Greg Pomerantz
89674c24dd
Raw-intercept alphas absorbed the T-bill yield on uninvested/levered portions (582 well-fitted funds >2%/yr off; sum-of-betas polluted by level-matching). Now fund AND sleeves are netted against BIL daily total return before every regression; a cash position contributes exactly zero. - decompose: rf_series()/excess(); shv+bil dropped from regressors (~0 columns in excess space); FULL_WINDOW -> 2007-06-01 (BIL inception; mixing raw pre-2007 with excess breaks the fit). - factors: same excess treatment; shv out of DRIVERS. - CASH axis redefined: alpha/cash_yield -> net cash position = 1 - sum(betas) (label 'cash (net posn)'). - CANDIDATE list 250 -> 11: the old list was mostly under-invested funds whose 'alpha' was cash yield, not skill. - refback.py: per-fund fitted reference (forward-selected sleeves) stored as ref_5y/ref_full in search_all.json; app alpha-search table gains a 'reference (5y)' column - the answer to 'what is alpha computed against' (the fund's OWN fitted sleeve mix, not one index). - App captions updated; raw-alpha-era results backed up as *_rawalpha.json (not deleted).
47682 lines
1.6 MiB
47682 lines
1.6 MiB
{
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"aaaax": {
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"sym": "aaaax",
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"name": "DWS RREEF Real Assets Fund",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.02486564021601787,
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"alpha_t_5y": -1.5313223118366281,
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"alpha_t_full": -1.3780034733745115,
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"r2_5y": 0.8980487716232942,
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"r2_full": 0.82475016877235,
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"corr_portfolio": 0.3663413480361542,
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"corr_benchmark": 0.5865351836854442,
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"alpha_pos_frac": 0.5201793721973094,
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"fund_max_dd": -0.4016288379156525,
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|
"first": "2007-08-01",
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|
"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"
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},
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"aaaox": {
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"sym": "aaaox",
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"name": "ONE CHOICE BLEND+ IN RETIREMENT PORTFOLIO",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.005003874928812508,
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"alpha_t_5y": -0.8370950455931178,
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"alpha_t_full": -0.8370950455931178,
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"r2_5y": 0.964188224916363,
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"r2_full": 0.964188224916363,
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"corr_portfolio": 0.09542294247246016,
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"corr_benchmark": 0.8499877000535705,
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"alpha_pos_frac": 0.5,
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"fund_max_dd": -0.189499032730719,
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"first": "2021-03-11",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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|
"alpha_name": false,
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|
"ref_5y": "ivv +0.26, agg +0.39, efa +0.10, iwm +0.05, vweax +0.13, qqq -0.04",
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"ref_full": "ivv +0.26, agg +0.39, efa +0.10, iwm +0.05, vweax +0.13, qqq -0.04"
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},
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"aaarx": {
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"sym": "aaarx",
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"name": "STRATEGIC ALLOCATION: AGGRESSIVE FUND",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.015745058618495646,
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"alpha_t_5y": -1.7172474264270217,
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"alpha_t_full": -1.3414886358073648,
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"r2_5y": 0.9720461485990897,
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"r2_full": 0.9685918862933193,
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"corr_portfolio": 0.3225122268166367,
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"corr_benchmark": 0.6465388382686551,
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"fund_max_dd": -0.4667608427434139,
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"first": "2007-06-04",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"alpha_name": false,
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"ref_5y": "ivv +0.36, vea +0.20, iwm +0.14, vblix +0.05, vwo +0.05, vweax +0.11",
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"ref_full": "ivv +0.39, efa +0.15, iwm +0.13, vweax +0.16, vwo +0.06, agg +0.11"
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},
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"aaatx": {
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"sym": "aaatx",
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"name": "American Funds 2010 Target Date Retirement Income Fund",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": 0.0010111661357998306,
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"alpha_t_5y": 0.17127810724634135,
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"alpha_t_full": 0.16570563629836343,
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"r2_5y": 0.9523420333323046,
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"r2_full": 0.9337931814956606,
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"corr_portfolio": 0.33136805339229963,
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"corr_benchmark": 0.7527783923898494,
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"alpha_pos_frac": 0.517948717948718,
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"fund_max_dd": -0.4044292356210355,
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"first": "2007-06-04",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"alpha_name": false,
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"ref_5y": "ivv +0.38, vmbix +0.18, efa +0.10, qqq -0.13, ief +0.20, djp +0.02",
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"ref_full": "ivv +0.29, efa +0.13, ief +0.22, vnq +0.03, vwo +0.06, qqq -0.07"
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},
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"aabkx": {
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"sym": "aabkx",
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"name": "ONE CHOICE BLEND+ 2025 PORTFOLIO",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.006636675386186282,
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"alpha_t_5y": -1.0828817763101435,
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"alpha_t_full": -1.0828817763101435,
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"r2_5y": 0.9693376477887424,
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"r2_full": 0.9693376477887424,
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"corr_portfolio": 0.10222345049772473,
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"corr_benchmark": 0.8224653871960524,
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"alpha_pos_frac": 0.5333333333333333,
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"fund_max_dd": -0.1999851190917783,
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"first": "2021-03-11",
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|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"alpha_name": false,
|
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"ref_5y": "ivv +0.27, agg +0.35, efa +0.12, iwm +0.07, vweax +0.15, qqq -0.04",
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"ref_full": "ivv +0.27, agg +0.35, efa +0.12, iwm +0.07, vweax +0.15, qqq -0.04"
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},
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"aacpx": {
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"sym": "aacpx",
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"name": "ONE CHOICE BLEND+ 2035 PORTFOLIO",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.016910689643548197,
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"alpha_t_5y": -2.366859220586317,
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"alpha_t_full": -2.366859220586317,
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"r2_5y": 0.9748823178266687,
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"r2_full": 0.9748823178266687,
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"corr_portfolio": 0.11220858696305178,
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"corr_benchmark": 0.7619139629937716,
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"alpha_pos_frac": 0.55,
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"fund_max_dd": -0.23500701528020884,
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"first": "2021-03-11",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"alpha_name": false,
|
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"ref_5y": "ivv +0.31, vea +0.14, agg +0.23, iwm +0.10, vweax +0.14, vwo +0.03",
|
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"ref_full": "ivv +0.31, vea +0.14, agg +0.23, iwm +0.10, vweax +0.14, vwo +0.03"
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},
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"aacrx": {
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"sym": "aacrx",
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"name": "STRATEGIC ALLOCATION: CONSERVATIVE FUND",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.015990834482795223,
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"alpha_t_5y": -2.1369400973206347,
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"alpha_t_full": -2.5787792130874094,
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"r2_5y": 0.9522936631560686,
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"r2_full": 0.9543029490795358,
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"corr_portfolio": 0.30122990940670624,
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"corr_benchmark": 0.7464743968327447,
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"alpha_pos_frac": 0.5201793721973094,
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"fund_max_dd": -0.2633718959861281,
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"first": "2007-06-04",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"alpha_name": false,
|
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"ref_5y": "ivv +0.19, agg +0.33, vea +0.12, iwm +0.08, vnq +0.03, vweax +0.09",
|
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"ref_full": "ivv +0.24, ief +0.25, efa +0.09, iwm +0.08, vweax +0.12, fxe +0.04"
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},
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"aacsx": {
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"sym": "aacsx",
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"name": "ONE CHOICE BLEND+ 2040 PORTFOLIO",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.01124246081498418,
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"alpha_t_5y": -1.5236716993339083,
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"alpha_t_full": -1.5236716993339083,
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"r2_5y": 0.9784474520298986,
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"r2_full": 0.9784474520298986,
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"corr_portfolio": 0.11965500928327584,
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"corr_benchmark": 0.7346584705727536,
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"fund_max_dd": -0.24199180971833767,
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"first": "2021-03-11",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"alpha_name": false,
|
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"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"
|
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},
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"aactx": {
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"sym": "aactx",
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|
"name": "American Funds 2020 Target Date Retirement Income Fund",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.0010068665882849543,
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"alpha_t_5y": -0.16629316474105246,
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"alpha_t_full": 0.1349203263092792,
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"r2_5y": 0.9621362908582232,
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"r2_full": 0.9419306426002555,
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"corr_portfolio": 0.32588677049383846,
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"corr_benchmark": 0.7320990491701699,
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"alpha_pos_frac": 0.4358974358974359,
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"fund_max_dd": -0.46279206672517414,
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"first": "2007-06-04",
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"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",
|
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"ref_full": "ivv +0.31, efa +0.17, vnq +0.04, ief +0.16, vwo +0.08, qqq -0.05"
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},
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|
"aadax": {
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|
"sym": "aadax",
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|
"name": "Invesco Select Risk: Growth Investor Fund",
|
|
"bucket": "all",
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"in_portfolio": false,
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|
"alpha_ann_5y": -0.02185962969197667,
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"alpha_t_5y": -2.541158491941521,
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"alpha_t_full": -3.0650161047921247,
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"r2_5y": 0.9748364973274969,
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"r2_full": 0.9695146500156151,
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"corr_portfolio": 0.31477267314893853,
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"corr_benchmark": 0.6525003217498289,
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"alpha_pos_frac": 0.5260115606936416,
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"fund_max_dd": -0.5579120117330258,
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"first": "2007-06-04",
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|
"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"
|
|
},
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|
"aadhx": {
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"sym": "aadhx",
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|
"name": "ONE CHOICE BLEND+ 2045 PORTFOLIO",
|
|
"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.01133999453432013,
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"alpha_t_5y": -1.417824386657017,
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"alpha_t_full": -1.417824386657017,
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"r2_5y": 0.9789702869343712,
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"r2_full": 0.9789702869343712,
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"corr_portfolio": 0.12394695711192133,
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"corr_benchmark": 0.7125163282529572,
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"alpha_pos_frac": 0.5666666666666667,
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"fund_max_dd": -0.2504476004782987,
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"first": "2021-03-11",
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"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",
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|
"in_portfolio": false,
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|
"alpha_ann_5y": -0.010035047656648945,
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"alpha_t_5y": -1.1505284209118125,
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"alpha_t_full": -1.1505284209118125,
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"r2_5y": 0.9782359549330384,
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"r2_full": 0.9782359549330384,
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"corr_portfolio": 0.12970489995967874,
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"corr_benchmark": 0.7003248705163538,
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"alpha_pos_frac": 0.55,
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|
"fund_max_dd": -0.2548121875772631,
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"first": "2021-03-11",
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"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"
|
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},
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"aadtx": {
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"sym": "aadtx",
|
|
"name": "American Funds 2025 Target Date Retirement Income Fund",
|
|
"bucket": "all",
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"in_portfolio": false,
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|
"alpha_ann_5y": -0.004553224580511266,
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"alpha_t_5y": -0.691700558074343,
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"alpha_t_full": 0.15133787964430825,
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"r2_5y": 0.9633820802099334,
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"r2_full": 0.9503856097523351,
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"corr_portfolio": 0.3135647474767928,
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"corr_benchmark": 0.704383523966788,
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"alpha_pos_frac": 0.46153846153846156,
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|
"fund_max_dd": -0.48799787041828646,
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|
"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"
|
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},
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"aadwx": {
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"sym": "aadwx",
|
|
"name": "ONE CHOICE BLEND+ 2055 PORTFOLIO",
|
|
"bucket": "all",
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|
"in_portfolio": false,
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"alpha_ann_5y": -0.008127216377355107,
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"alpha_t_5y": -0.8818207964605391,
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"alpha_t_full": -0.8818207964605391,
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"r2_5y": 0.9780860414555859,
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"r2_full": 0.9780860414555859,
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"corr_portfolio": 0.13366366350689182,
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"corr_benchmark": 0.689385854792006,
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"alpha_pos_frac": 0.5333333333333333,
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"fund_max_dd": -0.2578901512058126,
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|
"first": "2021-03-11",
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|
"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",
|
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"ref_full": "ivv +0.44, vea +0.19, iwm +0.15, vwo +0.07, vweax +0.11, tlt +0.02"
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},
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"aaegx": {
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"sym": "aaegx",
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"name": "ONE CHOICE BLEND+ 2060 PORTFOLIO",
|
|
"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.007802153094573861,
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"alpha_t_5y": -0.769875269967411,
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"alpha_t_full": -0.769875269967411,
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"r2_5y": 0.9744433402810566,
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"r2_full": 0.9744433402810566,
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"corr_portfolio": 0.1337595029412155,
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"corr_benchmark": 0.6831442399404491,
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"alpha_pos_frac": 0.5666666666666667,
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"fund_max_dd": -0.2595055648466871,
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|
"first": "2021-03-11",
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|
"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",
|
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"ref_full": "ivv +0.44, vea +0.19, iwm +0.14, vwo +0.08, vweax +0.12, vnq +0.02"
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},
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"aaekx": {
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"sym": "aaekx",
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"name": "ONE CHOICE BLEND+ 2065 PORTFOLIO",
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"bucket": "all",
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"in_portfolio": false,
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"alpha_ann_5y": -0.009285116000835305,
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"alpha_t_5y": -0.999920805306611,
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"alpha_t_full": -0.999920805306611,
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"r2_5y": 0.9784261458822933,
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"r2_full": 0.9784261458822933,
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"corr_portfolio": 0.1356271723120391,
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"corr_benchmark": 0.6832821736296689,
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"alpha_pos_frac": 0.55,
