbia Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05890840439218284, "alpha_t_5y": -1.8602323471446822, "alpha_t_full": -1.3315124105092635, "r2_5y": 0.8800422835266082, "r2_full": 0.8798648945175607, "corr_portfolio": 0.24857317316905533, "corr_benchmark": 0.4714657925070534, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6950940557197849, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.88, qqq +0.36, ivv -0.42, fxy -0.16, vea +1.73, efa -1.53", "ref_full": "vwo +0.72, qqq +0.14, vweax +0.40, vnq -0.07, iwm +0.05" }, "urlgx": { "sym": "urlgx", "name": "Columbia Select Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08130482571724584, "alpha_t_5y": -2.388801859542551, "alpha_t_full": -2.0734312573036418, "r2_5y": 0.8829381988882595, "r2_full": 0.8966664471272014, "corr_portfolio": 0.1107244543411671, "corr_benchmark": 0.5907240899846015, "alpha_pos_frac": 0.5097276264591439, "fund_max_dd": -0.5741740659275987, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.88, iwm +0.13", "ref_full": "qqq +0.75, iwm +0.17, ivv +0.11, agg +0.09, vwo +0.03, vnq -0.02" }, "usbnx": { "sym": "usbnx", "name": "Pear Tree Polaris Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027730368775639294, "alpha_t_5y": 1.0198556528394276, "alpha_t_full": -0.2535234915993692, "r2_5y": 0.8798881236169747, "r2_full": 0.9047404385430808, "corr_portfolio": 0.3635993246214791, "corr_benchmark": 0.4532907193506882, "alpha_pos_frac": 0.5882352941176471, "fund_max_dd": -0.6440105774481001, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, qqq -0.60, ivv +0.80, ief -0.11, gld -0.05", "ref_full": "iwm +0.81, efa +0.05, qqq -0.23, ivv +0.26, ief -0.26, agg +0.22" }, "usbox": { "sym": "usbox", "name": "Pear Tree Quality Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015588790218631214, "alpha_t_5y": 0.8789254399812894, "alpha_t_full": -0.5595105163245137, "r2_5y": 0.9267783654887839, "r2_full": 0.9332003736768881, "corr_portfolio": 0.2903499323097966, "corr_benchmark": 0.6040724364774324, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6563676729268237, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.83, efa +0.57, vea -0.44, gsg -0.04, fxe +0.08, iwm -0.03", "ref_full": "ivv +0.81, efa +0.13, iwm -0.07, djp -0.02, vnq +0.02, qqq +0.05" }, "usgax": { "sym": "usgax", "name": "Morgan Stanley Long Duration Government Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02467306634764951, "alpha_t_5y": 0.9645739679308019, "alpha_t_full": -1.475435589122778, "r2_5y": 0.7409236344334169, "r2_full": 0.47683963378048644, "corr_portfolio": -0.09791734804413382, "corr_benchmark": 0.563876158680455, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2960681709100159, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.54, vmbix +0.94, qqq -0.06, vblix +0.38, gsg -0.03, tlt -0.20", "ref_full": "ief +0.60, agg +0.22, iwm +0.02, vweax +0.12, gsg -0.02, vnq +0.02" }, "usglx": { "sym": "usglx", "name": "U.S. Global Leaders Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08694828234629251, "alpha_t_5y": -3.1126519993056725, "alpha_t_full": -0.6374015265303898, "r2_5y": 0.8762407327122921, "r2_full": 0.7966636555434861, "corr_portfolio": 0.1745467050271182, "corr_benchmark": 0.6189139780433132, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.46818859311981553, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.72, qqq +0.28, vnq +0.12, iwm -0.04, vea -0.72, efa +0.65", "ref_full": "ivv +0.63, qqq +0.29, vnq +0.03" }, "usiax": { "sym": "usiax", "name": "UBS Ultra Short Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014568605188928678, "alpha_t_5y": -0.31958714103765457, "alpha_t_full": -0.43866486720247544, "r2_5y": 0.2070041335958892, "r2_full": 0.2167409666631609, "corr_portfolio": 0.07598460704814652, "corr_benchmark": 0.11094756487650147, "alpha_pos_frac": 0.4659090909090909, "fund_max_dd": -0.022954005229236296, "first": "2018-11-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.14, iwm -0.01, vea -0.01", "ref_full": "vweax +0.11, vea -0.01, iwm -0.01" }, "usmbx": { "sym": "usmbx", "name": "Columbia Ultra Short Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012476546243958645, "alpha_t_5y": -3.314460230061799, "alpha_t_full": -3.1110941981182454, "r2_5y": 0.20677138241664783, "r2_full": 0.22206431374021585, "corr_portfolio": 0.07084603957075758, "corr_benchmark": 0.1699836396566459, "alpha_pos_frac": 0.3900709219858156, "fund_max_dd": -0.01976247273085152, "first": "2014-05-28", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.11, ivv -0.01", "ref_full": "vweax +0.04, efa -0.01, agg +0.02, tlt -0.06, vblix +0.08" }, "usmsx": { "sym": "usmsx", "name": "JPMorgan Ultra-Short Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013746818528788946, "alpha_t_5y": -4.8101988249623755, "alpha_t_full": -4.034821415059326, "r2_5y": 0.08464676914142422, "r2_full": 0.1174669783319724, "corr_portfolio": 0.0715015547226678, "corr_benchmark": 0.18385198080614543, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.021036638466940927, "first": "2016-09-06", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.04, ief +0.01, qqq -0.00", "ref_full": "vweax +0.04, agg +0.04, qqq -0.00, ief -0.02" }, "usnyx": { "sym": "usnyx", "name": "Victory New York Bond Fund (Formerly USAA New York Bond Fund)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 1.216121956216059, "r2_5y": NaN, "r2_full": 0.24459140456287531, "corr_portfolio": -0.06597177598949447, "corr_benchmark": 0.3513324398409089, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.1536148799032271, "first": "2007-06-04", "verdict": "no 5y window", "alpha_name": false, "ref_5y": "pure alpha (no sleeve selected)", "ref_full": "ief +0.16, vweax +0.24, agg +0.09, efa -0.01" }, "utbpx": { "sym": "utbpx", "name": "UBS Multi Income Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004060105579641659, "alpha_t_5y": -0.5150006438890692, "alpha_t_full": -0.08229650999196186, "r2_5y": 0.8454207257523065, "r2_full": 0.8239369171093159, "corr_portfolio": -0.033071102556037256, "corr_benchmark": 0.6810094185790813, "alpha_pos_frac": 0.5982905982905983, "fund_max_dd": -0.16830706148851515, "first": "2016-05-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.29, vweax +0.21, ief +0.16, fxy +0.03, vblix +0.06, fxe +0.03", "ref_full": "vblix +0.23, vweax +0.16, ief +0.31, fxy +0.03, tlt -0.08, fxe +0.03" }, "vadcx": { "sym": "vadcx", "name": "INVESCO EQUALLY-WEIGHTED S&P 500 FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009977870460482317, "alpha_t_5y": -0.6655283124907255, "alpha_t_full": 0.20947428517667857, "r2_5y": 0.9508345103969255, "r2_full": 0.9505838465169442, "corr_portfolio": 0.3395217403478759, "corr_benchmark": 0.5644233244999419, "alpha_pos_frac": 0.4708171206225681, "fund_max_dd": -0.6074449039682976, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.02, qqq -0.40, iwm +0.22, vnq +0.12, efa +0.05", "ref_full": "ivv +0.86, iwm +0.22, qqq -0.22, vnq +0.08, efa +0.07, tlt -0.03" }, "vafax": { "sym": "vafax", "name": "INVESCO AMERICAN FRANCHISE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.056291350397277354, "alpha_t_5y": -2.347448854191018, "alpha_t_full": -1.7958597428337475, "r2_5y": 0.9402631653107213, "r2_full": 0.8988388081740967, "corr_portfolio": 0.1656787157586473, "corr_benchmark": 0.5984952867723746, "alpha_pos_frac": 0.5120967741935484, "fund_max_dd": -0.48480433186148675, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.74, iwm +0.09, vnq -0.13, ivv +0.30, vwo +0.06", "ref_full": "qqq +0.57, ivv +0.41, vnq -0.10, iwm +0.10, vwo -0.04, vweax +0.12" }, "valix": { "sym": "valix", "name": "VALUE LINE CAPITAL APPRECIATION FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025625282153330074, "alpha_t_5y": -1.0612583039683083, "alpha_t_full": -1.1342455613567257, "r2_5y": 0.9105073976519222, "r2_full": 0.8056171614158159, "corr_portfolio": 0.13198256136234532, "corr_benchmark": 0.5864150425985462, "alpha_pos_frac": 0.46613545816733065, "fund_max_dd": -0.3514292143638482, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.67, iwm +0.25, vwo +0.07, ivv -0.19, vweax +0.20", "ref_full": "qqq +0.37, iwm +0.18, vweax +0.17, vnq -0.09, ivv +0.25, ief +0.17" }, "vallx": { "sym": "vallx", "name": "VALUE LINE LARGER COMPANIES FOCUSED FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04007193193964488, "alpha_t_5y": -1.0139900053295343, "alpha_t_full": -1.6461377589432251, "r2_5y": 0.8824345388776046, "r2_full": 0.8460846612351812, "corr_portfolio": 0.09270654882121233, "corr_benchmark": 0.5677310953046953, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5336444527906845, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.08, iwm +0.31, ivv -0.23, vnq -0.07, vwo +0.12, vea -0.12", "ref_full": "qqq +0.67, iwm +0.20, vnq -0.13, ivv +0.28, gld +0.04, tlt +0.05" }, "valq": { "sym": "valq", "name": "American Century U.S. Quality Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007631266716810742, "alpha_t_5y": 0.36339950843629854, "alpha_t_full": -0.07295470800280764, "r2_5y": 0.8795161410584617, "r2_full": 0.8914173618522739, "corr_portfolio": 0.3794671553074451, "corr_benchmark": 0.5782029027149852, "alpha_pos_frac": 0.4948453608247423, "fund_max_dd": -0.3818733317086854, "first": "2018-01-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.04, qqq -0.42, iwm +0.16, vnq +0.06, efa +0.04", "ref_full": "ivv +1.04, qqq -0.41, iwm +0.18, vnq +0.05, vweax +0.09" }, "valsx": { "sym": "valsx", "name": "Value Line Select Core Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07629558620352117, "alpha_t_5y": -2.2667169814493917, "alpha_t_full": -0.6626397653664086, "r2_5y": 0.7858687253277904, "r2_full": 0.8901281027278031, "corr_portfolio": 0.21417420471866264, "corr_benchmark": 0.5938881369089087, "alpha_pos_frac": 0.601593625498008, "fund_max_dd": -0.5507757839204781, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.91, vnq +0.21, vwo -0.08, iwm -0.09", "ref_full": "ivv +0.71, vnq +0.06, iwm +0.08, vwo +0.03, qqq +0.07, fxe +0.05" }, "vasgx": { "sym": "vasgx", "name": "Vanguard LifeStrategy 80/20 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003269783338966358, "alpha_t_5y": -0.3737932977667033, "alpha_t_full": -0.9149313166438404, "r2_5y": 0.9734530744519584, "r2_full": 0.9850505369590293, "corr_portfolio": 0.31706966237452167, "corr_benchmark": 0.6521553448635754, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.5116353945627726, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vea +0.22, vwo +0.08, vblix +0.07, iwm +0.06, qqq +0.04", "ref_full": "ivv +0.46, efa +0.17, vwo +0.08, iwm +0.06, ief +0.09, vnq +0.02" }, "vasix": { "sym": "vasix", "name": "Vanguard LifeStrategy 20/80 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005962052933623325, "alpha_t_5y": -1.0345796050893055, "alpha_t_full": -1.5245915994964443, "r2_5y": 0.939970861678008, "r2_full": 0.9124364477921982, "corr_portfolio": 0.13340976618852188, "corr_benchmark": 0.9227965079939463, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.18164534820250078, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.17, ivv +0.11, vea +0.08, ief +0.27, vblix +0.06, vweax +0.08", "ref_full": "ivv +0.13, ief +0.40, efa +0.04, vnq +0.02, vwo +0.03, vweax +0.07" }, "vasvx": { "sym": "vasvx", "name": "Vanguard Selected Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019265010441960575, "alpha_t_5y": 0.7840533435996965, "alpha_t_full": 1.0624568039440976, "r2_5y": 0.9037689167056867, "r2_full": 0.9084423833137311, "corr_portfolio": 0.3915080171084932, "corr_benchmark": 0.512055254856349, "alpha_pos_frac": 0.44298245614035087, "fund_max_dd": -0.5569571920660914, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.47, efa +0.19, vnq +0.01, qqq -0.70, ivv +1.12, fxy -0.07", "ref_full": "iwm +0.46, ivv +0.81, qqq -0.41, vweax +0.21, efa +0.10, vnq -0.03" }, "vbiax": { "sym": "vbiax", "name": "VANGUARD BALANCED INDEX FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002894257480995607, "alpha_t_5y": -0.5914503778885016, "alpha_t_full": -0.9908027561508453, "r2_5y": 0.9887514325949621, "r2_full": 0.9902458657120694, "corr_portfolio": 0.2506944778065977, "corr_benchmark": 0.7363201041758902, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.35895989540341255, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.47, agg +0.11, iwm +0.07, qqq +0.04, vblix +0.07, vmbix +0.13", "ref_full": "ivv +0.50, ief +0.20, iwm +0.08, agg +0.07, vweax +0.05, qqq +0.02" }, "vbilx": { "sym": "vbilx", "name": "Vanguard Intermediate-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0001412222836228567, "alpha_t_5y": -0.03234148618720429, "alpha_t_full": 0.25024990343934966, "r2_5y": 0.9718897275180036, "r2_full": 0.935591470604538, "corr_portfolio": -0.11240404802508555, "corr_benchmark": 0.6534356633098787, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1896336752200526, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.76, vweax +0.07, tlt -0.28, vblix +0.34, iwm -0.01, vmbix +0.04", "ref_full": "ief +0.78, vweax +0.23, fxy +0.01, tlt -0.02, iwm -0.01, vwo +0.00" }, "vbisx": { "sym": "vbisx", "name": "Vanguard Short-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00431404353826961, "alpha_t_5y": -0.8909189571214158, "alpha_t_full": 0.550619773983428, "r2_5y": 0.8358077813279099, "r2_full": 0.728868253663566, "corr_portfolio": -0.11910238449861336, "corr_benchmark": 0.4885162453545247, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.08706460794061821, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.42, tlt -0.24, vblix +0.15, ivv -0.02, vweax +0.06, agg +0.15", "ref_full": "ief +0.40, tlt -0.09, vweax +0.09, fxy +0.01, qqq -0.01, agg +0.04" }, "vbllx": { "sym": "vbllx", "name": "Vanguard Long-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -6.6271803700975e-05, "alpha_t_5y": -0.044018813040043264, "alpha_t_full": 1.26460636190753, "r2_5y": 0.9991962104708234, "r2_full": 0.998850118727879, "corr_portfolio": -0.11998047644620623, "corr_benchmark": 0.7124523584457871, "alpha_pos_frac": 0.023121387283236993, "fund_max_dd": -0.38119415340415796, "first": "2011-09-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +1.00", "ref_full": "vblix +0.97, tlt +0.02, vweax +0.02" }, "vbtlx": { "sym": "vbtlx", "name": "Vanguard Total Bond Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0023371660169451964, "alpha_t_5y": -0.5316785808668737, "alpha_t_full": -0.6254645260378656, "r2_5y": 0.9677732945292841, "r2_full": 0.8988855970948603, "corr_portfolio": -0.12291627081609816, "corr_benchmark": 0.6901765118664691, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.18683274894502355, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.04, vblix +0.41, ief +0.35, tlt -0.21, vmbix +0.19, efa -0.01", "ref_full": "ief +0.42, vweax +0.18, tlt +0.06, agg +0.08, vnq +0.01, fxy +0.01" }, "vcaix": { "sym": "vcaix", "name": "Vanguard California Intermediate-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011844536837441168, "alpha_t_5y": -1.171466461247702, "alpha_t_full": 1.0967281700180755, "r2_5y": 0.4035782101623986, "r2_full": 0.2916204676312436, "corr_portfolio": 0.03203158480273146, "corr_benchmark": 0.3539511319031331, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.11210184448885652, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.34, ief +0.11, ivv -0.05, vnq +0.02", "ref_full": "vweax +0.23, ief +0.07, fxy +0.03, agg +0.09, efa -0.02, vnq +0.01" }, "vcdax": { "sym": "vcdax", "name": "Vanguard Consumer Discretionary Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04953799361926759, "alpha_t_5y": -1.1791419563402703, "alpha_t_full": -0.48434715383204674, "r2_5y": 0.8234074902162005, "r2_full": 0.8763097217917684, "corr_portfolio": 0.1750186691459407, "corr_benchmark": 0.60306486278509, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6165643472913114, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.45, iwm +0.36, qqq +0.36, djp -0.07, vweax +0.36, vea -0.11", "ref_full": "ivv +0.37, iwm +0.28, qqq +0.33, gsg -0.05, vnq +0.05, vweax +0.12" }, "vcitx": { "sym": "vcitx", "name": "Vanguard California Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010709949798605978, "alpha_t_5y": -0.7531134845430913, "alpha_t_full": 0.7511484539471152, "r2_5y": 0.40587790677964686, "r2_full": 0.29955367279507505, "corr_portfolio": 0.024907652736402518, "corr_benchmark": 0.36724217277148424, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.1855415019993064, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, ief +0.09, ivv -0.07, vblix +0.27, tlt -0.17, vnq +0.02", "ref_full": "agg +0.13, vweax +0.31, ief +0.09, fxy +0.04, efa -0.03, vnq +0.01" }, "vcmdx": { "sym": "vcmdx", "name": "Vanguard Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02480674171823243, "alpha_t_5y": 1.174403324442908, "alpha_t_full": 1.8465427436830741, "r2_5y": 0.8990660305437508, "r2_full": 0.8961398080145434, "corr_portfolio": 0.2795821366796367, "corr_benchmark": 0.17735773515219105, "alpha_pos_frac": 0.4125, "fund_max_dd": -0.26671825078285527, "first": "2019-06-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.77, ief +0.31, vblix -0.15, vweax +0.13, fxy +0.05", "ref_full": "djp +0.77, ief +0.27, fxy +0.04, vweax +0.18, vblix -0.12, qqq -0.03" }, "vcorx": { "sym": "vcorx", "name": "Vanguard Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0003719864220026651, "alpha_t_5y": -0.09312634056372861, "alpha_t_full": 1.0893005491469003, "r2_5y": 0.9714280067926159, "r2_full": 0.9609686116397642, "corr_portfolio": -0.12264412486917538, "corr_benchmark": 0.7207038131552557, "alpha_pos_frac": 0.4789915966386555, "fund_max_dd": -0.18192394603083628, "first": "2016-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.18, vblix +0.20, vmbix +0.22, ief +0.24, tlt -0.07", "ref_full": "ief +0.29, vweax +0.04, vblix +0.22, vmbix +0.23, tlt -0.07, agg +0.06" }, "vcsax": { "sym": "vcsax", "name": "Vanguard Consumer Staples Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014248239073171196, "alpha_t_5y": 0.03657811286437861, "alpha_t_full": 1.5505239207921149, "r2_5y": 0.5154119989687271, "r2_full": 0.6735510419685535, "corr_portfolio": 0.2882251149427622, "corr_benchmark": 0.4644016731460247, "alpha_pos_frac": 0.5148936170212766, "fund_max_dd": -0.34338063462431334, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.26, ivv +1.19, qqq -0.58, iwm -0.18, gsg -0.05", "ref_full": "ivv +1.04, qqq -0.32, gsg -0.05, iwm -0.13, vnq +0.06, agg +0.10" }, "vctfx": { "sym": "vctfx", "name": "Nomura Tax-Free Colorado Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008287400731237349, "alpha_t_5y": -0.531895640384042, "alpha_t_full": 0.6316305646689103, "r2_5y": 0.39423456029713666, "r2_full": 0.26155630270699326, "corr_portfolio": 0.03354751448139524, "corr_benchmark": 0.36803987627641754, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.1599051568715547, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, ief +0.08, ivv -0.08, vnq +0.03, vblix +0.07", "ref_full": "agg +0.07, vweax +0.26, ief +0.13, fxy +0.03, gsg -0.01, vnq +0.01" }, "vdadx": { "sym": "vdadx", "name": "Vanguard Dividend Appreciation Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002646238208682193, "alpha_t_5y": -0.16416318445479255, "alpha_t_full": 0.8774492058834261, "r2_5y": 0.9259946978207566, "r2_full": 0.943367145250793, "corr_portfolio": 0.33427983126545424, "corr_benchmark": 0.5856666496486237, "alpha_pos_frac": 0.4794520547945205, "fund_max_dd": -0.3169768329708257, "first": "2013-12-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.30, qqq -0.43, vnq +0.05, gsg -0.03", "ref_full": "ivv +1.24, qqq -0.33, gsg -0.03, vnq +0.04, vweax -0.08, iwm -0.02" }, "vdeqx": { "sym": "vdeqx", "name": "Vanguard Diversified Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026633663725173593, "alpha_t_5y": -1.8008256351581116, "alpha_t_full": -1.5857012803717208, "r2_5y": 0.9635395138964356, "r2_full": 0.9757643953834055, "corr_portfolio": 0.25482709335013826, "corr_benchmark": 0.6093989263349344, "alpha_pos_frac": 0.5040322580645161, "fund_max_dd": -0.5625710768724265, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.60, iwm +0.20, qqq +0.17, vweax +0.14, agg -0.09", "ref_full": "ivv +0.65, iwm +0.18, qqq +0.14, efa +0.05, vweax +0.08, vnq -0.02" }, "vdigx": { "sym": "vdigx", "name": "Vanguard Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02102182843528195, "alpha_t_5y": -1.0947692292438826, "alpha_t_full": 1.6362811128483425, "r2_5y": 0.8785835935907125, "r2_full": 0.9294881472567185, "corr_portfolio": 0.3418748994417194, "corr_benchmark": 0.5698482342498701, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.45227713478781095, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.35, qqq -0.53, vnq +0.10, gsg -0.04, iwm -0.09, efa +0.06", "ref_full": "ivv +1.08, qqq -0.28, efa +0.08, gsg -0.03, iwm -0.05, vnq +0.02" }, "vedtx": { "sym": "vedtx", "name": "Vanguard Extended Duration Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002686096482101858, "alpha_t_5y": -0.30296219382807504, "alpha_t_full": 0.22005928038245515, "r2_5y": 0.9903814652209701, "r2_full": 0.9648105250596946, "corr_portfolio": -0.18558920197264625, "corr_benchmark": 0.6408238903819863, "alpha_pos_frac": 0.3988439306358382, "fund_max_dd": -0.600024933592507, "first": "2007-11-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +1.33, ief -0.58, vmbix +0.39, vblix +0.41, vweax -0.15, agg -0.40", "ref_full": "tlt +1.58, agg -0.25, ief -0.19, vweax +0.05" }, "veirx": { "sym": "veirx", "name": "Vanguard Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016075892012337355, "alpha_t_5y": 0.9372695847657397, "alpha_t_full": 2.3709655012220807, "r2_5y": 0.9121849607041475, "r2_full": 0.9502457413473947, "corr_portfolio": 0.42041148795262556, "corr_benchmark": 0.5313858196545422, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.540193781706579, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.40, qqq -0.70, iwm +0.09, vea +0.09, gsg +0.03, vnq +0.03", "ref_full": "ivv +1.13, qqq -0.40, vnq +0.05, efa +0.09, iwm +0.04, fxe -0.05" }, "vemax": { "sym": "vemax", "name": "Vanguard Emerging Markets Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0059386576537976766, "alpha_t_5y": -0.3663266423526747, "alpha_t_full": -0.6945228456327988, "r2_5y": 0.9411434309195386, "r2_full": 0.9263266981359368, "corr_portfolio": 0.2951445799440059, "corr_benchmark": 0.4434035805335151, "alpha_pos_frac": 0.49122807017543857, "fund_max_dd": -0.6644683947953667, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.89, fxy -0.05, vnq -0.03, vweax +0.20, agg -0.11, efa -0.04", "ref_full": "vwo +0.71, vweax +0.34, agg -0.13, efa +0.06, gsg +0.02, fxy -0.04" }, "vembx": { "sym": "vembx", "name": "Vanguard Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015561041730389682, "alpha_t_5y": 0.9804615436661748, "alpha_t_full": 2.324548027545567, "r2_5y": 0.6265629371824316, "r2_full": 0.6310685510063925, "corr_portfolio": 0.22324468066885408, "corr_benchmark": 0.5691394381262688, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.24355809364953274, "first": "2016-03-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.62, agg +0.36, vwo +0.04, gsg -0.02, qqq -0.04, efa +0.06", "ref_full": "vweax +0.61, agg +0.12, vwo +0.06, vblix +0.12, qqq -0.04, vea +0.06" }, "venax": { "sym": "venax", "name": "Vanguard Energy Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06735479409830278, "alpha_t_5y": 1.015409821174735, "alpha_t_full": 1.2059661062214624, "r2_5y": 0.6627539398910203, "r2_full": 0.7537265469172205, "corr_portfolio": 0.37817255218002144, "corr_benchmark": 0.2665561373062884, "alpha_pos_frac": 0.46382978723404256, "fund_max_dd": -0.7441499988758469, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.65, iwm +0.40, qqq -1.16, ivv +1.71, vnq -0.20, ief -0.25", "ref_full": "ivv +1.40, gsg +0.51, qqq -0.83, iwm +0.34, vnq -0.16, vwo +0.15" }, "vesgx": { "sym": "vesgx", "name": "Vanguard Global ESG Select Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016684495970408192, "alpha_t_5y": 0.9783881803778314, "alpha_t_full": 1.6371960627979534, "r2_5y": 0.9223656551727301, "r2_full": 0.9451571524126534, "corr_portfolio": 0.29794896192113646, "corr_benchmark": 0.6351248996428658, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.30515474131350817, "first": "2019-06-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.43, ivv +0.61, qqq -0.16, vnq +0.05, gsg -0.03, vmbix +0.07", "ref_full": "vea +0.17, ivv +0.59, qqq -0.14, gsg -0.03, vnq +0.05, efa +0.28" }, "veusx": { "sym": "veusx", "name": "Vanguard European Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015225674863530088, "alpha_t_5y": 0.9540322365682534, "alpha_t_full": 0.13188895506220444, "r2_5y": 0.95116352788747, "r2_full": 0.9499888526421678, "corr_portfolio": 0.3709311684863222, "corr_benchmark": 0.5099014544790239, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.6328039885305565, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.28, fxe +0.30, vea -0.31, fxy -0.10, vweax +0.20, qqq -0.05", "ref_full": "efa +0.95, fxe +0.27, vweax +0.28, agg -0.16, fxy -0.06, vwo -0.03" }, "vevfx": { "sym": "vevfx", "name": "Vanguard Explorer Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02278459751307174, "alpha_t_5y": 0.9715443933649379, "alpha_t_full": 0.7672450373774552, "r2_5y": 0.9276594363809548, "r2_full": 0.9479948265872691, "corr_portfolio": 0.33909903365840977, "corr_benchmark": 0.5158136521614146, "alpha_pos_frac": 0.4869109947643979, "fund_max_dd": -0.4753387060772998, "first": "2010-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.73, vnq +0.04, ief -0.05, qqq -0.47, ivv +0.75, gld -0.04", "ref_full": "iwm +0.76, vnq +0.04, ief -0.09, vweax +0.18, qqq -0.34, ivv +0.52" }, "vexax": { "sym": "vexax", "name": "Vanguard Extended Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025951944038488536, "alpha_t_5y": -1.4657679411954354, "alpha_t_full": -0.6381372571192345, "r2_5y": 0.9644714477347134, "r2_full": 0.9713317753565943, "corr_portfolio": 0.2230802003072895, "corr_benchmark": 0.5943085948297318, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5808381183905612, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.74, qqq +0.24, vnq +0.04, vweax +0.10, fxy -0.04", "ref_full": "iwm +0.69, ivv +0.14, qqq +0.14, djp +0.04, agg +0.11, vnq +0.03" }, "vexrx": { "sym": "vexrx", "name": "VANGUARD EXPLORER FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03108656886900936, "alpha_t_5y": -1.6516280841377855, "alpha_t_full": -0.9956397224385558, "r2_5y": 0.9554543131264814, "r2_full": 0.9631021579221151, "corr_portfolio": 0.2244982428070145, "corr_benchmark": 0.5843823091304061, "alpha_pos_frac": 0.5097276264591439, "fund_max_dd": -0.5726144976083822, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.70, qqq +0.23, vnq +0.05", "ref_full": "iwm +0.69, qqq +0.20, vweax +0.12, djp +0.03, vnq -0.04, ivv +0.11" }, "vfaix": { "sym": "vfaix", "name": "Vanguard Financials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018615958623912618, "alpha_t_5y": 0.5653079892303464, "alpha_t_full": 0.7774840870679499, "r2_5y": 0.8365793252309331, "r2_full": 0.8601770656648048, "corr_portfolio": 0.394242804383243, "corr_benchmark": 0.42919503085273425, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.7863890059133843, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.28, ivv +1.73, qqq -0.93, ief -0.21, gld -0.09, efa +0.09", "ref_full": "ivv +1.35, vnq +0.27, qqq -0.67, iwm +0.26, gld -0.12, ief -0.27" }, "vffvx": { "sym": "vffvx", "name": "Vanguard Target Retirement 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015299459574389374, "alpha_t_5y": -0.16299872661737333, "alpha_t_full": 0.09066040206302124, "r2_5y": 0.97523419805033, "r2_full": 0.9875989273710312, "corr_portfolio": 0.32318562886665486, "corr_benchmark": 0.6292735481950245, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.3139639878415412, "first": "2010-08-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.24, vwo +0.09, iwm +0.06, vblix +0.03, qqq +0.04", "ref_full": "ivv +0.48, vea +0.22, vwo +0.07, iwm +0.07, vweax +0.08, ief +0.05" }, "vfiax": { "sym": "vfiax", "name": "Vanguard 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008368590681638562, "alpha_t_5y": 0.18913424502254217, "alpha_t_full": 0.016406242783911017, "r2_5y": 0.9960416679388402, "r2_full": 0.9938770461355365, "corr_portfolio": 0.2837530074798181, "corr_benchmark": 0.6172231249634884, "alpha_pos_frac": 0.5445544554455446, "fund_max_dd": -0.5520358948934877, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01, fxy -0.01" }, "vfidx": { "sym": "vfidx", "name": "Vanguard Intermediate-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00458945478134723, "alpha_t_5y": 0.9267414830571397, "alpha_t_full": 0.4162074642662689, "r2_5y": 0.9637895803181898, "r2_full": 0.8737846200678391, "corr_portfolio": -0.04028824543009168, "corr_benchmark": 0.6874770996371689, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.2011992608951796, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.14, vweax +0.15, ief +0.54, vblix +0.56, tlt -0.41", "ref_full": "ief +0.62, vweax +0.34, fxe +0.01, agg +0.05, tlt -0.02, fxy +0.01" }, "vfifx": { "sym": "vfifx", "name": "Vanguard Target Retirement 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0028078125220489503, "alpha_t_5y": -0.29914841440427226, "alpha_t_full": -0.40881603119409593, "r2_5y": 0.9752072534120414, "r2_full": 0.9884350346784301, "corr_portfolio": 0.3231543750658838, "corr_benchmark": 0.6291760498570858, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.5167987422886766, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.48, vea +0.23, vwo +0.10, iwm +0.06, vblix +0.15, tlt -0.09", "ref_full": "ivv +0.51, efa +0.19, iwm +0.09, vwo +0.07, vweax +0.08, ief +0.05" }, "vfijx": { "sym": "vfijx", "name": "Vanguard GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006936906396737818, "alpha_t_5y": -0.12359242450340477, "alpha_t_full": -0.272073599554031, "r2_5y": 0.9496243462048468, "r2_full": 0.6845277009516817, "corr_portfolio": -0.08354973396931384, "corr_benchmark": 0.6354716230766317, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.15951588498293567, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.85, vweax +0.06, efa -0.02, ief +0.08, tlt -0.13, vblix +0.15", "ref_full": "ief +0.50, vweax +0.13, agg +0.16, tlt -0.06, vnq +0.01, vwo +0.01" }, "vfirx": { "sym": "vfirx", "name": "Vanguard Short-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006831781482903574, "alpha_t_5y": -1.2285896289982245, "alpha_t_full": 0.29873007248078765, "r2_5y": 0.7377837965663598, "r2_full": 0.6304320490202463, "corr_portfolio": -0.13692369946448596, "corr_benchmark": 0.41071495730465024, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.06740494755054938, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.47, tlt -0.22, vblix +0.13, iwm -0.01, vweax +0.07, efa -0.01", "ref_full": "ief +0.35, tlt -0.08, vweax +0.05, fxy +0.01, qqq -0.00, agg +0.03" }, "vfiux": { "sym": "vfiux", "name": "Vanguard Intermediate-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013013619825736785, "alpha_t_5y": -0.24602259670090024, "alpha_t_full": 0.6365962080906601, "r2_5y": 0.9468767120469114, "r2_full": 0.9220892834149622, "corr_portfolio": -0.16885815692264297, "corr_benchmark": 0.5734439615238741, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.15305938304943445, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.83, tlt -0.24, vblix +0.18, qqq -0.02, vweax +0.05, vmbix +0.06", "ref_full": "ief +0.80, tlt -0.08, vweax +0.07, qqq -0.01, fxy +0.01" }, "vfmf": { "sym": "vfmf", "name": "Vanguard U.S. Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.041455522745790424, "alpha_t_5y": 1.8336498728761486, "alpha_t_full": 1.2108169173733359, "r2_5y": 0.9118880571825944, "r2_full": 0.9338575145158837, "corr_portfolio": 0.39549773196800336, "corr_benchmark": 0.5524721104484916, "alpha_pos_frac": 0.4791666666666667, "fund_max_dd": -0.41339293374482533, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.52, ivv +1.07, qqq -0.54, vnq -0.08, gsg +0.04, ief -0.10", "ref_full": "iwm +0.51, ivv +0.96, qqq -0.44, vmbix -0.16, djp +0.05, vnq -0.06" }, "vfmfx": { "sym": "vfmfx", "name": "Vanguard U.S. Multifactor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03697356146896472, "alpha_t_5y": 1.8277024808009787, "alpha_t_full": 1.1039226666928683, "r2_5y": 0.9289455882111064, "r2_full": 0.9483837997672139, "corr_portfolio": 0.3942926442224065, "corr_benchmark": 0.5570907314888772, "alpha_pos_frac": 0.4375, "fund_max_dd": -0.4118012744719991, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.52, ivv +1.09, qqq -0.54, vnq -0.08, gsg +0.04, agg -0.13", "ref_full": "iwm +0.50, ivv +0.95, qqq -0.41, vnq -0.06, gsg +0.03, ief -0.11" }, "vfmo": { "sym": "vfmo", "name": "Vanguard U.S. Momentum Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016925852836688886, "alpha_t_5y": 0.4736184208042309, "alpha_t_full": -0.04238224221709725, "r2_5y": 0.8589535102203752, "r2_full": 0.8596795708155425, "corr_portfolio": 0.25191379678367265, "corr_benchmark": 0.5883459034241233, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.36774244565437897, "first": "2018-02-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.64, qqq +0.05, vnq -0.20, vea +1.05, efa -0.92, ivv +0.38", "ref_full": "iwm +0.58, qqq +0.39, gld +0.08, vmbix -0.53, tlt +0.11, djp +0.05" }, "vfmv": { "sym": "vfmv", "name": "Vanguard U.S. Minimum Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014125008707099153, "alpha_t_5y": 0.6356044502374865, "alpha_t_full": 0.564898645923023, "r2_5y": 0.7978432461856151, "r2_full": 0.8395237950311316, "corr_portfolio": 0.31947970619726157, "corr_benchmark": 0.6199455375859544, "alpha_pos_frac": 0.5520833333333334, "fund_max_dd": -0.33636589938224304, "first": "2018-02-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.87, qqq -0.33, vnq +0.13, iwm +0.04, gsg -0.02", "ref_full": "ivv +0.72, vnq +0.13, qqq -0.21, agg +0.37, vmbix -0.33, iwm +0.05" }, "vforx": { "sym": "vforx", "name": "Vanguard Target Retirement 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004549405877794259, "alpha_t_5y": -0.5231829417157096, "alpha_t_full": -0.18714894237399282, "r2_5y": 0.972374074871214, "r2_full": 0.9860280260088864, "corr_portfolio": 0.3214797426685481, "corr_benchmark": 0.63918708811324, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.5163026427902013, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.41, vea +0.20, vblix +0.07, vwo +0.08, iwm +0.05, vweax +0.08", "ref_full": "ivv +0.45, efa +0.19, vwo +0.08, iwm +0.07, vnq +0.02, ief +0.05" }, "vfqy": { "sym": "vfqy", "name": "Vanguard U.S. Quality Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007829155473803221, "alpha_t_5y": 0.39333765417241007, "alpha_t_full": 0.8609059745368268, "r2_5y": 0.9321398799504287, "r2_full": 0.93993481047477, "corr_portfolio": 0.30038235251879714, "corr_benchmark": 0.5983067122992557, "alpha_pos_frac": 0.4583333333333333, "fund_max_dd": -0.3741407328138624, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.44, ivv +0.75, qqq -0.20, gld -0.05", "ref_full": "iwm +0.48, ivv +0.61, qqq -0.14, gld -0.05, efa +0.29, vea -0.25" }, "vfsix": { "sym": "vfsix", "name": "Vanguard Short-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021819432690318146, "alpha_t_5y": 0.45233272480684944, "alpha_t_full": 1.3505936957412077, "r2_5y": 0.8420703839990322, "r2_full": 0.6656446097482127, "corr_portfolio": -0.012766742314748464, "corr_benchmark": 0.5234709192308717, "alpha_pos_frac": 0.41040462427745666, "fund_max_dd": -0.09214380381762055, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.32, vweax +0.10, tlt -0.29, vblix +0.25, ivv -0.02, agg +0.18", "ref_full": "ief +0.32, vweax +0.19, tlt -0.07, fxy +0.02, iwm -0.01, agg +0.03" }, "vfsnx": { "sym": "vfsnx", "name": "Vanguard FTSE All-World ex-US Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014326708460657974, "alpha_t_5y": -0.7880214864825632, "alpha_t_full": -1.5113782075707265, "r2_5y": 0.9187886992741245, "r2_full": 0.9070207915294333, "corr_portfolio": 0.37697027761358026, "corr_benchmark": 0.5506585414259568, "alpha_pos_frac": 0.5172413793103449, "fund_max_dd": -0.4364785037554646, "first": "2009-03-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.99, vwo +0.18, vweax +0.38, efa -0.40, fxe +0.12, djp +0.04", "ref_full": "vea +0.52, vweax +0.48, vwo +0.15, gld +0.07, iwm +0.06, fxe +0.08" }, "vftnx": { "sym": "vftnx", "name": "Vanguard FTSE Social Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007849225420911902, "alpha_t_5y": -1.110420669852788, "alpha_t_full": -1.1958043674316596, "r2_5y": 0.9914961854581096, "r2_full": 0.9764261217547986, "corr_portfolio": 0.2401710187192303, "corr_benchmark": 0.6221045807421244, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.636863024183093, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.80, qqq +0.23, gsg -0.02, vea -0.13, efa +0.11, vweax +0.04", "ref_full": "ivv +0.81, vnq +0.08, qqq +0.17, gld -0.02, fxy -0.03, gsg -0.01" }, "vfva": { "sym": "vfva", "name": "Vanguard U.S. Value Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03526598973024623, "alpha_t_5y": 1.2822989115619308, "alpha_t_full": 1.2642627866254705, "r2_5y": 0.8940128845599378, "r2_full": 0.9158723452540996, "corr_portfolio": 0.40596238796755074, "corr_benchmark": 0.48799055065513797, "alpha_pos_frac": 0.4895833333333333, "fund_max_dd": -0.4857335852219272, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.61, gsg +0.05, vnq -0.02, ief -0.12, qqq -0.80, ivv +1.27", "ref_full": "iwm +0.68, gsg +0.06, vnq -0.04, ief -0.16, qqq -0.78, ivv +1.19" }, "vfwsx": { "sym": "vfwsx", "name": "Vanguard FTSE All-World ex-US Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0028439901435153227, "alpha_t_5y": 0.30209269466818583, "alpha_t_full": -0.041261379295909124, "r2_5y": 0.9787934089138739, "r2_full": 0.9746531548875336, "corr_portfolio": 0.37354943132409113, "corr_benchmark": 0.5426913361776702, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6124603229622443, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.68, vwo +0.25, vweax +0.09, vnq -0.02, tlt -0.01", "ref_full": "efa +0.66, vwo +0.20, vweax +0.23, djp +0.03, agg -0.09, fxe +0.04" }, "vgcax": { "sym": "vgcax", "name": "Vanguard Global Credit Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002280690546813616, "alpha_t_5y": 0.45123871319872866, "alpha_t_full": 1.6078362958847505, "r2_5y": 0.940287601799911, "r2_full": 0.920530092390657, "corr_portfolio": -0.030644405219742193, "corr_benchmark": 0.7584433882205469, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.1862778933412058, "first": "2018-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.31, vweax +0.13, vblix +0.23, ief +0.19, tlt -0.10, fxe -0.02", "ref_full": "vblix +0.36, vweax +0.15, ief +0.26, tlt -0.18, agg +0.10, vnq +0.01" }, "vgelx": { "sym": "vgelx", "name": "Vanguard Energy Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05441187831838753, "alpha_t_5y": 1.3805978857273726, "alpha_t_full": 0.7811521953334899, "r2_5y": 0.6930583510885694, "r2_full": 0.8177100579594764, "corr_portfolio": 0.3735382116130365, "corr_benchmark": 0.3444406949909811, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.6522251470520266, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "gsg +0.34, efa -0.16, vnq +0.06, qqq -0.75, ivv +1.06, vea +0.52", "ref_full": "efa +0.30, gsg +0.40, ivv +0.87, qqq -0.55, vwo +0.18, iwm +0.08" }, "vghax": { "sym": "vghax", "name": "Vanguard Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009340353409198827, "alpha_t_5y": -0.02224452737990248, "alpha_t_full": 1.232883288885399, "r2_5y": 0.5636695028265314, "r2_full": 0.693500177564679, "corr_portfolio": 0.24368976338388523, "corr_benchmark": 0.5187435795708975, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.3685078921030539, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.81, qqq -0.34, efa +1.10, ief +0.21, vea -0.91, vnq +0.11", "ref_full": "ivv +0.69, efa +0.22, vwo -0.08, ief +0.14, gsg -0.04, qqq -0.09" }, "vgiax": { "sym": "vgiax", "name": "Vanguard Growth and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013893497317287366, "alpha_t_5y": -0.1591728106683765, "alpha_t_full": -0.6189420609775885, "r2_5y": 0.9851426349083632, "r2_full": 0.9868120481464506, "corr_portfolio": 0.2953512820821749, "corr_benchmark": 0.6106285776274755, "alpha_pos_frac": 0.5450980392156862, "fund_max_dd": -0.5679085333524349, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, vnq -0.04, iwm +0.03, gld +0.01, agg -0.05, qqq +0.03", "ref_full": "ivv +0.95, qqq +0.03, efa +0.02, fxy -0.02, djp +0.01" }, "vgivx": { "sym": "vgivx", "name": "Vanguard Emerging Markets Government Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004647577547116829, "alpha_t_5y": -0.30316589740347405, "alpha_t_full": 0.11560445642341742, "r2_5y": 0.6489781475957398, "r2_full": 0.6200674161976056, "corr_portfolio": 0.2035022139950216, "corr_benchmark": 0.5714073088052268, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.2678716049253883, "first": "2013-05-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.56, agg +0.16, vwo +0.04, vblix +0.13, fxe +0.05", "ref_full": "vweax +0.53, agg +0.27, vwo +0.07, vblix +0.28, tlt -0.15, qqq -0.03" }, "vglsx": { "sym": "vglsx", "name": "Global Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009127470125529772, "alpha_t_5y": 0.061267860710298716, "alpha_t_full": -0.23461958062837443, "r2_5y": 0.8829959536599223, "r2_full": 0.8714653286915433, "corr_portfolio": 0.3326708445120672, "corr_benchmark": 0.582128791454986, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.37051199650859856, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.35, vea +0.21, ief +0.20, vwo +0.04, vweax +0.12, vnq -0.03", "ref_full": "efa +0.28, ivv +0.27, vweax +0.23, vnq -0.05, vwo +0.05, djp +0.02" }, "vgpmx": { "sym": "vgpmx", "name": "Vanguard Global Capital Cycles Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07868767540514475, "alpha_t_5y": 2.61347094812909, "alpha_t_full": -1.198579287622294, "r2_5y": 0.83528901528156, "r2_full": 0.7176715653662993, "corr_portfolio": 0.24803012621803883, "corr_benchmark": 0.42311063755452494, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.790406403964184, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.59, djp +0.16, gld +0.15, vwo +0.18, iwm +0.13, qqq -0.07", "ref_full": "efa +0.35, gld +0.43, vwo +0.30, djp +0.20, iwm +0.16, fxe +0.16" }, "vgrlx": { "sym": "vgrlx", "name": "Vanguard Global ex-U.S. Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03929082250427575, "alpha_t_5y": -1.397267537062261, "alpha_t_full": -1.0649483359629615, "r2_5y": 0.7601457003517519, "r2_full": 0.7844546174266369, "corr_portfolio": 0.3501405853082368, "corr_benchmark": 0.5150764732129651, "alpha_pos_frac": 0.5217391304347826, "fund_max_dd": -0.3876591166513994, "first": "2010-11-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.50, vnq +0.20, ivv -0.22, vwo +0.17, vweax +0.35, fxy +0.12", "ref_full": "vea +0.51, vweax +0.41, vwo +0.19, vnq +0.15, ivv -0.19, fxy +0.06" }, "vgsbx": { "sym": "vgsbx", "name": "VY(R) BrandywineGLOBAL - Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015277968683871471, "alpha_t_5y": 1.2176045502745145, "alpha_t_full": 1.325378187157164, "r2_5y": 0.8355533419693669, "r2_full": 0.7728597158443011, "corr_portfolio": -0.05303525279313667, "corr_benchmark": 0.6623018754553075, "alpha_pos_frac": 0.3484848484848485, "fund_max_dd": -0.18200666042467628, "first": "2015-02-20", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.11, vmbix +0.63, tlt +0.17, qqq -0.02", "ref_full": "vmbix +0.57, vblix +0.16, vweax +0.14, vnq +0.02, qqq -0.02, agg +0.12" }, "vgslx": { "sym": "vgslx", "name": "Vanguard Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00021708537840535455, "alpha_t_5y": 0.034980163057235385, "alpha_t_full": -0.10395957208288244, "r2_5y": 0.9936578560241014, "r2_full": 0.9891154341556809, "corr_portfolio": 0.24041488125441673, "corr_benchmark": 0.5777107705013043, "alpha_pos_frac": 0.6770428015564203, "fund_max_dd": -0.7406503568212848, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.00", "ref_full": "vnq +1.02, agg -0.19, ief +0.09, fxe +0.02" }, "vgstx": { "sym": "vgstx", "name": "Vanguard Star Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014450059275907763, "alpha_t_5y": -1.3380177031366667, "alpha_t_full": -1.4172426374652989, "r2_5y": 0.9511293543638628, "r2_full": 0.9750589429211229, "corr_portfolio": 0.26783477700890523, "corr_benchmark": 0.7145144769141019, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.3861586415626237, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.37, vmbix +0.15, efa +0.12, iwm +0.09, vwo +0.09, vblix +0.10", "ref_full": "ivv +0.27, efa +0.17, ief +0.23, iwm +0.08, vweax +0.15, qqq +0.08" }, "vgtsx": { "sym": "vgtsx", "name": "Vanguard Total International Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005097762535719799, "alpha_t_5y": 0.05185928374086184, "alpha_t_full": -0.5010906757973049, "r2_5y": 0.976381897710158, "r2_full": 0.9718168963463155, "corr_portfolio": 0.37743790811676853, "corr_benchmark": 0.5431520513068151, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.6147758412665008, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.66, vwo +0.25, vweax +0.07, tlt -0.10, vblix +0.11", "ref_full": "efa +0.66, vwo +0.19, vweax +0.25, djp +0.03, agg -0.09, fxe +0.05" }, "vgwix": { "sym": "vgwix", "name": "Vanguard Global Wellesley Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015115717994972508, "alpha_t_5y": 2.1671637525928427, "alpha_t_full": 0.9896219286699156, "r2_5y": 0.926561543569129, "r2_full": 0.9001435015949282, "corr_portfolio": 0.34168311606714363, "corr_benchmark": 0.7754633839997448, "alpha_pos_frac": 0.52, "fund_max_dd": -0.17737326228335726, "first": "2017-10-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.18, agg +0.46, vnq +0.03, qqq -0.17, ivv +0.26, vweax +0.08", "ref_full": "vea +0.06, agg +0.19, vnq +0.07, vweax +0.15, vblix +0.07, efa +0.17" }, "vgwlx": { "sym": "vgwlx", "name": "Vanguard Global Wellington Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017211787465671046, "alpha_t_5y": 1.7168218079356565, "alpha_t_full": 2.033675339175362, "r2_5y": 0.9317974536335705, "r2_full": 0.9512458868942509, "corr_portfolio": 0.3839464816992213, "corr_benchmark": 0.6657575572082222, "alpha_pos_frac": 0.46, "fund_max_dd": -0.2528335560299918, "first": "2017-11-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.28, vnq +0.02, ivv +0.54, qqq -0.26, agg +0.24", "ref_full": "vea +0.28, ivv +0.54, qqq -0.24, ief +0.15, vweax +0.07, vnq +0.02" }, "vhcix": { "sym": "vhcix", "name": "Vanguard Health Care Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00048798651114785916, "alpha_t_5y": -0.011752287543962493, "alpha_t_full": 1.0388270267576687, "r2_5y": 0.5788270305829555, "r2_full": 0.7111515903819858, "corr_portfolio": 0.2499562780992058, "corr_benchmark": 0.5060781414841647, "alpha_pos_frac": 0.5148936170212766, "fund_max_dd": -0.3911865726797228, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.18, qqq -0.51, vnq +0.14, gsg -0.07, ief +0.13", "ref_full": "ivv +0.91, gsg -0.05, qqq -0.14, vwo -0.05, agg +0.13, iwm +0.06" }, "vhcox": { "sym": "vhcox", "name": "Vanguard Capital Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021651266429805822, "alpha_t_5y": 0.9011208161823199, "alpha_t_full": 0.9521520481527644, "r2_5y": 0.9143647494699516, "r2_full": 0.9329723729955803, "corr_portfolio": 0.2579588317549654, "corr_benchmark": 0.5821973564314161, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5475560473261712, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.25, vwo +0.12, iwm +0.28, qqq +0.30, vnq -0.08, vea +0.13", "ref_full": "ivv +0.24, qqq +0.36, iwm +0.28, efa +0.10, vnq -0.05, vwo +0.03" }, "vhgex": { "sym": "vhgex", "name": "Vanguard Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03226357579337379, "alpha_t_5y": -1.93971651978085, "alpha_t_full": -2.4555332451068828, "r2_5y": 0.9524536906984028, "r2_full": 0.9673671907589848, "corr_portfolio": 0.27766991454825174, "corr_benchmark": 0.6176326466219212, "alpha_pos_frac": 0.5577689243027888, "fund_max_dd": -0.6367111225646651, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.38, vwo +0.17, efa +0.21, iwm +0.13, qqq +0.14, vweax +0.17", "ref_full": "ivv +0.31, efa +0.29, vwo +0.11, vweax +0.22, iwm +0.10, qqq +0.12" }, "vhiax": { "sym": "vhiax", "name": "JPMorgan Growth Advantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0462174037031895, "alpha_t_5y": -2.37699159530469, "alpha_t_full": -0.8470761501052498, "r2_5y": 0.9572650828400838, "r2_full": 0.9547813268544766, "corr_portfolio": 0.1587895445017445, "corr_benchmark": 0.6007767822145881, "alpha_pos_frac": 0.4980544747081712, "fund_max_dd": -0.851579897914705, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.68, ivv +0.32, iwm +0.10, vnq -0.05", "ref_full": "qqq +0.59, iwm +0.18, ivv +0.31, vnq -0.04, djp +0.02, vweax +0.06" }, "vhyax": { "sym": "vhyax", "name": "Vanguard High Dividend Yield Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014903845434987024, "alpha_t_5y": 0.8644771890395572, "alpha_t_full": 0.9249607649948892, "r2_5y": 0.9132598257443061, "r2_full": 0.9375725366671667, "corr_portfolio": 0.4031574096341115, "corr_benchmark": 0.534132589715483, "alpha_pos_frac": 0.4588235294117647, "fund_max_dd": -0.3514463823840198, "first": "2019-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.40, qqq -0.70, iwm +0.11, gsg +0.03, vea +0.09, fxe -0.07", "ref_full": "ivv +1.48, qqq -0.67, iwm +0.10, agg -0.23, vmbix +0.18, djp +0.03" }, "vicsx": { "sym": "vicsx", "name": "Vanguard Intermediate-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004955330271799525, "alpha_t_5y": 1.1289584607596534, "alpha_t_full": 1.394394972734428, "r2_5y": 0.9696355072611065, "r2_full": 0.9081593058251625, "corr_portfolio": -0.03268224016036875, "corr_benchmark": 0.710111952645592, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.20526376356546439, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.39, vweax +0.07, ief +0.40, tlt -0.26, vblix +0.35, efa +0.01", "ref_full": "ief +0.62, vweax +0.30, agg +0.13, tlt -0.02, fxy +0.01, vnq +0.01" }, "vidax": { "sym": "vidax", "name": "Nomura Tax-Free Idaho Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0087124819018594, "alpha_t_5y": -0.5376121071379112, "alpha_t_full": 0.1587778663041923, "r2_5y": 0.38793145764993653, "r2_full": 0.27394823558659065, "corr_portfolio": 0.03579470565657216, "corr_benchmark": 0.3684015653011683, "alpha_pos_frac": 0.6069364161849711, "fund_max_dd": -0.1708973859361964, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.08, vweax +0.46, ivv -0.08, vnq +0.03, vmbix +0.10", "ref_full": "agg +0.09, vweax +0.26, ief +0.12, fxy +0.03, gsg -0.01, vnq +0.01" }, "vigax": { "sym": "vigax", "name": "Vanguard Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01487860670884858, "alpha_t_5y": -0.9891262889180371, "alpha_t_full": -1.571849358888731, "r2_5y": 0.9742914443222782, "r2_full": 0.9726475753503263, "corr_portfolio": 0.15127536970900018, "corr_benchmark": 0.6284891265291852, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.5066165381996934, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.75, ivv +0.39, vea -0.47, efa +0.34, fxe +0.08, vweax +0.11", "ref_full": "qqq +0.50, ivv +0.58, vnq -0.03, agg +0.08, gld +0.02, efa -0.03" }, "vigi": { "sym": "vigi", "name": "Vanguard International Dividend Appreciation Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020297825852443465, "alpha_t_5y": -1.1404998256776036, "alpha_t_full": -0.3771835677690912, "r2_5y": 0.9139625030289804, "r2_full": 0.9208732027879767, "corr_portfolio": 0.27603315232248316, "corr_benchmark": 0.6031666010376772, "alpha_pos_frac": 0.5, "fund_max_dd": -0.31006868757942707, "first": "2016-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +1.01, vnq +0.06, vwo +0.08, ief +0.12, vea -0.34, ivv +0.07", "ref_full": "efa +0.65, vwo +0.15, vnq +0.05, ief +0.12, ivv +0.12, iwm -0.05" }, "viitx": { "sym": "viitx", "name": "Vanguard Institutional Intermediate-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00040775075620588927, "alpha_t_5y": -0.16418204380051468, "alpha_t_full": 2.118289098049703, "r2_5y": 0.9746057775161479, "r2_full": 0.9591036280342664, "corr_portfolio": -0.12087505256399539, "corr_benchmark": 0.6552900220427055, "alpha_pos_frac": 0.5483870967741935, "fund_max_dd": -0.1191999490224045, "first": "2015-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.26, ief +0.24, tlt -0.08, agg +0.24, ivv -0.01, vweax +0.03", "ref_full": "vmbix +0.26, ief +0.32, tlt -0.11, vblix +0.08, agg +0.05, fxy +0.01" }, "vimax": { "sym": "vimax", "name": "Vanguard Mid-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014282642388197868, "alpha_t_5y": -0.8081784133044294, "alpha_t_full": -0.541996299866646, "r2_5y": 0.9419674245034149, "r2_full": 0.9607061418146785, "corr_portfolio": 0.28780118214094425, "corr_benchmark": 0.6046344185429045, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.5888227289871151, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.63, iwm +0.30, vnq +0.14, qqq -0.09, vweax +0.09", "ref_full": "ivv +0.57, iwm +0.29, vnq +0.07, djp +0.05, vwo +0.04, vweax +0.09" }, "vinax": { "sym": "vinax", "name": "Vanguard Industrials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013635031267889534, "alpha_t_5y": 0.4689975760502606, "alpha_t_full": 1.127421267503625, "r2_5y": 0.8608019918151035, "r2_full": 0.9029530025700012, "corr_portfolio": 0.3487937426110444, "corr_benchmark": 0.5273235093519086, "alpha_pos_frac": 0.5695067264573991, "fund_max_dd": -0.6342580584385138, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.34, ivv +1.07, qqq -0.48, vea +0.64, efa -0.49, fxe -0.15", "ref_full": "ivv +0.85, iwm +0.36, qqq -0.27, efa +0.07, agg -0.15, vweax +0.13" }, "vinex": { "sym": "vinex", "name": "Vanguard International Explorer Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03432646876900417, "alpha_t_5y": -1.6039898262686723, "alpha_t_full": -1.5364120752887123, "r2_5y": 0.9106750120180567, "r2_full": 0.8992656455974362, "corr_portfolio": 0.3293155203902495, "corr_benchmark": 0.5576010675694391, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6215980638841399, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.70, vweax +0.36, fxe +0.17, qqq +0.09, vwo +0.08, fxy +0.07", "ref_full": "efa +0.62, vweax +0.49, fxe +0.15, qqq +0.09, vwo +0.05, fxy +0.07" }, "vinix": { "sym": "vinix", "name": "Vanguard Institutional Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009118622171431467, "alpha_t_5y": 0.20613629601288266, "alpha_t_full": 0.05909092032257588, "r2_5y": 0.9960424852699549, "r2_full": 0.9938369078031546, "corr_portfolio": 0.28374730084093813, "corr_benchmark": 0.6171019466889602, "alpha_pos_frac": 0.5210355987055016, "fund_max_dd": -0.5518990189682955, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.97, qqq +0.02, iwm +0.01", "ref_full": "ivv +0.96, vnq +0.01, vwo +0.01, qqq +0.02, gsg +0.01, fxy -0.01" }, "viog": { "sym": "viog", "name": "Vanguard S&P Small-Cap 600 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006126074190696447, "alpha_t_5y": -0.30822122023771537, "alpha_t_full": 0.30638382949914766, "r2_5y": 0.9524242325152251, "r2_full": 0.8984804585866577, "corr_portfolio": 0.2791857910644733, "corr_benchmark": 0.5315704279691736, "alpha_pos_frac": 0.4731182795698925, "fund_max_dd": -0.41731419505594536, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.90, ivv +0.09, vwo -0.05", "ref_full": "iwm +0.90, vweax +0.20, fxe -0.07, vwo -0.05, qqq +0.05" }, "vipix": { "sym": "vipix", "name": "Vanguard Inflation-Protected Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019275135523001408, "alpha_t_5y": 0.1510338789703626, "alpha_t_full": 0.22325632109385365, "r2_5y": 0.7354738512987216, "r2_full": 0.6772421008241499, "corr_portfolio": -0.06734076346076816, "corr_benchmark": 0.6159921775046983, "alpha_pos_frac": 0.5387931034482759, "fund_max_dd": -0.1503562910023497, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.41, djp +0.03, agg +0.33, gsg +0.03", "ref_full": "ief +0.53, gsg +0.04, vweax +0.11, tlt +0.06, gld +0.01, agg +0.07" }, "visgx": { "sym": "visgx", "name": "Vanguard Small-Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04227956400675021, "alpha_t_5y": -1.754852597823184, "alpha_t_full": -1.559059773619092, "r2_5y": 0.941732718081934, "r2_full": 0.9567659751347587, "corr_portfolio": 0.16604519203634072, "corr_benchmark": 0.6034370603785812, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.5874322038175565, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.78, qqq +0.51, ivv -0.36, vnq +0.07, vblix +0.16, agg -0.25", "ref_full": "iwm +0.75, qqq +0.33, agg +0.11, djp +0.04, ivv -0.08, vweax +0.08" }, "vistx": { "sym": "vistx", "name": "Vanguard Institutional Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011715542106501065, "alpha_t_5y": 0.33289836389836, "alpha_t_full": 1.482391041568151, "r2_5y": 0.7822679065062209, "r2_full": 0.6871897670517504, "corr_portfolio": -0.1266147842997812, "corr_benchmark": 0.44746407897823876, "alpha_pos_frac": 0.4765625, "fund_max_dd": -0.056323532932057496, "first": "2015-06-22", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.20, tlt -0.09, agg +0.18, ivv -0.01, fxy +0.01, vmbix +0.04", "ref_full": "vmbix +0.07, ief +0.25, tlt -0.09, vblix +0.03, fxy +0.01, vweax +0.02" }, "visvx": { "sym": "visvx", "name": "Vanguard Small-Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017178389226927285, "alpha_t_5y": 0.8719458221647203, "alpha_t_full": 1.5736178764779831, "r2_5y": 0.943705701848712, "r2_full": 0.9644941493631495, "corr_portfolio": 0.35676861226563966, "corr_benchmark": 0.5201065539688904, "alpha_pos_frac": 0.45525291828793774, "fund_max_dd": -0.6214664969133442, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.66, vnq +0.06, ief -0.11, qqq -0.53, ivv +0.84, vweax +0.13", "ref_full": "iwm +0.73, vnq +0.11, tlt -0.04, efa +0.01, qqq -0.29, ivv +0.44" }, "vitax": { "sym": "vitax", "name": "Vanguard Information Technology Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02301251041757094, "alpha_t_5y": 0.942161188434158, "alpha_t_full": 0.44861961413332174, "r2_5y": 0.9488578146307387, "r2_full": 0.9539105650586049, "corr_portfolio": 0.15453910915406238, "corr_benchmark": 0.5969401799797391, "alpha_pos_frac": 0.49416342412451364, "fund_max_dd": -0.5481179696728031, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.07, vnq -0.08, iwm +0.09", "ref_full": "qqq +0.92, ivv +0.13, iwm +0.06, vnq -0.03" }, "vitnx": { "sym": "vitnx", "name": "Vanguard Institutional Total Stock Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00335493348170968, "alpha_t_5y": -0.6576149462857832, "alpha_t_full": 0.028849918514905783, "r2_5y": 0.9950267303852435, "r2_full": 0.9938803898787282, "corr_portfolio": 0.2750054586256891, "corr_benchmark": 0.6207931119587822, "alpha_pos_frac": 0.5085910652920962, "fund_max_dd": -0.5531933539904998, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.82, iwm +0.12, qqq +0.05, vweax +0.03", "ref_full": "ivv +0.82, iwm +0.11, qqq +0.04, vnq +0.01, djp +0.01, vwo +0.01" }, "vitsx": { "sym": "vitsx", "name": "Vanguard Total Stock Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0035756209682166443, "alpha_t_5y": -0.7010205458585422, "alpha_t_full": -0.03419071163895127, "r2_5y": 0.9950286097818956, "r2_full": 0.9938089508291874, "corr_portfolio": 0.27535542786640077, "corr_benchmark": 0.620777351600336, "alpha_pos_frac": 0.49828178694158076, "fund_max_dd": -0.5530321626255595, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.82, iwm +0.12, qqq +0.05, vweax +0.03", "ref_full": "ivv +0.82, iwm +0.11, qqq +0.04, vnq +0.01, djp +0.01, vwo +0.01" }, "vklmx": { "sym": "vklmx", "name": "INVESCO INTERMEDIATE TERM MUNICIPAL INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01277391857591734, "alpha_t_5y": -1.2074971535898025, "alpha_t_full": 0.9105097383375662, "r2_5y": 0.3902823200141414, "r2_full": 0.29407719730314874, "corr_portfolio": 0.05755602584056815, "corr_benchmark": 0.3314104144804477, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.13494751930836657, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.28, vblix +0.23, ivv -0.06, tlt -0.13, vnq +0.02", "ref_full": "vweax +0.25, ief +0.06, fxy +0.03, gsg -0.01, agg +0.08, efa -0.01" }, "vkmgx": { "sym": "vkmgx", "name": "Invesco Quality Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004611747780620258, "alpha_t_5y": -0.7485749574422853, "alpha_t_full": -1.588398088180436, "r2_5y": 0.9444263244972316, "r2_full": 0.6327280228449724, "corr_portfolio": -0.06267054270340533, "corr_benchmark": 0.6358936252172852, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1894031127224901, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +0.72, agg +0.27, vweax +0.06, qqq -0.02, tlt -0.14, vblix +0.17", "ref_full": "ief +0.48, vweax +0.18, efa +0.01, agg +0.13, tlt -0.05, vnq +0.01" }, "vkmmx": { "sym": "vkmmx", "name": "INVESCO MUNICIPAL INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015068939193786835, "alpha_t_5y": -0.9629240597194515, "alpha_t_full": -0.0023842010227777483, "r2_5y": 0.38613643899951133, "r2_full": 0.2946346492792019, "corr_portfolio": 0.04772318921346053, "corr_benchmark": 0.3425781103529545, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.21196864411295024, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.39, vblix +0.32, ivv -0.08, vnq +0.03, tlt -0.17", "ref_full": "vweax +0.35, ief +0.10, iwm -0.03, agg +0.10, vnq +0.02, fxy +0.03" }, "vlaax": { "sym": "vlaax", "name": "VALUE LINE ASSET ALLOCATION FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044872709277512274, "alpha_t_5y": -1.894218116303237, "alpha_t_full": -1.1632774539561104, "r2_5y": 0.7764951512521013, "r2_full": 0.8849203801655842, "corr_portfolio": 