Fund report - 11 alpha candidates & 13 shortlist funds

Discussion

ATESX is the Anchor Risk Mgd Equity Strategies Instl. Stated strategy: The Fund seeks to provide long-term growth of capital while providing current income. Its return-driver signature is closest to the 'cash (net posn) +0.87' cluster.

Since 2016 it has compounded at +8.3% per year (a +121% total return) with +11% annualized volatility and a maximum drawdown of 13%. Over the last five years it returned +28.2% versus +19.2% for its reference and +124.4% for the S&P 500. The last twelve months have done +4.0%. It was positive in 6 of the last 8 calendar years (including the partial current year).

The broad sleeve framework explains little of its excess returns (R² = 0.42). The loadings that do show up - a small tilt to trend-following across futures, a small tilt to growth/tech-heavy us equities, a small tilt to the tech sector index - are minor tilts, not the story. Most of the performance is therefore idiosyncratic rather than benchmark-like. The honest five-year read of its excess return is -1.6% per year (t = -0.5): over the recent window this fund is NOT measurably adding to its fitted reference. Over the full history the same estimate is -0.6% per year (t = -0.2). The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 0.85 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 58% of the return is outside our sleeve model either way.

Account placement: taxable (N-PORT holdings says TAXABLE).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2016-to-2026 the fit explains 34% of the excess return (R² 0.34). The statistically identified tilt stack: the core exposure is 6% of international developed equities (t -2); clear tilt toward US growth equities (β +0.26, t +7); modest tilt away from banks/financials (β -0.12, t -4); modest low-volatility (defensive beta) tilt (β +0.14, t +4); modest tilt away from energy (β -0.05, t -4); modest cap-weight concentration (tilt away from equal-weight/small) (β -0.22, t -3); modest tilt toward US small caps (β +0.06, t +3); modest momentum tilt (preference for recent winners) (β +0.06, t +3); modest tilt away from healthcare (defensive) (β -0.06, t -2).

Visible only in the recent 5-year window: modest quality tilt (high-ROE, low-debt, stable earnings) (β +0.16, t +2); modest tilt away from consumer staples (defensive) (β -0.09, t -3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is +1.8%/year (t +0.6) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

Peer comparison (same return-driver cluster)

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

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

Discussion

ATRFX is the Catalyst Systematic Alpha I. Stated strategy: The Fund seeks to provide a total return that exceeds the BNP Paribas Catalyst Systematic Alpha Index II (the Benchmark ). Its return-driver signature is closest to the 'cash (net posn) +0.87' cluster.

Since 2014 it has compounded at +5.0% per year (a +80% total return) with +15% annualized volatility and a maximum drawdown of 35%. Over the last five years it returned +47.5% versus +19.2% for its reference and +124.4% for the S&P 500. The last twelve months have done +7.0%. It was positive in 5 of the last 8 calendar years (including the partial current year).

The broad sleeve framework explains little of its excess returns (R² = 0.31). The loadings that do show up - exposure to trend-following across futures, exposure to international developed markets, a small tilt to high-yield corporate bonds - are minor tilts, not the story. Most of the performance is therefore idiosyncratic rather than benchmark-like. The honest five-year read of its excess return is -5.0% per year (t = -0.8): over the recent window this fund is NOT measurably adding to its fitted reference. Over the full history the same estimate is +0.5% per year (t = 0.1). The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 1.83 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 69% of the return is outside our sleeve model either way.

Account placement: IRA (N-PORT holdings says IRA).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2014-to-2026 the fit explains 16% of the excess return (R² 0.16). The statistically identified tilt stack: the core exposure is 16% of international developed equities (t +4); modest underweight to low-volatility names (β -0.38, t -5); modest dividend-appreciation tilt (growing payers) (β +0.56, t +4); modest tilt toward gold (β +0.07, t +4); modest tilt toward utilities (defensive bond-proxy) (β +0.17, t +4); modest underweight to high-dividend names (β -0.27, t -4); modest tilt away from energy (β -0.06, t -3); modest momentum tilt (preference for recent winners) (β +0.10, t +3); modest quality tilt (high-ROE, low-debt, stable earnings) (β +0.27, t +3); modest low-volatility (defensive beta) tilt (β +0.16, t +3); modest developed-only tilt (away from emerging markets) (β -0.06, t -3); modest short-AUD position (USD carry) (β -0.12, t -2).