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"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": -0.01104874113202088,
|
|
"alpha_t_5y": -1.1744299019580298,
|
|
"alpha_t_full": -0.48220932146525614,
|
|
"r2_5y": 0.9756877863615174,
|
|
"r2_full": 0.9795422637525832,
|
|
"corr_portfolio": 0.2902129453082289,
|
|
"corr_benchmark": 0.63887430452258,
|
|
"alpha_pos_frac": 0.5317919075144508,
|
|
"fund_max_dd": -0.5001694602001919,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.45, vea +0.18, vwo +0.06, iwm +0.07, qqq +0.08, vblix +0.04",
|
|
"ref_full": "ivv +0.39, efa +0.19, qqq +0.10, vweax +0.16, iwm +0.06, vwo +0.05"
|
|
},
|
|
"aamtx": {
|
|
"sym": "aamtx",
|
|
"name": "American Funds 2055 Target Date Retirement Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.013917435980773149,
|
|
"alpha_t_5y": -1.4247854053514397,
|
|
"alpha_t_full": -0.6331163130531854,
|
|
"r2_5y": 0.9748368948665578,
|
|
"r2_full": 0.9786838990563953,
|
|
"corr_portfolio": 0.28733922473488294,
|
|
"corr_benchmark": 0.6391758707433657,
|
|
"alpha_pos_frac": 0.5284974093264249,
|
|
"fund_max_dd": -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,
|
|
"corr_portfolio": 0.18593762286960241,
|
|
"corr_benchmark": 0.8940062105719062,
|
|
"alpha_pos_frac": 0.5538461538461539,
|
|
"fund_max_dd": -0.18433727342346207,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.23, ivv +0.15, vea +0.06, vweax +0.13, ief +0.19, vmbix +0.13",
|
|
"ref_full": "ivv +0.13, ief +0.30, vweax +0.14, efa +0.05, iwm +0.03, agg +0.08"
|
|
},
|
|
"abhix": {
|
|
"sym": "abhix",
|
|
"name": "HIGH-YIELD FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.005580601749243465,
|
|
"alpha_t_5y": -0.7322403776499361,
|
|
"alpha_t_full": -0.8725445151721604,
|
|
"r2_5y": 0.8642234936130034,
|
|
"r2_full": 0.8442676408011278,
|
|
"corr_portfolio": 0.292794943731646,
|
|
"corr_benchmark": 0.45373261782065355,
|
|
"alpha_pos_frac": 0.5375722543352601,
|
|
"fund_max_dd": -0.26633982180783344,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.79, iwm +0.02, vblix +0.22, tlt -0.15",
|
|
"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,
|
|
"r2_full": 0.936729949455192,
|
|
"corr_portfolio": 0.41285063652609805,
|
|
"corr_benchmark": 0.5145682079551379,
|
|
"alpha_pos_frac": 0.6074380165289256,
|
|
"fund_max_dd": -0.6986613822391826,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.89, fxe +0.13, iwm +0.06, qqq -0.06, tlt -0.03, vwo +0.04",
|
|
"ref_full": "efa +0.83, vweax +0.24, vwo +0.06, ief -0.11, fxe +0.10, iwm +0.04"
|
|
},
|
|
"abimx": {
|
|
"sym": "abimx",
|
|
"name": "AB Impact Municipal Income Shares",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.005895817786673674,
|
|
"alpha_t_5y": -0.362925793290901,
|
|
"alpha_t_full": 0.29662471997151174,
|
|
"r2_5y": 0.40664149339608724,
|
|
"r2_full": 0.3634832032280578,
|
|
"corr_portfolio": 0.03584391704894748,
|
|
"corr_benchmark": 0.35664229283225407,
|
|
"alpha_pos_frac": 0.5294117647058824,
|
|
"fund_max_dd": -0.1789901579501627,
|
|
"first": "2017-09-13",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.43, ief +0.09, ivv -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": 0.02763823825980848,
|
|
"r2_5y": 0.6774011114695345,
|
|
"r2_full": 0.6201480587977715,
|
|
"corr_portfolio": 0.024488035252518095,
|
|
"corr_benchmark": 0.5261736646738437,
|
|
"alpha_pos_frac": 0.5284974093264249,
|
|
"fund_max_dd": -0.11613493561193966,
|
|
"first": "2010-01-28",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ief +0.54, djp +0.06, tlt -0.12, vweax +0.11, vwo -0.02, vmbix +0.13",
|
|
"ref_full": "ief +0.58, vweax +0.17, gsg +0.04, tlt -0.08, gld +0.02, vnq +0.01"
|
|
},
|
|
"abndx": {
|
|
"sym": "abndx",
|
|
"name": "BOND FUND OF AMERICA",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.003243193914404622,
|
|
"alpha_t_5y": -0.6479948171416711,
|
|
"alpha_t_full": -2.4300940038808365,
|
|
"r2_5y": 0.9573490057371155,
|
|
"r2_full": 0.8503778870788012,
|
|
"corr_portfolio": -0.10144321061334434,
|
|
"corr_benchmark": 0.6800686581708943,
|
|
"alpha_pos_frac": 0.3815028901734104,
|
|
"fund_max_dd": -0.17316194673924468,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": 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,
|
|
"alpha_ann_5y": null,
|
|
"alpha_t_5y": NaN,
|
|
"alpha_t_full": 2.787646858757687,
|
|
"r2_5y": NaN,
|
|
"r2_full": 0.6327624194658327,
|
|
"corr_portfolio": 0.3599910687935681,
|
|
"corr_benchmark": 0.541175233320551,
|
|
"alpha_pos_frac": 0.48514851485148514,
|
|
"fund_max_dd": -0.1271493335874656,
|
|
"first": "2009-06-04",
|
|
"verdict": "no 5y window",
|
|
"alpha_name": true,
|
|
"ref_5y": "pure alpha (no sleeve selected)",
|
|
"ref_full": "djp +0.18, agg +0.62, vwo +0.04, fxe -0.18, gld +0.08, efa +0.13"
|
|
},
|
|
"abtfx": {
|
|
"sym": "abtfx",
|
|
"name": "AB High Income Municipal Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014348297660506722,
|
|
"alpha_t_5y": -0.7917525264060729,
|
|
"alpha_t_full": 0.628650806649215,
|
|
"r2_5y": 0.4298408019757082,
|
|
"r2_full": 0.3473652318286016,
|
|
"corr_portfolio": 0.05656653010246015,
|
|
"corr_benchmark": 0.37194007311620897,
|
|
"alpha_pos_frac": 0.6127167630057804,
|
|
"fund_max_dd": -0.21751931498901367,
|
|
"first": "2010-02-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +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": 0.03606289853339763,
|
|
"alpha_t_5y": 1.9519661118480296,
|
|
"alpha_t_full": -0.8454345051925836,
|
|
"r2_5y": 0.9174873292548174,
|
|
"r2_full": 0.9498060123864654,
|
|
"corr_portfolio": 0.38661073222305864,
|
|
"corr_benchmark": 0.523199602071902,
|
|
"alpha_pos_frac": 0.49327354260089684,
|
|
"fund_max_dd": -0.6417104115268397,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.24, qqq -0.59, iwm +0.22, vea +0.10, ief -0.07",
|
|
"ref_full": "ivv +1.15, qqq -0.41, iwm +0.18, efa +0.08, ief -0.21, agg +0.17"
|
|
},
|
|
"abwax": {
|
|
"sym": "abwax",
|
|
"name": "AB All Market Total Return Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.020734477117764775,
|
|
"alpha_t_5y": -2.1557011945160514,
|
|
"alpha_t_full": -3.5433742847350778,
|
|
"r2_5y": 0.9494766824583791,
|
|
"r2_full": 0.9441248054661538,
|
|
"corr_portfolio": 0.30078286229989454,
|
|
"corr_benchmark": 0.7052625962721224,
|
|
"alpha_pos_frac": 0.600896860986547,
|
|
"fund_max_dd": -0.465078577851871,
|
|
"first": "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,
|
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"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,
|
|
"alpha_pos_frac": 0.5246636771300448,
|
|
"fund_max_dd": -0.5857963657267242,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.46, vwo +0.18, qqq +0.12, djp -0.03, efa +0.21",
|
|
"ref_full": "efa +0.56, qqq +0.12, vweax +0.30, vwo +0.12, vnq -0.03, fxe +0.09"
|
|
},
|
|
"aioax": {
|
|
"sym": "aioax",
|
|
"name": "Columbia Income Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.004996964743140919,
|
|
"alpha_t_5y": -0.7590640636291857,
|
|
"alpha_t_full": 0.041002333271763856,
|
|
"r2_5y": 0.8887622516895692,
|
|
"r2_full": 0.8242774515274612,
|
|
"corr_portfolio": 0.3032787747663254,
|
|
"corr_benchmark": 0.44548728290053025,
|
|
"alpha_pos_frac": 0.5330882352941176,
|
|
"fund_max_dd": -0.25860806659693814,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.89, iwm +0.02",
|
|
"ref_full": "vweax +0.85, ivv +0.03, vnq -0.01, djp +0.01"
|
|
},
|
|
"aivsx": {
|
|
"sym": "aivsx",
|
|
"name": "INVESTMENT CO OF AMERICA",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.011319824486846562,
|
|
"alpha_t_5y": 0.9264570686368298,
|
|
"alpha_t_full": 0.30227870533229245,
|
|
"r2_5y": 0.9666518162457185,
|
|
"r2_full": 0.9743613190791215,
|
|
"corr_portfolio": 0.2939735093619342,
|
|
"corr_benchmark": 0.6125286412031027,
|
|
"alpha_pos_frac": 0.4798206278026906,
|
|
"fund_max_dd": -0.5090310830821583,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.95, vea +0.09, vnq -0.03, qqq -0.05",
|
|
"ref_full": "ivv +0.78, efa +0.09, vnq -0.03, gsg +0.02, qqq +0.04, vweax +0.05"
|
|
},
|
|
"aiwex": {
|
|
"sym": "aiwex",
|
|
"name": "World Energy Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03524725460589557,
|
|
"alpha_t_5y": 0.5590428085545821,
|
|
"alpha_t_full": 0.8112693811326539,
|
|
"r2_5y": 0.6674908980820523,
|
|
"r2_full": 0.7207038334998336,
|
|
"corr_portfolio": 0.387117054054713,
|
|
"corr_benchmark": 0.3187375529616971,
|
|
"alpha_pos_frac": 0.5724137931034483,
|
|
"fund_max_dd": -0.6111926259500121,
|
|
"first": "2014-02-06",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "gsg +0.55, iwm +0.39, vea +0.28, ief -0.39, qqq -0.46, ivv +0.67",
|
|
"ref_full": "iwm +0.46, gsg +0.46, vea +0.25, qqq -0.55, ivv +0.84, vnq -0.20"
|
|
},
|
|
"alaax": {
|
|
"sym": "alaax",
|
|
"name": "INVESCO Income Allocation Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0048885412930135186,
|
|
"alpha_t_5y": -0.7245045255236903,
|
|
"alpha_t_full": -0.8366058309918227,
|
|
"r2_5y": 0.9411960924875566,
|
|
"r2_full": 0.886942478952846,
|
|
"corr_portfolio": 0.3579231397245978,
|
|
"corr_benchmark": 0.7589149547824097,
|
|
"alpha_pos_frac": 0.6143497757847534,
|
|
"fund_max_dd": -0.2827701958386811,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.11, agg +0.44, ivv +0.32, qqq -0.15, vweax +0.15, iwm +0.04",
|
|
"ref_full": "ivv +0.25, agg +0.31, vweax +0.30, qqq -0.08, vnq +0.04, efa +0.06"
|
|
},
|
|
"alarx": {
|
|
"sym": "alarx",
|
|
"name": "Alger Capital Appreciation Institutional Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.004527552199209113,
|
|
"alpha_t_5y": -0.08634420750799607,
|
|
"alpha_t_full": -0.41545334551403534,
|
|
"r2_5y": 0.792926859797739,
|
|
"r2_full": 0.879183659272094,
|
|
"corr_portfolio": 0.12711835339626396,
|
|
"corr_benchmark": 0.5645438331110731,
|
|
"alpha_pos_frac": 0.4,
|
|
"fund_max_dd": -0.6927125233833786,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +1.09, vmbix -0.19",
|
|
"ref_full": "qqq +0.66, ivv +0.36, vnq -0.07, iwm +0.07, gld +0.03"
|
|
},
|
|
"alcax": {
|
|
"sym": "alcax",
|
|
"name": "AB California Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010969695179074866,
|
|
"alpha_t_5y": -0.927723046599522,
|
|
"alpha_t_full": 0.7248433609313315,
|
|
"r2_5y": 0.417819416030204,
|
|
"r2_full": 0.2609190783326524,
|
|
"corr_portfolio": 0.058405807885503286,
|
|
"corr_benchmark": 0.35804533274414607,
|
|
"alpha_pos_frac": 0.5260115606936416,
|
|
"fund_max_dd": -0.14632782476586526,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.25, vweax +0.28, ivv -0.07, tlt -0.15, vnq +0.02, vmbix +0.07",
|
|
"ref_full": "vweax +0.26, ief +0.05, agg +0.13, fxy +0.03, efa -0.02, vnq +0.01"
|
|
},
|
|
"aldax": {
|
|
"sym": "aldax",
|
|
"name": "Columbia Select Short Corporate Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.004307909315041258,
|
|
"alpha_t_5y": -0.9254678487188509,
|
|
"alpha_t_full": 0.32413393943822927,
|
|
"r2_5y": 0.8508533858894503,
|
|
"r2_full": 0.6068950382849359,
|
|
"corr_portfolio": 0.033685404136673806,
|
|
"corr_benchmark": 0.5022436804775166,
|
|
"alpha_pos_frac": 0.5144508670520231,
|
|
"fund_max_dd": -0.10248125327939017,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.27, tlt -0.30, vblix +0.25, ief +0.25, vweax +0.12, ivv -0.02",
|
|
"ref_full": "ief +0.33, vweax +0.21, tlt -0.08, agg +0.06, fxy +0.02"
|
|
},
|
|
"alfyx": {
|
|
"sym": "alfyx",
|
|
"name": "Lord Abbett Alpha Strategy Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.031496286319228003,
|
|
"alpha_t_5y": -1.754191305503085,
|
|
"alpha_t_full": -1.4357317901326963,
|
|
"r2_5y": 0.9557524942540874,
|
|
"r2_full": 0.9493031091826826,
|
|
"corr_portfolio": 0.28519837927188874,
|
|
"corr_benchmark": 0.571289629066053,
|
|
"alpha_pos_frac": 0.547085201793722,
|
|
"fund_max_dd": -0.625680391073419,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.67, vea +0.42, qqq +0.11, efa -0.21, vnq -0.04, vweax +0.11",
|
|
"ref_full": "iwm +0.67, efa +0.16, qqq +0.12, vweax +0.17, vnq -0.04, gld +0.03"
|
|
},
|
|
"algrx": {
|
|
"sym": "algrx",
|
|
"name": "Alger Focus Equity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.020790523523903797,
|
|
"alpha_t_5y": 0.47112296501306355,
|
|
"alpha_t_full": -0.5893740663784415,
|
|
"r2_5y": 0.8389642450892143,
|
|
"r2_full": 0.9033002281615601,
|
|
"corr_portfolio": 0.13211359935486136,
|
|
"corr_benchmark": 0.5719119860985011,
|
|
"alpha_pos_frac": 0.4591439688715953,
|
|
"fund_max_dd": -0.6263671069889457,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +1.00, ief -0.09, iwm +0.12, vnq -0.10",
|
|
"ref_full": "qqq +0.64, ivv +0.41, vnq -0.07, gld +0.03, iwm +0.05"
|
|
},
|
|
"almrx": {
|
|
"sym": "almrx",
|
|
"name": "Alger Mid Cap Growth Institutional Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.02904900447982758,
|
|
"alpha_t_5y": -0.17332178825611644,
|
|
"alpha_t_full": -0.5275829171418435,
|
|
"r2_5y": 0.27914915779154126,
|
|
"r2_full": 0.5240609984826652,
|
|
"corr_portfolio": 0.07288999695315412,
|
|
"corr_benchmark": 0.38607617464437155,
|
|
"alpha_pos_frac": 0.49838187702265374,
|
|
"fund_max_dd": -0.6873716203535087,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.68, iwm +0.49",
|
|
"ref_full": "qqq +0.61, iwm +0.45"
|
|
},
|
|
"alnyx": {
|
|
"sym": "alnyx",
|
|
"name": "AB New York Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.012561119978137922,
|
|
"alpha_t_5y": -1.061256616194627,
|
|
"alpha_t_full": 0.44179979811781667,
|
|
"r2_5y": 0.4018779193762494,
|
|
"r2_full": 0.2892494597019618,
|
|
"corr_portfolio": 0.04394515093498472,
|
|
"corr_benchmark": 0.357918050694964,
|
|
"alpha_pos_frac": 0.5836575875486382,
|
|
"fund_max_dd": -0.14403942274500092,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.39, ief +0.13, ivv -0.11, vnq +0.03, qqq +0.04",
|
|
"ref_full": "agg +0.12, vweax +0.26, ief +0.07, iwm -0.02, fxy +0.03, vnq +0.01"
|
|
},
|
|
"alsmx": {
|
|
"sym": "alsmx",
|
|
"name": "Archer Multi Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.002542423226742953,
|
|
"alpha_t_5y": -0.10697024004023405,
|
|
"alpha_t_full": -0.5010050116553482,
|
|
"r2_5y": 0.9144038094402832,
|
|
"r2_full": 0.935317115219358,
|
|
"corr_portfolio": 0.21085104541635438,
|
|
"corr_benchmark": 0.6473281995377489,
|
|
"alpha_pos_frac": 0.47297297297297297,
|
|
"fund_max_dd": -0.3495701848720373,
|
|
"first": "2020-01-02",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.31, iwm +0.40, qqq +0.19, vea +0.49, efa -0.44",
|
|
"ref_full": "ivv +0.42, iwm +0.40, qqq +0.15"
|
|
},
|
|
"alsrx": {
|
|
"sym": "alsrx",
|
|
"name": "Alger Small Cap Growth Institutional Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.09080154301500788,
|
|
"alpha_t_5y": -1.3305664805334083,
|
|
"alpha_t_full": -1.44777509225807,
|
|
"r2_5y": 0.7020679136430916,
|
|
"r2_full": 0.8143909341515481,
|
|
"corr_portfolio": 0.08018478971838412,
|
|
"corr_benchmark": 0.521274929049637,
|
|
"alpha_pos_frac": 0.5080906148867314,
|
|
"fund_max_dd": -0.7339748999455215,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.92, qqq +0.88, ivv -0.86",
|
|
"ref_full": "iwm +0.77, qqq +0.58, ivv -0.33, vnq -0.06, gld +0.03"
|
|
},
|
|
"altfx": {
|
|
"sym": "altfx",
|
|
"name": "AB SUSTAINABLE GLOBAL THEMATIC FUND, INC.",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -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",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0032726825401031717,
|
|
"alpha_t_5y": -0.10203847019904388,
|
|
"alpha_t_full": -0.6396344708280263,
|
|
"r2_5y": 0.9052362250647515,
|
|
"r2_full": 0.9291469470532979,
|
|
"corr_portfolio": 0.13882340354905015,
|
|
"corr_benchmark": 0.5940900764289873,
|
|
"alpha_pos_frac": 0.4708171206225681,
|
|
"fund_max_dd": -0.7211007117158809,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.85, iwm +0.08, vnq -0.12, ivv +0.25",
|
|
"ref_full": "qqq +0.63, ivv +0.39, vnq -0.07, iwm +0.06, gld +0.03, vweax +0.09"
|
|
},
|
|
"amaax": {
|
|
"sym": "amaax",
|
|
"name": "AB Massachusetts Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.016739545135201254,
|
|
"alpha_t_5y": -1.3948812031038662,
|
|
"alpha_t_full": 0.49711729186654485,
|
|
"r2_5y": 0.4136296689699688,
|
|
"r2_full": 0.30299948250163666,
|
|
"corr_portfolio": 0.036922280866619944,
|
|
"corr_benchmark": 0.37288365487083946,
|
|
"alpha_pos_frac": 0.5664739884393064,
|
|
"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,
|
|
"corr_portfolio": 0.3907568414482263,
|
|
"corr_benchmark": 0.5298805552770064,
|
|
"alpha_pos_frac": 0.5246636771300448,
|
|
"fund_max_dd": -0.48983765802076806,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.16, qqq -0.60, vnq +0.12, iwm +0.11, vea +0.05",
|
|
"ref_full": "ivv +0.90, qqq -0.33, iwm +0.17, vnq +0.04, vweax +0.09, efa +0.03"
|
|
},
|
|
"ardgx": {
|
|
"sym": "ardgx",
|
|
"name": "Archer Dividend Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.027268251192568652,
|
|
"alpha_t_5y": 1.3724757738670454,
|
|
"alpha_t_full": 0.20109822314908388,
|
|
"r2_5y": 0.8545687347811504,
|
|
"r2_full": 0.9023227224142683,
|
|
"corr_portfolio": 0.3986965461826544,
|
|
"corr_benchmark": 0.5351060480460837,
|
|
"alpha_pos_frac": 0.42105263157894735,
|
|
"fund_max_dd": -0.3816672180687274,
|
|
"first": "2016-09-02",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.22, ivv +1.16, qqq -0.63, gsg +0.03, vea +0.05",
|
|
"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,
|
|
"corr_portfolio": 0.1590243482586561,
|
|
"corr_benchmark": 0.5354118609760644,
|
|
"alpha_pos_frac": 0.5447470817120622,
|
|
"fund_max_dd": -0.5931191591382847,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.98, qqq +0.55, ivv -0.40, vnq -0.13",
|
|
"ref_full": "iwm +0.92, qqq +0.53, ivv -0.32, vnq -0.08, gld +0.04, efa -0.05"
|
|
},
|
|
"asdvx": {
|
|
"sym": "asdvx",
|
|
"name": "SHORT DURATION STRATEGIC INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0004941106654304091,
|
|
"alpha_t_5y": 0.08556302331718237,
|
|
"alpha_t_full": 0.6371504436576672,
|
|
"r2_5y": 0.6416740880076033,
|
|
"r2_full": 0.5617863533054858,
|
|
"corr_portfolio": 0.11317382167081359,
|
|
"corr_benchmark": 0.34701149906341794,
|
|
"alpha_pos_frac": 0.5611510791366906,
|
|
"fund_max_dd": -0.07859337841442937,
|
|
"first": "2014-07-30",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.02, vweax +0.14, ivv -0.02, ief +0.23, tlt -0.26, vblix +0.27",
|
|
"ref_full": "vweax +0.21, ief +0.19, tlt -0.17, vblix +0.17, ivv -0.02"
|
|
},
|
|
"asfcx": {
|
|
"sym": "asfcx",
|
|
"name": "Virtus AlphaSimplex Managed Futures Strategy Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.10650031020946062,
|
|
"alpha_t_5y": -2.2539042072935205,
|
|
"alpha_t_full": -0.29857931495155354,
|
|
"r2_5y": 0.32329751377736504,
|
|
"r2_full": 0.14471523791116725,
|
|
"corr_portfolio": 0.2109754219397301,
|
|
"corr_benchmark": 0.007680002259431506,
|
|
"alpha_pos_frac": 0.5294117647058824,
|
|
"fund_max_dd": -0.38006080801338593,
|
|
"first": "2010-08-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": true,
|
|
"ref_5y": "ief -0.73, djp +0.13, gld +0.14, fxy -0.15, vea +0.17, fxe -0.34",
|
|
"ref_full": "vmbix -1.29, gld +0.13, qqq +0.03, tlt +0.25, fxe -0.25, vea +0.16"
|
|
},
|
|
"asiax": {
|
|
"sym": "asiax",
|
|
"name": "Invesco Asia Pacific Equity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.015104802719158268,
|
|
"alpha_t_5y": -0.47353436684284256,
|
|
"alpha_t_full": 0.29552911674879556,
|
|
"r2_5y": 0.7657092192752085,
|
|
"r2_full": 0.7505036835955545,
|
|
"corr_portfolio": 0.25857046103270287,
|
|
"corr_benchmark": 0.4266787160115415,
|
|
"alpha_pos_frac": 0.5258620689655172,
|
|
"fund_max_dd": -0.6377951933582297,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.68, qqq +0.12, vnq -0.06, djp +0.04",
|
|
"ref_full": "vwo +0.47, vweax +0.45, qqq +0.11, agg -0.12"
|
|
},
|
|
"asihx": {
|
|
"sym": "asihx",
|
|
"name": "MULTISECTOR INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.00899613852282286,
|
|
"alpha_t_5y": -1.2537975693202326,
|
|
"alpha_t_full": -1.565652559266554,
|
|
"r2_5y": 0.8286539699178047,
|
|
"r2_full": 0.8035953907674456,
|
|
"corr_portfolio": 0.15481990395473977,
|
|
"corr_benchmark": 0.5947970335099624,
|
|
"alpha_pos_frac": 0.49640287769784175,
|
|
"fund_max_dd": -0.14394450853912422,
|
|
"first": "2014-07-30",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.21, vweax +0.29, ief +0.26, tlt -0.22, vblix +0.22, qqq -0.01",
|
|
"ref_full": "vweax +0.36, ief +0.21, vmbix +0.15, tlt -0.20, vblix +0.24, vwo +0.01"
|
|
},
|
|
"asmmx": {
|
|
"sym": "asmmx",
|
|
"name": "INVESCO SUMMIT FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.06989406194578869,
|
|
"alpha_t_5y": -2.675070572108494,
|
|
"alpha_t_full": -2.697709367050399,
|
|
"r2_5y": 0.9347868348356729,
|
|
"r2_full": 0.9116447003294239,
|
|
"corr_portfolio": 0.15544116019908738,
|
|
"corr_benchmark": 0.5993451612459074,
|
|
"alpha_pos_frac": 0.574468085106383,
|
|
"fund_max_dd": -0.4920716315814331,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.90, iwm +0.17, vnq -0.10, vwo +0.08, gsg +0.02",
|
|
"ref_full": "qqq +0.55, ivv +0.43, vnq -0.14, iwm +0.13, gld +0.05, vweax +0.13"
|
|
},
|
|
"asqix": {
|
|
"sym": "asqix",
|
|
"name": "SMALL COMPANY FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.002312410122644036,
|
|
"alpha_t_5y": 0.12460527850990624,
|
|
"alpha_t_full": -1.6036686306244943,
|
|
"r2_5y": 0.9587043566529007,
|
|
"r2_full": 0.9631372656737397,
|
|
"corr_portfolio": 0.29289480334142154,
|
|
"corr_benchmark": 0.5332395187707428,
|
|
"alpha_pos_frac": 0.48627450980392156,
|
|
"fund_max_dd": -0.6358085669164426,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.91, ivv +0.28, qqq -0.13, vnq -0.07, gld -0.02",
|
|
"ref_full": "iwm +0.89, ivv +0.11, vnq -0.03, djp +0.01"
|
|
},
|
|
"asrax": {
|
|
"sym": "asrax",
|
|
"name": "Invesco Global Real Estate Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.02155924135801284,
|
|
"alpha_t_5y": -1.4710525563616041,
|
|
"alpha_t_full": -1.6466121127355533,
|
|
"r2_5y": 0.9239808106415704,
|
|
"r2_full": 0.710215148018009,
|
|
"corr_portfolio": 0.278166413578444,
|
|
"corr_benchmark": 0.611031001588412,
|
|
"alpha_pos_frac": 0.7488789237668162,
|
|
"fund_max_dd": -0.7856097614159634,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.57, vea +0.21, ivv -0.15, vweax +0.16, qqq +0.04",
|
|
"ref_full": "vnq +0.51, efa +0.17, vweax +0.25, ief +0.11, ivv -0.07"
|
|
},
|
|
"astex": {
|
|
"sym": "astex",
|
|
"name": "AMERICAN FUNDS SHORT-TERM TAX-EXEMPT BOND FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.013574302958424045,
|
|
"alpha_t_5y": -2.351509674152509,
|
|
"alpha_t_full": -1.208731930293376,
|
|
"r2_5y": 0.3343384237024013,
|
|
"r2_full": 0.2682370185577039,
|
|
"corr_portfolio": 0.037701686976375604,
|
|
"corr_benchmark": 0.2957943804963343,
|
|
"alpha_pos_frac": 0.46733668341708545,
|
|
"fund_max_dd": -0.054430118904711056,