0.1998967703459434, "corr_benchmark": 0.6700321494893955, "alpha_pos_frac": 0.6175298804780877, "fund_max_dd": -0.4400750524259218, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.52, vnq +0.15, ief +0.30, vwo -0.06, gld -0.03", "ref_full": "ivv +0.45, vnq +0.07, agg +0.20, iwm +0.07, vwo +0.03, qqq +0.04" }, "vlcax": { "sym": "vlcax", "name": "Vanguard Large-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025822821205923954, "alpha_t_5y": -0.3999173556332428, "alpha_t_full": -0.049432554753405515, "r2_5y": 0.9918370072746743, "r2_full": 0.9927685503141489, "corr_portfolio": 0.2718996195422153, "corr_benchmark": 0.6192376051629869, "alpha_pos_frac": 0.4490566037735849, "fund_max_dd": -0.5475807720205118, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.89, qqq +0.07, iwm +0.02, vweax +0.03", "ref_full": "ivv +0.91, qqq +0.05, iwm +0.02, vwo +0.01, vnq +0.01, gsg +0.01" }, "vlcix": { "sym": "vlcix", "name": "Vanguard Long-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0015565532609753566, "alpha_t_5y": 0.19089911240824073, "alpha_t_full": -1.2428994967122522, "r2_5y": 0.9724461001552087, "r2_full": 0.9131746968004801, "corr_portfolio": -0.05227929742699147, "corr_benchmark": 0.749233290038932, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.34555998185079617, "first": "2009-11-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +0.96, ivv +0.02, tlt -0.08, efa +0.02, ief -0.39, agg +0.55", "ref_full": "tlt +0.58, vweax +0.56, agg +0.21, ivv +0.03, vwo -0.02, fxy +0.02" }, "vleox": { "sym": "vleox", "name": "Value Line Small Cap Opportunities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016348524221697563, "alpha_t_5y": -0.5626691098365902, "alpha_t_full": 0.3778865232383755, "r2_5y": 0.871405291835526, "r2_full": 0.9212109088285105, "corr_portfolio": 0.25755217498056376, "corr_benchmark": 0.5595242368123768, "alpha_pos_frac": 0.5387931034482759, "fund_max_dd": -0.5585559167764317, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.63, ivv +0.49, djp -0.07, qqq -0.14, vwo -0.05", "ref_full": "iwm +0.60, ivv +0.30, agg +0.17, ief -0.09" }, "vlgsx": { "sym": "vlgsx", "name": "Vanguard Long-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006107801730788444, "alpha_t_5y": -0.1187210410077657, "alpha_t_full": -0.2220877090522891, "r2_5y": 0.9926955201658645, "r2_full": 0.9857531338169538, "corr_portfolio": -0.19428646025749488, "corr_benchmark": 0.6458877081192715, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.46244792417523584, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +0.63, ief +0.25, vblix +0.34, agg -0.38, vweax -0.09, vmbix +0.15", "ref_full": "tlt +0.82, vmbix +0.15, ief +0.09, iwm -0.01, vweax +0.03, gld +0.01" }, "vlifx": { "sym": "vlifx", "name": "VALUE LINE MID CAP FOCUSED FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03981394977841112, "alpha_t_5y": -1.2958480332871025, "alpha_t_full": -0.9088808013404126, "r2_5y": 0.8088572398289946, "r2_full": 0.8575876713765949, "corr_portfolio": 0.25622088491850026, "corr_benchmark": 0.5968965430180114, "alpha_pos_frac": 0.5689655172413793, "fund_max_dd": -0.614224766482662, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.80, vnq +0.18, iwm +0.12, qqq -0.15, djp -0.05", "ref_full": "ivv +0.55, iwm +0.25, vweax +0.09, qqq +0.05, agg +0.06" }, "vlxvx": { "sym": "vlxvx", "name": "Vanguard Target Retirement 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016903270664896343, "alpha_t_5y": -0.18306841627129755, "alpha_t_full": -0.38768534697612106, "r2_5y": 0.9760796627241702, "r2_full": 0.9841361549464748, "corr_portfolio": 0.2875060079977073, "corr_benchmark": 0.6649561492715302, "alpha_pos_frac": 0.5865384615384616, "fund_max_dd": -0.3141933758988561, "first": "2017-07-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.25, vwo +0.09, iwm +0.06, vblix +0.03, qqq +0.04", "ref_full": "ivv +0.48, vea +0.24, vwo +0.08, iwm +0.06, vblix +0.03, vweax +0.05" }, "vmatx": { "sym": "vmatx", "name": "Vanguard Massachusetts Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012062885880427442, "alpha_t_5y": -0.8218631163101962, "alpha_t_full": 0.6754528560769131, "r2_5y": 0.39065696360651125, "r2_full": 0.28306343637111997, "corr_portfolio": 0.020428388208864622, "corr_benchmark": 0.3562455477296413, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.1590875874873462, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, ief +0.16, ivv -0.13, vnq +0.03, qqq +0.04", "ref_full": "agg +0.10, vweax +0.28, ief +0.12, fxy +0.04, gsg -0.01" }, "vmbsx": { "sym": "vmbsx", "name": "Vanguard Mortgage-Backed Securities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -3.282371639238497e-05, "alpha_t_5y": -0.0181310348991805, "alpha_t_full": -0.5879131725277721, "r2_5y": 0.9950648822439734, "r2_full": 0.9894540754331009, "corr_portfolio": -0.10012594510203612, "corr_benchmark": 0.6697568289812329, "alpha_pos_frac": 0.6871794871794872, "fund_max_dd": -0.17432997157902597, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vmbix +1.00", "ref_full": "vmbix +1.00" }, "vmctx": { "sym": "vmctx", "name": "Vanguard Mega Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00011724853131075666, "alpha_t_5y": -0.02066835392885071, "alpha_t_full": 0.04713829256690604, "r2_5y": 0.9938482546026285, "r2_full": 0.9927515837823709, "corr_portfolio": 0.2651257963385773, "corr_benchmark": 0.6175401924403541, "alpha_pos_frac": 0.46788990825688076, "fund_max_dd": -0.5199800355346846, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.95, qqq +0.11, iwm -0.03, vnq -0.02, vea -0.01", "ref_full": "ivv +0.97, qqq +0.07, iwm -0.03, gsg +0.01, vweax -0.02" }, "vmfgx": { "sym": "vmfgx", "name": "Vanguard S&P Mid-Cap 400 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019108729512974966, "alpha_t_5y": -0.7924280872112254, "alpha_t_full": -0.47634391925351116, "r2_5y": 0.9229510215999837, "r2_full": 0.9397732202435888, "corr_portfolio": 0.27679036184287487, "corr_benchmark": 0.5931893053858572, "alpha_pos_frac": 0.5161290322580645, "fund_max_dd": -0.39151686434908195, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.38, vea +0.06", "ref_full": "iwm +0.56, ivv +0.30, vnq +0.07, qqq +0.08" }, "vmfvx": { "sym": "vmfvx", "name": "Vanguard S&P Mid-Cap 400 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014769386912635067, "alpha_t_5y": 0.6421296828826352, "alpha_t_full": 1.0999738301986115, "r2_5y": 0.9211601803109741, "r2_full": 0.9384793282747025, "corr_portfolio": 0.35194324351038736, "corr_benchmark": 0.514683261789779, "alpha_pos_frac": 0.4838709677419355, "fund_max_dd": -0.45785542838291815, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.61, vnq +0.09, ief -0.10, efa +0.05, qqq -0.52, ivv +0.82", "ref_full": "iwm +0.63, vnq +0.08, ief -0.08, efa +0.03, qqq -0.43, ivv +0.73" }, "vmgax": { "sym": "vmgax", "name": "Vanguard Mega Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012263641490778682, "alpha_t_5y": -0.8375369561337069, "alpha_t_full": -1.1773889439786045, "r2_5y": 0.9764583334938279, "r2_full": 0.9725832904378792, "corr_portfolio": 0.14741697328371686, "corr_benchmark": 0.6251817215182789, "alpha_pos_frac": 0.5, "fund_max_dd": -0.4796504415146021, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.79, ivv +0.45, iwm -0.08, vea -0.44, efa +0.34, fxe +0.07", "ref_full": "qqq +0.55, ivv +0.61, iwm -0.06, vnq -0.03, ief +0.08, efa -0.03" }, "vmgix": { "sym": "vmgix", "name": "Vanguard Mid-Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05262024101118751, "alpha_t_5y": -1.8046041905668553, "alpha_t_full": -1.5682634252907026, "r2_5y": 0.8956330013808109, "r2_full": 0.9236433349611634, "corr_portfolio": 0.17228320033077044, "corr_benchmark": 0.623876426477844, "alpha_pos_frac": 0.5170940170940171, "fund_max_dd": -0.6020100833784888, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.05, iwm +0.33, qqq +0.50, vnq +0.11, vweax +0.15", "ref_full": "ivv +0.36, iwm +0.30, qqq +0.30, vwo +0.06, djp +0.06, agg +0.14" }, "vmgrx": { "sym": "vmgrx", "name": "Vanguard Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08611617231601976, "alpha_t_5y": -2.5365961122419742, "alpha_t_full": -2.5341804013060063, "r2_5y": 0.8825876686931887, "r2_full": 0.9147497402507896, "corr_portfolio": 0.1557125359142105, "corr_benchmark": 0.6088470142810724, "alpha_pos_frac": 0.5223367697594502, "fund_max_dd": -0.7173912174007164, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.04, iwm +0.48, qqq +0.57, vweax +0.17", "ref_full": "ivv +0.23, iwm +0.40, qqq +0.39, vweax +0.11, vnq -0.03, agg +0.10" }, "vmiax": { "sym": "vmiax", "name": "Vanguard Materials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02913195542428446, "alpha_t_5y": -0.7628487846055605, "alpha_t_full": -0.10305723082007057, "r2_5y": 0.7926315107404664, "r2_full": 0.8432654925867822, "corr_portfolio": 0.3405648190296342, "corr_benchmark": 0.5066994242284584, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.6217011672641327, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.30, vea +0.39, vnq -0.00, djp +0.07, qqq -0.63, ivv +1.07", "ref_full": "ivv +0.73, efa +0.25, iwm +0.33, djp +0.11, qqq -0.27, gld +0.12" }, "vmltx": { "sym": "vmltx", "name": "Vanguard Limited-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010344042383714707, "alpha_t_5y": -1.7842790070318315, "alpha_t_full": 0.6777508253136145, "r2_5y": 0.3844191560937422, "r2_full": 0.24417500124647018, "corr_portfolio": 0.05623613509083528, "corr_benchmark": 0.29034509672538, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.06411351300071522, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.15, ivv -0.03, vblix +0.16, tlt -0.10", "ref_full": "vweax +0.13, ief +0.02, agg +0.04, fxy +0.01, gsg -0.00, vnq +0.00" }, "vmmsx": { "sym": "vmmsx", "name": "Vanguard Emerging Markets Select Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01378809380358943, "alpha_t_5y": -0.6689534171204133, "alpha_t_full": -0.3265773394924265, "r2_5y": 0.9283972332920893, "r2_full": 0.9174214208628049, "corr_portfolio": 0.3137390159673667, "corr_benchmark": 0.4586154804780673, "alpha_pos_frac": 0.5852272727272727, "fund_max_dd": -0.39283499298224345, "first": "2011-06-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.88, vea +0.70, efa -0.58, ief -0.07, gsg +0.03, fxy -0.06", "ref_full": "vwo +0.73, vweax +0.33, vea +0.74, efa -0.60, ief -0.11, vnq -0.03" }, "vmnix": { "sym": "vmnix", "name": "Vanguard Market Neutral Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09145370297554316, "alpha_t_5y": 3.082311405167383, "alpha_t_full": 0.9481642308965172, "r2_5y": 0.029001870955999487, "r2_full": 0.030741597282196942, "corr_portfolio": 0.3467529140312448, "corr_benchmark": -0.018030253731384765, "alpha_pos_frac": 0.5055762081784386, "fund_max_dd": -0.25345525956682635, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": true, "ref_5y": "agg -0.21", "ref_full": "fxy -0.04, vnq -0.04, ivv +0.10, qqq -0.03" }, "vmvfx": { "sym": "vmvfx", "name": "Vanguard Global Minimum Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011369361760812165, "alpha_t_5y": -0.06014081167317037, "alpha_t_full": 0.6421267494083934, "r2_5y": 0.7699070286924586, "r2_full": 0.8663722728463258, "corr_portfolio": 0.38034455341253026, "corr_benchmark": 0.5524580799255132, "alpha_pos_frac": 0.5821917808219178, "fund_max_dd": -0.33091638538294343, "first": "2013-12-16", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.62, qqq -0.25, vnq +0.11, efa +0.17, fxe -0.15, iwm -0.05", "ref_full": "ivv +0.55, vnq +0.13, qqq -0.16, efa +0.20, fxe -0.17, iwm -0.04" }, "vmvix": { "sym": "vmvix", "name": "Vanguard Mid-Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015567685112219693, "alpha_t_5y": 0.8465885918934569, "alpha_t_full": 1.2505937220188277, "r2_5y": 0.9247371159649598, "r2_full": 0.9483989117918771, "corr_portfolio": 0.3876209537874597, "corr_benchmark": 0.5341417959271363, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.616052167097366, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.25, vnq +0.16, ivv +1.14, qqq -0.63, vea +0.07, gsg +0.02", "ref_full": "ivv +0.88, iwm +0.30, qqq -0.34, vnq +0.13, djp +0.04, tlt -0.04" }, "vmvlx": { "sym": "vmvlx", "name": "Vanguard Mega Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023285597830589283, "alpha_t_5y": 1.3162961488772302, "alpha_t_full": 1.6204200039988228, "r2_5y": 0.9031199604972527, "r2_full": 0.9565767543364726, "corr_portfolio": 0.412132387575641, "corr_benchmark": 0.5183211430246757, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5578783994940124, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.45, qqq -0.70, vea +0.39, efa -0.28, iwm +0.05, fxe -0.08", "ref_full": "ivv +1.30, qqq -0.47, vnq +0.05, tlt -0.04, efa +0.09, fxe -0.07" }, "vnjtx": { "sym": "vnjtx", "name": "Vanguard New Jersey Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008590761872647852, "alpha_t_5y": -0.6118769384575425, "alpha_t_full": 1.03055407259759, "r2_5y": 0.41562989704576747, "r2_full": 0.28922578089905593, "corr_portfolio": 0.031735451890282165, "corr_benchmark": 0.36454291448678094, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15708238848034473, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, vblix +0.26, ivv -0.08, vnq +0.03, tlt -0.15, vmbix +0.09", "ref_full": "agg +0.09, vweax +0.27, ief +0.11, fxy +0.04, gsg -0.01, vnq +0.01" }, "vnvax": { "sym": "vnvax", "name": "Vaughan Nelson Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014444812365150311, "alpha_t_5y": -0.04698609469728699, "alpha_t_full": -0.06451753732321693, "r2_5y": 0.8507613588853881, "r2_full": 0.9173567214459053, "corr_portfolio": 0.32841835713127177, "corr_benchmark": 0.5406463913699395, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.4282645797810586, "first": "2008-11-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.41, ivv +0.67, qqq -0.28, vea +1.06, efa -0.83, fxe -0.16", "ref_full": "iwm +0.44, ivv +0.67, qqq -0.21, vea +0.37, fxe -0.10, efa -0.25" }, "vnytx": { "sym": "vnytx", "name": "Vanguard New York Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00931674627581748, "alpha_t_5y": -0.6244606559995496, "alpha_t_full": 0.6644388924921448, "r2_5y": 0.40158181145708305, "r2_full": 0.29034476474654203, "corr_portfolio": 0.015461554327395354, "corr_benchmark": 0.3622017074181369, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1818052043396685, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vblix +0.28, vweax +0.37, ivv -0.14, vnq +0.04, tlt -0.13, qqq +0.05", "ref_full": "agg +0.11, vweax +0.30, ief +0.10, fxy +0.04, gsg -0.01, efa -0.01" }, "vohix": { "sym": "vohix", "name": "Vanguard Ohio Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011680419637362561, "alpha_t_5y": -0.7835948675685168, "alpha_t_full": 0.954631026134561, "r2_5y": 0.3931339073104616, "r2_full": 0.29150281840083103, "corr_portfolio": 0.0200351771992567, "corr_benchmark": 0.361965413050033, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.16798107855088773, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.47, ief +0.16, ivv -0.13, vnq +0.04, qqq +0.04", "ref_full": "agg +0.09, vweax +0.29, ief +0.11, fxy +0.04, gsg -0.01" }, "volmx": { "sym": "volmx", "name": "Volumetric Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04970384048093516, "alpha_t_5y": -2.933476342041975, "alpha_t_full": -2.008632796736093, "r2_5y": 0.9121987835286873, "r2_full": 0.8901151311539592, "corr_portfolio": 0.3122750108189457, "corr_benchmark": 0.5711808269124834, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.43313625545275214, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.83, iwm +0.11, qqq -0.20, vea +0.35, efa -0.27, fxe -0.09", "ref_full": "ivv +0.56, iwm +0.19, vnq -0.04, vwo -0.03, gld +0.02, agg -0.07" }, "vpadx": { "sym": "vpadx", "name": "Vanguard Pacific Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010570085033008419, "alpha_t_5y": -0.36158808109159746, "alpha_t_full": 0.07044160240910025, "r2_5y": 0.8430042310147786, "r2_full": 0.8310008977996396, "corr_portfolio": 0.3549183823027031, "corr_benchmark": 0.5290416950763613, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.5528135902882181, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +2.37, efa -1.45, fxe -0.28, fxy +0.19, vnq -0.09, qqq +0.08", "ref_full": "efa +0.69, qqq +0.10, vwo +0.11, fxy +0.17, fxe -0.23, vnq -0.05" }, "vpaix": { "sym": "vpaix", "name": "Vanguard Pennsylvania Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010528722826305095, "alpha_t_5y": -0.7470937075304824, "alpha_t_full": 0.9835858809679351, "r2_5y": 0.39533933462719184, "r2_full": 0.2839458871601921, "corr_portfolio": 0.02427301435729458, "corr_benchmark": 0.3546537593448871, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.15764695873915657, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.35, vblix +0.28, ivv -0.14, vnq +0.04, tlt -0.15, qqq +0.05", "ref_full": "agg +0.11, vweax +0.28, ief +0.09, fxy +0.03, gsg -0.01, efa -0.01" }, "vpccx": { "sym": "vpccx", "name": "Vanguard PRIMECAP Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02502049629530653, "alpha_t_5y": 1.0656021598155325, "alpha_t_full": 2.0805245162964283, "r2_5y": 0.9036875566196279, "r2_full": 0.9422489098071025, "corr_portfolio": 0.32006743177089503, "corr_benchmark": 0.5756330743472188, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.4741222711012356, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.56, iwm +0.21, vea +0.33, vnq -0.09, fxe -0.13, fxy -0.07", "ref_full": "ivv +0.54, iwm +0.20, qqq +0.13, efa +0.12, vnq -0.05" }, "vpmcx": { "sym": "vpmcx", "name": "Vanguard PRIMECAP Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020771135368780946, "alpha_t_5y": 0.8632649288591132, "alpha_t_full": 1.739777373205963, "r2_5y": 0.9054582300026158, "r2_full": 0.9450873186471075, "corr_portfolio": 0.28524501606862196, "corr_benchmark": 0.5860769986422867, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.5262079264985797, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.33, vwo +0.06, iwm +0.13, qqq +0.25, vea +0.23, fxy -0.10", "ref_full": "ivv +0.49, qqq +0.24, efa +0.11, iwm +0.14, vnq -0.04, vwo +0.02" }, "vrgwx": { "sym": "vrgwx", "name": "Vanguard Russell 1000 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021402141066519127, "alpha_t_5y": -1.5097196568857372, "alpha_t_full": -1.5707259672444145, "r2_5y": 0.9754440635159237, "r2_full": 0.976262102337469, "corr_portfolio": 0.16636926986086295, "corr_benchmark": 0.6267355963574542, "alpha_pos_frac": 0.5837837837837838, "fund_max_dd": -0.32697479357629367, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.68, ivv +0.45, vea -0.30, efa +0.22, iwm -0.03", "ref_full": "qqq +0.54, ivv +0.55, vea -0.07, fxe +0.04, tlt +0.02, gsg -0.01" }, "vrnix": { "sym": "vrnix", "name": "Vanguard Russell 1000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0032323999905005357, "alpha_t_5y": -0.628958846756175, "alpha_t_full": -0.7945698172263903, "r2_5y": 0.9948462287667552, "r2_full": 0.9956730569413094, "corr_portfolio": 0.2762399181109889, "corr_benchmark": 0.6222079752702865, "alpha_pos_frac": 0.5405405405405406, "fund_max_dd": -0.3456597080131585, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.87, iwm +0.06, qqq +0.05, vnq +0.01", "ref_full": "ivv +0.87, iwm +0.06, qqq +0.05, vnq +0.01, vweax +0.02, gsg +0.00" }, "vrtgx": { "sym": "vrtgx", "name": "Vanguard Russell 2000 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027564513433843547, "alpha_t_5y": -1.5289572561396423, "alpha_t_full": -1.3782578956896747, "r2_5y": 0.9703660199981741, "r2_full": 0.9723781673697669, "corr_portfolio": 0.18287645497640698, "corr_benchmark": 0.5629050120618453, "alpha_pos_frac": 0.5567567567567567, "fund_max_dd": -0.41926507944412705, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.04, qqq +0.43, ivv -0.44, vnq -0.03, djp -0.02", "ref_full": "iwm +1.02, qqq +0.35, ivv -0.32, vnq -0.03, agg +0.22, vmbix -0.22" }, "vrtix": { "sym": "vrtix", "name": "Vanguard Russell 2000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021011544313475276, "alpha_t_5y": 0.3643872477159143, "alpha_t_full": 0.3483545877223737, "r2_5y": 0.9963310265611874, "r2_full": 0.9938005676414744, "corr_portfolio": 0.2542374927240262, "corr_benchmark": 0.5446691335961238, "alpha_pos_frac": 0.4648648648648649, "fund_max_dd": -0.4169066076042821, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.00", "ref_full": "iwm +0.99, ivv +0.01, vweax -0.04, vnq +0.01, ief -0.17, agg +0.23" }, "vrtpx": { "sym": "vrtpx", "name": "Vanguard Real Estate II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005403388093852956, "alpha_t_5y": 0.11728891687950614, "alpha_t_full": 0.05566715550134623, "r2_5y": 