Visible only in the recent 5-year window: modest tilt toward US value equities (β +0.82, t +3); modest short-euro position that carries the USD/EUR interest-rate differential (β -0.23, t -3); modest short-yen position that carries the USD/JPY rate differential (β -0.21, t -4) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is -0.1%/year (t -0.0) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

Advantages vs peers: sharpest drawdown in the cluster.

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

Discussion

CVSIX is the Calamos Market Neutral Income A. Stated strategy: The Fund's investment strategy can be characterized as market neutral because it seeks to achieve maximum current income while maintaining a low correlation to the fluctuations of the US equity market as a whole. Its return-driver signature is closest to the 'cash (net posn) +1.98' cluster.

Since 1990 it has compounded at +5.5% per year (a +590% total return) with +5% annualized volatility and a maximum drawdown of 21%. Over the last five years it returned +30.1% versus +17.8% for its reference and +124.4% for the S&P 500. The last twelve months have done +6.4%. It was positive in 6 of the last 8 calendar years (including the partial current year).

The fit is strong: 75% of its excess returns over the last five years are explained by its measured exposures. In other words, most of what this fund does is charge you for those exposures in the form of a fund; what is left - an alpha of -0.6% per year (t = -0.9) - is statistically indistinguishable from zero, i.e. the strategy is not clearly adding anything on top of the mix it owns. The curated decomposition's read: partially explainable — material active/timing residual. Weight stability: the one-year rolling betas move by at most 0.49 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 25% of the return is outside our sleeve model either way.

Account placement: taxable (the sleeve model says TAXABLE (defers to LTCG)).

Performance

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

What drove the returns

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

Decomposition verdict: partially explainable — material active/timing residual

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 78% of the excess return (R² 0.78). The statistically identified tilt stack: the core exposure is 1% of international developed equities (t +2); strong tilt toward US growth equities (β +0.10, t +15); clear tilt toward energy (β +0.01, t +6); clear tilt toward banks/financials (β +0.03, t +5); clear low-volatility (defensive beta) tilt (β +0.03, t +5); modest tilt away from high dividend (appreciation-tilted) (β -0.07, t -4); modest anti-momentum character - it does not chase recent winners (low-turnover/contrarian) (β -0.02, t -4); modest tilt toward healthcare (defensive) (β +0.01, t +3); modest short-yen position that carries the USD/JPY rate differential (β -0.01, t -3); modest tilt toward US value equities (β +0.06, t +3); modest an emerging-market tilt (β +0.01, t +3); modest tilt away from US small caps (β -0.01, t -3); modest tilt toward consumer staples (defensive) (β +0.01, t +3); modest low-volatility (defensive beta) tilt (β +0.02, t +2).

Visible only in the recent 5-year window: modest high-dividend tilt - a systematic preference for income-paying names (β +0.05, t +4); modest long-AUD position (AUD carry) (β +0.02, t +2) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is +0.0%/year (t +0.1) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

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

Discussion

JLPSX is the JPMorgan US Large Cap Core Plus I. Stated strategy: The Fund seeks to provide high total return from a portfolio of selected equity securities. Its return-driver signature is closest to the 'no dominant driver (balanced/idio)' cluster.

Since 2005 it has compounded at +12.6% per year (a +1074% total return) with +22% annualized volatility and a maximum drawdown of 51%. Over the last five years it returned +123.5% versus +127.4% for its reference and +123.7% for the S&P 500. The last twelve months have done +14.5%. It was positive in 6 of the last 8 calendar years (including the partial current year).

The fit is strong: 95% of its excess returns over the last five years are explained by its measured exposures - exposure to core us equity market, exposure to growth/tech-heavy us equities, exposure to the tech sector index. In other words, most of what this fund does is charge you for those exposures in the form of a fund; what is left - an alpha of -0.2% per year (t = -0.2) - is statistically indistinguishable from zero, i.e. the strategy is not clearly adding anything on top of the mix it owns. The curated decomposition's read: partially explainable — material active/timing residual. Weight stability: the one-year rolling betas move by at most 0.04 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 5% of the return is outside our sleeve model either way.