|
|
"first": "2009-08-11",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.18, ief +0.05, ivv -0.02",
|
|
"ref_full": "vweax +0.10, agg +0.10, iwm -0.01, fxy +0.01, vnq +0.01, tlt -0.01"
|
|
},
|
|
"asvix": {
|
|
"sym": "asvix",
|
|
"name": "SMALL CAP VALUE FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.016644084856488106,
|
|
"alpha_t_5y": 0.5315932227596746,
|
|
"alpha_t_full": 1.3539584362269927,
|
|
"r2_5y": 0.8848780199126185,
|
|
"r2_full": 0.9067130869537304,
|
|
"corr_portfolio": 0.3409741560710824,
|
|
"corr_benchmark": 0.47727544702948443,
|
|
"alpha_pos_frac": 0.43529411764705883,
|
|
"fund_max_dd": -0.5488621333327476,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.84, qqq -0.56, ivv +0.78, gld -0.07",
|
|
"ref_full": "iwm +0.86, qqq -0.31, ivv +0.37, gld -0.03, vweax +0.12, ief -0.06"
|
|
},
|
|
"asylx": {
|
|
"sym": "asylx",
|
|
"name": "AB Select US Long/Short Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0024023103282033802,
|
|
"alpha_t_5y": -0.2208610718320572,
|
|
"alpha_t_full": -0.20817306015384993,
|
|
"r2_5y": 0.8961171873403666,
|
|
"r2_full": 0.9213875367346774,
|
|
"corr_portfolio": 0.3100471337195512,
|
|
"corr_benchmark": 0.5552627812457924,
|
|
"alpha_pos_frac": 0.5,
|
|
"fund_max_dd": -0.1834452465867611,
|
|
"first": "2012-12-14",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": true,
|
|
"ref_5y": "ivv +0.60, qqq -0.10, vnq -0.04, vblix -0.02",
|
|
"ref_full": "ivv +0.55, vblix -0.03, vnq -0.02, qqq -0.03"
|
|
},
|
|
"atfax": {
|
|
"sym": "atfax",
|
|
"name": "Invesco Limited Term Municipal Income",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.012512982696992395,
|
|
"alpha_t_5y": -2.0221752294610402,
|
|
"alpha_t_full": 1.497498476755451,
|
|
"r2_5y": 0.3850103342255763,
|
|
"r2_full": 0.2724721489472064,
|
|
"corr_portfolio": 0.05986052684904451,
|
|
"corr_benchmark": 0.30226698987395606,
|
|
"alpha_pos_frac": 0.5375722543352601,
|
|
"fund_max_dd": -0.0717992440384162,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.15, vblix +0.16, ivv -0.04, tlt -0.10, vnq +0.01",
|
|
"ref_full": "vweax +0.17, ief +0.04, iwm -0.02, agg +0.05, vnq +0.01, fxy +0.02"
|
|
},
|
|
"atoax": {
|
|
"sym": "atoax",
|
|
"name": "abrdn Ultra Short Municipal Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010494015806368643,
|
|
"alpha_t_5y": -3.4129978399597465,
|
|
"alpha_t_full": -0.012146577657726544,
|
|
"r2_5y": 0.1937130801066943,
|
|
"r2_full": 0.04896888122450249,
|
|
"corr_portfolio": 0.055915486085780564,
|
|
"corr_benchmark": 0.03244446557297513,
|
|
"alpha_pos_frac": 0.3641025641025641,
|
|
"fund_max_dd": -0.011239417601101809,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.10, efa -0.01, vmbix -0.02, iwm -0.00",
|
|
"ref_full": "vweax +0.03, agg +0.01, tlt -0.00"
|
|
},
|
|
"attyx": {
|
|
"sym": "attyx",
|
|
"name": "AB Tax-Aware Fixed Income Opportunities Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0032069067636936524,
|
|
"alpha_t_5y": -0.25252989828386635,
|
|
"alpha_t_full": 0.6971424521234897,
|
|
"r2_5y": 0.4130740990648758,
|
|
"r2_full": 0.42984750940338323,
|
|
"corr_portfolio": 0.11754577576422559,
|
|
"corr_benchmark": 0.35213641945101126,
|
|
"alpha_pos_frac": 0.5068493150684932,
|
|
"fund_max_dd": -0.18602623539539576,
|
|
"first": "2013-12-16",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.35, vblix +0.27, ivv -0.07, vnq +0.03, tlt -0.15",
|
|
"ref_full": "vweax +0.20, vblix +0.49, tlt -0.32, fxy +0.05, vnq +0.04, efa -0.04"
|
|
},
|
|
"atwax": {
|
|
"sym": "atwax",
|
|
"name": "AB Tax-Managed Wealth Appreciation Strategy",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014579523839980651,
|
|
"alpha_t_5y": -1.4369543379118381,
|
|
"alpha_t_full": -3.1808759759482172,
|
|
"r2_5y": 0.9773402053310415,
|
|
"r2_full": 0.9801856916029097,
|
|
"corr_portfolio": 0.3293266908696463,
|
|
"corr_benchmark": 0.6096465240975878,
|
|
"alpha_pos_frac": 0.5336322869955157,
|
|
"fund_max_dd": -0.5931780509125283,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.63, vea +0.25, vwo +0.08, iwm +0.06, vnq -0.04, fxy -0.04",
|
|
"ref_full": "ivv +0.53, efa +0.25, vwo +0.05, iwm +0.07, qqq +0.05, djp +0.02"
|
|
},
|
|
"augax": {
|
|
"sym": "augax",
|
|
"name": "Columbia Quality Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0026972409402379527,
|
|
"alpha_t_5y": -0.29182295737206404,
|
|
"alpha_t_full": -0.18624526229838287,
|
|
"r2_5y": 0.912838737091881,
|
|
"r2_full": 0.5588992770398229,
|
|
"corr_portfolio": -0.09675380342003924,
|
|
"corr_benchmark": 0.571952442273569,
|
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"alpha_pos_frac": 0.4682080924855491,
|
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"fund_max_dd": -0.2511190103751987,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.76, ief +0.46, tlt -0.19, vblix +0.14, qqq -0.03, vweax +0.10",
|
|
"ref_full": "ief +0.52, vweax +0.14, agg +0.21, tlt -0.09, vnq +0.02, fxy +0.02"
|
|
},
|
|
"auiax": {
|
|
"sym": "auiax",
|
|
"name": "AB EQUITY INCOME FUND INC",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.017344588155935373,
|
|
"alpha_t_5y": 1.150109689792229,
|
|
"alpha_t_full": 0.48805530485888443,
|
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"r2_5y": 0.9435918227659623,
|
|
"r2_full": 0.9006621562335606,
|
|
"corr_portfolio": 0.35236252731601975,
|
|
"corr_benchmark": 0.586318993977131,
|
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"alpha_pos_frac": 0.4663677130044843,
|
|
"fund_max_dd": -0.4696839921726118,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": 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,
|
|
"r2_5y": 0.9167953269497535,
|
|
"r2_full": 0.7718521289557446,
|
|
"corr_portfolio": 0.29845235513004115,
|
|
"corr_benchmark": 0.5385151937189094,
|
|
"alpha_pos_frac": 0.5058823529411764,
|
|
"fund_max_dd": -0.3254505300848638,
|
|
"first": "2011-12-12",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.21, qqq -0.21, vnq -0.07",
|
|
"ref_full": "ivv +0.90, vnq -0.05"
|
|
},
|
|
"avaax": {
|
|
"sym": "avaax",
|
|
"name": "AB Virginia Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01442200586847315,
|
|
"alpha_t_5y": -1.1935158431190749,
|
|
"alpha_t_full": 0.6286041472762292,
|
|
"r2_5y": 0.41889352325803186,
|
|
"r2_full": 0.2943116294095357,
|
|
"corr_portfolio": 0.03299234887675384,
|
|
"corr_benchmark": 0.3577632276935698,
|
|
"alpha_pos_frac": 0.5491329479768786,
|
|
"fund_max_dd": -0.1390505909834746,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.22, vweax +0.29, ivv -0.07, vmbix +0.11, tlt -0.13, vnq +0.02",
|
|
"ref_full": "agg +0.08, vweax +0.25, ief +0.10, fxy +0.03, gsg -0.01, efa -0.01"
|
|
},
|
|
"avalx": {
|
|
"sym": "avalx",
|
|
"name": "Aegis Value Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.07255436224296527,
|
|
"alpha_t_5y": 1.387758997819331,
|
|
"alpha_t_full": 2.0817267653069154,
|
|
"r2_5y": 0.6938640454045268,
|
|
"r2_full": 0.6758253354536523,
|
|
"corr_portfolio": 0.2789848556191489,
|
|
"corr_benchmark": 0.36651474910166765,
|
|
"alpha_pos_frac": 0.452914798206278,
|
|
"fund_max_dd": -0.7371949445329175,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.43, djp +0.19, iwm +0.26, gld +0.27, gsg +0.21, tlt -0.12",
|
|
"ref_full": "iwm +0.63, djp +0.17, gld +0.15, vwo +0.14, qqq -0.12, gsg +0.11"
|
|
},
|
|
"aveax": {
|
|
"sym": "aveax",
|
|
"name": "Ave Maria Growth Focused Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.039102377368811635,
|
|
"alpha_t_5y": -0.8294763516889875,
|
|
"alpha_t_full": -1.1193535533304044,
|
|
"r2_5y": 0.7530880357858883,
|
|
"r2_full": 0.7287689185987702,
|
|
"corr_portfolio": 0.13312533902393495,
|
|
"corr_benchmark": 0.5753243498959304,
|
|
"alpha_pos_frac": 0.5142857142857142,
|
|
"fund_max_dd": -0.44088830829523196,
|
|
"first": "2020-05-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.33, ivv +0.32, vea +0.25, vweax +0.62, vnq +0.16, agg -0.28",
|
|
"ref_full": "ivv +0.02, iwm +0.28, vea +0.23, vweax +0.43, qqq +0.27, vnq +0.15"
|
|
},
|
|
"avedx": {
|
|
"sym": "avedx",
|
|
"name": "Ave Maria Rising Dividend Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.02696833303935644,
|
|
"alpha_t_5y": -1.099708415167684,
|
|
"alpha_t_full": 0.29476411520412293,
|
|
"r2_5y": 0.8568728392373811,
|
|
"r2_full": 0.9148627808109528,
|
|
"corr_portfolio": 0.34685219473983747,
|
|
"corr_benchmark": 0.5464295609057599,
|
|
"alpha_pos_frac": 0.6042553191489362,
|
|
"fund_max_dd": -0.49031627293513014,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.14, qqq -0.49, iwm +0.15, vnq +0.11, gsg +0.03, vweax +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": 0.016158922618857183,
|
|
"corr_benchmark": 0.3329490972545163,
|
|
"alpha_pos_frac": 0.5421052631578948,
|
|
"fund_max_dd": -0.07579903015368528,
|
|
"first": "2010-04-16",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.13, vweax +0.17, ivv -0.04, vwo +0.01",
|
|
"ref_full": "agg +0.14, vweax +0.11, fxy +0.03, gsg -0.01, efa -0.02, vnq +0.01"
|
|
},
|
|
"ccfax": {
|
|
"sym": "ccfax",
|
|
"name": "American Funds College 2036 Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010958140248897697,
|
|
"alpha_t_5y": -1.1737191770255835,
|
|
"alpha_t_full": -1.4772143517352343,
|
|
"r2_5y": 0.962785716654311,
|
|
"r2_full": 0.966931390099768,
|
|
"corr_portfolio": 0.2444390401318746,
|
|
"corr_benchmark": 0.7020932312602941,
|
|
"alpha_pos_frac": 0.5729166666666666,
|
|
"fund_max_dd": -0.25797870646682486,
|
|
"first": "2018-02-26",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.43, vea +0.12, agg +0.21, iwm +0.05, vwo +0.06, vweax +0.12",
|
|
"ref_full": "ivv +0.34, vea +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": 0.8883079668217089,
|
|
"corr_portfolio": 0.2259886693211108,
|
|
"corr_benchmark": 0.10685603566950336,
|
|
"alpha_pos_frac": 0.4695121951219512,
|
|
"fund_max_dd": -0.6208447909818353,
|
|
"first": "2012-06-19",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "djp +0.84, qqq -0.02",
|
|
"ref_full": "djp +0.78, gsg +0.05, vnq -0.03, vweax +0.12, qqq -0.02"
|
|
},
|
|
"ccsmx": {
|
|
"sym": "ccsmx",
|
|
"name": "Conestoga SMid Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.07953674480018384,
|
|
"alpha_t_5y": -2.2538237488857535,
|
|
"alpha_t_full": -1.7093981379585892,
|
|
"r2_5y": 0.831167229526335,
|
|
"r2_full": 0.8571953557968832,
|
|
"corr_portfolio": 0.16673439861064654,
|
|
"corr_benchmark": 0.587111731906019,
|
|
"alpha_pos_frac": 0.5793103448275863,
|
|
"fund_max_dd": -0.3734061589669486,
|
|
"first": "2014-01-23",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.50, ivv +0.18, vnq +0.17, vblix +0.11, djp -0.07, qqq +0.12",
|
|
"ref_full": "iwm +0.56, qqq +0.18, vnq +0.06, djp -0.05, vblix +0.07, ivv +0.13"
|
|
},
|
|
"cdazx": {
|
|
"sym": "cdazx",
|
|
"name": "Multi-Manager Directional Alternative Strategies Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0342781802369154,
|
|
"alpha_t_5y": 1.3873841806158491,
|
|
"alpha_t_full": -0.4202815187412839,
|
|
"r2_5y": 0.6017783042077212,
|
|
"r2_full": 0.7199746133032807,
|
|
"corr_portfolio": 0.4579231297920752,
|
|
"corr_benchmark": 0.4914274850949033,
|
|
"alpha_pos_frac": 0.45871559633027525,
|
|
"fund_max_dd": -0.30928871122470447,
|
|
"first": "2017-01-13",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": true,
|
|
"ref_5y": "ivv +0.86, qqq -0.38, vnq -0.10, vea +0.78, efa -0.66, vweax -0.17",
|
|
"ref_full": "ivv +0.72, qqq -0.25, vea +0.47, vnq -0.09, efa -0.37, gld +0.03"
|
|
},
|
|
"cdcdx": {
|
|
"sym": "cdcdx",
|
|
"name": "THE COMMUNITY DEVELOPMENT FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.00496798016271006,
|
|
"alpha_t_5y": -0.881859194975384,
|
|
"alpha_t_full": -0.5392408242143406,
|
|
"r2_5y": 0.8422129147458549,
|
|
"r2_full": 0.6440837578154404,
|
|
"corr_portfolio": -0.1136834692366959,
|
|
"corr_benchmark": 0.5213016053902977,
|
|
"alpha_pos_frac": 0.5338983050847458,
|
|
"fund_max_dd": -0.10358844254996025,
|
|
"first": "2016-05-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.30, ief +0.23, tlt -0.09, qqq -0.01, vblix +0.08, gsg -0.01",
|
|
"ref_full": "ief +0.25, vmbix +0.20, tlt -0.10, vblix +0.08, agg +0.12, ivv -0.01"
|
|
},
|
|
"cdgrx": {
|
|
"sym": "cdgrx",
|
|
"name": "Copeland Dividend Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.028774407414733555,
|
|
"alpha_t_5y": -1.627187790098919,
|
|
"alpha_t_full": -2.025189236502155,
|
|
"r2_5y": 0.9333831093875568,
|
|
"r2_full": 0.8710271271357258,
|
|
"corr_portfolio": 0.2969700835023504,
|
|
"corr_benchmark": 0.6143171121842597,
|
|
"alpha_pos_frac": 0.5769230769230769,
|
|
"fund_max_dd": -0.3624902125676289,
|
|
"first": "2010-12-31",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.86, iwm +0.20, qqq -0.20, vnq +0.10",
|
|
"ref_full": "ivv +0.78, vnq +0.08, iwm +0.11, tlt +0.05, qqq -0.07, vwo -0.04"
|
|
},
|
|
"cdhax": {
|
|
"sym": "cdhax",
|
|
"name": "Calvert International Responsible Index Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0038646415116766345,
|
|
"alpha_t_5y": 0.33398563666162356,
|
|
"alpha_t_full": 0.14319281243769066,
|
|
"r2_5y": 0.9721094668907193,
|
|
"r2_full": 0.9671851910361053,
|
|
"corr_portfolio": 0.33924694881077827,
|
|
"corr_benchmark": 0.5844117180850429,
|
|
"alpha_pos_frac": 0.4596774193548387,
|
|
"fund_max_dd": -0.3230770504420455,
|
|
"first": "2015-11-05",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.89, qqq +0.07, gsg -0.03, vwo +0.03, vnq -0.03, vweax +0.07",
|
|
"ref_full": "vea +0.88, qqq +0.06, gsg -0.03, vweax +0.12, vnq -0.02, fxe +0.04"
|
|
},
|
|
"cefix": {
|
|
"sym": "cefix",
|
|
"name": "Calvert Emerging Markets Advancement Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.017145274366876226,
|
|
"alpha_t_5y": 0.5282455450596599,
|
|
"alpha_t_full": 0.5271191423123033,
|
|
"r2_5y": 0.7887475343019885,
|
|
"r2_full": 0.8316809689887764,
|
|
"corr_portfolio": 0.2552762342686834,
|
|
"corr_benchmark": 0.464575645419557,
|
|
"alpha_pos_frac": 0.4935064935064935,
|
|
"fund_max_dd": -0.30728235549270944,
|
|
"first": "2019-10-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.57, vea +1.97, efa -1.65, fxy -0.14, vnq -0.08, djp -0.07",
|
|
"ref_full": "vwo +0.58, vea +1.85, efa -1.56, vnq -0.07, fxy -0.12, djp -0.06"
|
|
},
|
|
"cemgx": {
|
|
"sym": "cemgx",
|
|
"name": "Cullen Emerging Markets High Dividend Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03198042874804398,
|
|
"alpha_t_5y": 0.8226143947894862,
|
|
"alpha_t_full": 0.380599512116511,
|
|
"r2_5y": 0.6125646923969157,
|
|
"r2_full": 0.6847318422673084,
|
|
"corr_portfolio": 0.38024233708245986,
|
|
"corr_benchmark": 0.39006789903807254,
|
|
"alpha_pos_frac": 0.47530864197530864,
|
|
"fund_max_dd": -0.4013294411950058,
|
|
"first": "2012-09-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": 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,
|
|
"corr_portfolio": 0.17530675769053233,
|
|
"corr_benchmark": 0.28415155143999454,
|
|
"alpha_pos_frac": 0.695067264573991,
|
|
"fund_max_dd": -0.9105629567427087,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.83",
|
|
"ref_full": "ivv +0.72, efa +0.19, vnq +0.07, iwm +0.11, qqq -0.13"
|
|
},
|
|
"cfipx": {
|
|
"sym": "cfipx",
|
|
"name": "Franklin Global Equity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.013830667334118018,
|
|
"alpha_t_5y": 1.1230257393242244,
|
|
"alpha_t_full": -1.076716670515792,
|
|
"r2_5y": 0.9667206639133641,
|
|
"r2_full": 0.9649800578944183,
|
|
"corr_portfolio": 0.36428903528165235,
|
|
"corr_benchmark": 0.5947516337991512,
|
|
"alpha_pos_frac": 0.47398843930635837,
|
|
"fund_max_dd": -0.6055689419129171,
|
|
"first": "2007-07-27",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.70, vea +0.10, vblix -0.03, iwm +0.05, vnq -0.04, efa +0.16",
|
|
"ref_full": "ivv +0.61, vea +0.36, vnq -0.06, djp +0.03, vweax +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,
|
|
"corr_benchmark": 0.3630512001254107,
|
|
"alpha_pos_frac": 0.5260115606936416,
|
|
"fund_max_dd": -0.1185173418778217,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.19, vweax +0.24, ivv -0.06, vmbix +0.08, tlt -0.11, vnq +0.02",
|
|
"ref_full": "agg +0.08, vweax +0.22, ief +0.10, fxy +0.03, gsg -0.01, efa -0.01"
|
|
},
|
|
"cfrax": {
|
|
"sym": "cfrax",
|
|
"name": "Catalyst/CIFC Senior Secured Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.014461640078456248,
|
|
"alpha_t_5y": 1.8030879853519213,
|
|
"alpha_t_full": 1.5615206965638564,
|
|
"r2_5y": 0.4772979212686399,
|
|
"r2_full": 0.5098658483471412,
|
|
"corr_portfolio": 0.29318873586765865,
|
|
"corr_benchmark": 0.2224216115476236,
|
|
"alpha_pos_frac": 0.5126582278481012,
|
|
"fund_max_dd": -0.19236067642081212,
|
|
"first": "2013-01-03",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.25, vmbix +0.01, vblix +0.42, tlt -0.24, agg -0.31",
|
|
"ref_full": "vweax +0.36, vmbix -0.20, vblix +0.32, 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": -0.06568406127744893,
|
|
"corr_benchmark": 0.7236833034039607,
|
|
"alpha_pos_frac": 0.5076923076923077,
|
|
"fund_max_dd": -0.20489099043643255,
|
|
"first": "2015-05-01",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.04, vblix +0.30, vmbix +0.22, tlt -0.13, ief +0.34, vweax +0.09",
|
|
"ref_full": "vblix +0.29, vmbix +0.23, vweax +0.12, ief +0.26, tlt -0.13, agg +0.12"
|
|
},
|
|
"cfvlx": {
|
|
"sym": "cfvlx",
|
|
"name": "The Value Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.002904859230413505,
|
|
"alpha_t_5y": -0.1622910899989808,
|
|
"alpha_t_full": 1.0027903051456628,
|
|
"r2_5y": 0.908317928417351,
|
|
"r2_full": 0.9432314632501577,
|
|
"corr_portfolio": 0.412172699754171,
|
|
"corr_benchmark": 0.510626224630156,
|
|
"alpha_pos_frac": 0.4977578475336323,
|
|
"fund_max_dd": -0.5889876474742121,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.41, qqq -0.73, iwm +0.10, vea +0.08, vnq +0.06, gsg +0.02",
|
|
"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,
|
|
"r2_5y": 0.8775918878842488,
|
|
"r2_full": 0.9016552374730873,
|
|
"corr_portfolio": 0.11465669828547256,
|
|
"corr_benchmark": 0.5665998374258396,
|
|
"alpha_pos_frac": 0.5204918032786885,
|
|
"fund_max_dd": -0.5577514211992851,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.94, qqq +0.79, ivv -0.71",
|
|
"ref_full": "iwm +0.86, qqq +0.49, vnq -0.08, ivv -0.25, gld +0.05, agg +0.11"
|
|
},
|
|
"cgvyx": {
|
|
"sym": "cgvyx",
|
|
"name": "American Funds Global Insight Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.018621247738304113,
|
|
"alpha_t_5y": -1.3862033187824248,
|
|
"alpha_t_full": -0.9872464716677829,
|
|
"r2_5y": 0.9534799063457055,
|
|
"r2_full": 0.9634909434040335,
|
|
"corr_portfolio": 0.26356185895058504,
|
|
"corr_benchmark": 0.648308613904745,
|
|
"alpha_pos_frac": 0.3684210526315789,
|
|
"fund_max_dd": -0.29748281971314616,
|
|
"first": "2019-11-11",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.47, 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,
|
|
"corr_portfolio": 0.38346202984370553,
|
|
"corr_benchmark": 0.559510547048988,
|
|
"alpha_pos_frac": 0.5054945054945055,
|
|
"fund_max_dd": -0.3840182641707547,
|
|
"first": "2011-01-03",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.09, qqq -0.55, vnq +0.15, iwm +0.09, efa +0.11, djp +0.02",
|
|
"ref_full": "ivv +1.02, qqq -0.41, vnq +0.09, efa +0.09, iwm +0.08, vweax +0.08"
|
|
},
|
|
"dvmhx": {
|
|
"sym": "dvmhx",
|
|
"name": "Nomura Minnesota High-Yield Municipal Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.009662595982047637,
|
|
"alpha_t_5y": -0.606853082089511,
|
|
"alpha_t_full": 0.5648834829790652,
|
|
"r2_5y": 0.3727148667612945,
|
|
"r2_full": 0.2570085342318753,
|
|
"corr_portfolio": 0.049883532401377446,
|
|
"corr_benchmark": 0.33974367856511606,
|
|
"alpha_pos_frac": 0.5895953757225434,
|
|
"fund_max_dd": -0.1573915043888543,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.38, vblix +0.33, ivv -0.09, vnq +0.03, 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,
|
|
"corr_portfolio": 0.2618804776583188,
|
|
"corr_benchmark": 0.4151861158291423,
|
|
"alpha_pos_frac": 0.5780346820809249,
|
|
"fund_max_dd": -0.3369246351696419,
|
|
"first": "2011-09-16",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "fxe +0.37, vweax +0.43, vwo +0.15, qqq -0.07, vblix +0.08, vea +0.06",
|
|
"ref_full": "vwo +0.26, fxe +0.33, vweax +0.54, qqq -0.08, ief +0.12, djp +0.03"
|
|
},
|
|
"emlc": {
|
|
"sym": "emlc",
|
|
"name": "VanEck J.P. 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,
|
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"first": "2010-07-26",
|
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"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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|
"ref_5y": "vea +0.13, fxe +0.39, agg +0.42, vwo +0.17, qqq -0.03, fxy +0.05",
|
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"ref_full": "vwo +0.26, fxe +0.33, agg +0.42, vweax +0.25, qqq -0.06, vea +0.07"
|
|
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|
|
"emoax": {
|
|
"sym": "emoax",
|
|
"name": "Eaton Vance Municipal Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
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|
"alpha_ann_5y": -0.008271843971441324,
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"alpha_t_full": 1.5730728883426954,
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|
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"first": "2011-06-07",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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|
"ref_5y": "vblix +0.25, vweax +0.28, ivv -0.07, tlt -0.14, vmbix +0.09, vnq +0.02",
|
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"ref_full": "agg +0.23, vweax +0.29, efa -0.04, fxy +0.04, vnq +0.03, iwm -0.02"
|
|
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|
|
"emptx": {
|
|
"sym": "emptx",
|
|
"name": "UBS Emerging Markets Equity Opportunity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
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"alpha_ann_5y": -0.006039945237106435,
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"r2_5y": 0.6470995850702066,
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"corr_portfolio": 0.25462655692431463,
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"first": "2018-06-01",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.88, agg -0.18",
|
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"ref_full": "vwo +0.81, vweax +0.25, ief -0.16"
|
|
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|
|
"emrgx": {
|
|
"sym": "emrgx",
|
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"name": "EMERGING MARKETS EQUITIES FUND, INC",
|
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"bucket": "all",
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"in_portfolio": false,
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"alpha_pos_frac": 0.5514705882352942,