0.99651585767076, "r2_full": 0.9943870530229081, "corr_portfolio": 0.21127498440583814, "corr_benchmark": 0.5868145180157349, "alpha_pos_frac": 0.49504950495049505, "fund_max_dd": -0.4233024319430697, "first": "2017-09-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.00", "ref_full": "vnq +1.00" }, "vrttx": { "sym": "vrttx", "name": "Vanguard Russell 3000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003770273997921121, "alpha_t_5y": -0.7457993513953163, "alpha_t_full": -0.5895426492659598, "r2_5y": 0.9950974027907569, "r2_full": 0.9961073265592215, "corr_portfolio": 0.2766996593391812, "corr_benchmark": 0.6209433233478259, "alpha_pos_frac": 0.4756756756756757, "fund_max_dd": -0.3496291742021975, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.83, iwm +0.11, qqq +0.04, vweax +0.03", "ref_full": "ivv +0.82, iwm +0.12, qqq +0.04, vnq +0.01, gsg +0.00, vweax +0.01" }, "vrtvx": { "sym": "vrtvx", "name": "Vanguard Russell 2000 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03338339344376342, "alpha_t_5y": 1.919649250610237, "alpha_t_full": 1.324112463665088, "r2_5y": 0.9641086396364031, "r2_full": 0.9669585153563288, "corr_portfolio": 0.3161528086046489, "corr_benchmark": 0.495538939267024, "alpha_pos_frac": 0.42162162162162165, "fund_max_dd": -0.4597782178002857, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.96, qqq -0.40, ivv +0.40, vnq +0.03, gsg +0.02", "ref_full": "iwm +0.97, qqq -0.35, ivv +0.33, vnq +0.06, ief -0.23, agg +0.23" }, "vrvix": { "sym": "vrvix", "name": "Vanguard Russell 1000 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018757102037336985, "alpha_t_5y": 1.3330945908563723, "alpha_t_full": 1.6454016398221838, "r2_5y": 0.9487670021003273, "r2_full": 0.9694588794412667, "corr_portfolio": 0.38559497766433143, "corr_benchmark": 0.5479555883066161, "alpha_pos_frac": 0.4486486486486487, "fund_max_dd": -0.382859579630886, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.25, qqq -0.59, iwm +0.16, vea +0.28, vnq +0.05, efa -0.20", "ref_full": "ivv +1.20, qqq -0.48, iwm +0.15, vea +0.06, vnq +0.04, tlt -0.03" }, "vsbsx": { "sym": "vsbsx", "name": "Vanguard Short-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004142313823519171, "alpha_t_5y": -1.2419550405871866, "alpha_t_full": -0.15883763089787958, "r2_5y": 0.8196593873743057, "r2_full": 0.7186931299761551, "corr_portfolio": -0.18483454847336064, "corr_benchmark": 0.4262081580156831, "alpha_pos_frac": 0.42196531791907516, "fund_max_dd": -0.05766331357868437, "first": "2009-11-24", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.24, tlt -0.08, agg +0.24, ivv -0.01, vblix -0.05, fxy +0.01", "ref_full": "ief +0.19, tlt -0.07, vmbix +0.08, agg +0.07, ivv -0.01, fxy +0.01" }, "vscax": { "sym": "vscax", "name": "INVESCO SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06380475236577128, "alpha_t_5y": 1.6482295287903055, "alpha_t_full": 1.765524350671033, "r2_5y": 0.8519587412739498, "r2_full": 0.8000201220751736, "corr_portfolio": 0.33841213618364824, "corr_benchmark": 0.4091888772131473, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.5777400134113657, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.73, djp +0.13, vea +1.13, ief -0.33, efa -0.81, fxy -0.14", "ref_full": "iwm +0.92, tlt -0.12, gsg +0.05, vweax +0.25, efa +0.11, qqq -0.10" }, "vscgx": { "sym": "vscgx", "name": "Vanguard LifeStrategy 40/60 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00643444854573997, "alpha_t_5y": -1.0095954277141386, "alpha_t_full": -1.793104360092008, "r2_5y": 0.9590187727338456, "r2_full": 0.9653299112432947, "corr_portfolio": 0.257359251880119, "corr_benchmark": 0.8150684610620371, "alpha_pos_frac": 0.6502242152466368, "fund_max_dd": -0.3064460323818289, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.23, agg +0.17, vea +0.10, vwo +0.05, ief +0.23, vweax +0.09", "ref_full": "ivv +0.26, ief +0.29, efa +0.09, vwo +0.05, vnq +0.03, vweax +0.07" }, "vscsx": { "sym": "vscsx", "name": "Vanguard Short-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018046429945691286, "alpha_t_5y": 0.5486408105441148, "alpha_t_full": 3.04994030463872, "r2_5y": 0.9106123128160576, "r2_full": 0.8069451612885887, "corr_portfolio": -0.019157738815631865, "corr_benchmark": 0.5795062181844455, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.09354033460507793, "first": "2009-11-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.34, tlt -0.17, ief +0.25, vblix +0.07, vweax +0.05, qqq -0.01", "ref_full": "ief +0.35, vweax +0.13, tlt -0.09, agg +0.12, fxy +0.02, qqq -0.00" }, "vscvx": { "sym": "vscvx", "name": "Victory Integrity Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027092752348588378, "alpha_t_5y": 0.5717580567095742, "alpha_t_full": 0.8790798332623543, "r2_5y": 0.7688027195322622, "r2_full": 0.7816883249872264, "corr_portfolio": 0.3423092506137473, "corr_benchmark": 0.44960012139599176, "alpha_pos_frac": 0.4671814671814672, "fund_max_dd": -0.6072304605306207, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.83, qqq -0.62, ivv +0.84, tlt -0.07", "ref_full": "iwm +0.91, qqq -0.31, ivv +0.38, gld -0.07, djp +0.05, vnq +0.04" }, "vseqx": { "sym": "vseqx", "name": "Vanguard Strategic Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0314224254234318, "alpha_t_5y": 1.85650742644435, "alpha_t_full": 0.23076369435457816, "r2_5y": 0.9589998217786777, "r2_full": 0.9637761926957589, "corr_portfolio": 0.3320529912208788, "corr_benchmark": 0.5721979075924313, "alpha_pos_frac": 0.5043859649122807, "fund_max_dd": -0.6355280741530911, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.61, ivv +0.62, qqq -0.23, vweax +0.14, fxy -0.06, vnq +0.03", "ref_full": "iwm +0.58, ivv +0.45, djp +0.04, qqq -0.06, vnq +0.03, vweax +0.09" }, "vsfax": { "sym": "vsfax", "name": "Federated Hermes MDT Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01546998367543652, "alpha_t_5y": 0.6720479062086706, "alpha_t_full": -0.46484529482841397, "r2_5y": 0.9322468440037611, "r2_full": 0.8839308748059292, "corr_portfolio": 0.3521743341951311, "corr_benchmark": 0.4901095693941773, "alpha_pos_frac": 0.5936395759717314, "fund_max_dd": -0.7790006792120723, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.83, qqq -0.52, ivv +0.73, ief -0.08", "ref_full": "iwm +0.83, vnq +0.05, tlt -0.06, qqq -0.27, ivv +0.37" }, "vsgdx": { "sym": "vsgdx", "name": "Vanguard Short-Term Federal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0043969961566742806, "alpha_t_5y": -0.8289952759941381, "alpha_t_full": 0.8445231367015682, "r2_5y": 0.7638087462055652, "r2_full": 0.6447233029008544, "corr_portfolio": -0.12201297521187225, "corr_benchmark": 0.45637352271260906, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.07287175558360826, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.36, tlt -0.21, vblix +0.16, qqq -0.01, vmbix +0.08, vweax +0.05", "ref_full": "ief +0.33, tlt -0.07, vweax +0.07, agg +0.04, fxy +0.01, qqq -0.00" }, "vsgx": { "sym": "vsgx", "name": "Vanguard ESG International Stock ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002772439311507383, "alpha_t_5y": -0.31404503758762137, "alpha_t_full": -0.5107252264844833, "r2_5y": 0.9839584318117522, "r2_full": 0.9842575425078889, "corr_portfolio": 0.28943260181216574, "corr_benchmark": 0.6023899245315297, "alpha_pos_frac": 0.4606741573033708, "fund_max_dd": -0.3309169265377381, "first": "2018-09-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.86, vwo +0.27, gsg -0.03, efa -0.12, qqq +0.08, ivv -0.09", "ref_full": "vea +0.84, vwo +0.25, gsg -0.03, qqq +0.07, ivv -0.08, efa -0.10" }, "vsigx": { "sym": "vsigx", "name": "Vanguard Intermediate-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002356836181525438, "alpha_t_5y": -0.7623600879202249, "alpha_t_full": 0.8395848334196281, "r2_5y": 0.979746559006256, "r2_full": 0.9697171124328495, "corr_portfolio": -0.18986268111917182, "corr_benchmark": 0.582967064216918, "alpha_pos_frac": 0.5025641025641026, "fund_max_dd": -0.16153768650797762, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.74, tlt -0.12, vmbix +0.06, ivv -0.01, agg +0.16, vnq -0.00", "ref_full": "ief +0.72, tlt -0.08, vmbix +0.09, ivv -0.01, agg +0.05, fxy +0.01" }, "vsmax": { "sym": "vsmax", "name": "Vanguard Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011702892134828743, "alpha_t_5y": -0.8636478449023013, "alpha_t_full": 0.37097983282280306, "r2_5y": 0.9757902695075988, "r2_full": 0.9812566066407302, "corr_portfolio": 0.2807789014246272, "corr_benchmark": 0.5755163762615952, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5967633793166731, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, ivv +0.31, vnq +0.07, qqq -0.09, fxy -0.05, vea +0.04", "ref_full": "iwm +0.73, ivv +0.20, vnq +0.06, djp +0.03, vweax +0.06, gld -0.01" }, "vsmgx": { "sym": "vsmgx", "name": "Vanguard LifeStrategy 60/40 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005131454669769004, "alpha_t_5y": -0.6994746286759346, "alpha_t_full": -1.1046611624641658, "r2_5y": 0.9696779120570237, "r2_full": 0.9804646995851517, "corr_portfolio": 0.29913418457003116, "corr_benchmark": 0.7162555469718144, "alpha_pos_frac": 0.6636771300448431, "fund_max_dd": -0.41116366077146593, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.33, vea +0.15, ief +0.23, vwo +0.07, iwm +0.04, vweax +0.09", "ref_full": "ivv +0.36, efa +0.13, ief +0.21, vwo +0.06, iwm +0.05, vnq +0.02" }, "vsmsx": { "sym": "vsmsx", "name": "Vanguard S&P Small-Cap 600 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016996517063862942, "alpha_t_5y": 0.8688714911702431, "alpha_t_full": 1.9451498628883763, "r2_5y": 0.9535356154223823, "r2_full": 0.9681277744989047, "corr_portfolio": 0.3120650277975843, "corr_benchmark": 0.5160856346528329, "alpha_pos_frac": 0.45698924731182794, "fund_max_dd": -0.4441686306510527, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.91, qqq -0.31, ivv +0.40, gld -0.04", "ref_full": "iwm +0.95, qqq -0.20, ivv +0.23, gld -0.03, vnq +0.03, ief -0.04" }, "vsmvx": { "sym": "vsmvx", "name": "Vanguard S&P Small-Cap 600 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03658196391173304, "alpha_t_5y": 1.3204494705653778, "alpha_t_full": 1.8747961771718231, "r2_5y": 0.9116705051987942, "r2_full": 0.9409660812536053, "corr_portfolio": 0.33646014635173976, "corr_benchmark": 0.481380047308533, "alpha_pos_frac": 0.489247311827957, "fund_max_dd": -0.4760704462065285, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.94, qqq -0.56, ivv +0.64, gld -0.05", "ref_full": "iwm +0.99, qqq -0.41, ivv +0.41, gld -0.04, gsg +0.02, vnq +0.03" }, "vspgx": { "sym": "vspgx", "name": "Vanguard S&P 500 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01694059109721366, "alpha_t_5y": -1.1621463904742315, "alpha_t_full": -1.6735300520774277, "r2_5y": 0.9735689157013585, "r2_full": 0.9771796165302714, "corr_portfolio": 0.1886633291859922, "corr_benchmark": 0.625095546129812, "alpha_pos_frac": 0.5698924731182796, "fund_max_dd": -0.32733821979257915, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +0.56, ivv +0.65, iwm -0.06, vnq -0.05, vea -0.05, gld +0.02", "ref_full": "qqq +0.47, ivv +0.66, iwm -0.05, efa -0.04, tlt +0.02, gld +0.01" }, "vspmx": { "sym": "vspmx", "name": "Vanguard S&P Mid-Cap 400 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008520342169741716, "alpha_t_5y": -0.4552414185940592, "alpha_t_full": 0.27343090098571815, "r2_5y": 0.9487687757518612, "r2_full": 0.9587388751423039, "corr_portfolio": 0.3216474330781256, "corr_benchmark": 0.5646414154034674, "alpha_pos_frac": 0.5376344086021505, "fund_max_dd": -0.4203791992908298, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.57, qqq -0.25, vnq +0.05, fxy -0.08, vea +0.08", "ref_full": "iwm +0.59, ivv +0.51, qqq -0.18, vnq +0.07, fxy -0.04, vwo +0.02" }, "vspvx": { "sym": "vspvx", "name": "Vanguard S&P 500 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015374213382971841, "alpha_t_5y": 0.9452688832700002, "alpha_t_full": 1.4386916271073864, "r2_5y": 0.9269688006762324, "r2_full": 0.9609227220274621, "corr_portfolio": 0.38060913346117425, "corr_benchmark": 0.5391242801239532, "alpha_pos_frac": 0.45161290322580644, "fund_max_dd": -0.3705137827407817, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.32, qqq -0.57, iwm +0.09, vnq +0.07, efa +0.04", "ref_full": "ivv +1.30, qqq -0.49, iwm +0.09, efa +0.05, tlt -0.04, vnq +0.03" }, "vstcx": { "sym": "vstcx", "name": "Vanguard Strategic Small-Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05611507324498773, "alpha_t_5y": 3.2682411045782804, "alpha_t_full": 1.1563199673832183, "r2_5y": 0.9656351578913945, "r2_full": 0.9707596333051552, "corr_portfolio": 0.3195857542741418, "corr_benchmark": 0.544189105325885, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.6250197460679634, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.87, ivv +0.36, qqq -0.20, gld -0.04, djp +0.02, vweax +0.09", "ref_full": "iwm +0.86, ivv +0.20, qqq -0.06, djp +0.03, gld -0.02, vnq +0.01" }, "vtbix": { "sym": "vtbix", "name": "Vanguard Total Bond Market II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003580690675560998, "alpha_t_5y": -0.8858326841673334, "alpha_t_full": -4.247345212869009, "r2_5y": 0.9722521413712124, "r2_full": 0.9386954968838925, "corr_portfolio": -0.12502248693248805, "corr_benchmark": 0.6915332414705392, "alpha_pos_frac": 0.6428571428571429, "fund_max_dd": -0.1871351056281264, "first": "2011-01-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.07, vblix +0.41, tlt -0.21, ief +0.33, vmbix +0.18, iwm -0.01", "ref_full": "ief +0.29, vweax +0.14, vmbix +0.26, tlt +0.07, agg +0.09, iwm -0.01" }, "vtcax": { "sym": "vtcax", "name": "Vanguard Communication Services Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03555734205580925, "alpha_t_5y": -0.7925787119327142, "alpha_t_full": -1.641556383151831, "r2_5y": 0.7477648489451361, "r2_full": 0.7649124050683892, "corr_portfolio": 0.14893800175949942, "corr_benchmark": 0.5610852384159672, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5710965797496423, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.48, qqq +0.42, vweax +0.29, vea -0.93, efa +0.83, iwm +0.10", "ref_full": "ivv +0.65, qqq +0.19, iwm +0.11, ief +0.15" }, "vtclx": { "sym": "vtclx", "name": "Vanguard Tax-Managed Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003211052864939825, "alpha_t_5y": -0.6177206254942804, "alpha_t_full": 0.08546005443907494, "r2_5y": 0.9947444619466572, "r2_full": 0.9923780924393255, "corr_portfolio": 0.2769438992978584, "corr_benchmark": 0.6201453211522898, "alpha_pos_frac": 0.5085910652920962, "fund_max_dd": -0.5517909357901662, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.88, iwm +0.06, qqq +0.05, vweax +0.03", "ref_full": "ivv +0.87, iwm +0.06, qqq +0.05, vwo +0.01, djp +0.01, vnq +0.01" }, "vteax": { "sym": "vteax", "name": "Vanguard Tax-Exempt Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013743257154666802, "alpha_t_5y": -1.152295719252996, "alpha_t_full": -0.014339677818055289, "r2_5y": 0.34377802433718907, "r2_full": 0.3131910466792517, "corr_portfolio": 0.02575822374391431, "corr_benchmark": 0.3669607936915675, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.127414006463751, "first": "2015-09-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.28, ivv -0.05, vnq +0.02", "ref_full": "agg +0.18, vweax +0.22, fxy +0.04, gsg -0.01, iwm -0.03, vnq +0.03" }, "vthrx": { "sym": "vthrx", "name": "Vanguard Target Retirement 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005375332109146068, "alpha_t_5y": -0.7015852035694377, "alpha_t_full": -0.6771278851550644, "r2_5y": 0.9691279866978886, "r2_full": 0.9774196229136765, "corr_portfolio": 0.31141034610191687, "corr_benchmark": 0.6799046311539243, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4957064834006045, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.33, vea +0.15, agg +0.27, vwo +0.07, iwm +0.04, vweax +0.09", "ref_full": "ivv +0.37, efa +0.18, vwo +0.09, vnq +0.04, ief +0.10, iwm +0.05" }, "vtibx": { "sym": "vtibx", "name": "Vanguard Total International Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01746309798022014, "alpha_t_5y": -1.6524427136193711, "alpha_t_full": 0.01260475773388617, "r2_5y": 0.6678850798492917, "r2_full": 0.586096297226823, "corr_portfolio": -0.11865696441610563, "corr_benchmark": 0.5716822140513137, "alpha_pos_frac": 0.5294117647058824, "fund_max_dd": -0.16167803353931165, "first": "2013-06-05", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.43, vweax +0.14, fxe -0.11, gsg -0.02, vea +0.02, gld +0.01", "ref_full": "ief +0.34, vweax +0.09, fxe -0.08, vea +0.02, gsg -0.01, vblix +0.03" }, "vtilx": { "sym": "vtilx", "name": "Vanguard Total International Bond II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01595423133855327, "alpha_t_5y": -1.505859745876206, "alpha_t_full": -1.505859745876206, "r2_5y": 0.673082389452794, "r2_full": 0.673082389452794, "corr_portfolio": -0.14604178465666257, "corr_benchmark": 0.6302506990686522, "alpha_pos_frac": 0.5, "fund_max_dd": -0.15853861250569834, "first": "2021-02-26", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ief +0.42, vweax +0.17, fxe -0.10, gsg -0.02, gld +0.02", "ref_full": "ief +0.42, vweax +0.17, fxe -0.10, gsg -0.02, gld +0.02" }, "vtinx": { "sym": "vtinx", "name": "Vanguard Target Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021794953590338066, "alpha_t_5y": -0.3877859170140556, "alpha_t_full": 0.021141486981601378, "r2_5y": 0.9511410644678236, "r2_full": 0.9558900019169682, "corr_portfolio": 0.2402167985860722, "corr_benchmark": 0.8462247149037435, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.1995833322686671, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.08, agg +0.16, ivv +0.17, vwo +0.04, ief +0.24, vweax +0.09", "ref_full": "ivv +0.17, ief +0.34, efa +0.06, vweax +0.10, iwm +0.03, vwo +0.02" }, "vtipx": { "sym": "vtipx", "name": "Vanguard Short-Term Inflation-Protected Securities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004975114077882204, "alpha_t_5y": 0.7443830752739808, "alpha_t_full": 1.2832593045639178, "r2_5y": 0.6309192412681249, "r2_full": 0.5978118283271034, "corr_portfolio": 0.02140292013081275, "corr_benchmark": 0.45290991436560396, "alpha_pos_frac": 0.49375, "fund_max_dd": -0.053597850594010676, "first": "2012-10-17", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.02, gsg +0.04, ief +0.34, tlt -0.12, agg +0.15", "ref_full": "vmbix +0.04, gsg +0.03, ief +0.35, tlt -0.09, vweax +0.02, agg +0.05" }, "vtivx": { "sym": "vtivx", "name": "Vanguard Target Retirement 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003908600968519518, "alpha_t_5y": -0.42101927606016226, "alpha_t_full": -0.6594882157195017, "r2_5y": 0.9732943424933455, "r2_full": 0.9878173089625915, "corr_portfolio": 0.3234439736888114, "corr_benchmark": 0.6291604069758615, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5169281004608544, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.46, vea +0.21, vwo +0.09, iwm +0.05, ief +0.06, vweax +0.09", "ref_full": "ivv +0.50, efa +0.19, iwm +0.08, vwo +0.07, vweax +0.07, ief +0.05" }, "vtmfx": { "sym": "vtmfx", "name": "Vanguard Tax-Managed Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008535067356427216, "alpha_t_5y": -1.4733344184910921, "alpha_t_full": 0.9722564909979321, "r2_5y": 0.9735880731913106, "r2_full": 0.9718708802204316, "corr_portfolio": 0.2695326043888985, "corr_benchmark": 0.6652157740143153, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.28491249156825094, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.37, vweax +0.13, vmbix +0.08, iwm +0.03, qqq +0.04, vnq +0.02", "ref_full": "ivv +0.40, agg +0.10, vweax +0.09, iwm +0.03, qqq +0.03, vnq +0.01" }, "vtmgx": { "sym": "vtmgx", "name": "Vanguard Developed Markets Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005499277577182259, "alpha_t_5y": 0.44840857888360586, "alpha_t_full": -0.3090049072636048, "r2_5y": 0.966704349247979, "r2_full": 0.9731540023952371, "corr_portfolio": 0.3886836498028451, "corr_benchmark": 0.548984336851371, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6057720213605557, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.91, fxe +0.06, vweax +0.08, djp +0.01", "ref_full": "efa +0.53, vweax +0.19, vea +0.37, gld +0.02, agg -0.09, fxe +0.04" }, "vtmsx": { "sym": "vtmsx", "name": "Vanguard Tax-Managed Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017596028723015113, "alpha_t_5y": 0.8657435406057202, "alpha_t_full": 1.573680033219242, "r2_5y": 0.9498067672498619, "r2_full": 0.9681002618074299, "corr_portfolio": 0.31256998437074196, "corr_benchmark": 