Account placement: taxable (the sleeve model says TAXABLE).

Performance

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

What drove the returns

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

Decomposition verdict: partially explainable — material active/timing residual

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 74% of the excess return (R² 0.74). The statistically identified tilt stack: strong tilt toward US growth equities (β +0.52, t +13); clear tilt toward US value equities (β +0.87, t +7); modest cap-weight concentration (tilt away from equal-weight/small) (β -0.27, t -3); modest tilt away from high dividend (appreciation-tilted) (β -0.31, t -3); modest quality tilt (high-ROE, low-debt, stable earnings) (β +0.16, t +3); modest tilt toward energy (β +0.03, t +2).

Visible only in the recent 5-year window: modest tilt away from US small caps (β -0.05, t -4); modest low-volatility (defensive beta) tilt (β +0.17, t +4); clear momentum tilt (preference for recent winners) (β +0.06, t +6); modest underweight to high-dividend names (β -0.12, t -5); modest tilt toward healthcare (defensive) (β +0.05, t +5); modest tilt toward banks/financials (β +0.04, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is -0.6%/year (t -0.2) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

Advantages vs peers: sharpest drawdown in the cluster.

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

Discussion

PMAIX is the Victory Pioneer Multi-Asset Income A. Stated strategy: The Fund seeks a high level of current income. Its return-driver signature is closest to the 'cash (net posn) +0.66 + HY corporate +0.09' cluster.

Since 2011 it has compounded at +8.6% per year (a +236% total return) with +7% annualized volatility and a maximum drawdown of 24%. Over the last five years it returned +78.6% versus +36.1% for its reference and +124.4% for the S&P 500. The last twelve months have done +15.7%. It was positive in 7 of the last 8 calendar years (including the partial current year).

The fit is strong: 71% of its excess returns over the last five years are explained by its measured exposures - a small tilt to high-yield corporate bonds, a small tilt to international developed markets. In other words, most of what this fund does is charge you for those exposures in the form of a fund; what is left - an alpha of +3.6% per year (t = 2.4) - is small relative to the beta, but it is what separates this fund from the equivalent index mix. The curated decomposition's read: partially explainable — material active/timing residual. Weight stability: the one-year rolling betas move by at most 0.45 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: 29% of this fund's excess return is NOT attributed to any measured exposure by our analysis - we know the outperformance is real, we do not know from returns what produces it; the source has to be read from the filings before sizing up. Global multi-asset fund of funds (N-PORT: 99.5% in unaffiliated underlying funds/loans) - the holdings check is the ground truth here, and the return model is only a description of it.

Account placement: not settled by the model - the sleeve model calls it MIXED, so the last 1099-DIV is the arbiter before choosing taxable vs IRA.

Performance

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

What drove the returns

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

Decomposition verdict: partially explainable — material active/timing residual

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 64% of the excess return (R² 0.64). The statistically identified tilt stack: the core exposure is 20% of international developed equities (t +17); clear low-volatility (defensive beta) tilt (β +0.11, t +6); clear tilt toward energy (β +0.04, t +6); clear tilt toward banks/financials (β +0.06, t +5); modest tilt away from US value equities (β -0.24, t -5); modest tilt away from US growth equities (β -0.08, t -5); modest an emerging-market tilt (β +0.03, t +4); modest tilt toward healthcare (defensive) (β +0.04, t +4); modest dividend-appreciation tilt (growing payers) (β +0.15, t +4); modest equal-weight (small-tilted) exposure (β +0.11, t +3); modest long-euro position (exposed to EUR moves) (β +0.04, t +3); modest tilt away from consumer staples (defensive) (β -0.04, t -3); modest tilt toward long-duration Treasuries (β +0.02, t +3); modest long-AUD position (AUD carry) (β +0.04, t +3); modest tilt away from utilities (defensive bond-proxy) (β -0.03, t -2); modest anti-momentum character - it does not chase recent winners (low-turnover/contrarian) (β -0.02, t -2).