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"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,
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"r2_5y": 0.5683476464455284,
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"r2_full": 0.7254970228626645,
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"corr_portfolio": 0.30110318777288325,
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"alpha_pos_frac": 0.4900398406374502,
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"fund_max_dd": -0.6666846405617559,
|
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"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.69, vweax +0.42, tlt -0.07",
|
|
"ref_full": "vwo +0.44, efa +0.15, vweax +0.29, qqq +0.06"
|
|
},
|
|
"eniax": {
|
|
"sym": "eniax",
|
|
"name": "SIIT Opportunistic Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.016852680993204257,
|
|
"alpha_t_5y": 3.72046862890935,
|
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"alpha_t_full": -0.7040151107984124,
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"r2_5y": 0.13922472424692622,
|
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"corr_portfolio": 0.2370003414548006,
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"corr_benchmark": 0.16358828102683048,
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"alpha_pos_frac": 0.6711711711711712,
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"fund_max_dd": -0.3061885661707361,
|
|
"first": "2007-09-05",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.09",
|
|
"ref_full": "vweax +0.22, tlt -0.02, agg +0.07, vnq +0.01, iwm -0.01, ief -0.04"
|
|
},
|
|
"epgax": {
|
|
"sym": "epgax",
|
|
"name": "Fidelity Advisor Equity Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01414762726540471,
|
|
"alpha_t_5y": -0.7152948826580698,
|
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"alpha_t_full": -0.7471351532218589,
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"r2_5y": 0.9465196639549719,
|
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"r2_full": 0.947090125822144,
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"corr_portfolio": 0.1763822494321909,
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"alpha_pos_frac": 0.4940239043824701,
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"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,
|
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"alpha_t_5y": -0.6904681947504079,
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"alpha_t_full": -0.0945865113976768,
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"r2_5y": 0.9499907324881687,
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"r2_full": 0.9371549045535678,
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"corr_portfolio": 0.3124760080274654,
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"corr_benchmark": 0.5777675332065305,
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"alpha_pos_frac": 0.5074626865671642,
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"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,
|
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"alpha_t_full": 0.535083182418067,
|
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"r2_5y": 0.9406053372820079,
|
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"r2_full": 0.9497391095777674,
|
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"corr_portfolio": 0.3802058118675553,
|
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"corr_benchmark": 0.5777139914984077,
|
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|
|
"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",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.020662526812600734,
|
|
"alpha_t_5y": 1.2647414567526416,
|
|
"alpha_t_full": 0.9577843398934287,
|
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"r2_5y": 0.9315977593353061,
|
|
"r2_full": 0.8335603882191878,
|
|
"corr_portfolio": 0.347663110238882,
|
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"corr_benchmark": 0.5563388388098451,
|
|
"alpha_pos_frac": 0.48484848484848486,
|
|
"fund_max_dd": -0.4936049342534268,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.16, qqq -0.39, iwm +0.07, efa +0.07, vnq +0.04, gld -0.02",
|
|
"ref_full": "ivv +0.80, qqq -0.12, vweax +0.22, iwm +0.06, efa +0.07, fxy -0.05"
|
|
},
|
|
"erbax": {
|
|
"sym": "erbax",
|
|
"name": "Eaton Vance Equity Strategy Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.021149069560028308,
|
|
"alpha_t_5y": -1.965673997749814,
|
|
"alpha_t_full": -1.562361469098695,
|
|
"r2_5y": 0.9712465778315678,
|
|
"r2_full": 0.9557213521663013,
|
|
"corr_portfolio": 0.34034623966180805,
|
|
"corr_benchmark": 0.5990356403725209,
|
|
"alpha_pos_frac": 0.5108695652173914,
|
|
"fund_max_dd": -0.2913752500430491,
|
|
"first": "2010-10-13",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.65, vea +0.28, vwo +0.10, iwm +0.06, qqq -0.09, vnq -0.05",
|
|
"ref_full": "ivv +0.58, vea +0.23, vwo +0.07, iwm +0.05, vnq -0.04, tlt +0.02"
|
|
},
|
|
"ergox": {
|
|
"sym": "ergox",
|
|
"name": "Eaton Vance Government Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0014159701323867837,
|
|
"alpha_t_5y": -0.09459686548623698,
|
|
"alpha_t_full": -0.6859228742538048,
|
|
"r2_5y": 0.5289889248573856,
|
|
"r2_full": 0.4383935464340156,
|
|
"corr_portfolio": -0.04604971440369462,
|
|
"corr_benchmark": 0.375031181038311,
|
|
"alpha_pos_frac": 0.45664739884393063,
|
|
"fund_max_dd": -0.11663390210657354,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.45, qqq -0.03, vweax +0.04, tlt -0.31, ief +0.29, vblix +0.26",
|
|
"ref_full": "ief +0.45, vweax +0.13, tlt -0.09, gsg -0.01, fxe +0.02, agg +0.04"
|
|
},
|
|
"erth": {
|
|
"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": 0.8172267937205646,
|
|
"corr_portfolio": 0.3054489927412481,
|
|
"corr_benchmark": 0.38877952445283187,
|
|
"alpha_pos_frac": 0.5608108108108109,
|
|
"fund_max_dd": -0.15733637533700295,
|
|
"first": "2013-11-06",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.47, vmbix -0.05, vblix +0.26, tlt -0.19",
|
|
"ref_full": "vweax +0.50, vmbix -0.07, vnq +0.01, vblix +0.21, tlt -0.15"
|
|
},
|
|
"esmax": {
|
|
"sym": "esmax",
|
|
"name": "Invesco Global Small Cap Equity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.025062070353859774,
|
|
"alpha_t_5y": 0.8015770403062503,
|
|
"alpha_t_full": 0.8855853503430418,
|
|
"r2_5y": 0.7661932581316409,
|
|
"r2_full": 0.7699948824903045,
|
|
"corr_portfolio": 0.32131001661634234,
|
|
"corr_benchmark": 0.447930263312562,
|
|
"alpha_pos_frac": 0.5515695067264574,
|
|
"fund_max_dd": -0.658960686070779,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +1.21, fxe +0.33, vweax +0.32, efa -0.51, gsg -0.05, vnq -0.06",
|
|
"ref_full": "efa +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,
|
|
"r2_full": 0.2205252726709538,
|
|
"corr_portfolio": 0.0397228141965349,
|
|
"corr_benchmark": 0.32602487844110445,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.2150679531782903,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.28, vweax +0.26, ivv -0.07, tlt -0.15, vnq +0.02",
|
|
"ref_full": "vweax +0.31, agg +0.15, efa -0.02, fxy +0.03, vnq +0.02, iwm -0.02"
|
|
},
|
|
"etegx": {
|
|
"sym": "etegx",
|
|
"name": "Eaton Vance Small-Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.03654986852630812,
|
|
"alpha_t_5y": -1.3957666616449227,
|
|
"alpha_t_full": -0.17448003427013858,
|
|
"r2_5y": 0.8900629451271453,
|
|
"r2_full": 0.9098746937370448,
|
|
"corr_portfolio": 0.2833109800903885,
|
|
"corr_benchmark": 0.5302140999983783,
|
|
"alpha_pos_frac": 0.521551724137931,
|
|
"fund_max_dd": -0.7384674594858396,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.59, vnq +0.10, djp -0.08, ivv +0.63, 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": 0.35423478473436,
|
|
"r2_full": 0.46062884925415715,
|
|
"corr_portfolio": 0.2646519871673826,
|
|
"corr_benchmark": 0.31380935618891614,
|
|
"alpha_pos_frac": 0.5258620689655172,
|
|
"fund_max_dd": -0.7361550780011366,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.37, ivv +0.46, djp -0.09, qqq -0.18",
|
|
"ref_full": "vwo +0.50, vweax +0.54, fxy -0.17, vnq +0.05, qqq -0.17, ivv +0.19"
|
|
},
|
|
"ethix": {
|
|
"sym": "ethix",
|
|
"name": "Eaton Vance High Income Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.009257020264742878,
|
|
"alpha_t_5y": 0.9989819103642393,
|
|
"alpha_t_full": 0.33198191213003897,
|
|
"r2_5y": 0.785612664465894,
|
|
"r2_full": 0.7989759095323121,
|
|
"corr_portfolio": 0.3110437519252008,
|
|
"corr_benchmark": 0.44944437289904915,
|
|
"alpha_pos_frac": 0.532319391634981,
|
|
"fund_max_dd": -0.42972815017674737,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.82, iwm +0.03",
|
|
"ref_full": "vweax +0.92, 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 +0.11, fxe +0.08, vnq -0.02"
|
|
},
|
|
"exflx": {
|
|
"sym": "exflx",
|
|
"name": "Eaton Vance National Ultra-Short Municipal Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010481598019672952,
|
|
"alpha_t_5y": -2.817086424621931,
|
|
"alpha_t_full": 0.06195656037238968,
|
|
"r2_5y": 0.19324831831825495,
|
|
"r2_full": 0.07260026386411422,
|
|
"corr_portfolio": 0.08600758975449137,
|
|
"corr_benchmark": 0.06230192470661746,
|
|
"alpha_pos_frac": 0.43986254295532645,
|
|
"fund_max_dd": -0.1009068488382473,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.11, ivv -0.01",
|
|
"ref_full": "vweax +0.11, efa -0.01, agg +0.03"
|
|
},
|
|
"exmax": {
|
|
"sym": "exmax",
|
|
"name": "Eaton Vance Short Duration Municipal Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.008221706294331868,
|
|
"alpha_t_5y": -1.1538893065396614,
|
|
"alpha_t_full": 0.7963119041648485,
|
|
"r2_5y": 0.37166730100476764,
|
|
"r2_full": 0.18037477463408003,
|
|
"corr_portfolio": 0.04408312634635546,
|
|
"corr_benchmark": 0.3119525480802339,
|
|
"alpha_pos_frac": 0.568904593639576,
|
|
"fund_max_dd": -0.09190534380991566,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.24, ief +0.08, ivv -0.03",
|
|
"ref_full": "vweax +0.16, agg +0.09, efa -0.03, vnq +0.01, fxy +0.02, vwo +0.01"
|
|
},
|
|
"exnax": {
|
|
"sym": "exnax",
|
|
"name": "Eaton Vance National Limited Maturity Municipal Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.011739545859127976,
|
|
"alpha_t_5y": -1.6578731600691288,
|
|
"alpha_t_full": 0.6594075025507746,
|
|
"r2_5y": 0.35371845415330205,
|
|
"r2_full": 0.1902046150437514,
|
|
"corr_portfolio": 0.04265226594998753,
|
|
"corr_benchmark": 0.28915513693241757,
|
|
"alpha_pos_frac": 0.5265017667844523,
|
|
"fund_max_dd": -0.13809914542372126,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.23, ief +0.07, ivv -0.03",
|
|
"ref_full": "vweax +0.19, agg +0.08, efa -0.01, vnq +0.01, iwm -0.01, fxy +0.02"
|
|
},
|
|
"extgx": {
|
|
"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": 0.510467909846289,
|
|
"alpha_pos_frac": 0.49361702127659574,
|
|
"fund_max_dd": -0.44867367235766464,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.27, ivv +0.37, vnq +0.13, gsg -0.07, fxe +0.14",
|
|
"ref_full": "ivv +0.61, iwm +0.28, vnq -0.09, gsg -0.05, agg +0.19"
|
|
},
|
|
"facfx": {
|
|
"sym": "facfx",
|
|
"name": "Fidelity Advisor Freedom 2010 Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.004906588904720124,
|
|
"alpha_t_5y": -0.9300273305774542,
|
|
"alpha_t_full": -0.7315106480556933,
|
|
"r2_5y": 0.961342889466051,
|
|
"r2_full": 0.9289688669468041,
|
|
"corr_portfolio": 0.2772893596403795,
|
|
"corr_benchmark": 0.7759795438119732,
|
|
"alpha_pos_frac": 0.6412556053811659,
|
|
"fund_max_dd": -0.38265871388299755,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.11, agg +0.54, ivv +0.09, vwo +0.07, gsg +0.02, iwm +0.02",
|
|
"ref_full": "efa +0.13, ivv +0.16, ief +0.22, vwo +0.07, vnq +0.04, djp +0.03"
|
|
},
|
|
"facnx": {
|
|
"sym": "facnx",
|
|
"name": "Fidelity Canada Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.017115554024858797,
|
|
"alpha_t_5y": 0.5292637617073076,
|
|
"alpha_t_full": -0.981283698021682,
|
|
"r2_5y": 0.7624852598543362,
|
|
"r2_full": 0.7909479553818144,
|
|
"corr_portfolio": 0.34299985498483593,
|
|
"corr_benchmark": 0.4977936409115238,
|
|
"alpha_pos_frac": 0.47085201793721976,
|
|
"fund_max_dd": -0.5817797075183647,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.97, gsg +0.14, iwm +0.08, vnq +0.12, efa -0.52, ivv +0.13",
|
|
"ref_full": "efa +0.29, gsg +0.19, ivv +0.34, gld +0.14, vweax +0.30, vwo +0.10"
|
|
},
|
|
"fafdx": {
|
|
"sym": "fafdx",
|
|
"name": "Fidelity Advisor Financials Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03498848728349692,
|
|
"alpha_t_5y": 0.9308976692880987,
|
|
"alpha_t_full": 0.4716411142849572,
|
|
"r2_5y": 0.8137897684019221,
|
|
"r2_full": 0.845980681514658,
|
|
"corr_portfolio": 0.40501621686762496,
|
|
"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": 0.33808986339702785,
|
|
"corr_benchmark": 0.5669019457657691,
|
|
"alpha_pos_frac": 0.45867768595041325,
|
|
"fund_max_dd": -0.3779621835428717,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.15, vweax +0.66, iwm +0.08, vnq -0.06, vwo +0.05, fxe -0.05",
|
|
"ref_full": "vweax +0.88, ivv +0.11, vnq -0.04, iwm +0.07, djp +0.03, qqq +0.03"
|
|
},
|
|
"fairx": {
|
|
"sym": "fairx",
|
|
"name": "The Fairholme Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0024230649846417886,
|
|
"alpha_t_5y": 0.029301432833289842,
|
|
"alpha_t_full": 0.30747971875881924,
|
|
"r2_5y": 0.4463602576856641,
|
|
"r2_full": 0.5260859114221316,
|
|
"corr_portfolio": 0.1644405866652513,
|
|
"corr_benchmark": 0.35621570639395544,
|
|
"alpha_pos_frac": 0.5659574468085107,
|
|
"fund_max_dd": -0.512814774277214,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.52, vnq +0.37, gsg +0.08",
|
|
"ref_full": "iwm +0.48, efa +0.15, gsg +0.05, vnq +0.06, 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 +0.03, gsg -0.01"
|
|
},
|
|
"fbdix": {
|
|
"sym": "fbdix",
|
|
"name": "FRANKLIN BIOTECHNOLOGY DISCOVERY FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03618358446208119,
|
|
"alpha_t_5y": 0.5003598729003873,
|
|
"alpha_t_full": 0.6578564857091812,
|
|
"r2_5y": 0.474707405113724,
|
|
"r2_full": 0.5573656525550192,
|
|
"corr_portfolio": 0.0907339134154907,
|
|
"corr_benchmark": 0.41652450076689934,
|
|
"alpha_pos_frac": 0.46808510638297873,
|
|
"fund_max_dd": -0.7143588836156631,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.63, qqq +0.12, gsg -0.08",
|
|
"ref_full": "iwm +0.63, qqq +0.42, vnq -0.12, agg +0.19, ivv -0.15, gsg -0.04"
|
|
},
|
|
"fblax": {
|
|
"sym": "fblax",
|
|
"name": "Franklin Managed Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.00481514860503127,
|
|
"alpha_t_5y": 0.41494251180930836,
|
|
"alpha_t_full": 0.11628960875513139,
|
|
"r2_5y": 0.8779376650097338,
|
|
"r2_full": 0.8890141264244266,
|
|
"corr_portfolio": 0.35209473883124703,
|
|
"corr_benchmark": 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": 0.03850827738175056,
|
|
"corr_benchmark": 0.36201765742760234,
|
|
"alpha_pos_frac": 0.5953757225433526,
|
|
"fund_max_dd": -0.2386617056903637,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.37, vblix +0.36, ivv -0.08, tlt -0.19, vnq +0.02",
|
|
"ref_full": "agg +0.13, vweax +0.33, ief +0.10, efa -0.03, fxy +0.04, vnq +0.01"
|
|
},
|
|
"fceex": {
|
|
"sym": "fceex",
|
|
"name": "Franklin Emerging Market Core Equity (IU) Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.010002534390215617,
|
|
"alpha_t_5y": 0.43958730115275396,
|
|
"alpha_t_full": 0.3784938388997778,
|
|
"r2_5y": 0.9108949117585668,
|
|
"r2_full": 0.8988826458481967,
|
|
"corr_portfolio": 0.23480754616219335,
|
|
"corr_benchmark": 0.4880889300229964,
|
|
"alpha_pos_frac": 0.5064935064935064,
|
|
"fund_max_dd": -0.3539794229784453,
|
|
"first": "2019-09-27",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vwo +0.82, vea +1.49, efa -1.31, vnq -0.08, fxy -0.06",
|
|
"ref_full": "vwo +0.76, vnq -0.10, vea +1.49, efa -1.31, gsg -0.02, vblix +0.04"
|
|
},
|
|
"fcenx": {
|
|
"sym": "fcenx",
|
|
"name": "Franklin International Core Equity (IU) Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.014309176010177083,
|
|
"alpha_t_5y": 0.9988783430550688,
|
|
"alpha_t_full": 1.0872637972553436,
|
|
"r2_5y": 0.9529448410583891,
|
|
"r2_full": 0.9477578267993513,
|
|
"corr_portfolio": 0.3619692691169246,
|
|
"corr_benchmark": 0.58434975848933,
|
|
"alpha_pos_frac": 0.5064935064935064,
|
|
"fund_max_dd": -0.3153236061461101,
|
|
"first": "2019-09-27",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.92, fxe +0.07",
|
|
"ref_full": "efa +0.73, fxe +0.10, vnq -0.02, vea +0.17"
|
|
},
|
|
"fceux": {
|
|
"sym": "fceux",
|
|
"name": "Franklin U.S. Core Equity (IU) Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.010216506436289977,
|
|
"alpha_t_5y": 0.9477141847979257,
|
|
"alpha_t_full": 0.6376563190709384,
|
|
"r2_5y": 0.9757547188839468,
|
|
"r2_full": 0.9803351370335917,
|
|
"corr_portfolio": 0.24597417432940427,
|
|
"corr_benchmark": 0.6475969505923079,
|
|
"alpha_pos_frac": 0.5194805194805194,
|
|
"fund_max_dd": -0.33565206497594235,
|
|
"first": "2019-09-27",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.97, vnq -0.03, iwm +0.02, fxe -0.03",
|
|
"ref_full": "ivv +0.94, qqq +0.03, vmbix -0.14, ief +0.09"
|
|
},
|
|
"fcfgx": {
|
|
"sym": "fcfgx",
|
|
"name": "American Funds College 2039 Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.015644866360853805,
|
|
"alpha_t_5y": -1.491036715585919,
|
|
"alpha_t_full": -1.491036715585919,
|
|
"r2_5y": 0.9709245179711635,
|
|
"r2_full": 0.9709245179711635,
|
|
"corr_portfolio": 0.08664456042409864,
|
|
"corr_benchmark": 0.696757137721194,
|
|
"alpha_pos_frac": 0.5789473684210527,
|
|
"fund_max_dd": -0.28161082936944826,
|
|
"first": "2021-05-24",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.35, vea +0.18, iwm +0.08, qqq +0.13, vweax +0.17, vwo +0.05",
|
|
"ref_full": "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": 0.0036003250864469847,
|
|
"corr_benchmark": 0.7174366875673085,
|
|
"alpha_pos_frac": 0.6473988439306358,
|
|
"fund_max_dd": -0.21936879544092025,
|
|
"first": "2009-07-02",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.68, tlt -0.31, ief +0.22, vweax +0.13, agg +0.09",
|
|
"ref_full": "agg +0.19, vweax +0.47, tlt +0.12, ief +0.31"
|
|
},
|
|
"fcssx": {
|
|
"sym": "fcssx",
|
|
"name": "Fidelity Series Commodity Strategy Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 8.411696500450926,
|
|
"alpha_t_5y": 0.9686326330650461,
|
|
"alpha_t_full": -0.19949115861650848,
|
|
"r2_5y": -2.220446049250313e-16,
|
|
"r2_full": 0.9744252732628349,
|
|
"corr_portfolio": 0.023052033980061434,
|
|
"corr_benchmark": -0.003715942054560759,
|
|
"alpha_pos_frac": 0.4727272727272727,
|
|
"fund_max_dd": -1.0974795364693846,
|
|
"first": "2012-05-24",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "pure alpha (no sleeve selected)",
|
|
"ref_full": "finux -0.01, djp +0.89"
|
|
},
|
|
"fcstx": {
|
|
"sym": "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,
|
|
"corr_portfolio": 0.2251570152370107,
|
|
"corr_benchmark": 0.6047465784425757,
|
|
"alpha_pos_frac": 0.48878923766816146,
|
|
"fund_max_dd": -0.5852813709043551,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.52, qqq +0.30, iwm +0.10, vea +0.28, vnq -0.03, efa -0.19",
|
|
"ref_full": "ivv +0.45, qqq +0.31, iwm +0.16, efa +0.06, vwo +0.03, fxy -0.03"
|
|
},
|
|
"fdegx": {
|
|
"sym": "fdegx",
|
|
"name": "Fidelity Growth Strategies Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.04358836270765385,
|
|
"alpha_t_5y": -1.152827012184535,
|
|
"alpha_t_full": -2.003358451303342,
|
|
"r2_5y": 0.8502850567464995,
|
|
"r2_full": 0.8839843810084402,
|
|
"corr_portfolio": 0.1862629218995779,
|
|
"corr_benchmark": 0.6046848070126736,
|
|
"alpha_pos_frac": 0.5631067961165048,
|
|
"fund_max_dd": -0.859635015750664,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.14, iwm +0.38, qqq +0.52",
|
|
"ref_full": "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,
|
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"corr_benchmark": 0.3841693061760854,
|
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"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": 0.014697046299950374,
|
|
"alpha_pos_frac": 0.6721311475409836,
|
|
"fund_max_dd": -0.0009997637458040165,
|
|
"first": "2021-02-01",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.12, vea -0.02, vmbix -0.03",
|
|
"ref_full": "vweax +0.12, vea -0.02, vmbix -0.03"
|
|
},
|
|
"fhumx": {
|
|
"sym": "fhumx",
|
|
"name": "Federated Hermes U.S. SMID Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.08275707994395197,
|
|
"alpha_t_5y": -1.2296918120963012,
|
|
"alpha_t_full": -1.2902806835567138,
|
|
"r2_5y": 0.6121717589695395,
|
|
"r2_full": 0.6247999282822672,
|
|
"corr_portfolio": 0.1377873513577305,
|
|
"corr_benchmark": 0.6099276719658757,
|
|
"alpha_pos_frac": 0.8088235294117647,
|
|
"fund_max_dd": -0.3581730383517453,
|
|
"first": "2020-07-06",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.63, ivv +0.39",
|
|
"ref_full": "iwm +0.64, ivv +0.38"
|
|
},
|
|
"fhysx": {
|
|
"sym": "fhysx",
|
|
"name": "Federated Hermes High Yield Strategy Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.001721564295371628,
|
|
"alpha_t_5y": 0.19930438883380783,
|
|
"alpha_t_full": -3.6377835708051824,
|
|
"r2_5y": 0.8386280276900236,
|
|
"r2_full": 0.7595532218081706,
|
|
"corr_portfolio": 0.2995364946115635,
|
|
"corr_benchmark": 0.44219274132418296,
|
|
"alpha_pos_frac": 0.625,
|
|
"fund_max_dd": -0.21451104208505678,
|
|
"first": "2009-07-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.95, iwm +0.02",
|
|
"ref_full": "vweax +0.89, ivv +0.02, vea +0.02"
|
|
},
|
|
"fhytx": {
|
|
"sym": "fhytx",
|
|
"name": "Federated Hermes Opportunistic High Yield Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0029210968360541775,
|
|
"alpha_t_5y": -0.34923178212248523,
|
|
"alpha_t_full": 0.6563707292985432,
|
|
"r2_5y": 0.8674351468361197,
|
|
"r2_full": 0.867617317661274,
|
|
"corr_portfolio": 0.3433367839410697,
|
|
"corr_benchmark": 0.4836209540493105,
|
|
"alpha_pos_frac": 0.41924398625429554,
|
|
"fund_max_dd": -0.34969764846469775,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"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": "Financials Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.04490746843940814,
|
|
"alpha_t_5y": 1.2134128427215185,
|
|
"alpha_t_full": 0.7430199238831058,
|
|
"r2_5y": 0.819864788832609,
|
|
"r2_full": 0.8473954075385742,
|
|
"corr_portfolio": 0.4069709771975497,
|
|
"corr_benchmark": 0.4169335385159144,
|
|
"alpha_pos_frac": 0.49411764705882355,
|
|
"fund_max_dd": -0.742582584913719,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.41, ivv +1.61, qqq -0.96, ief -0.26, gld -0.11, efa +0.14",
|
|