0.5153200693532384, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.5783736850439216, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.91, qqq -0.30, ivv +0.39, gld -0.04", "ref_full": "iwm +0.94, qqq -0.13, ivv +0.17, vwo -0.02, vnq +0.02, tlt -0.02" }, "vtrix": { "sym": "vtrix", "name": "Vanguard International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0068380734082218895, "alpha_t_5y": 0.4278945969660531, "alpha_t_full": -0.6310758702017697, "r2_5y": 0.9417303010334008, "r2_full": 0.9583561171685472, "corr_portfolio": 0.39601096678569775, "corr_benchmark": 0.5135755141288082, "alpha_pos_frac": 0.48760330578512395, "fund_max_dd": -0.5940133123335132, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.62, vwo +0.27, ief -0.08, qqq -0.18, ivv +0.27, fxe +0.09", "ref_full": "efa +0.72, vwo +0.11, vweax +0.24, agg -0.12, djp +0.04, iwm +0.03" }, "vtthx": { "sym": "vtthx", "name": "Vanguard Target Retirement 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004671304023720799, "alpha_t_5y": -0.5659544123002156, "alpha_t_full": -0.43776512459299155, "r2_5y": 0.97031911575906, "r2_full": 0.9808227941812021, "corr_portfolio": 0.31797547499955486, "corr_benchmark": 0.6574695141556004, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.517603503163558, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.37, vea +0.17, agg +0.20, vwo +0.08, iwm +0.04, vweax +0.09", "ref_full": "ivv +0.41, efa +0.19, vwo +0.09, vnq +0.04, iwm +0.06, ief +0.06" }, "vttsx": { "sym": "vttsx", "name": "Vanguard Target Retirement 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016287256490473989, "alpha_t_5y": -0.1730186168356826, "alpha_t_full": 0.0376473148059297, "r2_5y": 0.9751039312696917, "r2_full": 0.9863373385137715, "corr_portfolio": 0.32293079582339435, "corr_benchmark": 0.6292133130402836, "alpha_pos_frac": 0.5562130177514792, "fund_max_dd": -0.31379046246520303, "first": "2012-01-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.43, vea +0.24, vwo +0.09, iwm +0.06, vblix +0.03, qqq +0.04", "ref_full": "ivv +0.48, vea +0.23, vwo +0.07, iwm +0.07, vblix +0.03, vweax +0.07" }, "vttvx": { "sym": "vttvx", "name": "Vanguard Target Retirement 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005605698298766014, "alpha_t_5y": -0.7687016915561465, "alpha_t_full": -0.647819398561955, "r2_5y": 0.9636355175547985, "r2_full": 0.9718824259774214, "corr_portfolio": 0.30578926886391444, "corr_benchmark": 0.7016894973059606, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.46028320906436127, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.28, agg +0.32, vea +0.13, vwo +0.06, iwm +0.03, vweax +0.09", "ref_full": "ivv +0.32, efa +0.16, vnq +0.04, vwo +0.08, ief +0.13, iwm +0.04" }, "vtwix": { "sym": "vtwix", "name": "Vanguard Total World Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036258971231624905, "alpha_t_5y": -0.6688202890940075, "alpha_t_full": -1.528455658809517, "r2_5y": 0.993251480200746, "r2_full": 0.9912758593327515, "corr_portfolio": 0.32681755941687407, "corr_benchmark": 0.6143653686263622, "alpha_pos_frac": 0.5801886792452831, "fund_max_dd": -0.4982360408240053, "first": "2008-06-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.52, vea +0.26, vwo +0.10, iwm +0.06, qqq +0.03, vweax +0.05", "ref_full": "ivv +0.50, vea +0.19, vwo +0.09, vweax +0.10, iwm +0.04, efa +0.13" }, "vtwnx": { "sym": "vtwnx", "name": "Vanguard Target Retirement 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004864626708557945, "alpha_t_5y": -0.7270803099156093, "alpha_t_full": -0.5320885609759546, "r2_5y": 0.9538353259355958, "r2_full": 0.9593698268707754, "corr_portfolio": 0.2969375253886816, "corr_benchmark": 0.7275732219962466, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4215889088394861, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.21, agg +0.39, vea +0.10, vwo +0.04, vweax +0.09, iwm +0.03", "ref_full": "ivv +0.26, efa +0.14, vnq +0.05, ief +0.16, vwo +0.08, iwm +0.03" }, "vubfx": { "sym": "vubfx", "name": "Vanguard Ultra-Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002458329966475596, "alpha_t_5y": 0.8000496606941351, "alpha_t_full": 2.039659318232679, "r2_5y": 0.4088695429499142, "r2_full": 0.29164625299722513, "corr_portfolio": -0.0651460131101852, "corr_benchmark": 0.2709540150667939, "alpha_pos_frac": 0.44360902255639095, "fund_max_dd": -0.01850422302817223, "first": "2015-02-11", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix +0.01, tlt -0.05, ief +0.06, agg +0.12, efa -0.01", "ref_full": "vmbix +0.04, vweax +0.02, fxy +0.00, efa -0.00, tlt -0.03, ief +0.09" }, "vuiax": { "sym": "vuiax", "name": "Vanguard Utilities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00046280186683259945, "alpha_t_5y": 0.009063853229522105, "alpha_t_full": 0.5825116262641281, "r2_5y": 0.4929659048441426, "r2_full": 0.5594099521768283, "corr_portfolio": 0.22969493456982634, "corr_benchmark": 0.4673346963428161, "alpha_pos_frac": 0.545816733067729, "fund_max_dd": -0.4628720209011963, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.51, gld +0.11, vwo -0.06, ivv +0.90, qqq -0.47, iwm -0.16", "ref_full": "ivv +1.18, qqq -0.47, agg +0.41, vnq +0.16, iwm -0.17, gld +0.06" }, "vusb": { "sym": "vusb", "name": "Vanguard Ultra-Short Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002840299363671256, "alpha_t_5y": 1.1429595169685172, "alpha_t_full": 1.1429595169685172, "r2_5y": 0.5033550593063989, "r2_full": 0.5033550593063989, "corr_portfolio": -0.07652550808720006, "corr_benchmark": 0.5034207261786696, "alpha_pos_frac": 0.6949152542372882, "fund_max_dd": -0.017943220689283335, "first": "2021-04-08", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vmbix -0.00, fxe +0.01, ief +0.05, tlt -0.04, agg +0.13", "ref_full": "vmbix -0.00, fxe +0.01, ief +0.05, tlt -0.04, agg +0.13" }, "vusux": { "sym": "vusux", "name": "Vanguard Long-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00041455550912839563, "alpha_t_5y": 0.07057799227204985, "alpha_t_full": -0.5274434017378011, "r2_5y": 0.9905691961685544, "r2_full": 0.9741171230965605, "corr_portfolio": -0.18795873272246771, "corr_benchmark": 0.6453710189901769, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.46045183259250755, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +0.48, vblix +0.51, ivv -0.01, ief +0.27, agg -0.26, efa -0.02", "ref_full": "tlt +0.79, ief +0.20, vweax +0.10, vnq +0.01, iwm -0.02, vwo +0.01" }, "vviax": { "sym": "vviax", "name": "Vanguard Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02548102267369289, "alpha_t_5y": 1.5619595351388331, "alpha_t_full": 1.8382867248428953, "r2_5y": 0.9213869149342563, "r2_full": 0.9612964612621399, "corr_portfolio": 0.412555843499971, "corr_benchmark": 0.523524652209541, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.5931914956967199, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.42, qqq -0.71, iwm +0.09, vea +0.33, efa -0.26, vnq +0.03", "ref_full": "ivv +1.22, qqq -0.44, vnq +0.06, iwm +0.06, tlt -0.05, efa +0.06" }, "vvoax": { "sym": "vvoax", "name": "INVESCO VALUE OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.054260103545630455, "alpha_t_5y": 1.4972278975722313, "alpha_t_full": 0.40977514502477286, "r2_5y": 0.8396962796146143, "r2_full": 0.8263845652536645, "corr_portfolio": 0.37626618326892136, "corr_benchmark": 0.4366974520704585, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.6207228784187142, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.49, vea +0.29, ief -0.33, gsg +0.10, ivv +0.66, qqq -0.32", "ref_full": "iwm +0.49, ivv +0.97, qqq -0.39, vnq -0.07, vweax +0.25, ief -0.17" }, "vwahx": { "sym": "vwahx", "name": "Vanguard High-Yield Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005434347061066198, "alpha_t_5y": -0.3686268630551377, "alpha_t_full": 1.1595066131633438, "r2_5y": 0.41661404992350126, "r2_full": 0.31614632647907726, "corr_portfolio": 0.03616473918305589, "corr_benchmark": 0.3571636460723977, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.2068354768368117, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.38, ief +0.09, ivv -0.08, vnq +0.03, vblix +0.29, tlt -0.18", "ref_full": "vweax +0.33, ief +0.08, fxy +0.04, agg +0.13, efa -0.03, vnq +0.01" }, "vweax": { "sym": "vweax", "name": "Vanguard High-Yield Corporate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006354637609579947, "alpha_t_5y": 0.05533567211784481, "alpha_t_full": 2.6975152620526663, "r2_5y": 0.6692216072893908, "r2_full": 0.23791437439285534, "corr_portfolio": 0.28978903780252924, "corr_benchmark": 0.4522857065442789, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.3002941199497874, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.04, vblix +1.02, tlt -0.75, vnq +0.02, ivv +0.03, vmbix +0.07", "ref_full": "ivv +0.06, agg +0.36, tlt -0.05, gsg +0.02, iwm +0.02" }, "vwenx": { "sym": "vwenx", "name": "VANGUARD WELLINGTON FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00019477225700048183, "alpha_t_5y": 0.022208710048796366, "alpha_t_full": 0.9130308223472134, "r2_5y": 0.9643781017811303, "r2_full": 0.9736618235578149, "corr_portfolio": 0.29577518755800203, "corr_benchmark": 0.7036610350843094, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.36017632057011195, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.67, agg +0.20, vea +0.05, vblix +0.07, qqq -0.06, vnq -0.03", "ref_full": "ivv +0.65, ief +0.22, efa +0.08, qqq -0.07, vweax +0.09, vnq -0.02" }, "vwetx": { "sym": "vwetx", "name": "Vanguard Long-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012467726780392057, "alpha_t_5y": -0.2193147573396101, "alpha_t_full": -1.1015890214075188, "r2_5y": 0.987092663188037, "r2_full": 0.9253758468527984, "corr_portfolio": -0.07045586325810717, "corr_benchmark": 0.7351043858464672, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.3569722697926637, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vblix +1.14, tlt -0.17, ivv +0.01, ief -0.21, agg +0.24, vweax +0.06", "ref_full": "tlt +0.61, vweax +0.56, ief +0.16, ivv +0.03, iwm -0.02" }, "vwiax": { "sym": "vwiax", "name": "VANGUARD WELLESLEY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0049256332954776706, "alpha_t_5y": 0.6020859100803408, "alpha_t_full": 2.392641186371567, "r2_5y": 0.9189725918360933, "r2_full": 0.9131767106913725, "corr_portfolio": 0.32748252476382067, "corr_benchmark": 0.8166590050971356, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.216410511632796, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +0.03, agg +0.35, ivv +0.54, qqq -0.27, vblix +0.12, vea +0.05", "ref_full": "ivv +0.45, ief +0.26, qqq -0.16, vweax +0.14, tlt +0.08, efa +0.05" }, "vwicx": { "sym": "vwicx", "name": "Vanguard International Core Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015215708533863422, "alpha_t_5y": 0.9673213419965565, "alpha_t_full": 1.0287566411218052, "r2_5y": 0.9421597836207037, "r2_full": 0.9452273651854007, "corr_portfolio": 0.3762935125132009, "corr_benchmark": 0.554904760819798, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.34372139131353174, "first": "2019-09-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.76, vwo +0.20, agg -0.08, vnq -0.04, gsg +0.02, fxy -0.04", "ref_full": "vea +0.75, vwo +0.21, agg -0.09, gsg +0.02, qqq -0.02, vnq -0.02" }, "vwilx": { "sym": "vwilx", "name": "Vanguard International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07322987789174368, "alpha_t_5y": -2.491534710110177, "alpha_t_full": -1.2064496349582645, "r2_5y": 0.9018342313286453, "r2_full": 0.9193854063684518, "corr_portfolio": 0.1870366840707424, "corr_benchmark": 0.5726303775755265, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5949231713886121, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea -0.58, qqq +0.61, vwo +0.42, efa +1.07, ivv -0.52, iwm +0.13", "ref_full": "efa +0.53, qqq +0.39, vwo +0.21, vweax +0.31, ivv -0.19, fxe +0.13" }, "vwitx": { "sym": "vwitx", "name": "Vanguard Intermediate-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011598461147097165, "alpha_t_5y": -1.1641957430821541, "alpha_t_full": 1.1397576955510305, "r2_5y": 0.42471149391177976, "r2_full": 0.2914123704669289, "corr_portfolio": 0.03488133692865137, "corr_benchmark": 0.3435564200411563, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2069702105025527, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.26, ief +0.06, ivv -0.06, vblix +0.23, tlt -0.15, vnq +0.02", "ref_full": "vweax +0.23, ief +0.07, fxy +0.03, agg +0.09, efa -0.02, vnq +0.01" }, "vwltx": { "sym": "vwltx", "name": "Vanguard Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010290441581930928, "alpha_t_5y": -0.7169219108794888, "alpha_t_full": 0.9231172190173882, "r2_5y": 0.39904715813977876, "r2_full": 0.30075365781834207, "corr_portfolio": 0.019307188177131788, "corr_benchmark": 0.3571255858539819, "alpha_pos_frac": 0.5603112840466926, "fund_max_dd": -0.2691671029737639, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.45, ief +0.16, ivv -0.14, vnq +0.04, qqq +0.04", "ref_full": "agg +0.12, vweax +0.30, ief +0.09, fxy +0.04, efa -0.03, vnq +0.02" }, "vwnax": { "sym": "vwnax", "name": "Vanguard Windsor II Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006735463861192796, "alpha_t_5y": 0.49281471624210244, "alpha_t_full": 0.7620681145842204, "r2_5y": 0.9560872429162588, "r2_full": 0.9730963370673646, "corr_portfolio": 0.35137113349501886, "corr_benchmark": 0.5664380900414621, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5750965270803856, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.15, qqq -0.35, iwm +0.11, efa +0.31, vea -0.23, gsg +0.02", "ref_full": "ivv +1.05, qqq -0.24, iwm +0.08, efa +0.09, fxy -0.03, gld -0.02" }, "vwnex": { "sym": "vwnex", "name": "Vanguard Windsor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0110507896063105, "alpha_t_5y": 0.6244993030979342, "alpha_t_full": 1.2848242863019583, "r2_5y": 0.9294449144335354, "r2_full": 0.9498207687070761, "corr_portfolio": 0.38830494833276236, "corr_benchmark": 0.5107238302511219, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.6140599906331099, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.24, ivv +1.23, qqq -0.62, efa +0.14, ief -0.07, gsg +0.02", "ref_full": "ivv +0.96, qqq -0.34, iwm +0.23, efa +0.16, tlt -0.05, gld -0.03" }, "vwstx": { "sym": "vwstx", "name": "Vanguard Ultra-Short-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009207262101018784, "alpha_t_5y": -2.4956076154990248, "alpha_t_full": 0.07128893279316088, "r2_5y": 0.3644103523098482, "r2_full": 0.2041538220586122, "corr_portfolio": 0.0723430002057971, "corr_benchmark": 0.24087949631072206, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.03075957200809265, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.08, ivv -0.02, vblix +0.14, tlt -0.10", "ref_full": "vweax +0.08, agg +0.03, fxy +0.01" }, "vwuax": { "sym": "vwuax", "name": "Vanguard U.S. Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06630662434471395, "alpha_t_5y": -2.5012333550364265, "alpha_t_full": -2.049692453811512, "r2_5y": 0.9353857581836794, "r2_full": 0.9395972570060277, "corr_portfolio": 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vea +0.28", "ref_full": "vea +0.33, qqq -0.27, vwo +0.18, ivv +0.27, gsg +0.04, efa +0.46" }, "vymqx": { "sym": "vymqx", "name": "Voya MI Dynamic SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010633800977562259, "alpha_t_5y": -0.4355786274187798, "alpha_t_full": -0.5824110445464373, "r2_5y": 0.9175215399086686, "r2_full": 0.9359869629095845, "corr_portfolio": 0.3119211161278311, "corr_benchmark": 0.5943934142511275, "alpha_pos_frac": 0.5657894736842105, "fund_max_dd": -0.436823217568179, "first": "2019-11-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.59, ivv +0.63, qqq -0.27, fxy -0.11, vea +0.38, efa -0.27", "ref_full": "iwm +0.59, ivv +0.66, qqq -0.29, vea +0.36, fxy -0.09, efa -0.26" }, "vysgx": { "sym": "vysgx", "name": "Voya MI Dynamic Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011625758573692182, "alpha_t_5y": -0.4288630454483254, "alpha_t_full": -0.33924813296001827, "r2_5y": 0.9156631944090443, "r2_full": 0.9323054661525215, "corr_portfolio": 0.2720052532492217, "corr_benchmark": 0.57706437112028, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.43248539597154967, "first": "2019-11-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.86, ivv +0.38, qqq -0.21", "ref_full": "iwm +0.88, vnq +0.07, ief -0.34, agg +0.32, efa +0.07, qqq -0.03" }, "waaex": { "sym": "waaex", "name": "Wasatch Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11350301686613352, "alpha_t_5y": -2.8251622435905803, "alpha_t_full": -1.5295688050203138, "r2_5y": 0.858233205335627, "r2_full": 0.8900145648169742, "corr_portfolio": 0.13770366726407662, "corr_benchmark": 0.5704164771220015, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.5647608723989028, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.82, qqq +0.34, djp -0.07, vweax +0.33, vea -0.67, efa +0.53", "ref_full": "iwm +0.73, qqq +0.33, vweax +0.17, ivv -0.09, vnq -0.03, agg +0.10" }, "waarx": { "sym": "waarx", "name": "Western Asset Total Return Unconstrained Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016326324043666855, "alpha_t_5y": -1.3629858695013806, "alpha_t_full": -0.8667620359142577, "r2_5y": 0.5510537195557753, "r2_full": 0.5099410375067159, "corr_portfolio": 0.1435629039936486, "corr_benchmark": 0.5114434585100575, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.23296497029892382, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.27, vweax +0.14, fxe +0.06, vmbix +0.15, vwo +0.02", "ref_full": "vweax +0.40, agg +0.16, ief +0.14, vwo +0.01, fxy +0.02, tlt -0.02" }, "wabmx": { "sym": "wabmx", "name": "Wilmington Broad Market Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00811517076466067, "alpha_t_5y": -1.8606358398692386, "alpha_t_full": -1.8563720052940254, "r2_5y": 0.9638830714925242, "r2_full": 0.8801877035133073, "corr_portfolio": -0.10052904280935002, "corr_benchmark": 0.6966647914757766, "alpha_pos_frac": 0.4046242774566474, "fund_max_dd": -0.1786129596674424, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.05, vblix +0.28, vmbix +0.23, ief +0.33, tlt -0.11, vweax +0.06", "ref_full": "ief +0.41, vweax +0.21, tlt +0.05, agg +0.07, fxe +0.02, vnq +0.00" }, "wacpx": { "sym": "wacpx", "name": "Western Asset Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015965033009854534, "alpha_t_5y": -1.5645620744583073, "alpha_t_full": -1.2441600190711855, "r2_5y": 0.8863933422593127, "r2_full": 0.761490590264895, "corr_portfolio": -0.00015847678012290424, "corr_benchmark": 0.7502480986135237, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.2557367240450402, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.24, vweax +0.21, vblix +0.43, tlt -0.23, vmbix +0.21, ief +0.23", "ref_full": "agg +0.25, vweax +0.39, ief +0.30, vwo +0.02, vnq +0.02, tlt +0.06" }, "waemx": { "sym": "waemx", "name": "Wasatch Emerging Markets Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05855952355042373, "alpha_t_5y": -1.1964669032833792, "alpha_t_full": -0.7201680596706875, "r2_5y": 0.595420681516429, "r2_full": 0.6794638037899501, "corr_portfolio": 0.2698294487282327, "corr_benchmark": 0.42959574738022066, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.662762510251649, "first": "2007-10-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.40, qqq +0.16, vweax +0.67, vmbix -0.29, vea +0.88, efa -0.71", "ref_full": "vwo +0.41, vweax +0.76, qqq +0.09, vea +0.38, efa -0.28, vnq -0.03" }, "waesx": { "sym": "waesx", "name": "Wasatch Emerging Markets Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07370720200337269, "alpha_t_5y": -1.5783117690649293, "alpha_t_full": -1.1904223185833096, "r2_5y": 0.7051968014932137, "r2_full": 0.6753836017237244, "corr_portfolio": 0.20194695649544897, "corr_benchmark": 0.4782568031519552, "alpha_pos_frac": 0.45569620253164556, "fund_max_dd": -0.4584647932698759, "first": "2012-12-14", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.57, qqq +0.26, vweax +0.49, iwm +0.08, vmbix -0.18", "ref_full": "vwo +0.52, qqq +0.25, vweax +0.64, gsg -0.03, iwm +0.08, ivv -0.13" }, "wafmx": { "sym": "wafmx", "name": "Wasatch Frontier Emerging Small Countries Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0848582945017346, "alpha_t_5y": -1.9121323106873818, "alpha_t_full": -1.3088935886048185, "r2_5y": 0.6451161748246836, "r2_full": 0.5318756953508108, "corr_portfolio": 0.1900086960027529, "corr_benchmark": 0.46150327389933055, "alpha_pos_frac": 0.514792899408284, "fund_max_dd": -0.4950255379554732, "first": "2012-02-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.35, qqq +0.23, vweax +0.68, iwm +0.09, vmbix -0.25, fxe +0.17", "ref_full": "vea +0.02, qqq +0.18, vweax +0.67, vwo +0.19, fxe +0.15, iwm +0.08" }, "wagox": { "sym": "wagox", "name": "Wasatch Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07582216231355715, "alpha_t_5y": -2.116525570978624, "alpha_t_full": -0.9095883736132336, "r2_5y": 0.8283078666479271, "r2_full": 0.8014624746218141, "corr_portfolio": 0.19451628682777078, "corr_benchmark": 0.5751002191993965, "alpha_pos_frac": 0.5072463768115942, "fund_max_dd": -0.4405746164402319, "first": "2008-11-18", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.43, qqq +0.26, efa +0.14, vweax +0.42, djp -0.05, vwo +0.09", "ref_full": "iwm +0.36, qqq +0.24, vweax +0.47, vea +0.13, vwo +0.09, vnq -0.03" }, "waigx": { "sym": "waigx", "name": "Wasatch International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10423805744188387, "alpha_t_5y": -2.920957994948422, "alpha_t_full": -1.8819470612147178, "r2_5y": 0.7919185075033782, "r2_full": 0.7841100183639033, "corr_portfolio": 0.24077676295438555, "corr_benchmark": 0.5472425238641353, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6765889159835559, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.66, qqq +0.37, vweax +0.61, fxe +0.15, ivv -0.31, vnq +0.07", "ref_full": "efa +0.40, vweax +0.69, vwo +0.15, qqq +0.15, gld +0.05, fxe +0.09" }, "wainx": { "sym": "wainx", "name": "Wasatch Emerging India Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014550622376654037, "alpha_t_5y": 0.022953606801775446, "alpha_t_full": 1.0456841124589098, "r2_5y": 0.25863335263601706, "r2_full": 0.3148886444607375, "corr_portfolio": 0.22460173510255882, "corr_benchmark": 0.2610970119321807, "alpha_pos_frac": 0.47752808988764045, "fund_max_dd": -0.41336124858606094, "first": "2011-04-27", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vwo +0.35, ivv +0.14, vweax +0.59, vmbix -0.35, djp -0.07", "ref_full": "vwo +0.37, vweax +0.89, vmbix -0.45, gsg -0.06, vnq +0.06" }, "waiox": { "sym": "waiox", "name": "Wasatch International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.13854329409179206, "alpha_t_5y": -3.407174239353415, "alpha_t_full": -1.2321916198471756, "r2_5y": 0.6763030696331072, "r2_full": 0.6468057314352529, "corr_portfolio": 0.246120133405443, "corr_benchmark": 0.4945089752310535, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.6803597207974941, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.59, vweax +0.74, qqq +0.24, fxe +0.24, ivv -0.21, vmbix -0.18", "ref_full": "efa +0.27, vweax +0.67, vwo +0.18, qqq +0.10, fxe +0.11, gld +0.04" }, "wamcx": { "sym": "wamcx", "name": "Wasatch Ultra Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09683725227420148, "alpha_t_5y": -2.304326117204002, "alpha_t_full": -1.0890403596107372, "r2_5y": 0.8665275746899281, "r2_full": 0.864614362654772, "corr_portfolio": 0.08638392730494919, "corr_benchmark": 0.5640408188646092, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.6570288569561195, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.90, qqq +0.80, ivv -0.83, vnq +0.14, djp -0.06, vweax +0.23", "ref_full": "iwm +0.78, qqq +0.50, ivv -0.30, vweax +0.20, vnq -0.06, agg +0.16" }, "wamfx": { "sym": "wamfx", "name": "Boston Trust Walden Midcap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013727434047451633, "alpha_t_5y": -0.5958291832926583, "alpha_t_full": 0.22380279183468194, "r2_5y": 0.8762976233947681, "r2_full": 0.9144228088772008, "corr_portfolio": 0.32954653025505865, "corr_benchmark": 0.5618148248759072, "alpha_pos_frac": 0.5257142857142857, "fund_max_dd": -0.3680628489078037, "first": "2011-08-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.01, qqq -0.43, iwm +0.20, vnq +0.17, gsg -0.02", "ref_full": "ivv +0.85, iwm +0.23, qqq -0.28, vnq +0.09, gld -0.03, efa +0.04" }, "wamvx": { "sym": "wamvx", "name": "Wasatch Micro Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010292821770344861, "alpha_t_5y": 0.3322437664169087, "alpha_t_full": 1.0383246312324705, "r2_5y": 0.8750137731854246, "r2_full": 0.8705541203265095, "corr_portfolio": 0.24996484458096963, "corr_benchmark": 0.5468543434435597, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.6070201792073282, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.80, vweax +0.34, vea +0.11, vnq -0.07, djp -0.04", "ref_full": "iwm +0.70, vweax +0.40, qqq +0.13, vnq -0.05, efa +0.11, ivv -0.17" }, "wasax": { "sym": "wasax", "name": "Nomura Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01119413624159413, "alpha_t_5y": -0.25191622764261923, "alpha_t_full": -0.44207526166325206, "r2_5y": 0.529841839690097, "r2_full": 0.6618156533382427, "corr_portfolio": 0.2899034432469541, "corr_benchmark": 0.5597930483415574, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.3565379777068769, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.35, vea +0.34, vblix +0.13, fxy -0.13", "ref_full": "ivv +0.34, gld +0.13, efa +0.21, vnq -0.09, vweax +0.28, iwm +0.10" }, "wasmx": { "sym": "wasmx", "name": "Boston Trust Walden SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005825323528066678, "alpha_t_5y": -0.22844578193506193, "alpha_t_full": 0.05038965709330801, "r2_5y": 0.8730078448683072, "r2_full": 0.9075733662771365, "corr_portfolio": 0.3158112680089156, "corr_benchmark": 0.5475993865680101, "alpha_pos_frac": 0.5365853658536586, "fund_max_dd": -0.3773585472913914, "first": "2012-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.35, vnq +0.15, ivv +0.88, qqq -0.40, gsg -0.05, gld -0.03", "ref_full": "iwm +0.43, ivv +0.77, qqq -0.30, vnq +0.06, gld -0.04, gsg -0.02" }, "watfx": { "sym": "watfx", "name": "Western Asset Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010077688944533715, "alpha_t_5y": -1.2405072809150184, "alpha_t_full": -1.2620375662624819, "r2_5y": 0.9148416809689418, "r2_full": 0.728146751555123, "corr_portfolio": -0.049498136778808655, "corr_benchmark": 0.731083705361807, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.23105626693477166, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg +0.20, vweax +0.10, vblix +0.41, tlt -0.21, ief +0.26, vmbix +0.17", "ref_full": "agg +0.24, vweax +0.34, ief +0.29, vnq +0.02, tlt +0.06, vwo +0.01" }, "watpx": { "sym": "watpx", "name": "Western Asset Inflation Indexed Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0052311980047038764, "alpha_t_5y": -0.3859264029640199, "alpha_t_full": -0.9951976744734089, "r2_5y": 0.7326280244915288, "r2_full": 0.6269911145166512, "corr_portfolio": -0.056539556880802165, "corr_benchmark": 0.6391068458034175, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.19173265547191654, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "agg +0.36, djp +0.06, ief +0.29, vblix +0.08", "ref_full": "ief +0.48, vweax +0.15, gsg +0.04, agg +0.12, tlt +0.07, iwm +0.01" }, "wayex": { "sym": "wayex", "name": "WAYCROSS MANAGED RISK EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0207607144822589, "alpha_t_5y": -1.3204751492482665, "alpha_t_full": -1.3527260599975628, "r2_5y": 0.8640379789788263, "r2_full": 0.8500756278184753, "corr_portfolio": 0.2221868721802064, "corr_benchmark": 0.5591451773441146, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.20765468122364827, "first": "2015-05-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.48, vnq -0.07, qqq +0.07, iwm +0.03", "ref_full": "ivv +0.40, qqq +0.10, iwm +0.08, vnq -0.04, vmbix -0.16, agg +0.10" }, "wbalx": { "sym": "wbalx", "name": "Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020355746076804872, "alpha_t_5y": -1.5728330208482884, "alpha_t_full": -0.550847456946087, "r2_5y": 0.8244787569237507, "r2_full": 0.8661370316407698, "corr_portfolio": 0.2717211564679957, "corr_benchmark": 0.6247094836608215, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.43039733004614555, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.54, vnq +0.05, qqq -0.17, agg +0.32, gsg -0.02, tlt -0.06", "ref_full": "ivv +0.28, vnq +0.06, iwm +0.06, efa +0.06, gld -0.03, agg +0.09" }, "wbvnx": { "sym": "wbvnx", "name": "William Blair Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003589445787964142, "alpha_t_5y": -0.13072396770166397, "alpha_t_full": -0.10744258283094833, "r2_5y": 0.898716184943383, "r2_full": 0.9470787021492794, "corr_portfolio": 0.355176542683468, "corr_benchmark": 0.49099360460699126, "alpha_pos_frac": 0.5411764705882353, "fund_max_dd": -0.5520345449675573, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq -0.53, ivv +0.71, gld -0.05", "ref_full": "iwm +0.82, vnq +0.07, qqq -0.29, ivv +0.36, tlt -0.04, gld -0.03" }, "wceax": { "sym": "wceax", "name": "Nomura Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007949237695286547, "alpha_t_5y": -0.018349291717346387, "alpha_t_full": 0.0501543548027526, "r2_5y": 0.7174415957992615, "r2_full": 0.8898695747239597, "corr_portfolio": 0.26864090107707195, "corr_benchmark": 0.570862822017832, "alpha_pos_frac": 0.5844155844155844, "fund_max_dd": -0.5632909577739643, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.98", "ref_full": "ivv +0.71, qqq +0.13, iwm +0.06, gsg +0.02, efa +0.05, fxy -0.04" }, "wceix": { "sym": "wceix", "name": "Virtus Westchester Event-Driven Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019298186254881996, "alpha_t_5y": -1.2955230029845457, "alpha_t_full": -0.5352890030475923, "r2_5y": 0.44738498633384316, "r2_full": 0.5679220522545705, "corr_portfolio": 0.2700544031299819, "corr_benchmark": 0.4342969335345451, "alpha_pos_frac": 0.4246575342465753, "fund_max_dd": -0.216531822469881, "first": "2014-01-07", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.06, ivv +0.14, vweax +0.14, qqq -0.05, fxy -0.03", "ref_full": "ivv +0.25, qqq -0.11, vweax +0.21, iwm +0.06, fxy -0.06, vwo +0.04" }, "wcmgx": { "sym": "wcmgx", "name": "First Trust WCM Focused Global Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022540814380375928, "alpha_t_5y": -0.6786137797769255, "alpha_t_full": -0.02647490692745584, "r2_5y": 0.8441562198367283, "r2_full": 0.8678915386372484, "corr_portfolio": 0.2077510621566422, "corr_benchmark": 0.5997876858314342, "alpha_pos_frac": 0.5328947368421053, "fund_max_dd": -0.3676423792494785, "first": "2013-07-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.25, vea +0.30, qqq +0.40, iwm +0.07", "ref_full": "ivv +0.20, qqq +0.39, vea +0.26, iwm +0.08, gsg -0.02, vweax +0.12" }, "wcpbx": { "sym": "wcpbx", "name": "Core Plus Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00934174780051928, "alpha_t_5y": 1.3873095621532354, "alpha_t_full": 1.968873241606728, "r2_5y": 0.8883413214102326, "r2_full": 0.8164308174212203, "corr_portfolio": -0.02266382603414972, "corr_benchmark": 0.679066143504003, "alpha_pos_frac": 0.4460431654676259, "fund_max_dd": -0.13537831271034084, "first": "2014-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "agg -0.03, vblix +0.28, vweax +0.09, ief +0.22, vmbix +0.13, tlt -0.09", "ref_full": "vblix +0.23, vmbix +0.14, vweax +0.14, ief +0.24, tlt -0.10, vnq +0.01" }, "wdiax": { "sym": "wdiax", "name": "Wilmington Enhanced Dividend Income Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032925975481047196, "alpha_t_5y": 0.16117235718283565, "alpha_t_full": -0.9479521953512018, "r2_5y": 0.863298701294269, "r2_full": 0.5550664165183208, "corr_portfolio": 0.4135099622773924, "corr_benchmark": 0.5758991974309801, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.48276142893026397, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.08, qqq -0.50, iwm +0.08, gsg +0.05, vnq +0.08, vea +0.08", "ref_full": "ivv +0.50, iwm +0.12, qqq -0.14, vweax +0.15, efa +0.08, tlt +0.05" }, "wdiv": { "sym": "wdiv", "name": "State Street(R) SPDR(R) S&P(R) Global Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.031576788484792256, "alpha_t_5y": 1.6178375685155528, "alpha_t_full": 1.229013909736081, "r2_5y": 0.8653951773532732, "r2_full": 0.8644995406025096, "corr_portfolio": 0.41842656451527555, "corr_benchmark": 0.4928229642714195, "alpha_pos_frac": 0.5228758169934641, "fund_max_dd": -0.42344518892167116, "first": "2013-05-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.52, vnq +0.15, qqq -0.35, ivv +0.33, vwo +0.08, iwm +0.06", "ref_full": "vea +0.59, vnq +0.14, qqq -0.31, ivv +0.33, vwo +0.09, gsg +0.04" }, "wefix": { "sym": "wefix", "name": "Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0047589986999954795, "alpha_t_5y": 0.9907963053041298, "alpha_t_full": 3.6670650212290408, "r2_5y": 0.6036467976695126, "r2_full": 0.5141094046275354, "corr_portfolio": 0.03621468830878339, "corr_benchmark": 0.44421303775965204, "alpha_pos_frac": 0.41040462427745666, "fund_max_dd": -0.059832165076966204, "first": "2007-06-04", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false, "ref_5y": "ief +0.23, vweax +0.08, tlt -0.18, vblix +0.17, ivv -0.01", "ref_full": "ief +0.25, vweax +0.10, tlt -0.05, vnq +0.01, fxy +0.02, gld -0.00" }, "weusx": { "sym": "weusx", "name": "SIIT WORLD EQUITY EX-US FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 9.42961794334167e-05, "alpha_t_5y": 0.00423191152638196, "alpha_t_full": -1.3725534667419217, "r2_5y": 0.8696487267872586, "r2_full": 0.8744154649726497, "corr_portfolio": 0.41622963201730273, "corr_benchmark": 0.48589711708943967, "alpha_pos_frac": 0.5765765765765766, "fund_max_dd": -0.6662650364430045, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.43, vwo +0.16, vweax +0.45, agg -0.24, qqq -0.04, efa +0.24", "ref_full": "vea +0.38, vweax +0.51, vwo +0.16, ief -0.12, efa +0.24, vnq -0.03" }, "wggsx": { "sym": "wggsx", "name": "Wasatch Global Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10079983020465248, "alpha_t_5y": -2.9816153224229467, "alpha_t_full": -2.3506389107689367, "r2_5y": 0.82632678312586, "r2_full": 0.8513136823856446, "corr_portfolio": 0.1182245860992577, "corr_benchmark": 0.6350348942455755, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.43353184735510464, "first": "2019-10-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.12, vea +0.30, iwm +0.24, qqq +0.25, vweax +0.43, djp -0.07", "ref_full": "ivv +0.06, vea +0.29, iwm +0.22, qqq +0.30, vweax +0.30, djp -0.07" }, "wgisx": { "sym": "wgisx", "name": "Wasatch International Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10275684362382566, "alpha_t_5y": -2.577494784597903, "alpha_t_full": -1.6917932233742, "r2_5y": 0.7729020348476972, "r2_full": 0.7805654747893656, "corr_portfolio": 0.09672789367643869, "corr_benchmark": 0.6085697651702847, "alpha_pos_frac": 0.5064935064935064, "fund_max_dd": -0.454878048780487, "first": "2019-10-02", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vea +0.03, qqq +0.36, vweax +0.57, fxe +0.20, efa +0.64, ivv -0.19", "ref_full": "vea +0.58, qqq +0.27, fxe +0.22, vweax +0.36, gsg -0.04, fxy +0.11" }, "wgrox": { "sym": "wgrox", "name": "Wasatch Core Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05040461409652123, "alpha_t_5y": -1.5787979869629634, "alpha_t_full": -0.864437832766556, "r2_5y": 0.8902586868328958, "r2_full": 0.9142819314305284, "corr_portfolio": 0.20460761712422457, "corr_benchmark": 0.5810266414797395, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.6161040345439093, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.69, ivv +0.20, djp -0.08, vblix +0.06, vnq +0.08, qqq +0.12", "ref_full": "iwm +0.65, qqq +0.12, vweax +0.18, ivv +0.19, gsg -0.03, agg +0.10" }, "whiax": { "sym": "whiax", "name": "Nomura High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012806505302065549, "alpha_t_5y": -0.795454703844137, "alpha_t_full": 0.9286422457250366, "r2_5y": 0.5861145676255235, "r2_full": 0.6454864359488737, "corr_portfolio": 0.30623860928512414, "corr_benchmark": 0.3822933699321789, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.2617460913852856, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.89, vwo +0.04, ief -0.16, vblix +0.07", "ref_full": "vweax +0.81, ivv +0.03, djp +0.01, vnq -0.01" }, "whosx": { "sym": "whosx", "name": "Wasatch-Hoisington U.S. Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005383976172387516, "alpha_t_5y": -0.2059466311594129, "alpha_t_full": 0.424256192478773, "r2_5y": 0.8681689474463825, "r2_full": 0.8770054113789317, "corr_portfolio": -0.1899143965571968, "corr_benchmark": 0.5959948580728329, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.5421850230117555, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "tlt +0.75, ivv -0.07, vblix +0.35", "ref_full": "tlt +1.06, fxy +0.06, djp -0.02, vnq +0.02, vweax -0.07" }, "wiefx": { "sym": "wiefx", "name": "Boston Trust Walden International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007472576189779081, "alpha_t_5y": 0.4743842343915321, "alpha_t_full": 0.4514414000422964, "r2_5y": 0.9286316557611363, "r2_full": 0.8914951246079601, "corr_portfolio": 0.35355379694254824, "corr_benchmark": 0.5428738066689854, "alpha_pos_frac": 0.5038759689922481, "fund_max_dd": -0.29651664172681624, "first": "2015-06-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "efa +0.78, fxe +0.13, vnq +0.05, vwo -0.04, ief +0.21, tlt -0.08", "ref_full": "efa +0.81, vweax +0.24, fxe +0.11, vwo -0.05, qqq -0.03, agg +0.09" }, "winax": { "sym": "winax", "name": "Wilmington International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004377411522258871, "alpha_t_5y": -0.22661438267343847, "alpha_t_full": -1.7268740744368323, "r2_5y": 0.9077899850042552, "r2_full": 0.8781566841893698, "corr_portfolio": 0.36214989126870195, "corr_benchmark": 0.5350811906812367, "alpha_pos_frac": 0.6233183856502242, "fund_max_dd": -0.6368130946080266, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vea +0.38, vwo +0.23, efa +0.27, vweax +0.11", "ref_full": "efa +0.63, vwo +0.17, vweax +0.26, fxe +0.13, qqq +0.04, vnq -0.02" }, "wisex": { "sym": "wisex", "name": "Azzad Wise Capital Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010897042593441778, "alpha_t_5y": -2.665514936659599, "alpha_t_full": -0.22972633019697047, "r2_5y": 0.5851804251323116, "r2_full": 0.49336707074974295, "corr_portfolio": 0.2740934132463308, "corr_benchmark": 0.5409715422141699, "alpha_pos_frac": 0.5130890052356021, "fund_max_dd": -0.05280731772468983, "first": "2010-04-01", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.02, vweax +0.06, vea +0.01, ief +0.04, ivv +0.06, qqq -0.03", "ref_full": "ivv +0.06, vweax +0.06, vnq +0.01, vmbix +0.04, qqq -0.01, efa +0.01" }, "wlgrx": { "sym": "wlgrx", "name": "Nomura Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04035401234068534, "alpha_t_5y": -1.9117025244446753, "alpha_t_full": -1.4431413852693302, "r2_5y": 0.9331130305223021, "r2_full": 0.9368973688380163, "corr_portfolio": 0.17455990629905463, "corr_benchmark": 0.6178545374459695, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.500203012776594, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.69, qqq +0.43, iwm -0.11, vnq +0.07, vea -0.54, efa +0.48", "ref_full": "qqq +0.45, ivv +0.58, vwo -0.03, vnq -0.02, agg +0.05, fxe +0.03" }, "wmbdx": { "sym": "wmbdx", "name": "WesMark Government Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015839135045534528, "alpha_t_5y": -2.1257700626108273, "alpha_t_full": -3.1775627878513744, "r2_5y": 0.9103791565396259, "r2_full": 0.7249893621388626, "corr_portfolio": -0.1086037101512423, "corr_benchmark": 0.6324937584323421, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.24648259266725037, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ief +0.39, vweax +0.06, vmbix +0.24, vblix +0.21, qqq -0.01, tlt -0.09", "ref_full": "ief +0.45, vweax +0.11, agg +0.13, vnq +0.01, tlt -0.02" }, "wmcvx": { "sym": "wmcvx", "name": "Wasatch Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0035476244892294695, "alpha_t_5y": -0.12907036935422214, "alpha_t_full": -0.3872374280149819, "r2_5y": 0.9161788527649753, "r2_full": 0.9220141859516241, "corr_portfolio": 0.28682180407402447, "corr_benchmark": 0.5346497222048666, "alpha_pos_frac": 0.5607843137254902, "fund_max_dd": -0.6578608723541735, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.85, ivv +0.45, qqq -0.25, gld -0.05, vweax +0.15", "ref_full": "iwm +0.84, vweax +0.22, ivv +0.17, qqq -0.09, gsg +0.02" }, "wmgrx": { "sym": "wmgrx", "name": "Nomura Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11384403152058367, "alpha_t_5y": -3.3224898511387617, "alpha_t_full": -2.047850281418785, "r2_5y": 0.8775293190197686, "r2_full": 0.906659490320771, "corr_portfolio": 0.14324016972922599, "corr_benchmark": 0.6136156940016783, "alpha_pos_frac": 0.5603448275862069, "fund_max_dd": -0.5378433202293931, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv -0.08, iwm +0.46, qqq +0.54, vnq +0.13, djp -0.05, vweax +0.19", "ref_full": "ivv +0.20, iwm +0.41, qqq +0.36, agg +0.09, vweax +0.09" }, "wmicx": { "sym": "wmicx", "name": "Wasatch