Visible only in the recent 5-year window: modest tilt away from US small caps (β -0.04, t -3); modest underweight to low-volatility names (β -0.06, t -2); modest anti-quality tilt - systematically underweight high-ROE, low-debt names; the mechanical flip side of a high-payout dividend mandate (β -0.11, t -3); modest tilt toward gold (β +0.02, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, a significant residual of +4.4%/year (t +3.6) remains - genuine alpha on top of the factor stack.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

Advantages vs peers: sharpest drawdown in the cluster.

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

Discussion

PMORX is the Putnam Mortgage Opportunities A. Stated strategy: The fund seeks to maximize total return consistent with what the Investment Manager (as defined below) believes to be prudent risk. Its return-driver signature is closest to the 'cash (net posn) +1.98' cluster.

Since 2019 it has compounded at +4.3% per year (a +35% total return) with +6% annualized volatility and a maximum drawdown of 19%. Over the last five years it returned +37.3% versus +19.2% for its reference and +123.7% for the S&P 500. The last twelve months have done +6.2%. It was positive in 4 of the last 7 calendar years (including the partial current year).

The broad sleeve framework explains little of its excess returns (R² = 0.08). No benchmark loading is even large. The bulk of the performance is therefore idiosyncratic: it comes from the fund's own holdings and decisions, which nothing in our 34-sleeve space replicates. The estimate of that idiosyncratic return is +2.1% per year over the last five years (t = 1.7) - at that t-stat it is not yet clearly different from a lucky streak. Over the full history the same estimate is +2.0% per year (t = 1.0). The stated strategy ('The fund seeks to maximize total return consistent with what the Investment Manager (as defined below)...') is a plausible mechanism as well, but that is a hypothesis - the returns only tell us the outperformance exists, not why. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 0.74 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 92% of the return is outside our sleeve model either way.

Account placement: IRA (the sleeve model says IRA).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2019-to-2026 the fit explains 8% of the excess return (R² 0.08). The statistically identified tilt stack: modest tilt toward utilities (defensive bond-proxy) (β +0.08, t +3); modest tilt toward long-duration Treasuries (β +0.02, t +3); modest short-AUD position (USD carry) (β -0.07, t -2); modest tilt away from gold (β -0.02, t -2).

Visible only in the recent 5-year window: modest an emerging-market tilt (β +0.02, t +2); modest underweight to low-volatility names (β -0.05, t -2); modest tilt away from high dividend (appreciation-tilted) (β -0.09, t -2); modest short-euro position that carries the USD/EUR interest-rate differential (β -0.04, t -2); modest tilt toward banks/financials (β +0.04, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is +2.0%/year (t +1.0) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

Peer comparison (same return-driver cluster)

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

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

Discussion

QSPNX is the AQR Style Premia Alternative N. Stated strategy: The Fund seeks long-term absolute (positive) returns. Its return-driver signature is closest to the 'cash (net posn) +1.98' cluster.

Since 2013 it has compounded at +7.7% per year (a +160% total return) with +11% annualized volatility and a maximum drawdown of 42%. Over the last five years it returned +197.1% versus +19.2% for its reference and +124.4% for the S&P 500. The last twelve months have done +22.0%. It was positive in 5 of the last 8 calendar years (including the partial current year).

The broad sleeve framework explains little of its excess returns (R² = 0.32). The loadings that do show up - exposure to cheap/asset-rich us names (financials, energy, cyclicals), short-like exposure to growth/tech-heavy us equities (it rises when that asset falls), a small tilt to international developed markets - are minor tilts, not the story. The bulk of the performance is therefore idiosyncratic: it comes from the fund's own holdings and decisions, which nothing in our 34-sleeve space replicates. The estimate of that idiosyncratic return is +10.5% per year over the last five years (t = 2.2) - statistically significant, so the outperformance is real; what the returns alone cannot tell us is its source. Over the full history the same estimate is +7.6% per year (t = 1.8). The stated strategy ('The Fund seeks long-term absolute (positive) returns') is a plausible mechanism as well, but that is a hypothesis - the returns only tell us the outperformance exists, not why. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 1.00 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: 68% of this fund's excess return is NOT attributed to any measured exposure by our analysis - we know the outperformance is real, we do not know from returns what produces it; the source has to be read from the filings before sizing up.