"ref_full": "ivv +1.34, qqq -0.69, iwm +0.39, vnq +0.15, gld -0.10, ief -0.26"
|
|
},
|
|
"fifnx": {
|
|
"sym": "fifnx",
|
|
"name": "Fidelity Founders Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.019863504137258247,
|
|
"alpha_t_5y": -0.7971262309921614,
|
|
"alpha_t_full": -0.3377483719956797,
|
|
"r2_5y": 0.9211568863683591,
|
|
"r2_full": 0.9165515617021092,
|
|
"corr_portfolio": 0.12245495183918613,
|
|
"corr_benchmark": 0.6413986756437432,
|
|
"alpha_pos_frac": 0.44047619047619047,
|
|
"fund_max_dd": -0.32518714612083555,
|
|
"first": "2019-02-25",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.36, qqq +0.44, iwm +0.18, vwo +0.08, djp +0.04",
|
|
"ref_full": "qqq +0.68, iwm +0.17, vea +0.10, djp +0.05, tlt +0.08, vmbix -0.19"
|
|
},
|
|
"figfx": {
|
|
"sym": "figfx",
|
|
"name": "Fidelity International Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.04394411612497177,
|
|
"alpha_t_5y": -1.9945980634044,
|
|
"alpha_t_full": -1.4122730196273952,
|
|
"r2_5y": 0.91808362982374,
|
|
"r2_full": 0.9339086532728132,
|
|
"corr_portfolio": 0.2852863714783406,
|
|
"corr_benchmark": 0.6001641519843778,
|
|
"alpha_pos_frac": 0.5681818181818182,
|
|
"fund_max_dd": -0.5597182928501742,
|
|
"first": "2007-11-05",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.38, qqq +0.21, gsg -0.05, efa +0.43, vweax +0.13, gld +0.03",
|
|
"ref_full": "vea +0.32, qqq +0.18, efa +0.40, vweax +0.24, gld +0.05, vnq -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,
|
|
"corr_portfolio": 0.35153408594535474,
|
|
"corr_benchmark": 0.5507275401990128,
|
|
"alpha_pos_frac": 0.5695067264573991,
|
|
"fund_max_dd": -0.604625443425238,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.54, qqq +0.10, vnq -0.07, efa +0.37, vwo +0.05, gsg -0.02",
|
|
"ref_full": "efa +0.78, vweax +0.29, qqq +0.08, vnq -0.03, gld +0.03, vwo +0.04"
|
|
},
|
|
"fihbx": {
|
|
"sym": "fihbx",
|
|
"name": "Federated Hermes Institutional High Yield Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0026347313730946784,
|
|
"alpha_t_5y": -0.3599162917845606,
|
|
"alpha_t_full": 0.9291024520620327,
|
|
"r2_5y": 0.8779701685332526,
|
|
"r2_full": 0.8796664718999474,
|
|
"corr_portfolio": 0.30685938918527705,
|
|
"corr_benchmark": 0.4487990936010406,
|
|
"alpha_pos_frac": 0.44642857142857145,
|
|
"fund_max_dd": -0.3104778309849451,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.94, iwm +0.02",
|
|
"ref_full": "vweax +0.97, efa +0.01, djp +0.01, tlt -0.03, agg +0.06, fxe -0.01"
|
|
},
|
|
"fiiax": {
|
|
"sym": "fiiax",
|
|
"name": "Fidelity Advisor Mid Cap II Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.005359536852730044,
|
|
"alpha_t_5y": -0.24099821231774834,
|
|
"alpha_t_full": -0.9096291946018243,
|
|
"r2_5y": 0.9320470105903741,
|
|
"r2_full": 0.9315766469942421,
|
|
"corr_portfolio": 0.3228179825299242,
|
|
"corr_benchmark": 0.5703352552930044,
|
|
"alpha_pos_frac": 0.5067264573991032,
|
|
"fund_max_dd": -0.5334985282035487,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.53, ivv +0.57, qqq -0.18, vea +0.47, fxy -0.10, efa -0.33",
|
|
"ref_full": "iwm +0.48, ivv +0.44, vnq -0.08, gld +0.05, vweax +0.20, efa +0.08"
|
|
},
|
|
"fiifx": {
|
|
"sym": "fiifx",
|
|
"name": "Federated Hermes Intermediate Corporate Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.001627915927988823,
|
|
"alpha_t_5y": -0.33474463659246534,
|
|
"alpha_t_full": 0.22070332693371733,
|
|
"r2_5y": 0.9231776990586764,
|
|
"r2_full": 0.7921206091823146,
|
|
"corr_portfolio": -0.012525883937382793,
|
|
"corr_benchmark": 0.6235043597595988,
|
|
"alpha_pos_frac": 0.5202312138728323,
|
|
"fund_max_dd": -0.14355550740730638,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.17, vweax +0.10, ief +0.41, tlt -0.33, vblix +0.36, ivv -0.02",
|
|
"ref_full": "ief +0.48, vweax +0.33, tlt -0.04, ivv -0.02, fxe +0.01, agg +0.04"
|
|
},
|
|
"filfx": {
|
|
"sym": "filfx",
|
|
"name": "Strategic Advisers International Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0020461406297215567,
|
|
"alpha_t_5y": 0.09140615597594648,
|
|
"alpha_t_full": -0.7163493319265952,
|
|
"r2_5y": 0.8830367305345219,
|
|
"r2_full": 0.7449629230271761,
|
|
"corr_portfolio": 0.3712526955683894,
|
|
"corr_benchmark": 0.5381800695693268,
|
|
"alpha_pos_frac": 0.5291479820627802,
|
|
"fund_max_dd": -0.6167137698524872,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve 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,
|
|
"alpha_ann_5y": -0.007967439971322897,
|
|
"alpha_t_5y": -1.4333600930648924,
|
|
"alpha_t_full": -0.4746204906510932,
|
|
"r2_5y": 0.3391685362247411,
|
|
"r2_full": 0.1404643998567725,
|
|
"corr_portfolio": -0.02163686881330993,
|
|
"corr_benchmark": 0.15913420506680487,
|
|
"alpha_pos_frac": 0.4046242774566474,
|
|
"fund_max_dd": -0.047651524287965596,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.08, ief +0.12, tlt -0.15, vblix +0.15, efa -0.02",
|
|
"ref_full": "vweax +0.09, ief +0.07, tlt -0.02, ivv -0.00"
|
|
},
|
|
"fiscx": {
|
|
"sym": "fiscx",
|
|
"name": "FRANKLIN CONVERTIBLE SECURITIES FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0005361452260680898,
|
|
"alpha_t_5y": 0.026031184279049956,
|
|
"alpha_t_full": 0.4873214598869919,
|
|
"r2_5y": 0.8292343734157559,
|
|
"r2_full": 0.8333931194632218,
|
|
"corr_portfolio": 0.16063466343929783,
|
|
"corr_benchmark": 0.5827470951855143,
|
|
"alpha_pos_frac": 0.47398843930635837,
|
|
"fund_max_dd": -0.4915683069056488,
|
|
"first": "2007-06-04",
|
|
"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 ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.04144473004035927,
|
|
"alpha_t_5y": 0.8939445792306598,
|
|
"alpha_t_full": 0.8224352266974372,
|
|
"r2_5y": 0.7664471110858916,
|
|
"r2_full": 0.7859100810441857,
|
|
"corr_portfolio": 0.1781322555124147,
|
|
"corr_benchmark": 0.5790093907142072,
|
|
"alpha_pos_frac": 0.46938775510204084,
|
|
"fund_max_dd": -0.3689549155334264,
|
|
"first": "2017-12-28",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.65, qqq +0.38, gld +0.10, vnq -0.10, vwo -0.09",
|
|
"ref_full": "iwm +0.64, qqq +0.33, gld +0.08, vwo -0.08, vnq -0.07, vweax +0.18"
|
|
},
|
|
"fiusx": {
|
|
"sym": "fiusx",
|
|
"name": "Nomura Opportunity Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.007017334953766322,
|
|
"alpha_t_5y": 0.30355791065313903,
|
|
"alpha_t_full": 0.27209102085833337,
|
|
"r2_5y": 0.9077906703083811,
|
|
"r2_full": 0.9352635464247858,
|
|
"corr_portfolio": 0.3756084047144957,
|
|
"corr_benchmark": 0.5313688119053955,
|
|
"alpha_pos_frac": 0.5112107623318386,
|
|
"fund_max_dd": -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 +0.21, ief +0.06, efa -0.02, fxy +0.03, vnq +0.01"
|
|
},
|
|
"fkdnx": {
|
|
"sym": "fkdnx",
|
|
"name": "FRANKLIN DYNATECH FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.06600673453251883,
|
|
"alpha_t_5y": -2.1023552510706804,
|
|
"alpha_t_full": -1.837097107462224,
|
|
"r2_5y": 0.9222879995837666,
|
|
"r2_full": 0.9166332998040485,
|
|
"corr_portfolio": 0.08533869616333321,
|
|
"corr_benchmark": 0.600767215063623,
|
|
"alpha_pos_frac": 0.5307443365695793,
|
|
"fund_max_dd": -0.5140808279290203,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +1.26, iwm +0.13, ivv -0.33",
|
|
"ref_full": "qqq +0.92, iwm +0.14, vnq -0.06, gld +0.03, tlt +0.04, vweax +0.10"
|
|
},
|
|
"fkgrx": {
|
|
"sym": "fkgrx",
|
|
"name": "FRANKLIN GROWTH FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.042059423667022436,
|
|
"alpha_t_5y": -2.395216055842713,
|
|
"alpha_t_full": -1.5257440260161232,
|
|
"r2_5y": 0.9520318866709102,
|
|
"r2_full": 0.9587866681582856,
|
|
"corr_portfolio": 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": 0.3798241273805406,
|
|
"r2_full": 0.24555335467664918,
|
|
"corr_portfolio": 0.02606327662481822,
|
|
"corr_benchmark": 0.3427557845821427,
|
|
"alpha_pos_frac": 0.630057803468208,
|
|
"fund_max_dd": -0.15786289308577728,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.34, vblix +0.26, ivv -0.14, vnq +0.04, tlt -0.13, qqq +0.04",
|
|
"ref_full": "agg +0.11, vweax +0.27, ief +0.09, efa -0.01, fxy +0.03, gsg -0.01"
|
|
},
|
|
"fknix": {
|
|
"sym": "fknix",
|
|
"name": "FRANKLIN NEW YORK INTERMEDIATE-TERM TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01717636283880809,
|
|
"alpha_t_5y": -1.7060696550672863,
|
|
"alpha_t_full": 0.5227087774264839,
|
|
"r2_5y": 0.38685047672176875,
|
|
"r2_full": 0.2666865417807045,
|
|
"corr_portfolio": 0.023549153086327893,
|
|
"corr_benchmark": 0.33363024643355266,
|
|
"alpha_pos_frac": 0.5369649805447471,
|
|
"fund_max_dd": -0.12681882765970787,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +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 -0.00, tlt -0.01, gsg -0.00"
|
|
},
|
|
"fmcdx": {
|
|
"sym": "fmcdx",
|
|
"name": "Fidelity Advisor Stock Selector Mid Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.007533369172849603,
|
|
"alpha_t_5y": -0.3680649310971477,
|
|
"alpha_t_full": -0.38922347277188496,
|
|
"r2_5y": 0.9404781721432893,
|
|
"r2_full": 0.9190353276170122,
|
|
"corr_portfolio": 0.32542519278364684,
|
|
"corr_benchmark": 0.5628732401454469,
|
|
"alpha_pos_frac": 0.5695067264573991,
|
|
"fund_max_dd": -0.649984397613394,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.59, ivv +0.61, qqq -0.27, vea +0.32, fxy -0.08, efa -0.19",
|
|
"ref_full": "iwm +0.48, ivv +0.40, efa +0.12, djp +0.06, vweax +0.16, qqq -0.06"
|
|
},
|
|
"fmdcx": {
|
|
"sym": "fmdcx",
|
|
"name": "Federated Hermes Mid-Cap Index Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.011366165580295424,
|
|
"alpha_t_5y": -0.5956433064484563,
|
|
"alpha_t_full": 0.19447516161788514,
|
|
"r2_5y": 0.9468718040054496,
|
|
"r2_full": 0.9576930122085594,
|
|
"corr_portfolio": 0.32200303333575997,
|
|
"corr_benchmark": 0.5640803818963797,
|
|
"alpha_pos_frac": 0.5067264573991032,
|
|
"fund_max_dd": -0.5535632036257814,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.58, ivv +0.58, qqq -0.26, vea +0.09, fxy -0.08, vnq +0.05",
|
|
"ref_full": "iwm +0.57, ivv +0.47, qqq -0.11, vnq +0.04, djp +0.03, vweax +0.09"
|
|
},
|
|
"fmdtx": {
|
|
"sym": "fmdtx",
|
|
"name": "FRANKLIN MARYLAND TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014868718484092202,
|
|
"alpha_t_5y": -1.0540992152867512,
|
|
"alpha_t_full": -0.11500026422179509,
|
|
"r2_5y": 0.3919469750837983,
|
|
"r2_full": 0.2624722743437973,
|
|
"corr_portfolio": 0.010469103382880162,
|
|
"corr_benchmark": 0.35136132584835716,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.16968408031195736,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.28, vweax +0.34, ivv -0.14, vnq +0.04, tlt -0.14, qqq +0.04",
|
|
"ref_full": "agg +0.13, vweax +0.27, ief +0.08, efa -0.02, fxy +0.03"
|
|
},
|
|
"fmgix": {
|
|
"sym": "fmgix",
|
|
"name": "MFG Core Infrastructure Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03566961856352915,
|
|
"alpha_t_5y": 1.1680090671958059,
|
|
"alpha_t_full": 1.6549083593766252,
|
|
"r2_5y": 0.6854820590869662,
|
|
"r2_full": 0.7375362020456144,
|
|
"corr_portfolio": 0.3165625489670571,
|
|
"corr_benchmark": 0.5338493353733003,
|
|
"alpha_pos_frac": 0.5621301775147929,
|
|
"fund_max_dd": -0.34293073613329295,
|
|
"first": "2012-01-19",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.43, fxe +0.17, efa +0.35, qqq -0.10, ief +0.18, iwm -0.10",
|
|
"ref_full": "vnq +0.42, efa +0.41, iwm -0.12, fxe +0.15, vweax +0.21, qqq -0.05"
|
|
},
|
|
"fmiex": {
|
|
"sym": "fmiex",
|
|
"name": "Wasatch Global Value Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.05126704294662842,
|
|
"alpha_t_5y": 2.3907419195975166,
|
|
"alpha_t_full": 2.0339458690718035,
|
|
"r2_5y": 0.83316245307745,
|
|
"r2_full": 0.8738059143555781,
|
|
"corr_portfolio": 0.4639314939358499,
|
|
"corr_benchmark": 0.46048467675291954,
|
|
"alpha_pos_frac": 0.4808510638297872,
|
|
"fund_max_dd": -0.47651123007503615,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.35, vnq +0.07, gsg +0.05, qqq -0.64, ivv +0.95, vwo +0.08",
|
|
"ref_full": "ivv +0.84, qqq -0.41, efa +0.21, iwm +0.13, gsg +0.04, tlt -0.05"
|
|
},
|
|
"fmifx": {
|
|
"sym": "fmifx",
|
|
"name": "International Fund II - Currency Unhedged",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.023078477299037378,
|
|
"alpha_t_5y": -0.9013679661194519,
|
|
"alpha_t_full": -0.9014051822139281,
|
|
"r2_5y": 0.8486992075126482,
|
|
"r2_full": 0.8720346479849811,
|
|
"corr_portfolio": 0.3520698319121028,
|
|
"corr_benchmark": 0.5787188681161878,
|
|
"alpha_pos_frac": 0.4594594594594595,
|
|
"fund_max_dd": -0.3939091634398224,
|
|
"first": "2020-01-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.79, vnq +0.04, 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": 0.8094721451626632,
|
|
"r2_full": 0.8474537786910459,
|
|
"corr_portfolio": 0.3844702799740413,
|
|
"corr_benchmark": 0.4968215642226237,
|
|
"alpha_pos_frac": 0.45604395604395603,
|
|
"fund_max_dd": -0.37454434311999507,
|
|
"first": "2011-01-03",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.74, fxe -0.36, fxy -0.18, vnq +0.05, djp -0.05, iwm +0.05",
|
|
"ref_full": "efa +0.59, fxe -0.29, iwm +0.09, vweax +0.23, fxy -0.11, vnq +0.04"
|
|
},
|
|
"fmilx": {
|
|
"sym": "fmilx",
|
|
"name": "Fidelity New Millennium Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.039470552851595016,
|
|
"alpha_t_5y": 1.7982518731653327,
|
|
"alpha_t_full": 2.4632347608537675,
|
|
"r2_5y": 0.9038940710004469,
|
|
"r2_full": 0.9437223570045867,
|
|
"corr_portfolio": 0.36359325775396745,
|
|
"corr_benchmark": 0.5429081819035957,
|
|
"alpha_pos_frac": 0.4977578475336323,
|
|
"fund_max_dd": -0.5834605714043112,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.19, iwm +0.14, qqq -0.34, vnq -0.17, vea +0.64, efa -0.49",
|
|
"ref_full": "ivv +0.62, iwm +0.23, efa +0.14, gsg +0.05, fxy -0.07, qqq -0.06"
|
|
},
|
|
"fmimx": {
|
|
"sym": "fmimx",
|
|
"name": "Common Stock Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03798826634800635,
|
|
"alpha_t_5y": 1.1751332304249587,
|
|
"alpha_t_full": 1.837949255986463,
|
|
"r2_5y": 0.8310137065426331,
|
|
"r2_full": 0.8610856893506046,
|
|
"corr_portfolio": 0.3423535539078506,
|
|
"corr_benchmark": 0.47687000998515816,
|
|
"alpha_pos_frac": 0.46808510638297873,
|
|
"fund_max_dd": -0.5677921726474986,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.54, vnq -0.01, ivv +1.08, qqq -0.61, gsg -0.06",
|
|
"ref_full": "iwm +0.58, ivv +0.56, qqq -0.29, gld -0.04, gsg -0.03, vnq +0.02"
|
|
},
|
|
"fminx": {
|
|
"sym": "fminx",
|
|
"name": "FRANKLIN MINNESOTA TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.018214836574368964,
|
|
"alpha_t_5y": -1.2626551046629277,
|
|
"alpha_t_full": 0.08443903233659339,
|
|
"r2_5y": 0.39903742339379045,
|
|
"r2_full": 0.2767968833813187,
|
|
"corr_portfolio": 0.01846919801948847,
|
|
"corr_benchmark": 0.35211649560313146,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.16456734677535023,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.27, vweax +0.35, ivv -0.15, vnq +0.04, qqq +0.05, tlt -0.14",
|
|
"ref_full": "agg +0.13, vweax +0.26, ief +0.09, fxy +0.03, gsg -0.01, efa -0.01"
|
|
},
|
|
"fmisx": {
|
|
"sym": "fmisx",
|
|
"name": "FRANKLIN MASSACHUSETTS TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.02044013075581217,
|
|
"alpha_t_5y": -1.529753473252591,
|
|
"alpha_t_full": 0.005527527634540665,
|
|
"r2_5y": 0.39227982893214697,
|
|
"r2_full": 0.26645024961527586,
|
|
"corr_portfolio": 0.01835786638762618,
|
|
"corr_benchmark": 0.355142684658309,
|
|
"alpha_pos_frac": 0.5642023346303502,
|
|
"fund_max_dd": -0.16102575047989953,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": 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": -3.026173382590005,
|
|
"alpha_t_full": -2.220227110459174,
|
|
"r2_5y": 0.1846398983177604,
|
|
"r2_full": 0.1900280561310873,
|
|
"corr_portfolio": 0.08500633852659215,
|
|
"corr_benchmark": 0.1503769402409435,
|
|
"alpha_pos_frac": 0.43243243243243246,
|
|
"fund_max_dd": -0.016864992098326703,
|
|
"first": "2013-10-24",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.10, vea -0.01",
|
|
"ref_full": "vweax +0.03, efa -0.01, vblix +0.08, tlt -0.05"
|
|
},
|
|
"fmoax": {
|
|
"sym": "fmoax",
|
|
"name": "Federated Hermes Municipal High Yield Advantage Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.005337800687972694,
|
|
"alpha_t_5y": -0.35879134142830094,
|
|
"alpha_t_full": 0.821366881025169,
|
|
"r2_5y": 0.36000048080785785,
|
|
"r2_full": 0.2509187917062734,
|
|
"corr_portfolio": 0.0526328399721355,
|
|
"corr_benchmark": 0.3581380090116168,
|
|
"alpha_pos_frac": 0.6473988439306358,
|
|
"fund_max_dd": -0.2760285703364138,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.07, vweax +0.35, ivv -0.07, vnq +0.03, vmbix +0.12",
|
|
"ref_full": "agg +0.21, vweax +0.26, fxy +0.05, efa -0.03, vnq +0.01"
|
|
},
|
|
"fmotx": {
|
|
"sym": "fmotx",
|
|
"name": "Nuveen Missouri Municipal Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.012742168847140667,
|
|
"alpha_t_5y": -0.9851913376105036,
|
|
"alpha_t_full": 0.8400631037096208,
|
|
"r2_5y": 0.3937653071881515,
|
|
"r2_full": 0.24198549582173978,
|
|
"corr_portfolio": 0.03343037479825059,
|
|
"corr_benchmark": 0.34831072829040055,
|
|
"alpha_pos_frac": 0.5722543352601156,
|
|
"fund_max_dd": -0.148180377195528,
|
|
"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 -0.16",
|
|
"ref_full": "ief +0.16, vweax +0.26, fxy +0.03, gsg -0.01"
|
|
},
|
|
"fmsfx": {
|
|
"sym": "fmsfx",
|
|
"name": "Fidelity Advisor Mortgage Securities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0006436743977713937,
|
|
"alpha_t_5y": 0.11053290024718962,
|
|
"alpha_t_full": -1.3715929817893655,
|
|
"r2_5y": 0.954719808425709,
|
|
"r2_full": 0.7016181516906388,
|
|
"corr_portfolio": -0.0775404460516527,
|
|
"corr_benchmark": 0.6525149211664046,
|
|
"alpha_pos_frac": 0.48554913294797686,
|
|
"fund_max_dd": -0.18428941832889612,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vmbix +0.77, agg +0.33, vweax +0.06, qqq -0.02, tlt -0.11, vblix +0.11",
|
|
"ref_full": "ief +0.52, vweax +0.15, efa +0.01, agg +0.16, tlt -0.06, vnq +0.01"
|
|
},
|
|
"fmsgx": {
|
|
"sym": "fmsgx",
|
|
"name": "MFG Global Sustainable Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.00908068251170444,
|
|
"alpha_t_5y": 0.3625437597807686,
|
|
"alpha_t_full": -0.27681955800234403,
|
|
"r2_5y": 0.8222639296077277,
|
|
"r2_full": 0.8618573496356137,
|
|
"corr_portfolio": 0.1401038635006115,
|
|
"corr_benchmark": 0.6461761534099263,
|
|
"alpha_pos_frac": 0.4155844155844156,
|
|
"fund_max_dd": -0.28734631367084795,
|
|
"first": "2019-10-10",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": 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,
|
|
"alpha_ann_5y": -0.011384927947595828,
|
|
"alpha_t_5y": -1.1793325045931011,
|
|
"alpha_t_full": -0.5853233278268201,
|
|
"r2_5y": 0.893138656174517,
|
|
"r2_full": 0.8631960242974968,
|
|
"corr_portfolio": 0.33167864174946327,
|
|
"corr_benchmark": 0.6310284968629604,
|
|
"alpha_pos_frac": 0.4666666666666667,
|
|
"fund_max_dd": -0.2449651573211481,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.43, qqq -0.13, vmbix +0.10, iwm +0.05, vweax +0.13, vea +0.04",
|
|
"ref_full": "ivv +0.42, vweax +0.16, ief +0.12, qqq -0.08, iwm +0.04, vnq -0.02"
|
|
},
|
|
"fmuux": {
|
|
"sym": "fmuux",
|
|
"name": "Federated Hermes Municipal Ultrashort Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010707479631879385,
|
|
"alpha_t_5y": -2.9147591058279945,
|
|
"alpha_t_full": -1.7929813675911936,
|
|
"r2_5y": 0.19836861619884194,
|
|
"r2_full": 0.13340559739130387,
|
|
"corr_portfolio": 0.08618921106084068,
|
|
"corr_benchmark": 0.15859129538624478,
|
|
"alpha_pos_frac": 0.3706896551724138,
|
|
"fund_max_dd": -0.024850599447664545,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.11, ivv -0.01, djp -0.00, fxe -0.01",
|
|
"ref_full": "vweax +0.06, agg +0.02, djp -0.00"
|
|
},
|
|
"fncrx": {
|
|
"sym": "fncrx",
|
|
"name": "FRANKLIN NATURAL RESOURCES FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.03102300041154519,
|
|
"alpha_t_5y": 0.6617880798651071,
|
|
"alpha_t_full": 0.09125922278809585,
|
|
"r2_5y": 0.7607902963042003,
|
|
"r2_full": 0.7918902984925364,
|
|
"corr_portfolio": 0.3451815721552762,
|
|
"corr_benchmark": 0.3456543724961572,
|
|
"alpha_pos_frac": 0.4663677130044843,
|
|
"fund_max_dd": -0.8152783611584723,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.37, gsg +0.47, vea +0.49, qqq -0.75, ivv +0.98, vnq -0.20",
|
|
"ref_full": "efa +0.20, gsg +0.50, iwm +0.30, vwo +0.23, qqq -0.43, ivv +0.60"
|
|
},
|
|
"fndb": {
|
|
"sym": "fndb",
|
|
"name": "Schwab Fundamental U.S. Broad Market ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.02956817060721592,
|
|
"alpha_t_5y": 2.0322309950680304,
|
|
"alpha_t_full": 2.7530435186463498,
|
|
"r2_5y": 0.9487165429369523,
|
|
"r2_full": 0.9563153166581473,
|
|
"corr_portfolio": 0.3821786390854278,
|
|
"corr_benchmark": 0.5545454284189478,
|
|
"alpha_pos_frac": 0.4266666666666667,
|
|
"fund_max_dd": -0.3816830232290479,
|
|
"first": "2013-08-16",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.17, qqq -0.48, iwm +0.22, gsg +0.03, efa +0.05, tlt -0.02",
|
|
"ref_full": "ivv +1.08, qqq -0.39, iwm +0.20, gsg +0.04, efa +0.04, vblix -0.02"
|
|
},
|
|
"fngax": {
|
|
"sym": "fngax",
|
|
"name": "Franklin International Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.11886379145485024,
|
|
"alpha_t_5y": -3.5335148702904173,
|
|
"alpha_t_full": -2.16630375704175,
|
|
"r2_5y": 0.8582669870728982,
|
|
"r2_full": 0.8023170898820702,
|
|
"corr_portfolio": 0.20234693660973874,
|
|
"corr_benchmark": 0.5755736464316346,
|
|
"alpha_pos_frac": 0.5211267605633803,
|
|
"fund_max_dd": -0.5315313101839562,
|
|
"first": "2008-06-05",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.62, qqq +0.31, vweax +0.55, fxe +0.24, gsg -0.05, iwm +0.08",
|
|
"ref_full": "vea +0.21, vweax +0.72, qqq +0.22, vnq -0.07, fxe +0.17, efa +0.40"
|
|
},
|
|
"fniax": {
|
|
"sym": "fniax",
|
|
"name": "Fidelity Advisor New Insights Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.008417640072695451,
|
|
"alpha_t_5y": -0.42244873800707305,
|
|
"alpha_t_full": -1.024285706985163,
|
|
"r2_5y": 0.9387780480398349,
|
|
"r2_full": 0.9490256549222807,
|
|
"corr_portfolio": 0.20887756832081222,
|
|
"corr_benchmark": 0.6027884943482933,
|
|
"alpha_pos_frac": 0.5487179487179488,
|
|
"fund_max_dd": -0.4966436581632969,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.40, ivv +0.63, vnq -0.07, gld +0.04, vmbix -0.07",
|
|
"ref_full": "ivv +0.53, qqq +0.38, gld +0.05, vnq -0.06, iwm +0.05, gsg +0.02"
|
|
},
|
|
"fnmtx": {
|
|
"sym": "fnmtx",
|
|
"name": "Nuveen New Mexico Municipal Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014977271375310103,
|
|
"alpha_t_5y": -1.1657052034274713,
|
|
"alpha_t_full": 0.2904530540229601,
|
|
"r2_5y": 0.37124753558932666,
|
|
