Greg Pomerantz
db5fc4626d
- fundlab/decompose.py: per-fund OLS forward selection (BIC-gated, |t|>2,
per-model complete cases so differently-vintaged candidates stay
comparable) against curated DISTINCT-AXIS candidate sets; full-history
+ last-5y models; rolling 1y beta drift for static-vs-time-varying
verdicts; per-fund holdings cross-check notes
- results (13 unique funds; pmfkx/lcrix/egrsx are share classes):
* jlpsx ~1.04x S&P 500, R2 0.96 5y (cleanest)
* lamhx S&P + value/mid tilt, R2 0.95, stable
* cosix 5y: HY +0.30 / MBS +0.29 / IG +0.18, R2 0.86
* cvsix market neutral, 5y R2 0.74, +5.5%/yr alpha (t 6.7)
* pmaix multi-asset: HY .62 / EFA .23 / comm .05 / bonds -.15
* mbxix hedge: ivv .39 / ief -.67 / fxe -.28, R2 0.53
* atesx NOT a static mix - rolling beta to its own QQQ/SPY holdings
is 0.13-0.89 (median 0.30): the 'risk managed' overlay is real
* qspnx/svarx/eagmx/atrfx/pmorx: market-neutral or idiosyncratic -
alpha, not sleeves (qspnx +12.8%/yr alpha t 4.0)
* lcorx/lcrix: new classes (Jul 2026), no history yet - holdings only
- atesx holdings: pulled from the adviser's SOI PDF (anchor-soi-5.31.26):
QQQ 65.2% + SPY 29.3% + MMF 0.6%, options overlay 4.9%
- pool: added qqq (Nasdaq 100) - needed to fit tech-concentrated funds
- app Fund Lab tab: per-fund decomposition (verdict, R2 full/5y, alpha,
tracking error, beta drift, component table + bar chart, holdings
cross-check note) and an all-funds summary expander
- tests: ols/forward-select engine tests (50/50 fundlab)
53 lines
928 B
JSON
53 lines
928 B
JSON
{
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"sym": "atesx",
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"as_of": "May 31, 2026",
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"net_assets": 147227199.0,
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"n_positions": 3,
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"categories": [
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{
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"name": "EXCHANGE-TRADED FUNDS",
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"pct": 94.5
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},
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{
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"name": "EQUITY",
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"pct": 94.5
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},
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{
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"name": "SHORT-TERM INVESTMENTS",
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"pct": 0.6
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},
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{
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"name": "MONEY MARKET FUND",
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"pct": 0.6
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}
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],
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"buckets": [
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{
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"name": "Equity (US)",
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"value": 139099660.0,
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"pct": 99.37930790437584
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},
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{
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"name": "Cash",
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"value": 868773.0,
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"pct": 0.6206920956241612
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}
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],
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"top": [
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{
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"text": "Invesco QQQ Trust Series 1 (QQQ), 130,000 sh",
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"value": 95980300,
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"cat": "EXCHANGE-TRADED FUNDS"
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},
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{
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"text": "State Street SPDR S&P 500 ETF Trust (SPY), 57,000 sh",
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"value": 43119360,
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"cat": "EXCHANGE-TRADED FUNDS"
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},
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{
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"text": "First American Government Obligations Fund Class X, 3.54%, 868,773 sh",
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"value": 868773,
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"cat": "MONEY MARKET FUND"
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}
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]
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} |