Account placement: not settled by the model - the sleeve model calls it MIXED, so the last 1099-DIV is the arbiter before choosing taxable vs IRA.

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 22% of the excess return (R² 0.22). The statistically identified tilt stack: the core exposure is 13% of international developed equities (t +5); strong tilt away from US growth equities (β -0.40, t -11); clear momentum tilt (preference for recent winners) (β +0.22, t +10); clear dividend-appreciation tilt (growing payers) (β +0.72, t +8); clear tilt away from US small caps (β -0.16, t -7); modest cap-weight concentration (tilt away from equal-weight/small) (β -0.34, t -5); modest low-volatility (defensive beta) tilt (β +0.22, t +4); modest developed-only tilt (away from emerging markets) (β -0.06, t -4); modest tilt away from long-duration Treasuries (β -0.04, t -3); modest short-yen position that carries the USD/JPY rate differential (β -0.07, t -3); modest low-volatility (defensive beta) tilt (β +0.11, t +3); modest tilt away from gold (β -0.03, t -3); modest tilt away from healthcare (defensive) (β -0.06, t -3); modest tilt away from utilities (defensive bond-proxy) (β -0.07, t -2).

Visible only in the recent 5-year window: modest quality tilt (high-ROE, low-debt, stable earnings) (β +0.20, t +2); modest underweight to high-dividend names (β -0.20, t -2); modest long-AUD position (AUD carry) (β +0.21, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, a significant residual of +6.3%/year (t +2.3) remains - genuine alpha on top of the factor stack.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

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

Discussion

SVARX is the Spectrum Low Volatility Investor. Stated strategy: The Fund's investment objective is total return with lower downside volatility and risk compared to major stock market indices. Its return-driver signature is closest to the 'cash (net posn) +0.87' cluster.

Since 2013 it has compounded at +6.1% per year (a +112% total return) with +4% annualized volatility and a maximum drawdown of 6%. Over the last five years it returned +20.8% versus +19.2% for its reference and +124.4% for the S&P 500. The last twelve months have done +4.9%. It was positive in 6 of the last 8 calendar years (including the partial current year).

The broad sleeve framework explains little of its excess returns (R² = 0.30). No benchmark loading is even large. The bulk of the performance is therefore idiosyncratic: it comes from the fund's own holdings and decisions, which nothing in our 34-sleeve space replicates. The estimate of that idiosyncratic return is +0.8% per year over the last five years (t = 0.7) - at that t-stat it is not yet clearly different from a lucky streak. Over the full history the same estimate is +3.0% per year (t = 2.5). The stated strategy ('The Fund's investment objective is total return with lower downside volatility and risk compared to major...') is a plausible mechanism as well, but that is a hypothesis - the returns only tell us the outperformance exists, not why. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 0.26 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 70% of the return is outside our sleeve model either way.

Account placement: IRA (the sleeve model says IRA).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 15% of the excess return (R² 0.15). The statistically identified tilt stack: the core exposure is 5% of international developed equities (t +5); clear tilt toward long-duration Treasuries (β +0.03, t +6); modest anti-momentum character - it does not chase recent winners (low-turnover/contrarian) (β -0.04, t -5); modest low-volatility (defensive beta) tilt (β +0.04, t +3); modest tilt away from consumer staples (defensive) (β -0.02, t -2); modest tilt away from energy (β -0.01, t -2).

Visible only in the recent 5-year window: modest tilt toward US growth equities (β +0.03, t +3); modest tilt toward US value equities (β +0.10, t +2); modest underweight to low-volatility names (β -0.04, t -2); modest long-yen position (safe-haven/carry) (β +0.03, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, a significant residual of +3.9%/year (t +3.9) remains - genuine alpha on top of the factor stack.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

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

Discussion

COSIX is the Columbia Strategic Income Fund. Stated strategy: The Fund seeks total return, consisting of current income and capital appreciation. In the return-driver analysis it sits in the 'cash (net posn) +0.31' cluster with 200 other funds.