"r2_full": 0.27034205315016047,
|
|
"corr_portfolio": 0.028888207157064895,
|
|
"corr_benchmark": 0.34255342537759387,
|
|
"alpha_pos_frac": 0.6069364161849711,
|
|
"fund_max_dd": -0.14109416839408107,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.30, vweax +0.28, ivv -0.07, tlt -0.16, vnq +0.03",
|
|
"ref_full": "agg +0.11, vweax +0.25, ief +0.08, efa -0.03, fxy +0.03, vnq +0.01"
|
|
},
|
|
"fnytx": {
|
|
"sym": "fnytx",
|
|
"name": "FRANKLIN NEW YORK TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
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"alpha_ann_5y": -0.017297667093488758,
|
|
"alpha_t_5y": -1.1898592475162093,
|
|
"alpha_t_full": 0.022914644007475966,
|
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"r2_5y": 0.3995627001444392,
|
|
"r2_full": 0.2473457773114358,
|
|
"corr_portfolio": 0.02265458870353566,
|
|
"corr_benchmark": 0.36088520359130405,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.17446182126100473,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.27, vweax +0.36, ivv -0.08, vnq +0.03, tlt -0.13",
|
|
"ref_full": "agg +0.17, vweax +0.25, ief +0.06, efa -0.01, fxy +0.03, gsg -0.01"
|
|
},
|
|
"fobax": {
|
|
"sym": "fobax",
|
|
"name": "Balanced Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01119273713873995,
|
|
"alpha_t_5y": -1.5447264585484766,
|
|
"alpha_t_full": -0.2499883249131548,
|
|
"r2_5y": 0.9721706129565297,
|
|
"r2_full": 0.9369166108026568,
|
|
"corr_portfolio": 0.2624359453635759,
|
|
"corr_benchmark": 0.6636488567734058,
|
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"alpha_pos_frac": 0.4663677130044843,
|
|
"fund_max_dd": -0.4000149737679978,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.56, ief +0.23, vnq +0.03, iwm +0.03, tlt -0.03, vea -0.02",
|
|
"ref_full": "ivv +0.43, agg +0.19, iwm +0.09, vweax +0.08, 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,
|
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"corr_benchmark": 0.5905223847972457,
|
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"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,
|
|
"corr_benchmark": 0.35028396556327457,
|
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"alpha_pos_frac": 0.5408560311284046,
|
|
"fund_max_dd": -0.14413046172256272,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.40, ief +0.14, ivv -0.06, vnq +0.02",
|
|
"ref_full": "vweax +0.27, ief +0.15, fxy +0.03, gsg -0.01, vnq +0.02, efa -0.02"
|
|
},
|
|
"fopax": {
|
|
"sym": "fopax",
|
|
"name": "Fidelity International Small Cap Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.023791703049321523,
|
|
"alpha_t_5y": -0.8148173804549808,
|
|
"alpha_t_full": -1.026847676418246,
|
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"r2_5y": 0.8254536458607853,
|
|
"r2_full": 0.8522839076499787,
|
|
"corr_portfolio": 0.2970551253249762,
|
|
"corr_benchmark": 0.5478289522497958,
|
|
"alpha_pos_frac": 0.600896860986547,
|
|
"fund_max_dd": -0.7275999817047365,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.32, vweax +0.46, fxy +0.14, qqq +0.17, efa +0.46, ivv -0.17",
|
|
"ref_full": "efa +0.64, vweax +0.38, vwo +0.09, gld +0.05, fxy +0.08, qqq +0.05"
|
|
},
|
|
"fosfx": {
|
|
"sym": "fosfx",
|
|
"name": "Fidelity Overseas Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.026160860517176605,
|
|
"alpha_t_5y": -1.2961559014390027,
|
|
"alpha_t_full": -1.0177766100307866,
|
|
"r2_5y": 0.9269615950372921,
|
|
"r2_full": 0.9324769291603259,
|
|
"corr_portfolio": 0.31631858762168347,
|
|
"corr_benchmark": 0.5663578224918978,
|
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"alpha_pos_frac": 0.5426008968609866,
|
|
"fund_max_dd": -0.6350605497566453,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.70, qqq +0.20, gsg -0.05, vweax +0.23, ivv -0.18, vea +0.25",
|
|
"ref_full": "efa +0.81, vweax +0.29, fxe +0.12, qqq +0.08, vnq -0.02, gld +0.02"
|
|
},
|
|
"fpjax": {
|
|
"sym": "fpjax",
|
|
"name": "Fidelity Japan Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.00867303632083862,
|
|
"alpha_t_5y": -0.19459920032002634,
|
|
"alpha_t_full": -0.3737904881136846,
|
|
"r2_5y": 0.7280223784128033,
|
|
"r2_full": 0.677078953945189,
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|
"corr_portfolio": 0.2918063617588965,
|
|
"corr_benchmark": 0.5075546880984758,
|
|
"alpha_pos_frac": 0.4945054945054945,
|
|
"fund_max_dd": -0.36388592754314786,
|
|
"first": "2010-12-15",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +1.04, qqq +0.28, fxy +0.31, fxe -0.51, vnq -0.07, ivv -0.22",
|
|
"ref_full": "vea +1.01, qqq +0.31, ivv -0.38, fxe -0.31, ief +0.22, vwo -0.10"
|
|
},
|
|
"fpntx": {
|
|
"sym": "fpntx",
|
|
"name": "Nuveen Pennsylvania Municipal Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.013470307602368482,
|
|
"alpha_t_5y": -0.8806848782983735,
|
|
"alpha_t_full": 0.5591329043641555,
|
|
"r2_5y": 0.36175780768101007,
|
|
"r2_full": 0.24245112151536252,
|
|
"corr_portfolio": 0.03476890870543112,
|
|
"corr_benchmark": 0.33622209052318375,
|
|
"alpha_pos_frac": 0.5642023346303502,
|
|
"fund_max_dd": -0.15630729996191672,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.47, ief +0.15, ivv -0.08, vnq +0.03",
|
|
"ref_full": "vweax +0.29, ief +0.16, fxy +0.04, 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,
|
|
"corr_portfolio": 0.349300001073663,
|
|
"corr_benchmark": 0.5583677445989954,
|
|
"alpha_pos_frac": 0.41975308641975306,
|
|
"fund_max_dd": -0.33479809977931385,
|
|
"first": "2019-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.94, qqq -0.39, vea +0.14, iwm +0.07, djp +0.05, vnq +0.04",
|
|
"ref_full": "ivv +0.90, qqq -0.37, vea +0.11, vweax +0.20, vwo +0.08, iwm +0.07"
|
|
},
|
|
"fralx": {
|
|
"sym": "fralx",
|
|
"name": "FRANKLIN ALABAMA TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01394371401211164,
|
|
"alpha_t_5y": -0.9069287511996216,
|
|
"alpha_t_full": 0.14967338015809206,
|
|
"r2_5y": 0.36644783858740926,
|
|
"r2_full": 0.2583364536493099,
|
|
"corr_portfolio": -0.0006074508923780442,
|
|
"corr_benchmark": 0.3493016225199885,
|
|
"alpha_pos_frac": 0.5722543352601156,
|
|
"fund_max_dd": -0.15974222344151245,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.10, vweax +0.41, ivv -0.15, vnq +0.05, qqq +0.05",
|
|
"ref_full": "agg +0.14, vweax +0.25, ief +0.09, efa -0.03, fxy +0.03, vnq +0.01"
|
|
},
|
|
"frbsx": {
|
|
"sym": "frbsx",
|
|
"name": "FRANKLIN MUTUAL U.S. MID CAP VALUE FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.006280454260199176,
|
|
"alpha_t_5y": -0.22802114418187316,
|
|
"alpha_t_full": -0.8868746680617584,
|
|
"r2_5y": 0.8460361398537946,
|
|
"r2_full": 0.917591582098859,
|
|
"corr_portfolio": 0.3784842737986856,
|
|
"corr_benchmark": 0.5031904649752678,
|
|
"alpha_pos_frac": 0.5418326693227091,
|
|
"fund_max_dd": -0.6347097275533597,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.36, vnq +0.22, efa +0.26, ief -0.18, vwo -0.12, ivv +0.15",
|
|
"ref_full": "iwm +0.47, ivv +0.75, qqq -0.38, efa +0.09, tlt -0.05, vweax +0.11"
|
|
},
|
|
"frcox": {
|
|
"sym": "frcox",
|
|
"name": "FRANKLIN COLORADO TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014927755889576946,
|
|
"alpha_t_5y": -1.1294485700688512,
|
|
"alpha_t_full": 0.21730149860246423,
|
|
"r2_5y": 0.40017728875647995,
|
|
"r2_full": 0.26395329775206167,
|
|
"corr_portfolio": 0.029873471012108455,
|
|
"corr_benchmark": 0.3509848005655034,
|
|
"alpha_pos_frac": 0.5491329479768786,
|
|
"fund_max_dd": -0.15624174659843326,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.32, ief +0.07, ivv -0.07, vnq +0.03, vblix +0.26, tlt -0.16",
|
|
"ref_full": "agg +0.14, vweax +0.28, ief +0.08, efa -0.02, fxy +0.03, gsg -0.01"
|
|
},
|
|
"frdax": {
|
|
"sym": "frdax",
|
|
"name": "FRANKLIN RISING DIVIDENDS FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.017382733971682388,
|
|
"alpha_t_5y": -0.9853907807584952,
|
|
"alpha_t_full": 0.30254125321586556,
|
|
"r2_5y": 0.9151826672661596,
|
|
"r2_full": 0.9315318915749835,
|
|
"corr_portfolio": 0.3141703046979336,
|
|
"corr_benchmark": 0.5878143225457081,
|
|
"alpha_pos_frac": 0.4913294797687861,
|
|
"fund_max_dd": -0.5136377729221251,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.22, qqq -0.35, vnq +0.05, gsg -0.02, vblix +0.03",
|
|
"ref_full": "ivv +0.98, qqq -0.17, vnq +0.04, djp -0.03, iwm +0.05, fxe -0.03"
|
|
},
|
|
"freex": {
|
|
"sym": "freex",
|
|
"name": "FRANKLIN REAL ESTATE SECURITIES FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.00031489775413598154,
|
|
"alpha_t_5y": -0.03743978555522451,
|
|
"alpha_t_full": -1.6967342786068595,
|
|
"r2_5y": 0.9880432845301417,
|
|
"r2_full": 0.978364560019611,
|
|
"corr_portfolio": 0.2281023719262297,
|
|
"corr_benchmark": 0.5724991258661122,
|
|
"alpha_pos_frac": 0.6809338521400778,
|
|
"fund_max_dd": -0.7698609088007692,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +1.03, iwm -0.07, qqq +0.02",
|
|
"ref_full": "vnq +1.01, iwm -0.08, agg -0.26, qqq +0.02, ief +0.15, ivv +0.06"
|
|
},
|
|
"frfax": {
|
|
"sym": "frfax",
|
|
"name": "PGIM Floating Rate Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.01715244929028369,
|
|
"alpha_t_5y": 1.881469429393995,
|
|
"alpha_t_full": 2.1069189769609786,
|
|
"r2_5y": 0.4621924435132242,
|
|
"r2_full": 0.5380859636502782,
|
|
"corr_portfolio": 0.3093019675814335,
|
|
"corr_benchmark": 0.18764141097143805,
|
|
"alpha_pos_frac": 0.4393063583815029,
|
|
"fund_max_dd": -0.22000073157551836,
|
|
"first": "2011-03-31",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.26, vmbix +0.04, vblix +0.48, tlt -0.28, agg -0.42",
|
|
"ref_full": "vweax +0.55, vmbix -0.14, qqq -0.01"
|
|
},
|
|
"frifx": {
|
|
"sym": "frifx",
|
|
"name": "Fidelity Real Estate Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.014968479180817664,
|
|
"alpha_t_5y": 1.9103396333834701,
|
|
"alpha_t_full": 1.0377014479787603,
|
|
"r2_5y": 0.914724358759961,
|
|
"r2_full": 0.7688509527263039,
|
|
"corr_portfolio": 0.2555798751127451,
|
|
"corr_benchmark": 0.5736770670249345,
|
|
"alpha_pos_frac": 0.5384615384615384,
|
|
"fund_max_dd": -0.4094136411741649,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.26, vmbix +0.08, vweax +0.24, agg +0.12",
|
|
"ref_full": "vnq +0.19, vweax +0.38, agg +0.24, iwm +0.06, qqq -0.07, ivv +0.07"
|
|
},
|
|
"frlex": {
|
|
"sym": "frlex",
|
|
"name": "Franklin LifeSmart 2050 Retirement Target Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
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"alpha_ann_5y": -0.009705119317024589,
|
|
"alpha_t_5y": -0.7936701439029159,
|
|
"alpha_t_full": 0.37520282943645805,
|
|
"r2_5y": 0.962426748815747,
|
|
"r2_full": 0.6434464528605632,
|
|
"corr_portfolio": 0.26981309029616685,
|
|
"corr_benchmark": 0.5542307563923526,
|
|
"alpha_pos_frac": 0.5390070921985816,
|
|
"fund_max_dd": -0.3152472760691414,
|
|
"first": "2014-05-23",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.61, vea +0.24, vwo +0.09",
|
|
"ref_full": "ivv +0.21, vea +0.26, qqq +0.14, iwm +0.12, tlt +0.10, vnq -0.09"
|
|
},
|
|
"frmox": {
|
|
"sym": "frmox",
|
|
"name": "FRANKLIN MISSOURI TAX-FREE INCOME FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.015558493327843453,
|
|
"alpha_t_5y": -1.0873414234211414,
|
|
"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,
|
|
"corr_portfolio": 0.072049524327568,
|
|
"corr_benchmark": 0.2762875845001613,
|
|
"alpha_pos_frac": 0.4913294797687861,
|
|
"fund_max_dd": -0.07074556396624676,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.14, ivv -0.03, vblix +0.14, tlt -0.09",
|
|
"ref_full": "vweax +0.13, agg +0.06, fxy +0.01, efa -0.01, vnq +0.01, iwm -0.01"
|
|
},
|
|
"fslbx": {
|
|
"sym": "fslbx",
|
|
"name": "Brokerage and Investment Management Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.007056184357343203,
|
|
"alpha_t_5y": 0.15399282810590856,
|
|
"alpha_t_full": 0.19005455895444073,
|
|
"r2_5y": 0.7690249333005458,
|
|
"r2_full": 0.8453251304001596,
|
|
"corr_portfolio": 0.3071559612412713,
|
|
"corr_benchmark": 0.48777741149393655,
|
|
"alpha_pos_frac": 0.4745098039215686,
|
|
"fund_max_dd": -0.6819603279946704,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.43, qqq -0.50, iwm +0.31, gld -0.09",
|
|
"ref_full": "ivv +1.11, iwm +0.33, qqq -0.38, efa +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,
|
|
"corr_portfolio": 0.4015987041891363,
|
|
"corr_benchmark": 0.380373367945579,
|
|
"alpha_pos_frac": 0.5372549019607843,
|
|
"fund_max_dd": -0.6947384306501412,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +2.04, qqq -1.14, gld -0.07, ief -0.21, vnq +0.09",
|
|
"ref_full": "ivv +1.51, qqq -0.73, vnq +0.13, gld -0.09, iwm +0.12, tlt -0.07"
|
|
},
|
|
"fsrbx": {
|
|
"sym": "fsrbx",
|
|
"name": "Banking Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.05912867273630499,
|
|
"alpha_t_5y": 1.0081556158649756,
|
|
"alpha_t_full": 1.5230935719940069,
|
|
"r2_5y": 0.7266826085588052,
|
|
"r2_full": 0.7496377060945707,
|
|
"corr_portfolio": 0.37792597383752186,
|
|
"corr_benchmark": 0.3167619525214763,
|
|
"alpha_pos_frac": 0.49411764705882355,
|
|
"fund_max_dd": -0.7689464575928953,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.88, qqq -1.22, ivv +1.71, ief -0.30, gld -0.14, vnq -0.14",
|
|
"ref_full": "iwm +0.67, vnq +0.18, ief -0.33, qqq -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": 0.20677006868982245,
|
|
"alpha_pos_frac": 0.5205479452054794,
|
|
"fund_max_dd": -0.07732565240833644,
|
|
"first": "2013-12-18",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ief +0.27, vweax +0.12, tlt -0.22, vblix +0.21, ivv -0.02",
|
|
"ref_full": "vmbix +0.06, vweax +0.10, ief +0.18, tlt -0.13, vblix +0.13, vea -0.02"
|
|
},
|
|
"giocx": {
|
|
"sym": "giocx",
|
|
"name": "Guggenheim Macro Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.008368264913279298,
|
|
"alpha_t_5y": -1.4156425107999642,
|
|
"alpha_t_full": 1.1291569621436022,
|
|
"r2_5y": 0.7864164042647236,
|
|
"r2_full": 0.48581213021245784,
|
|
"corr_portfolio": 0.16431505902713575,
|
|
"corr_benchmark": 0.46765434241432724,
|
|
"alpha_pos_frac": 0.47368421052631576,
|
|
"fund_max_dd": -0.13224027851330278,
|
|
"first": "2011-12-01",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": true,
|
|
"ref_5y": "vweax +0.43, ief +0.12, vwo +0.01, gld +0.01",
|
|
"ref_full": "vweax +0.31, vmbix +0.19, iwm +0.02, gld +0.02, gsg -0.01, agg -0.07"
|
|
},
|
|
"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,
|
|
"corr_benchmark": 0.3233060830100912,
|
|
"alpha_pos_frac": 0.4260089686098655,
|
|
"fund_max_dd": -0.7313835636680606,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "gld +1.25, vea +1.63, efa -1.08",
|
|
"ref_full": "gld +1.37, vwo +0.27, efa +0.21, djp +0.07, fxe +0.14"
|
|
},
|
|
"glnax": {
|
|
"sym": "glnax",
|
|
"name": "MFS Global New Discovery Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.06285305757523894,
|
|
"alpha_t_5y": -2.708673418948849,
|
|
"alpha_t_full": -1.0420912109865406,
|
|
"r2_5y": 0.8885105629395458,
|
|
"r2_full": 0.8941230353238694,
|
|
"corr_portfolio": 0.2801803809706554,
|
|
"corr_benchmark": 0.6132976492066781,
|
|
"alpha_pos_frac": 0.49411764705882355,
|
|
"fund_max_dd": -0.3886012961728972,
|
|
"first": "2011-12-19",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.41, iwm +0.19, vweax +0.42, ivv +0.24, djp -0.05, fxe +0.15",
|
|
"ref_full": "vea +0.37, iwm +0.23, qqq +0.14, vweax +0.32, fxe +0.11, vnq +0.05"
|
|
},
|
|
"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": -0.05989193133633897,
|
|
"corr_benchmark": 0.7315392439114865,
|
|
"alpha_pos_frac": 0.653179190751445,
|
|
"fund_max_dd": -0.20343214421221834,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.29, vweax +0.10, ief +0.22, vmbix +0.21, vblix +0.07, gsg -0.01",
|
|
"ref_full": "ief +0.43, vweax +0.18, agg +0.20, ivv +0.04, qqq -0.02"
|
|
},
|
|
"goodx": {
|
|
"sym": "goodx",
|
|
"name": "GoodHaven Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.01381885884261688,
|
|
"alpha_t_5y": 0.5215765326708894,
|
|
"alpha_t_full": -0.1538466655763931,
|
|
"r2_5y": 0.8469361821120744,
|
|
"r2_full": 0.7925097602357584,
|
|
"corr_portfolio": 0.3051141494373559,
|
|
"corr_benchmark": 0.5468684148906439,
|
|
"alpha_pos_frac": 0.5083798882681564,
|
|
"fund_max_dd": -0.414312369377273,
|
|
"first": "2011-04-11",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.94, iwm +0.24, qqq -0.38, vweax +0.22, gsg +0.04, efa +0.08",
|
|
"ref_full": "iwm +0.28, ivv +0.69, gsg +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": 0.16562842558025215,
|
|
"corr_portfolio": 0.18881712161413045,
|
|
"corr_benchmark": -0.064267212870549,
|
|
"alpha_pos_frac": 0.5289256198347108,
|
|
"fund_max_dd": -0.35986645151233765,
|
|
"first": "2016-01-20",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": true,
|
|
"ref_5y": "ief -0.74, djp +0.12, gld +0.15, fxy -0.15, vea +0.16, fxe -0.33",
|
|
"ref_full": "vmbix -0.95, gld +0.22, fxe -0.18, qqq +0.10, tlt +0.26, agg -0.58"
|
|
},
|
|
"grnb": {
|
|
"sym": "grnb",
|
|
"name": "VanEck Green Bond ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.009003489170899492,
|
|
"alpha_t_5y": -1.0827174353581905,
|
|
"alpha_t_full": -0.28649297347750524,
|
|
"r2_5y": 0.8306262387370065,
|
|
"r2_full": 0.6495444146236914,
|
|
"corr_portfolio": -0.06452931945691126,
|
|
"corr_benchmark": 0.670533499973102,
|
|
"alpha_pos_frac": 0.5462962962962963,
|
|
"fund_max_dd": -0.1807069653173985,
|
|
"first": "2017-03-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.57, ivv +0.05, vweax +0.09, ief +0.16, vmbix -0.09",
|
|
"ref_full": "agg +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,
|
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"corr_benchmark": 0.5574586495890111,
|
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"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,
|
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"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,
|
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"r2_5y": 0.26539177751058785,
|
|
"r2_full": 0.43636877610017877,
|
|
"corr_portfolio": 0.2879099144262629,
|
|
"corr_benchmark": 0.3311953598080287,
|
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"alpha_pos_frac": 0.5783132530120482,
|
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"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,
|
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"r2_5y": 0.8046999285906781,
|
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"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": -0.14995826055370615,
|
|
"alpha_t_5y": -2.4046122516378285,
|
|
"alpha_t_full": -3.49057713760663,
|
|
"r2_5y": 0.5543417293297167,
|
|
"r2_full": 0.7321464422107704,
|
|
"corr_portfolio": 0.2102011574035606,
|
|
"corr_benchmark": 0.5127216091429377,
|
|
"alpha_pos_frac": 0.6523809523809524,
|
|
"fund_max_dd": -0.4533492822966497,
|
|
"first": "2008-08-12",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +0.91, vnq +0.11",
|
|
"ref_full": "ivv +0.77, qqq +0.19"
|
|
},
|
|
"hciix": {
|
|
"sym": "hciix",
|
|
"name": "The Core Fixed Income Portfolio",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.6470288073950922,
|
|
"alpha_t_5y": 0.9037306948287961,
|
|
"alpha_t_full": 0.8640112211401784,
|
|
"r2_5y": -4.440892098500626e-16,
|
|
"r2_full": 0.0037288329601310455,
|
|
"corr_portfolio": -0.022000547838340403,
|
|
"corr_benchmark": 0.016712506987123607,
|
|
"alpha_pos_frac": 0.0353356890459364,
|
|
"fund_max_dd": -0.25139146567718085,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "pure alpha (no 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,
|
|
"corr_portfolio": 0.3610331275666343,
|
|
"corr_benchmark": 0.5069457003540554,
|
|
"alpha_pos_frac": 0.6358974358974359,
|
|
"fund_max_dd": -0.47421874999999736,
|
|
"first": "2009-11-24",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.87, vweax +0.20, fxe +0.10",
|
|
"ref_full": "efa +0.62, vweax +0.29, fxy +0.07, vea +0.23"
|
|
},
|
|
"hcmex": {
|
|
"sym": "hcmex",
|
|
"name": "HCM Multi-Asset Plus Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.03135556488301506,
|
|
"alpha_t_5y": -1.1603638106601641,
|
|
"alpha_t_full": -1.1768243926594626,
|
|
"r2_5y": 0.8301127612765263,
|
|
"r2_full": 0.8164579234583501,
|
|
"corr_portfolio": 0.08040606212156497,
|
|
"corr_benchmark": 0.5991442314059685,
|
|
"alpha_pos_frac": 0.4642857142857143,
|
|
"fund_max_dd": -0.27715632316931627,
|
|
"first": "2016-11-10",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.58, vnq -0.12, iwm +0.12, tlt +0.05, gld +0.03",
|
|
"ref_full": "qqq +0.51, iwm +0.14, vnq -0.10, ief +0.36, agg -0.46, vblix +0.10"
|
|
},
|
|
"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": -0.003536355577317382,
|
|
"alpha_t_5y": -0.1919670683258243,
|
|
"alpha_t_full": -0.20881671905908414,
|
|
"r2_5y": 0.3914597486413963,
|
|
"r2_full": 0.4196575672473417,
|
|
"corr_portfolio": 0.07266975890756881,
|
|
"corr_benchmark": 0.33791223420613026,
|
|
"alpha_pos_frac": 0.5980392156862745,
|
|
"fund_max_dd": -0.2155834760170745,
|
|
"first": "2017-08-31",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.63, ief +0.19, ivv -0.10, vnq +0.03",
|
|
"ref_full": "vweax +0.33, vblix +0.48, tlt -0.35, iwm -0.06, agg +0.23, vnq +0.04"
|
|
},
|
|
"jderx": {
|
|
"sym": "jderx",
|
|
"name": "PGIM JENNISON MID-CAP GROWTH FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.09808651412408928,
|
|
"alpha_t_5y": -2.725178252419843,
|
|
"alpha_t_full": -2.0946565795937597,
|
|
"r2_5y": 0.856832623764537,
|
|
"r2_full": 0.895472119094979,
|
|
"corr_portfolio": 0.1594362435068323,
|
|
"corr_benchmark": 0.5959013547765034,
|
|
"alpha_pos_frac": 0.4859437751004016,
|
|
"fund_max_dd": -0.5141668056007329,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve 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,
|
|
"alpha_ann_5y": 0.028041460813876574,
|
|
"alpha_t_5y": 1.478598240230186,
|
|
"alpha_t_full": 1.1405061916828296,
|
|
"r2_5y": 0.9180366404054109,
|
|
"r2_full": 0.9442061967444252,
|
|
"corr_portfolio": 0.41200608908832204,
|
|
"corr_benchmark": 0.5176102051594095,
|
|
"alpha_pos_frac": 0.47701149425287354,
|
|
"fund_max_dd": -0.4027579197474148,
|
|
"first": "2011-09-01",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.36, qqq -0.62, iwm +0.21, vnq -0.12, vea +0.59, efa -0.46",
|
|
"ref_full": "ivv +1.20, qqq -0.44, iwm +0.19, vnq -0.06, vea +0.10, ief -0.12"
|
|
},
|
|
"jdyrx": {
|
|
"sym": "jdyrx",
|
|
"name": "PGIM HIGH YIELD FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -3.2865437884858254e-05,
|
|
"alpha_t_5y": -0.0031225500611010153,
|
|
"alpha_t_full": 1.0595703310849713,
|
|
"r2_5y": 0.7365375640108507,
|
|
"r2_full": 0.7267871601903213,
|
|
"corr_portfolio": 0.2794624904810018,
|
|
"corr_benchmark": 0.4318815634244916,
|
|
"alpha_pos_frac": 0.4797687861271676,
|
|