Micro Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05353885638920608, "alpha_t_5y": -1.4992139668564308, "alpha_t_full": -0.5777068699087272, "r2_5y": 0.8821420059433401, "r2_full": 0.8918356354930714, "corr_portfolio": 0.15827524793313943, "corr_benchmark": 0.5440733777140916, "alpha_pos_frac": 0.4870689655172414, "fund_max_dd": -0.6521223217044136, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.00, qqq +0.40, ivv -0.48, djp -0.07, vweax +0.18", "ref_full": "iwm +0.90, qqq +0.29, ivv -0.25, vweax +0.19, vnq -0.05, ief +0.08" }, "wmlix": { "sym": "wmlix", "name": "Wilmington Large-Cap Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004248493513058863, "alpha_t_5y": -0.6851276834607083, "alpha_t_full": -0.23688681338316975, "r2_5y": 0.9925145495007335, "r2_full": 0.9372175556784287, "corr_portfolio": 0.26814496625668727, "corr_benchmark": 0.6071308295128939, "alpha_pos_frac": 0.5977859778597786, "fund_max_dd": -0.5501448855076762, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.88, iwm +0.07, qqq +0.04", "ref_full": "ivv +0.75, qqq +0.11, iwm +0.08, vweax +0.08, djp +0.03, gld -0.03" }, "wmmax": { "sym": "wmmax", "name": "TETON WESTWOOD MIGHTY MITES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02461795274081807, "alpha_t_5y": 0.8852544710774647, "alpha_t_full": 0.8838724740904166, "r2_5y": 0.8817936767045781, "r2_full": 0.8597362505548672, "corr_portfolio": 0.3085365285125977, "corr_benchmark": 0.49846557331278524, "alpha_pos_frac": 0.4439461883408072, "fund_max_dd": -0.4271419403172343, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq -0.26, ivv +0.26, djp -0.05, vea +0.09, vnq -0.05", "ref_full": "iwm +0.83, vnq -0.11, vweax +0.28, qqq -0.08, vwo -0.09, efa +0.09" }, "wmmrx": { "sym": "wmmrx", "name": "Wilmington Real Asset Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014957964397877648, "alpha_t_5y": -0.8280262317961803, "alpha_t_full": -0.5000480949465561, "r2_5y": 0.8565553163488917, "r2_full": 0.7133663027851737, "corr_portfolio": 0.35670566385721897, "corr_benchmark": 0.5177579479991947, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.37877147899925134, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "djp +0.36, vnq +0.28, vea +0.14, vweax +0.16, qqq -0.04", "ref_full": "efa +0.09, djp +0.25, vnq +0.11, vweax +0.32, ief +0.24, iwm +0.07" }, "wmnux": { "sym": "wmnux", "name": "Westwood Alternative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014054957292677256, "alpha_t_5y": 2.4210927723527385, "alpha_t_full": 3.3001133350588554, "r2_5y": 0.38256112453847935, "r2_full": 0.1799060684788203, "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", "alpha_name": true, "ref_5y": "vweax +0.11, iwm +0.03, fxe +0.02, vmbix +0.03, vnq -0.01, vwo +0.01", "ref_full": "vweax +0.17, fxe +0.04, fxy +0.02, iwm +0.04, ivv -0.04, efa -0.02" }, "wnyax": { "sym": "wnyax", "name": "Wilmington New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020706128501082492, "alpha_t_5y": -2.0900144177189905, "alpha_t_full": -0.5252054062732796, "r2_5y": 0.36197203348181706, "r2_full": 0.27783751883747887, "corr_portfolio": 0.028468359768801896, "corr_benchmark": 0.3463404467852397, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.11693808185885002, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, ief +0.12, ivv -0.04", "ref_full": "agg +0.10, vweax +0.22, ief +0.06, fxy +0.03, efa -0.02, vnq +0.01" }, "wpopx": { "sym": "wpopx", "name": "Partners III Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05708280632467476, "alpha_t_5y": -1.8253658473174001, "alpha_t_full": -1.1318154482475813, "r2_5y": 0.7784849044150112, "r2_full": 0.8029277684300452, "corr_portfolio": 0.24883797236768712, "corr_benchmark": 0.553376511717844, "alpha_pos_frac": 0.4462809917355372, "fund_max_dd": -0.5754926574454038, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.92, qqq -0.24, vnq +0.09, iwm +0.08, gld -0.06, vweax +0.25", "ref_full": "ivv +0.49, iwm +0.18, vweax +0.18, vnq +0.04, gld -0.04, agg +0.10" }, "wpsgx": { "sym": "wpsgx", "name": "AB Concentrated Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0732218240690948, "alpha_t_5y": -2.86842470750122, "alpha_t_full": -0.8046878102092846, "r2_5y": 0.884955511433257, "r2_full": 0.9088251013952273, "corr_portfolio": 0.2505200651502974, "corr_benchmark": 0.5927475886070235, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.4806984590002825, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.92, vnq +0.13, djp -0.04", "ref_full": "ivv +0.73, qqq +0.13, iwm +0.08, gsg -0.03, gld -0.03, vnq +0.02" }, "wpvlx": { "sym": "wpvlx", "name": "Multi Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05035690607141394, "alpha_t_5y": -1.722073828841094, "alpha_t_full": -2.090990379176376, "r2_5y": 0.8349724199371367, "r2_full": 0.8785402986929474, "corr_portfolio": 0.2757133556373765, "corr_benchmark": 0.5806971721112724, "alpha_pos_frac": 0.5344827586206896, "fund_max_dd": -0.5901087847694619, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.04, qqq -0.30, iwm +0.16, vnq +0.11, djp -0.06", "ref_full": "ivv +0.56, iwm +0.23, vweax +0.20, vnq +0.06, gld -0.04, agg +0.11" }, "wraax": { "sym": "wraax", "name": "Wilmington Global Alpha Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016249041190341134, "alpha_t_5y": -1.5597479498768982, "alpha_t_full": -0.5476186924178658, "r2_5y": 0.8508827404120232, "r2_full": 0.36060717297963596, "corr_portfolio": 0.2095206224463461, "corr_benchmark": 0.45924982473708137, "alpha_pos_frac": 0.6094674556213018, "fund_max_dd": -0.15384599888783645, "first": "2012-01-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.46, efa +0.11, qqq -0.12, tlt +0.04, vweax -0.11, iwm -0.03", "ref_full": "ivv +0.33, agg +0.58, vmbix -0.38, vnq -0.06, qqq -0.07, iwm +0.03" }, "wsbfx": { "sym": "wsbfx", "name": "Boston Trust Walden Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021622547127155667, "alpha_t_5y": -1.8853178210007049, "alpha_t_full": -1.1082577400068512, "r2_5y": 0.9379577646582556, "r2_full": 0.940269045149603, "corr_portfolio": 0.2931987814437124, "corr_benchmark": 0.6572765319634675, "alpha_pos_frac": 0.5241635687732342, "fund_max_dd": -0.32005000153063123, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +0.83, agg +0.30, qqq -0.16, iwm -0.02", "ref_full": "ivv +0.66, ief +0.13, vnq -0.04, vweax +0.07, qqq -0.04, iwm +0.03" }, "wsefx": { "sym": "wsefx", "name": "Boston Trust Walden Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02734892825837577, "alpha_t_5y": -1.860625828492593, "alpha_t_full": 0.4041502807185182, "r2_5y": 0.9481348234129726, "r2_full": 0.9626549001616269, "corr_portfolio": 0.3121775209640662, "corr_benchmark": 0.586563763441743, "alpha_pos_frac": 0.4627831715210356, "fund_max_dd": -0.48027225493080783, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "ivv +1.26, qqq -0.26, iwm -0.03", "ref_full": "ivv +0.96, qqq -0.08, efa +0.03, tlt -0.02, vnq -0.02, iwm +0.02" }, "wsgrx": { "sym": "wsgrx", "name": "Nomura Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04473911639469181, "alpha_t_5y": -0.6723658430310309, "alpha_t_full": -0.4757865775100717, "r2_5y": 0.6763347501334231, "r2_full": 0.8327205193365621, "corr_portfolio": 0.16199941383490166, "corr_benchmark": 0.5148412268490713, "alpha_pos_frac": 0.5330578512396694, "fund_max_dd": -0.5524057860461962, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.84, qqq +0.45, ivv -0.32", "ref_full": "iwm +0.80, qqq +0.29, vnq -0.06, efa -0.06" }, "wstrx": { "sym": "wstrx", "name": "Nomura Science and Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013393174669077716, "alpha_t_5y": 0.4412022204867405, "alpha_t_full": -0.21158393555004426, "r2_5y": 0.9274785068315605, "r2_full": 0.8898578652170337, "corr_portfolio": 0.13935052378843213, "corr_benchmark": 0.5809743738797228, "alpha_pos_frac": 0.4080717488789238, "fund_max_dd": -0.4343842553572411, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.16, vwo +0.03, vnq -0.12, iwm +0.16, ivv -0.28, vea +0.13", "ref_full": "qqq +0.79, iwm +0.27, vnq -0.11, vweax +0.18, gld +0.05" }, "wtabx": { "sym": "wtabx", "name": "Wilmington Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018760398833146542, "alpha_t_5y": -1.9108829923688995, "alpha_t_full": 0.3280317787248939, "r2_5y": 0.38181617229830855, "r2_full": 0.28168977037098486, "corr_portfolio": 0.03663823839585975, "corr_benchmark": 0.3495682722954813, "alpha_pos_frac": 0.5413223140495868, "fund_max_dd": -0.12149781120023273, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vweax +0.30, ief +0.11, ivv -0.05, vnq +0.02", "ref_full": "agg +0.10, vweax +0.22, ief +0.06, fxy +0.03, efa -0.02, vnq +0.01" }, "wusax": { "sym": "wusax", "name": "Columbia Variable Portfolio - Acorn Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07636167490402458, "alpha_t_5y": -2.314645706057963, "alpha_t_full": -1.8680591239737685, "r2_5y": 0.8996913518482401, "r2_full": 0.9339181773654277, "corr_portfolio": 0.15047575354749576, "corr_benchmark": 0.5754856300215416, "alpha_pos_frac": 0.5292096219931272, "fund_max_dd": -0.5848464226160706, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.81, qqq +0.56, ivv -0.41, vweax +0.21", "ref_full": "iwm +0.78, qqq +0.26, agg +0.09, fxe +0.05, vnq -0.02" }, "wvalx": { "sym": "wvalx", "name": "Large Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.059809863769515366, "alpha_t_5y": -1.943959029181034, "alpha_t_full": -2.3964630021069144, "r2_5y": 0.8360682292236745, "r2_full": 0.885877044907184, "corr_portfolio": 0.23010860456917398, "corr_benchmark": 0.6101588291283249, "alpha_pos_frac": 0.5517241379310345, "fund_max_dd": -0.6196354149519143, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +1.10, vnq +0.12, djp -0.07, qqq -0.15", "ref_full": "ivv +0.80, vnq +0.05, vweax +0.13, iwm +0.07, vwo -0.05, agg +0.12" }, "wwnpx": { "sym": "wwnpx", "name": "Kinetics Paradigm Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06041265046970341, "alpha_t_5y": 0.5513687993524552, "alpha_t_full": 1.0545865827321728, "r2_5y": 0.38782573480583915, "r2_full": 0.5687244904880943, "corr_portfolio": 0.25894114144162733, "corr_benchmark": 0.3212054724862386, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.6780481268524665, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.73, gsg +0.44, ief -0.32", "ref_full": "iwm +0.44, gsg +0.25, ivv +0.42, vweax +0.21, qqq -0.12" }, "wwwex": { "sym": "wwwex", "name": "Kinetics Global Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.043403735782032445, "alpha_t_5y": 0.6370084935391229, "alpha_t_full": 1.034327693413008, "r2_5y": 0.3976714224253389, "r2_full": 0.4220152627815619, "corr_portfolio": 0.18936593124188097, "corr_benchmark": 0.3124828150059365, "alpha_pos_frac": 0.44680851063829785, "fund_max_dd": -0.8259746072031977, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.51, gsg +0.14, gld +0.13, ief -0.26", "ref_full": "efa +0.14, iwm +0.26, djp +0.15, vnq -0.12, vweax +0.44, vwo +0.14" }, "wwwfx": { "sym": "wwwfx", "name": "Kinetics Internet Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004309759527652317, "alpha_t_5y": -0.042660313083757104, "alpha_t_full": 1.0396530963511417, "r2_5y": 0.341847074554678, "r2_full": 0.4771977001166756, "corr_portfolio": 0.15234637979586962, "corr_benchmark": 0.33014418809341844, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.7570685659461371, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.55, gsg +0.15, qqq +0.22, ief -0.32", "ref_full": "iwm +0.37, qqq +0.31, djp +0.13" }, "xcem": { "sym": "xcem", "name": "Columbia EM Core ex-China ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012253679917307622, "alpha_t_5y": 0.42690260169192923, "alpha_t_full": 0.4917876342986196, "r2_5y": 0.8737501269285449, "r2_full": 0.7050203618954083, "corr_portfolio": 0.2915908385566141, "corr_benchmark": 0.4688879716903479, "alpha_pos_frac": 0.5317460317460317, "fund_max_dd": -0.4091846609250087, "first": "2015-09-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vwo +0.44, vea +2.71, efa -2.18, djp -0.07, qqq +0.09, vnq -0.09", "ref_full": "vwo +0.45, vea +2.42, efa -1.92, vweax +0.29, vnq -0.08, gsg -0.04" }, "xitk": { "sym": "xitk", "name": "State Street(R) SPDR(R) FactSet Innovative Technology ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0993656851356445, "alpha_t_5y": -1.6031269159624046, "alpha_t_full": -0.6894246751007883, "r2_5y": 0.8006541292870855, "r2_full": 0.752861568329584, "corr_portfolio": -0.008542636098263966, "corr_benchmark": 0.5503694951221288, "alpha_pos_frac": 0.5289256198347108, "fund_max_dd": -0.6556055469570798, "first": "2016-01-15", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.52, iwm +0.81, ivv -1.36, vweax +0.52, vwo +0.25, vea -0.31", "ref_full": "qqq +1.49, iwm +0.73, ivv -1.42, vweax +0.35, tlt +0.08, vwo +0.08" }, "xlre": { "sym": "xlre", "name": "State Street(R) Real Estate Select Sector SPDR(R) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006848796243436156, "alpha_t_5y": 0.7142484299118813, "alpha_t_full": 0.790267468220855, "r2_5y": 0.9852378903845121, "r2_full": 0.9609477632685917, "corr_portfolio": 0.1969365914554646, "corr_benchmark": 0.5683976748547654, "alpha_pos_frac": 0.448, "fund_max_dd": -0.3882475653980426, "first": "2015-10-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "vnq +1.07, iwm -0.11, qqq +0.04", "ref_full": "vnq +1.01, iwm -0.14, ivv +0.11" }, "xmhq": { "sym": "xmhq", "name": "Invesco S&P MidCap Quality ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009280224226052744, "alpha_t_5y": 0.29348797368431395, "alpha_t_full": -0.15346865962825817, "r2_5y": 0.8659875887374365, "r2_full": 0.74815095050412, "corr_portfolio": 0.3072653884873339, "corr_benchmark": 0.5279032457952386, "alpha_pos_frac": 0.4805194805194805, "fund_max_dd": -0.5819075730668914, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.58, ivv +0.77, qqq -0.30", "ref_full": "iwm +0.43, ivv +0.42, vweax +0.41, djp +0.07, vnq -0.03, vwo -0.04" }, "xmlv": { "sym": "xmlv", "name": "Invesco S&P MidCap Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003980835875655843, "alpha_t_5y": 0.16358860084452465, "alpha_t_full": 1.4819577322039919, "r2_5y": 0.8377320340950294, "r2_full": 0.8740203189904742, "corr_portfolio": 0.3624205621541315, "corr_benchmark": 0.5423699716643859, "alpha_pos_frac": 0.5641025641025641, "fund_max_dd": -0.3986087159194094, "first": "2013-02-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "vnq +0.32, iwm +0.22, qqq -0.52, ivv +0.82, vwo -0.05", "ref_full": "vnq +0.36, iwm +0.21, ivv +0.68, qqq -0.38, gsg -0.02, vmbix -0.10" }, "xmmo": { "sym": "xmmo", "name": "Invesco S&P MidCap Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0136673590049493, "alpha_t_5y": 0.33404975092809963, "alpha_t_full": 0.33337809934430196, "r2_5y": 0.8068489918948609, "r2_full": 0.8364612496346289, "corr_portfolio": 0.280198182234732, "corr_benchmark": 0.5526995583881993, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.5536854793083998, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.56, ivv +0.33, vea +0.91, efa -0.75, vmbix -0.47, vblix +0.14", "ref_full": "ivv +0.27, iwm +0.46, qqq +0.23, vnq -0.06, efa +0.09, gld +0.04" }, "xmvm": { "sym": "xmvm", "name": "Invesco S&P MidCap Value with Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04449710902041887, "alpha_t_5y": 1.2855952406371265, "alpha_t_full": 0.8442137806323684, "r2_5y": 0.856014914336747, "r2_full": 0.841270962297488, "corr_portfolio": 0.3825367624102276, "corr_benchmark": 0.4649809546641647, "alpha_pos_frac": 0.5158730158730159, "fund_max_dd": -0.628238834465589, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.71, ief -0.14, vnq -0.03, qqq -0.74, ivv +1.18, gld -0.07", "ref_full": "iwm +0.57, ivv +0.74, qqq -0.42, vweax +0.25, tlt -0.08, agg +0.14" }, "xntk": { "sym": "xntk", "name": "State Street(R) SPDR(R) NYSE Technology ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02427346464988303, "alpha_t_5y": 0.8979399280376937, "alpha_t_full": -0.30274625772309965, "r2_5y": 0.9505977363121354, "r2_full": 0.8989474679485844, "corr_portfolio": 0.11220048699137908, "corr_benchmark": 0.5697517992505668, "alpha_pos_frac": 0.50199203187251, "fund_max_dd": -0.7626066564999899, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "qqq +1.44, vwo +0.26, ivv -0.69, iwm +0.22, vnq -0.09, ief -0.10", "ref_full": "qqq +1.10, vwo +0.10, vnq -0.06, iwm +0.12, ivv -0.22, vweax +0.15" }, "xshq": { "sym": "xshq", "name": "Invesco S&P SmallCap Quality ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009867069139636664, "alpha_t_5y": 0.3013472220543, "alpha_t_full": 0.3500001740574855, "r2_5y": 0.869462923429522, "r2_full": 0.7809684945956339, "corr_portfolio": 0.30331086186624, "corr_benchmark": 0.48026144742162397, "alpha_pos_frac": 0.4953271028037383, "fund_max_dd": -0.3833128924669289, "first": "2017-04-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +0.89, qqq -0.42, ivv +0.59, gld -0.06, vnq -0.09", "ref_full": "iwm +0.87, qqq -0.26, ivv +0.32, vnq -0.06" }, "xslv": { "sym": "xslv", "name": "Invesco S&P SmallCap Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004771918077802193, "alpha_t_5y": 0.15503853323152653, "alpha_t_full": 0.9647173225688038, "r2_5y": 0.8107105513356203, "r2_full": 0.8562068629224193, "corr_portfolio": 0.3468526324534221, "corr_benchmark": 0.47124112213837355, "alpha_pos_frac": 0.5961538461538461, "fund_max_dd": -0.44336557658778386, "first": "2013-02-19", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +0.54, vnq +0.22, qqq -0.53, ivv +0.63, gld -0.06, vwo -0.06", "ref_full": "iwm +0.60, vnq +0.24, qqq -0.47, ivv +0.53, gld -0.06, gsg -0.03" }, "xsmo": { "sym": "xsmo", "name": "Invesco S&P SmallCap Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023999705261385784, "alpha_t_5y": 0.6515126873856831, "alpha_t_full": -0.34040550323994234, "r2_5y": 0.860914842166896, "r2_full": 0.8216864966347717, "corr_portfolio": 0.27868843476507543, "corr_benchmark": 0.5005401597060205, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.5807451093108752, "first": "2007-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false, "ref_5y": "iwm +1.00, vmbix -0.18, vnq -0.06", "ref_full": "iwm +0.87, qqq +0.14, vnq -0.06, vweax +0.18, vwo -0.05, gld +0.04" }, "xsvm": { "sym": "xsvm", "name": "Invesco S&P SmallCap Value with Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08055568751641952, "alpha_t_5y": 1.691382306779869, "alpha_t_full": 1.7491826399134263, "r2_5y": 0.7781854171978819, "r2_full": 0.8443116632697478, "corr_portfolio": 0.3590219006119822, "corr_benchmark": 0.4150780156343713, "alpha_pos_frac": 0.42857142857142855, "fund_max_dd": -0.6256982514979584, "first": "2007-06-04", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "iwm +1.04, qqq -0.70, ivv +0.70, gld -0.08, vnq -0.08", "ref_full": "iwm +1.03, qqq -0.38, ivv +0.24, gld -0.07, djp +0.06, vweax +0.13" }, "ycgex": { "sym": "ycgex", "name": "YCG Enhanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03792760267325439, "alpha_t_5y": -1.1294660761347939, "alpha_t_full": -0.76782070379585, "r2_5y": 0.7815723577014332, "r2_full": 0.8555681598643435, "corr_portfolio": 0.23571000894971192, "corr_benchmark": 0.5913815162830864, "alpha_pos_frac": 0.569620253164557, "fund_max_dd": -0.3590307942878992, "first": "2013-01-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "ivv +0.83, vnq +0.21, iwm -0.13, fxe +0.20, gld -0.08, vweax +0.21", "ref_full": "ivv +0.79, vnq +0.12, efa +0.75, vea -0.68, iwm -0.07, vweax +0.17" }, "zvgix": { "sym": "zvgix", "name": "Zevenbergen Genea Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08201126255501641, "alpha_t_5y": -1.1147259511699117, "alpha_t_full": -0.4675967920067726, "r2_5y": 0.8009937716037726, "r2_full": 0.785917800907386, "corr_portfolio": -0.050814323870191205, "corr_benchmark": 0.5509851035735001, "alpha_pos_frac": 0.49206349206349204, "fund_max_dd": -0.6862951901718308, "first": "2015-09-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +2.03, iwm +0.63, ivv -1.43, vweax +0.58, vea -0.33, vwo +0.18", "ref_full": "qqq +2.04, ivv -1.63, iwm +0.60, vweax +0.41" }, "zvnix": { "sym": "zvnix", "name": "Zevenbergen Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11777389660207592, "alpha_t_5y": -1.809005771771443, "alpha_t_full": -1.2752355838866454, "r2_5y": 0.815164480993153, "r2_full": 0.8120232788909106, "corr_portfolio": -0.05411552962558509, "corr_benchmark": 0.5648850487773036, "alpha_pos_frac": 0.5238095238095238, "fund_max_dd": -0.6609743261509207, "first": "2015-09-03", "verdict": "weak/unstable alpha", "alpha_name": false, "ref_5y": "qqq +1.93, iwm +0.56, ivv -1.45, vweax +0.45", "ref_full": "qqq +1.80, ivv -1.33, iwm +0.54, vweax +0.27, tlt +0.06" } }