Since 1986 it has compounded at +5.5% per year (a +794% total return) with +5% annualized volatility and a maximum drawdown of 26%. Over the last five years it returned +12.1% versus +5.5% for its reference and +124.4% for the S&P 500. The last twelve months have done +2.9%. It was positive in 6 of the last 8 calendar years (including the partial current year). Across the defined market episodes it did best in '2024 vol spike' (+1.3%) and worst in '2022 bear mkt' (-13.8%) - the peak-to-trough windows when equities fell hardest. Its drawdown screen verdict: sleeve mix (R² high) - not alpha-driven.

The fit is strong: 87% of its excess returns over the last five years are explained by its measured exposures. In other words, most of what this fund does is charge you for those exposures in the form of a fund; what is left - an alpha of +0.3% per year (t = 0.5) - is statistically indistinguishable from zero, i.e. the strategy is not clearly adding anything on top of the mix it owns. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions [strategy evolved — 5y R² = 0.86]. Weight stability: the one-year rolling betas move by at most 0.83 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 13% of the return is outside our sleeve model either way. The alpha is also not steady: in 49% of rolling six-month windows the fund trailed its reference, so the five-year number is carrying periods of underperformance.

Account placement: IRA (N-PORT holdings says IRA). Within its cluster the strongest alternative is SGYAX (5y +34.4%, alpha t = +1.5); the choice between them should turn on the conviction in the strategy, the tax fit and the price paid, not on the statistics - they are the same kind of position. Its correlation with your current portfolio is +0.15 - a genuine diversifier.

Performance

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

What drove the returns

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

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

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

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 38% of the excess return (R² 0.38). The statistically identified tilt stack: the core exposure is 7% of international developed equities (t +8); strong tilt toward long-duration Treasuries (β +0.10, t +24); clear long-yen position (safe-haven/carry) (β +0.05, t +6); modest anti-momentum character - it does not chase recent winners (low-turnover/contrarian) (β -0.03, t -4); modest an emerging-market tilt (β +0.02, t +4); modest equal-weight (small-tilted) exposure (β +0.06, t +3); modest short-euro position that carries the USD/EUR interest-rate differential (β -0.02, t -2).

Visible only in the recent 5-year window: modest tilt toward US value equities (β +0.09, t +2); modest underweight to low-volatility names (β -0.04, t -2); modest tilt away from high dividend (appreciation-tilted) (β -0.07, t -2); modest long-AUD position (AUD carry) (β +0.04, t +2); modest tilt toward banks/financials (β +0.02, t +3) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is +1.1%/year (t +1.3) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

unclassified: Other 30%

Peer comparison (same return-driver cluster)

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

Advantages vs peers: sharpest drawdown in the cluster.

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

Discussion

MBXIX is the Catalyst/Millburn Hedge Strategy I. Stated strategy: The Fund's investment objective is long-term capital appreciation. Its return-driver signature is closest to the 'cash (net posn) +1.98' cluster.

Since 2015 it has compounded at +9.0% per year (a +149% total return) with +13% annualized volatility and a maximum drawdown of 32%. Over the last five years it returned +69.4% versus +45.3% for its reference and +124.4% for the S&P 500. The last twelve months have done +16.3%. It was positive in 5 of the last 8 calendar years (including the partial current year).

The measured exposures explain a good share but not all (53% R²) of its excess returns. The main ones: exposure to trend-following across futures, a small tilt to mortgage credit + prepayment/extension risk, a small tilt to broad commodities. The residual is -0.8% per year (t = -0.2): not statistically distinct from noise at the five-year horizon, so treat the outperformance as part beta, part luck until it accumulates more history. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 0.77 (relative to the full-sample weights) - so treat this as a tactically active fund, not a static mix.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 47% of the return is outside our sleeve model either way. Caveat: newest N-PORT on file is Sep 2024 — the fund may have changed strategy or stopped filing - the holdings check is the ground truth here, and the return model is only a description of it.