"fund_max_dd": -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",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.09301341470977778,
|
|
"alpha_t_5y": 0.6235367711857103,
|
|
"alpha_t_full": 0.44660793274979993,
|
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"r2_5y": 0.23252739880049966,
|
|
"r2_full": 0.4330553089919962,
|
|
"corr_portfolio": 0.22164368129896644,
|
|
"corr_benchmark": 0.3485307945138229,
|
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"alpha_pos_frac": 0.44680851063829785,
|
|
"fund_max_dd": -0.5067945707598784,
|
|
"first": "2010-07-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.86",
|
|
"ref_full": "iwm +0.92, qqq -0.09"
|
|
},
|
|
"jmvsx": {
|
|
"sym": "jmvsx",
|
|
"name": "JPMorgan Mid Cap Value Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.009100629170072306,
|
|
"alpha_t_5y": 0.21834775149231764,
|
|
"alpha_t_full": 0.7049342354482766,
|
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"r2_5y": 0.711747608632693,
|
|
"r2_full": 0.8924386986659125,
|
|
"corr_portfolio": 0.3630518002522755,
|
|
"corr_benchmark": 0.501371055290397,
|
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"alpha_pos_frac": 0.5214007782101168,
|
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"fund_max_dd": -0.5488735578701822,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +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": 0.8871322221123071,
|
|
"r2_full": 0.9248141355930255,
|
|
"corr_portfolio": 0.18011054144795274,
|
|
"corr_benchmark": 0.6122113158488942,
|
|
"alpha_pos_frac": 0.5419847328244275,
|
|
"fund_max_dd": -0.3178775720235497,
|
|
"first": "2015-03-30",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.47, ivv +0.68, vnq -0.07, efa -0.08",
|
|
"ref_full": "qqq +0.53, ivv +0.59, efa -0.07, iwm -0.04"
|
|
},
|
|
"jsigx": {
|
|
"sym": "jsigx",
|
|
"name": "Jacob Small Cap Growth Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.10133256179785656,
|
|
"alpha_t_5y": -1.2528338875640865,
|
|
"alpha_t_full": -1.7140214544005732,
|
|
"r2_5y": 0.7210665961457298,
|
|
"r2_full": 0.7638164884884193,
|
|
"corr_portfolio": 0.0634413368404604,
|
|
"corr_benchmark": 0.501777676967928,
|
|
"alpha_pos_frac": 0.5474137931034483,
|
|
"fund_max_dd": -0.6983829608133353,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +1.33, qqq +1.02, ivv -1.24, djp -0.09",
|
|
"ref_full": "iwm +1.12, qqq +0.55, ivv -0.54, vnq -0.11, agg +0.21, vweax +0.23"
|
|
},
|
|
"jsnwx": {
|
|
"sym": "jsnwx",
|
|
"name": "John Hancock Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.008584255931690007,
|
|
"alpha_t_5y": -1.0917949068491528,
|
|
"alpha_t_full": -0.5213883182997845,
|
|
"r2_5y": 0.8164870561291729,
|
|
"r2_full": 0.7228415758273572,
|
|
"corr_portfolio": 0.17804502466904246,
|
|
"corr_benchmark": 0.6494597711187711,
|
|
"alpha_pos_frac": 0.5,
|
|
"fund_max_dd": -0.14517669898653018,
|
|
"first": "2011-09-01",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.47, agg +0.05, fxe +0.04, vmbix +0.11, vwo +0.02, ief +0.16",
|
|
"ref_full": "vweax +0.45, agg +0.17, vwo +0.02, vmbix +0.15, fxe +0.04, vnq +0.01"
|
|
},
|
|
"jtmrx": {
|
|
"sym": "jtmrx",
|
|
"name": "John Hancock Municipal Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.010548014747268897,
|
|
"alpha_t_5y": -0.8590130931331453,
|
|
"alpha_t_full": -0.24982347223817544,
|
|
"r2_5y": 0.3865933043555638,
|
|
"r2_full": 0.3894731365486205,
|
|
"corr_portfolio": 0.06862810566297263,
|
|
"corr_benchmark": 0.329701840030029,
|
|
"alpha_pos_frac": 0.5686274509803921,
|
|
"fund_max_dd": -0.1408305885405856,
|
|
"first": "2017-08-31",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.34, vblix +0.25, ivv -0.07, tlt -0.14, vnq +0.02",
|
|
"ref_full": "vweax +0.25, vblix +0.34, tlt -0.25, qqq -0.02, agg +0.16, gsg -0.02"
|
|
},
|
|
"jvmrx": {
|
|
"sym": "jvmrx",
|
|
"name": "John Hancock Disciplined Value Mid Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.010247779523999363,
|
|
"alpha_t_5y": 0.2810617014513411,
|
|
"alpha_t_full": 0.9138834015087768,
|
|
"r2_5y": 0.7868765050361707,
|
|
"r2_full": 0.8914483219477112,
|
|
"corr_portfolio": 0.38035008769406287,
|
|
"corr_benchmark": 0.5111944597359822,
|
|
"alpha_pos_frac": 0.5114942528735632,
|
|
"fund_max_dd": -0.4263018495059313,
|
|
"first": "2011-09-01",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.39, ivv +1.30, qqq -0.67, gsg +0.03",
|
|
"ref_full": "iwm +0.37, ivv +1.03, qqq -0.46, vnq +0.07, ief -0.13, vweax +0.12"
|
|
},
|
|
"kauax": {
|
|
"sym": "kauax",
|
|
"name": "Federated Hermes Kaufmann Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.06689402956354697,
|
|
"alpha_t_5y": -1.8364577571858969,
|
|
"alpha_t_full": -1.419257373859433,
|
|
"r2_5y": 0.8343568259842558,
|
|
"r2_full": 0.8256932890116474,
|
|
"corr_portfolio": 0.11428759232534398,
|
|
"corr_benchmark": 0.554910327637168,
|
|
"alpha_pos_frac": 0.5317919075144508,
|
|
"fund_max_dd": -0.546595574132789,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.56, iwm +0.47, vwo +0.09, ivv -0.25, vblix +0.06",
|
|
"ref_full": "ivv -0.03, iwm +0.40, qqq +0.40, vwo +0.07, gld +0.05, vweax +0.16"
|
|
},
|
|
"kbwb": {
|
|
"sym": "kbwb",
|
|
"name": "Invesco KBW Bank ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.004396379511904665,
|
|
"alpha_t_5y": 0.07406443143696394,
|
|
"alpha_t_full": 1.0960167433509296,
|
|
"r2_5y": 0.7193342466140747,
|
|
"r2_full": 0.7619156539180858,
|
|
"corr_portfolio": 0.38626798894940423,
|
|
"corr_benchmark": 0.32738749881604795,
|
|
"alpha_pos_frac": 0.5348837209302325,
|
|
"fund_max_dd": -0.5026956246686187,
|
|
"first": "2011-11-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.66, ief -0.43, efa +0.07, qqq -1.25, ivv +2.04, vnq -0.19",
|
|
"ref_full": "iwm +0.63, ief -0.42, ivv +1.84, qqq -1.07, gld -0.13, vnq -0.17"
|
|
},
|
|
"kbwd": {
|
|
"sym": "kbwd",
|
|
"name": "Invesco KBW High Dividend Yield Financial ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.014856690096926348,
|
|
"alpha_t_5y": -0.3381042645119847,
|
|
"alpha_t_full": -0.9691250847117714,
|
|
"r2_5y": 0.7200851345275345,
|
|
"r2_full": 0.7142381862231001,
|
|
"corr_portfolio": 0.33051322403772276,
|
|
"corr_benchmark": 0.4906062191570827,
|
|
"alpha_pos_frac": 0.5245901639344263,
|
|
"fund_max_dd": -0.586305759026382,
|
|
"first": "2010-12-03",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.47, vnq +0.15, vweax +0.36, qqq -0.49, ivv +0.75, vmbix +0.20",
|
|
"ref_full": "iwm +0.56, vnq +0.15, vweax +0.61, qqq -0.50, ivv +0.58, agg +0.29"
|
|
},
|
|
"kbwp": {
|
|
"sym": "kbwp",
|
|
"name": "Invesco KBW Property & Casualty Insurance ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.05347595422191242,
|
|
"alpha_t_5y": 0.9532558761386243,
|
|
"alpha_t_full": 1.6555432515844954,
|
|
"r2_5y": 0.4984893972446133,
|
|
"r2_full": 0.4690135019768691,
|
|
"corr_portfolio": 0.39315131299652295,
|
|
"corr_benchmark": 0.3278442535449237,
|
|
"alpha_pos_frac": 0.489010989010989,
|
|
"fund_max_dd": -0.39763970296251927,
|
|
"first": "2010-12-23",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.07, ief -0.20, ivv +2.12, qqq -1.29, gld -0.07",
|
|
"ref_full": "ivv +1.46, qqq -0.81, vwo -0.14, vweax +0.37, iwm +0.13, fxe -0.15"
|
|
},
|
|
"kbwy": {
|
|
"sym": "kbwy",
|
|
"name": "Invesco KBW Premium Yield Equity REIT ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.010913249783103865,
|
|
"alpha_t_5y": 0.2670744105615049,
|
|
"alpha_t_full": -0.3900360211871698,
|
|
"r2_5y": 0.7919733066152348,
|
|
"r2_full": 0.7877523838814866,
|
|
"corr_portfolio": 0.28917662316108217,
|
|
"corr_benchmark": 0.4849116961776404,
|
|
"alpha_pos_frac": 0.5245901639344263,
|
|
"fund_max_dd": -0.576835641545891,
|
|
"first": "2010-12-03",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vnq +0.82, iwm +0.39, qqq -0.25",
|
|
"ref_full": "vnq +0.80, iwm +0.49, qqq -0.34, vweax +0.29, agg +0.75, vmbix -0.73"
|
|
},
|
|
"kctax": {
|
|
"sym": "kctax",
|
|
"name": "DWS California Tax-Free Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.01439827181335292,
|
|
"alpha_t_5y": -1.0775425937724845,
|
|
"alpha_t_full": 0.4842500595656547,
|
|
"r2_5y": 0.45208409381142645,
|
|
"r2_full": 0.25430795089094416,
|
|
"corr_portfolio": 0.024274458468918528,
|
|
"corr_benchmark": 0.3893178002280469,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.16923322343445235,
|
|
"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, vmbix +0.10, tlt -0.14",
|
|
"ref_full": "agg +0.11, vweax +0.25, ief +0.10, fxy +0.03, gsg -0.01, vnq +0.01"
|
|
},
|
|
"kdhax": {
|
|
"sym": "kdhax",
|
|
"name": "DWS CROCI Equity Dividend Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.011263500574762138,
|
|
"alpha_t_5y": 0.3715800443170239,
|
|
"alpha_t_full": -0.290796732577265,
|
|
"r2_5y": 0.7352092013170188,
|
|
"r2_full": 0.8910780377267865,
|
|
"corr_portfolio": 0.4205567789087717,
|
|
"corr_benchmark": 0.47598806316780157,
|
|
"alpha_pos_frac": 0.5136186770428015,
|
|
"fund_max_dd": -0.6577220990669277,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.48, qqq -0.82, iwm +0.09, vnq +0.08",
|
|
"ref_full": "ivv +1.34, qqq -0.55, vnq +0.10, vwo +0.07, tlt -0.10, agg +0.17"
|
|
},
|
|
"kgdax": {
|
|
"sym": "kgdax",
|
|
"name": "DWS Global Small Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0075355239210344194,
|
|
"alpha_t_5y": -0.40551660850218796,
|
|
"alpha_t_full": -2.1373836128588555,
|
|
"r2_5y": 0.9456198236908319,
|
|
"r2_full": 0.931992055548784,
|
|
"corr_portfolio": 0.3270147490592469,
|
|
"corr_benchmark": 0.5729428409220535,
|
|
"alpha_pos_frac": 0.5291479820627802,
|
|
"fund_max_dd": -0.6239585897749769,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.52, vea +0.53, vweax +0.16, ivv +0.09, fxe +0.09, efa -0.20",
|
|
"ref_full": "iwm +0.46, efa +0.37, vweax +0.32, vnq -0.05, djp +0.05, qqq +0.07"
|
|
},
|
|
"khyax": {
|
|
"sym": "khyax",
|
|
"name": "DWS High Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0009707566547108963,
|
|
"alpha_t_5y": -0.09816864162044289,
|
|
"alpha_t_full": 0.1879135661914262,
|
|
"r2_5y": 0.7502601876167431,
|
|
"r2_full": 0.7435654127117921,
|
|
"corr_portfolio": 0.3098140801868416,
|
|
"corr_benchmark": 0.447499491953382,
|
|
"alpha_pos_frac": 0.5919282511210763,
|
|
"fund_max_dd": -0.3157612266180816,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.69, vea +0.04, iwm +0.02, tlt +0.02",
|
|
"ref_full": "vweax +0.82, efa +0.01, tlt -0.04, agg +0.11, ivv +0.02, djp +0.01"
|
|
},
|
|
"klcax": {
|
|
"sym": "klcax",
|
|
"name": "Federated Hermes Kaufmann Large Cap Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.04560061620830076,
|
|
"alpha_t_5y": -1.8540734526226772,
|
|
"alpha_t_full": -0.37688795612865766,
|
|
"r2_5y": 0.9208939823845084,
|
|
"r2_full": 0.9162706486509753,
|
|
"corr_portfolio": 0.16426511338356983,
|
|
"corr_benchmark": 0.6115823518473318,
|
|
"alpha_pos_frac": 0.4840182648401826,
|
|
"fund_max_dd": -0.5194063621564387,
|
|
"first": "2007-12-07",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.59, ivv +0.36, iwm +0.05",
|
|
"ref_full": "ivv +0.48, qqq +0.39, iwm +0.08, vea +0.16, vnq +0.02, efa -0.11"
|
|
},
|
|
"kmdnx": {
|
|
"sym": "kmdnx",
|
|
"name": "Kinetics Multi-Disciplinary Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0016429713235148248,
|
|
"alpha_t_5y": -0.31032792926553227,
|
|
"alpha_t_full": 0.5580866579672977,
|
|
"r2_5y": 0.1850762602607049,
|
|
"r2_full": 0.5714474037963431,
|
|
"corr_portfolio": 0.2993809490289425,
|
|
"corr_benchmark": 0.2870579698328522,
|
|
"alpha_pos_frac": 0.47685185185185186,
|
|
"fund_max_dd": -0.28549866129860013,
|
|
"first": "2008-02-15",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.07, ivv +0.02, gsg +0.01",
|
|
"ref_full": "efa +0.06, vwo +0.08, vweax +0.19, vnq +0.05, tlt -0.10, agg +0.14"
|
|
},
|
|
"kmknx": {
|
|
"sym": "kmknx",
|
|
"name": "Kinetics Market Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.14401858021219263,
|
|
"alpha_t_5y": 1.3363943967211607,
|
|
"alpha_t_full": 2.0816674478722343,
|
|
"r2_5y": 0.3958618422195682,
|
|
"r2_full": 0.4980659844729657,
|
|
"corr_portfolio": 0.22899419322788986,
|
|
"corr_benchmark": 0.27422897308298855,
|
|
"alpha_pos_frac": 0.41203703703703703,
|
|
"fund_max_dd": -0.6624432846919761,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.60, gsg +0.34, tlt -0.15",
|
|
"ref_full": "iwm +0.36, gsg +0.16, efa +0.15, vnq +0.06, vwo +0.07"
|
|
},
|
|
"kntax": {
|
|
"sym": "kntax",
|
|
"name": "DWS New York Tax-Free Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.015080199521826829,
|
|
"alpha_t_5y": -1.0426625233580968,
|
|
"alpha_t_full": 0.29694462838605407,
|
|
"r2_5y": 0.40725181502147134,
|
|
"r2_full": 0.25557371843519383,
|
|
"corr_portfolio": 0.014549880067330047,
|
|
"corr_benchmark": 0.36705420002195355,
|
|
"alpha_pos_frac": 0.5895953757225434,
|
|
"fund_max_dd": -0.1697048152601074,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vblix +0.28, vweax +0.36, ivv -0.14, vnq +0.04, tlt -0.14, qqq +0.05",
|
|
"ref_full": "agg +0.11, vweax +0.25, ief +0.09, gsg -0.01, fxy +0.03"
|
|
},
|
|
"komp": {
|
|
"sym": "komp",
|
|
"name": "State Street(R) SPDR(R) S&P Kensho New Economies Composite ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0456370600960433,
|
|
"alpha_t_5y": -1.3007020557426658,
|
|
"alpha_t_full": -0.2243285845689083,
|
|
"r2_5y": 0.8988882541821676,
|
|
"r2_full": 0.8964184037911664,
|
|
"corr_portfolio": 0.1288034570364424,
|
|
"corr_benchmark": 0.599499259244543,
|
|
"alpha_pos_frac": 0.4772727272727273,
|
|
"fund_max_dd": -0.5006074987884841,
|
|
"first": "2018-10-24",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.89, qqq +0.64, ivv -0.67, vwo +0.21",
|
|
"ref_full": "iwm +0.81, qqq +0.56, ivv -0.53, vwo +0.19, vweax +0.15"
|
|
},
|
|
"korp": {
|
|
"sym": "korp",
|
|
"name": "American Century Diversified Corporate Bond ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0005273083493784751,
|
|
"alpha_t_5y": 0.07391898526198366,
|
|
"alpha_t_full": 0.09196700541574253,
|
|
"r2_5y": 0.894768868806866,
|
|
"r2_full": 0.7996530123305476,
|
|
"corr_portfolio": 0.011792002070600799,
|
|
"corr_benchmark": 0.7728779824607201,
|
|
"alpha_pos_frac": 0.5154639175257731,
|
|
"fund_max_dd": -0.14901148214955318,
|
|
"first": "2018-01-17",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "agg +0.92, ivv +0.02, tlt -0.15, vblix +0.11, efa +0.03, fxe -0.03",
|
|
"ref_full": "agg +0.57, vweax +0.02, ivv +0.04, vmbix +0.15, tlt -0.21, vblix +0.27"
|
|
},
|
|
"kscox": {
|
|
"sym": "kscox",
|
|
"name": "Kinetics Small Cap Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0789964064552334,
|
|
"alpha_t_5y": 0.8469392128107057,
|
|
"alpha_t_full": 1.184356479729274,
|
|
"r2_5y": 0.4090069132544275,
|
|
"r2_full": 0.567019099077348,
|
|
"corr_portfolio": 0.27524982547663596,
|
|
"corr_benchmark": 0.3256149841297674,
|
|
"alpha_pos_frac": 0.4624277456647399,
|
|
"fund_max_dd": -0.7009415289760497,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.65, gsg +0.40, vblix -0.16",
|
|
"ref_full": "iwm +0.45, gsg +0.21, vweax +0.44, ivv +0.35, qqq -0.15"
|
|
},
|
|
"ksdvx": {
|
|
"sym": "ksdvx",
|
|
"name": "Keeley Gabelli Small Cap Dividend Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.028302924159583253,
|
|
"alpha_t_5y": 1.102213059926954,
|
|
"alpha_t_full": 1.1948681836752866,
|
|
"r2_5y": 0.8996130811025386,
|
|
"r2_full": 0.9221186534567736,
|
|
"corr_portfolio": 0.3513422070270066,
|
|
"corr_benchmark": 0.47563303636695314,
|
|
"alpha_pos_frac": 0.4512820512820513,
|
|
"fund_max_dd": -0.49045294943820184,
|
|
"first": "2009-12-03",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.72, qqq -0.59, ivv +0.78, ief -0.10, vnq +0.05",
|
|
"ref_full": "iwm +0.80, qqq -0.46, ivv +0.56, vnq +0.07, vmbix -0.35, agg +0.21"
|
|
},
|
|
"ktcix": {
|
|
"sym": "ktcix",
|
|
"name": "DWS Science and Technology Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.01021272944766131,
|
|
"alpha_t_5y": 0.42743296688714155,
|
|
"alpha_t_full": -1.2457446528857725,
|
|
"r2_5y": 0.9506237434238898,
|
|
"r2_full": 0.9519799325459146,
|
|
"corr_portfolio": 0.12032390477349895,
|
|
"corr_benchmark": 0.5942794494860383,
|
|
"alpha_pos_frac": 0.4980544747081712,
|
|
"fund_max_dd": -0.5628307920319804,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +1.19, vnq -0.07, iwm +0.09, ivv -0.18",
|
|
"ref_full": "qqq +1.03, iwm +0.09, vnq -0.04, ivv -0.05"
|
|
},
|
|
"ktrax": {
|
|
"sym": "ktrax",
|
|
"name": "DWS Global Income Builder Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 2.205937146006763e-05,
|
|
"alpha_t_5y": 0.0016051547844734215,
|
|
"alpha_t_full": -1.878814671638993,
|
|
"r2_5y": 0.8911639289828355,
|
|
"r2_full": 0.9355129265156197,
|
|
"corr_portfolio": 0.33630760883611177,
|
|
"corr_benchmark": 0.6608068725143107,
|
|
"alpha_pos_frac": 0.5549132947976878,
|
|
"fund_max_dd": -0.3989730864679012,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea +0.19, ivv +0.22, vblix +0.10, vwo +0.08, vweax +0.23, iwm +0.03",
|
|
"ref_full": "ivv +0.26, efa +0.16, ief +0.16, vweax +0.20, vwo +0.06, iwm +0.05"
|
|
},
|
|
"ktxix": {
|
|
"sym": "ktxix",
|
|
"name": "The Kansas Tax-Free Intermediate Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.0211188916325229,
|
|
"alpha_t_5y": -2.0885247733779932,
|
|
"alpha_t_full": 0.4061439906511262,
|
|
"r2_5y": 0.3845063810331568,
|
|
"r2_full": 0.2897073169669222,
|
|
"corr_portfolio": 0.02231242034110726,
|
|
"corr_benchmark": 0.35061604497374793,
|
|
"alpha_pos_frac": 0.5136186770428015,
|
|
"fund_max_dd": -0.12081068064237588,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.31, ief +0.12, ivv -0.05, vnq +0.02",
|
|
"ref_full": "agg +0.09, vweax +0.20, ief +0.07, fxy +0.03, gsg -0.01, efa -0.01"
|
|
},
|
|
"labcx": {
|
|
"sym": "labcx",
|
|
"name": "Loomis Sayles Strategic Alpha Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.009684448089583613,
|
|
"alpha_t_5y": -1.3924511166076259,
|
|
"alpha_t_full": -1.3827462652800944,
|
|
"r2_5y": 0.6685953570568052,
|
|
"r2_full": 0.494442110782478,
|
|
"corr_portfolio": 0.20942626058999067,
|
|
"corr_benchmark": 0.4464176013884217,
|
|
"alpha_pos_frac": 0.5,
|
|
"fund_max_dd": -0.1215579994391689,
|
|
"first": "2010-12-17",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.23, agg +0.36, 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": 0.3881327895296771,
|
|
"alpha_pos_frac": 0.5026178010471204,
|
|
"fund_max_dd": -0.33611899159698766,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.50, vnq +0.16, qqq -0.47, ivv +0.53, gsg -0.07",
|
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"ref_full": "iwm +0.54, vnq +0.09, qqq -0.27, ivv +0.32, gsg -0.05"
|
|
},
|
|
"pscd": {
|
|
"sym": "pscd",
|
|
"name": "Invesco S&P SmallCap Consumer Discretionary ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0386543716796007,
|
|
"alpha_t_5y": 0.5636179508151988,
|
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"alpha_t_full": 0.6254612582578426,
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"r2_5y": 0.6840285913290063,
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"r2_full": 0.7376917529887127,
|
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"corr_portfolio": 0.24590999162651103,
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|
"corr_benchmark": 0.46374512958382885,
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"alpha_pos_frac": 0.45549738219895286,
|
|
"fund_max_dd": -0.5657240524271191,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +1.19, qqq -0.22, djp -0.11, vweax +0.39",
|
|
"ref_full": "iwm +1.14, qqq -0.13, agg +0.87, gsg -0.06, ief -0.49, vwo -0.08"
|
|
},
|
|
"psce": {
|
|
"sym": "psce",
|
|
"name": "Invesco S&P SmallCap Energy ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0004448915960854209,
|
|
"alpha_t_5y": 0.0048210054855841325,
|
|
"alpha_t_full": -0.4843963022907664,
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"r2_5y": 0.6819664662798733,
|
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"r2_full": 0.6614411415276245,
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"corr_portfolio": 0.27287692029994404,
|
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"corr_benchmark": 0.2164927430314169,
|
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"alpha_pos_frac": 0.5706806282722513,
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"fund_max_dd": -0.9621373221264218,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "gsg +0.87, iwm +1.09, qqq -1.01, ief -0.35, ivv +1.22, vnq -0.38",
|
|
"ref_full": "iwm +1.23, gsg +0.90, qqq -0.84, vnq -0.40, ivv +0.83, gld -0.11"
|
|
},
|
|
"psch": {
|
|
"sym": "psch",
|
|
"name": "Invesco S&P SmallCap Health Care ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.04326844184919371,
|
|
"alpha_t_5y": -0.8962038356694215,
|
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"alpha_t_full": 0.7399163922856548,
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"r2_5y": 0.7488209331958227,
|
|
"r2_full": 0.7659431625714209,
|
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"corr_portfolio": 0.16749046987568175,
|
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"corr_benchmark": 0.4882556506891674,
|
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"alpha_pos_frac": 0.46596858638743455,
|
|
"fund_max_dd": -0.47317962539300207,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.92, gsg -0.07, vnq +0.09, vea -0.97, efa +0.81, fxy +0.14",
|
|
"ref_full": "iwm +0.92, gsg -0.05, vwo -0.08, qqq +0.14, ivv -0.12"
|
|
},
|
|
"psci": {
|
|
"sym": "psci",
|
|
"name": "Invesco S&P SmallCap Industrials ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.05928926311183649,
|
|
"alpha_t_5y": 1.477331362029523,
|
|
"alpha_t_full": 1.3770400320238205,
|
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"r2_5y": 0.832973713376744,
|
|
"r2_full": 0.8280587209217352,
|
|
"corr_portfolio": 0.3348767944662836,
|
|
"corr_benchmark": 0.4682434305961898,
|
|
"alpha_pos_frac": 0.4712041884816754,
|
|
"fund_max_dd": -0.4554526613786528,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.92, qqq -0.54, ivv +0.79, vnq -0.14",
|
|
"ref_full": "iwm +0.98, qqq -0.40, ivv +0.54, vnq -0.15, vweax +0.25, gsg -0.03"
|
|
},
|
|
"pscm": {
|
|
"sym": "pscm",
|
|
"name": "Invesco S&P SmallCap Materials ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.006791974767373396,
|
|
"alpha_t_5y": 0.11846472487862811,
|
|
"alpha_t_full": 0.37589681502692807,
|
|
"r2_5y": 0.7332825078022036,
|
|
"r2_full": 0.599142535795322,
|
|
"corr_portfolio": 0.3054291724058675,
|
|
"corr_benchmark": 0.3746573482471232,
|
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"alpha_pos_frac": 0.5392670157068062,
|
|
"fund_max_dd": -0.5133660223879823,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.89, djp +0.11, qqq -0.66, ivv +0.79, vea +0.28, vnq -0.18",
|
|
"ref_full": "iwm +0.86, djp +0.11, qqq -0.30, vweax +0.50, agg -0.32, ivv +0.26"