Account placement: taxable (the sleeve model says TAXABLE (defers to LTCG)).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2015-to-2026 the fit explains 56% of the excess return (R² 0.56). The statistically identified tilt stack: clear short-euro position that carries the USD/EUR interest-rate differential (β -0.25, t -8); clear tilt toward energy (β +0.09, t +7); clear tilt away from long-duration Treasuries (β -0.08, t -6); clear tilt toward US small caps (β +0.12, t +6); clear underweight to low-volatility names (β -0.18, t -5); clear low-volatility (defensive beta) tilt (β +0.25, t +5); modest momentum tilt (preference for recent winners) (β +0.09, t +4); modest an emerging-market tilt (β +0.05, t +3); modest short-yen position that carries the USD/JPY rate differential (β -0.07, t -3); modest tilt away from utilities (defensive bond-proxy) (β -0.08, t -2); modest dividend-appreciation tilt (growing payers) (β +0.18, t +2).

Visible only in the recent 5-year window: modest equal-weight (small-tilted) exposure (β +0.20, t +2) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is +0.6%/year (t +0.2) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

Advantages vs peers: sharpest drawdown in the cluster.

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

Discussion

EAGMX is the Eaton Vance Global Macro Absolute Return Fund. Stated strategy: The Fund's investment objective is total return. In the return-driver analysis it sits in the 'cash (net posn) +0.87' cluster with 90 other funds.

Since 1997 it has compounded at +5.1% per year (a +324% total return) with +3% annualized volatility and a maximum drawdown of 9%. Over the last five years it returned +38.9% versus +19.2% for its reference and +124.4% for the S&P 500. The last twelve months have done +11.1%. It was positive in 6 of the last 8 calendar years (including the partial current year). Across the defined market episodes it did best in '2025 tariff crash' (+0.2%) and worst in '2022 bear mkt' (-5.1%) - the peak-to-trough windows when equities fell hardest. Its drawdown screen verdict: alpha in 5y window, but not persistent (lucky stretch?).

The broad sleeve framework explains little of its excess returns (R² = 0.07). No benchmark loading is even large. The bulk of the performance is therefore idiosyncratic: it comes from the fund's own holdings and decisions, which nothing in our 34-sleeve space replicates. The estimate of that idiosyncratic return is +2.6% per year over the last five years (t = 2.4) - statistically significant, so the outperformance is real; what the returns alone cannot tell us is its source. Over the full history the same estimate is +1.6% per year (t = 2.7). The stated strategy ('The Fund's investment objective is total return') is a plausible mechanism as well, but that is a hypothesis - the returns only tell us the outperformance exists, not why. The curated decomposition's read: not a static sleeve mix — returns driven by active decisions. Weight stability: the one-year rolling betas move by at most 0.26 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: 93% of this fund's excess return is NOT attributed to any measured exposure by our analysis - we know the outperformance is real, we do not know from returns what produces it; the source has to be read from the filings before sizing up. The alpha is also not steady: in 56% of rolling six-month windows the fund trailed its reference, so the five-year number is carrying periods of underperformance.

Account placement: IRA (the sleeve model says IRA). Within its cluster the strongest alternative is ENIAX (5y +31.6%, alpha t = +3.7); the choice between them should turn on the conviction in the strategy, the tax fit and the price paid, not on the statistics - they are the same kind of position. Its correlation with your current portfolio is +0.24 - a genuine diversifier.

Performance

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

What drove the returns

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

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

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

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2013-to-2026 the fit explains 11% of the excess return (R² 0.11). The statistically identified tilt stack: the core exposure is 3% of international developed equities (t +5); clear short-euro position that carries the USD/EUR interest-rate differential (β -0.05, t -8); clear tilt away from long-duration Treasuries (β -0.02, t -7); modest an emerging-market tilt (β +0.01, t +4); modest anti-quality tilt - systematically underweight high-ROE, low-debt names; the mechanical flip side of a high-payout dividend mandate (β -0.04, t -3); modest underweight to low-volatility names (β -0.02, t -3).

Visible only in the recent 5-year window: modest underweight to low-volatility names (β -0.06, t -3); modest tilt toward banks/financials (β +0.02, t +2) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, a significant residual of +2.1%/year (t +3.2) remains - genuine alpha on top of the factor stack.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

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

Discussion

LCORX is the Leuthold Core Investment Retail. Stated strategy: The Fund seeks capital appreciation and income (or total return ).

There is no local return history for this share class yet (new class), so performance and drivers cannot be measured from returns. The N-PORT shows what it holds: NEW share classes (trading since Jul 2026) — no return history to regress. Holdings (Dec 2025 N-PORT): 91.7% ETFs + 8.4% money market; the strategy is Leuthold core multi-asset via ETFs. Re-run the decomposition after a year of NAV accumulates.

No local price history.

Performance

no price data

What drove the returns

Decomposition verdict: no return history

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

The reference mix - and what it exposes you to

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

Not in the cluster scheme (no loading vector).

Discussion

LAMHX is the Lord Abbett Dividend Growth R6. Stated strategy: The Fund's investment objective is to seek current income and capital appreciation. Its return-driver signature is closest to the 'no dominant driver (balanced/idio)' cluster.

Since 2015 it has compounded at +13.0% per year (a +290% total return) with +17% annualized volatility and a maximum drawdown of 33%. Over the last five years it returned +103.9% versus +110.8% for its reference and +123.7% for the S&P 500. The last twelve months have done +16.7%. It was positive in 6 of the last 8 calendar years (including the partial current year).

The fit is strong: 95% of its excess returns over the last five years are explained by its measured exposures - exposure to the tech sector index, a small tilt to core us equity market, a small tilt to banks/insurance: rate + credit cycle. In other words, most of what this fund does is charge you for those exposures in the form of a fund; what is left - an alpha of -1.4% per year (t = -1.0) - is statistically indistinguishable from zero, i.e. the strategy is not clearly adding anything on top of the mix it owns. The curated decomposition's read: static sleeve mix (weights stable, ~fully explained). Weight stability: the one-year rolling betas move by at most 0.44 (relative to the full-sample weights) - so the weights are roughly stable over time.

To be explicit about the limits: the excess return is not measurable against noise at the current sample size, so there is not even a reliable alpha to attribute; 5% of the return is outside our sleeve model either way.

Account placement: taxable (the sleeve model says TAXABLE).

Performance

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

What drove the returns

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

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

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

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

Style tilts

22 style/asset sleeves regressed on the excess returns of the fund (US funds proxy the global factors); "identified" = survived the BIC forward-selection gate on the full history.

Style-tilt analysis (22 style/asset sleeves regressed on the fund's excess returns; US funds proxying the global factors): over 2015-to-2026 the fit explains 96% of the excess return (R² 0.96). The statistically identified tilt stack: the core exposure is 2% of international developed equities (t +2); strong quality tilt (high-ROE, low-debt, stable earnings) (β +0.28, t +14); strong dividend-appreciation tilt (growing payers) (β +0.33, t +11); strong tilt toward US growth equities (β +0.13, t +10); clear low-volatility (defensive beta) tilt (β +0.16, t +9); clear momentum tilt (preference for recent winners) (β +0.06, t +8); clear underweight to high-dividend names (β -0.11, t -6); modest tilt toward utilities (defensive bond-proxy) (β +0.04, t +4); modest tilt toward consumer staples (defensive) (β +0.03, t +3); modest tilt away from US small caps (β -0.02, t -3); modest developed-only tilt (away from emerging markets) (β -0.02, t -3); modest short-yen position that carries the USD/JPY rate differential (β -0.02, t -3); modest low-volatility (defensive beta) tilt (β +0.03, t +3); modest tilt toward US value equities (β +0.09, t +2); modest long-euro position (exposed to EUR moves) (β +0.02, t +2).

Visible only in the recent 5-year window: modest cap-weight concentration (tilt away from equal-weight/small) (β -0.11, t -3); modest tilt toward healthcare (defensive) (β +0.03, t +3); modest tilt toward banks/financials (β +0.03, t +3); modest tilt toward energy (β +0.01, t +2) - newer behavior, or a factor the longer sample dilutes.

After stripping the identified tilts, the residual excess return is -0.2%/year (t -0.2) - NOT statistically significant: the fund's outperformance is factor exposure, not skill alpha.

Caveat: the sleeves are US funds proxying global factors; the fund expresses them in its own holdings, so the betas are the right sign and magnitude but approximate. An index-matched benchmark (the fund's own published index, when one exists) would absorb part of the residual as well.

The reference mix - and what it exposes you to

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

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

Tax character & placement

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

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

Peer comparison (same return-driver cluster)

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

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