|
|
},
|
|
"psct": {
|
|
"sym": "psct",
|
|
"name": "Invesco S&P SmallCap Information Technology ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.011239521789210347,
|
|
"alpha_t_5y": 0.2351669422486255,
|
|
"alpha_t_full": 0.5197432838485094,
|
|
"r2_5y": 0.8448705878587595,
|
|
"r2_full": 0.8475791045065748,
|
|
"corr_portfolio": 0.20000656591873878,
|
|
"corr_benchmark": 0.5271991114116444,
|
|
"alpha_pos_frac": 0.5026178010471204,
|
|
"fund_max_dd": -0.4043654041434017,
|
|
"first": "2010-04-08",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.96, qqq +0.77, ivv -0.67, vnq -0.15, vea +0.69, efa -0.59",
|
|
"ref_full": "iwm +0.99, qqq +0.57, ivv -0.47, vnq -0.14, vwo +0.06, gsg -0.03"
|
|
},
|
|
"psecx": {
|
|
"sym": "psecx",
|
|
"name": "1789 Growth and Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.003566902857182535,
|
|
"alpha_t_5y": -0.17254127955074708,
|
|
"alpha_t_full": -0.5554540843333373,
|
|
"r2_5y": 0.8291948069133994,
|
|
"r2_full": 0.872233893896201,
|
|
"corr_portfolio": 0.3663360488284164,
|
|
"corr_benchmark": 0.5657334185836479,
|
|
"alpha_pos_frac": 0.4866666666666667,
|
|
"fund_max_dd": -0.31130797242918296,
|
|
"first": "2013-08-29",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "ivv +1.06, qqq -0.49, vnq +0.13, gsg -0.03, iwm +0.05",
|
|
"ref_full": "ivv +0.87, qqq -0.35, vnq +0.10, iwm +0.05, efa +0.05, djp -0.02"
|
|
},
|
|
"psgix": {
|
|
"sym": "psgix",
|
|
"name": "BLACKROCK ADVANTAGE SMALL CAP GROWTH FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.024754673623502112,
|
|
"alpha_t_5y": -1.2363574581597487,
|
|
"alpha_t_full": -0.7310918116282843,
|
|
"r2_5y": 0.9631929039373123,
|
|
"r2_full": 0.9459373849300159,
|
|
"corr_portfolio": 0.19187645951143711,
|
|
"corr_benchmark": 0.5652700720760597,
|
|
"alpha_pos_frac": 0.5252918287937743,
|
|
"fund_max_dd": -0.7750115750559339,
|
|
"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 -0.41, vnq -0.04",
|
|
"ref_full": "iwm +0.94, qqq +0.28, vnq -0.09, ivv -0.16, agg +0.12, djp +0.02"
|
|
},
|
|
"psiax": {
|
|
"sym": "psiax",
|
|
"name": "PGIM QUANT SOLUTIONS LARGE-CAP INDEX FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.004577109939879009,
|
|
"alpha_t_5y": -0.7258264588760487,
|
|
"alpha_t_full": -0.541505521950724,
|
|
"r2_5y": 0.9919650936932636,
|
|
"r2_full": 0.9793423928727152,
|
|
"corr_portfolio": 0.2779716920570887,
|
|
"corr_benchmark": 0.6135626708629868,
|
|
"alpha_pos_frac": 0.517799352750809,
|
|
"fund_max_dd": -0.5549881282702265,
|
|
"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 +0.94, efa +0.03, qqq +0.03, vnq +0.01"
|
|
},
|
|
"psilx": {
|
|
"sym": "psilx",
|
|
"name": "T. 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,
|
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"ref_5y": "agg -0.10, vweax +0.23, ief +0.38, vblix +0.44, tlt -0.30",
|
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"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,
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"alpha_t_5y": -0.5387536865734236,
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"alpha_t_full": 0.11679157884379539,
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"r2_5y": 0.8825600511270346,
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"r2_full": 0.8160924643478853,
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"corr_portfolio": 0.3257886475180679,
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"corr_benchmark": 0.555439306422024,
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"alpha_pos_frac": 0.5054945054945055,
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"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,
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"alpha_t_5y": 2.888301875269659,
|
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"alpha_t_full": 1.7235909823448718,
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"r2_5y": 0.1564380947384293,
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"r2_full": 0.24437677125142976,
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"corr_portfolio": 0.09687214369181021,
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"corr_benchmark": 0.21675209303958448,
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"alpha_pos_frac": 0.47368421052631576,
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"fund_max_dd": -0.05851556826429116,
|
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"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,
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"alpha_t_5y": -1.4783157122621848,
|
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"alpha_t_full": -2.5876600331038655,
|
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"r2_5y": 0.9327107074004258,
|
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"r2_full": 0.9266840944879049,
|
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"corr_portfolio": 0.29633371988243534,
|
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"corr_benchmark": 0.5985740614741851,
|
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"alpha_pos_frac": 0.5291479820627802,
|
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"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,
|
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"alpha_t_full": -0.6812240597342166,
|
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"r2_5y": 0.8795211579242399,
|
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"r2_full": 0.8977297206773387,
|
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"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,
|
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"r2_5y": 0.41632639565028373,
|
|
"r2_full": 0.46778785537365564,
|
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"corr_portfolio": 0.26004502957055886,
|
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"corr_benchmark": 0.3472625919026572,
|
|
"alpha_pos_frac": 0.47085201793721976,
|
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"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,
|
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"r2_5y": 0.8589909588467797,
|
|
"r2_full": 0.83639344650274,
|
|
"corr_portfolio": 0.2021265401538122,
|
|
"corr_benchmark": 0.514421846842828,
|
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"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,
|
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"alpha_t_full": -1.1851135843544853,
|
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"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,
|
|
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"ref_full": "vweax +0.34, vblix +0.18, tlt -0.09, vwo +0.03, qqq -0.02"
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},
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"pycsx": {
|
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"sym": "pycsx",
|
|
"name": "Payden Core Bond Fund",
|
|
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"first": "2018-01-26",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
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|
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|
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"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",
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|
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|
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|
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|
|
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"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",
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|
"in_portfolio": false,
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|
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"verdict": "alpha, but correlated with current portfolio",
|
|
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|
"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",
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|
"in_portfolio": false,
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"fund_max_dd": -0.15827608810434401,
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"first": "2021-07-02",
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"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",
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|
"in_portfolio": false,
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|
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"first": "2014-05-13",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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|
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|
|
"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,
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|
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"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"
|
|
},
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|
"pzrmx": {
|
|
"sym": "pzrmx",
|
|
"name": "PIMCO Inflation Response Multi-Asset Fund",
|
|
"bucket": "all",
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|
"in_portfolio": false,
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|
"alpha_ann_5y": 0.022163007822231517,
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"first": "2011-09-02",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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|
"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,
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|
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|
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|
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|
|
"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,
|
|
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|
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|
|
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|
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|
|
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|
|
"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,
|
|
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|
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|
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|
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|
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|
|
"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,
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|
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|
|
"alpha_pos_frac": 0.3170731707317073,
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|
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|
|
"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,
|
|
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|
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|
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|
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|
"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,
|
|
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|
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|
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|
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|
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|
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|
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|
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|
|
"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,
|
|
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|
|
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|
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|
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|
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|
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|
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|
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|
|
"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,
|
|
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|
|
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|
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|
"r2_5y": 0.9829866992514457,
|
|
"r2_full": 0.965002569270899,
|
|
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|
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|
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|
|
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|
|
"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,
|
|
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|
|
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|
|
"r2_5y": 0.9959926537830533,
|
|
"r2_full": 0.9968230809030183,
|
|
"corr_portfolio": 0.2157357670725372,
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|
"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"
|
|
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|
|
"secex": {
|
|
"sym": "secex",
|
|
"name": "NAA LARGE CORE FUND",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.00951188950201282,
|
|
"alpha_t_5y": -1.1849462787146035,
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"alpha_t_full": -1.726935363897953,
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"r2_5y": 0.9874114585889305,
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"r2_full": 0.9707083723590489,
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"corr_portfolio": 0.29076407431436513,
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"corr_benchmark": 0.6198039103235035,
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|
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"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,
|
|
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"alpha_t_full": -0.1876007889817094,
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"r2_5y": 0.3533672821449355,
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"r2_full": 0.23108088455160658,
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"corr_portfolio": 0.0653688824180498,
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"fund_max_dd": -0.11640889670226062,
|
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"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,
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"alpha_t_full": -0.4243301042392399,
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"r2_5y": 0.5292060222813725,
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"r2_full": 0.41069664940902184,
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"corr_portfolio": 0.26206859698627566,
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"corr_benchmark": 0.3612345235489743,
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"alpha_pos_frac": 0.6127167630057804,
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"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,
|
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"alpha_t_full": -0.1255117217948356,
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"r2_5y": 0.4584574929661748,
|
|
"r2_full": 0.809117970615713,
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"corr_portfolio": 0.2310765364429176,
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"corr_benchmark": 0.5179237664575302,
|
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"alpha_pos_frac": 0.3968871595330739,
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|
"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,
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|
"alpha_t_full": 0.12878450968611216,
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"r2_5y": 0.40837228985928986,
|
|
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"corr_portfolio": -0.06249269984844923,
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|
"corr_benchmark": 0.4606971400416392,
|
|
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|
|
"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,
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|
"r2_full": 0.692242245561753,
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|
"corr_portfolio": -0.08346133110711698,
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"corr_benchmark": 0.6350131261668897,
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|
|
"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,
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|
"alpha_t_full": 1.1038769745822523,
|
|
"r2_5y": 0.9665899524198349,
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|
"r2_full": 0.922051049268812,
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|
"corr_portfolio": 0.30231953506887727,
|
|
"corr_benchmark": 0.6160979462252689,
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"alpha_pos_frac": 0.425531914893617,
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|
"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,
|
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"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,
|
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"alpha_t_full": 0.7231046517634848,
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"r2_5y": 0.9213473366365056,
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"r2_full": 0.9673382777832537,
|
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"corr_portfolio": 0.2544668595159661,
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"corr_benchmark": 0.5789810645171765,
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"alpha_pos_frac": 0.5,
|
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"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,
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"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,
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"alpha_t_5y": 0.6133632501962206,
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"alpha_t_full": 1.5586484364237256,
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"r2_5y": 0.803245117567016,
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"r2_full": 0.8580823960785076,
|
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"corr_portfolio": 0.4030764787926089,
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"corr_benchmark": 0.48626547377841384,
|
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"alpha_pos_frac": 0.4875,
|
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"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,
|
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"r2_5y": 0.8999852220638628,
|
|
"r2_full": 0.8551642146506861,
|
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"corr_portfolio": 0.2989056662430717,
|
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"corr_benchmark": 0.5929751963390164,
|
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"alpha_pos_frac": 0.5919282511210763,
|
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"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,
|
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"alpha_t_full": -0.4180735887885728,
|
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"r2_5y": 0.773318146550063,
|
|
"r2_full": 0.46125759061662885,
|
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"corr_portfolio": 0.1697475904406023,
|
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"corr_benchmark": 0.5288416057624873,
|
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"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,
|
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"alpha_t_5y": 0.885911239131568,
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"alpha_t_full": 0.8566379993528349,
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"r2_5y": 0.9549920451936282,
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"r2_full": 0.9428839978182835,
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"corr_portfolio": 0.30816582262298364,
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"corr_benchmark": 0.5124517261005846,
|
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"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,
|
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"r2_5y": 0.9800223746663445,
|
|
"r2_full": 0.6741720949800212,
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"corr_portfolio": -0.1952352553666767,
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"corr_benchmark": 0.573867825431277,
|
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"alpha_pos_frac": 0.5086705202312138,
|
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"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,
|
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"r2_5y": 0.9961996705752296,
|
|
"r2_full": 0.9397955582464,
|
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"corr_portfolio": -0.19950584867724785,
|
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"corr_benchmark": 0.6411961260729345,
|
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"alpha_pos_frac": 0.5433526011560693,
|
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"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,
|
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"corr_benchmark": 0.610320941799692,
|
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"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,
|
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"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,
|
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"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",
|
|
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"alpha_t_full": 0.6336779890864354,
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"r2_5y": 0.9055715403992617,
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"r2_full": 0.9184432345770694,
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"corr_portfolio": 0.327551138338135,
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"corr_benchmark": 0.49744918083069284,
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"alpha_pos_frac": 0.5099337748344371,
|
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"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,
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"r2_5y": 0.839748195822791,
|
|
"r2_full": 0.8629799842438873,
|
|
"corr_portfolio": 0.30223032176668474,
|
|
"corr_benchmark": 0.5688699033851561,
|
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"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,
|
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"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,
|
|
"fund_max_dd": -0.14303688860462338,
|
|
"first": "2015-01-05",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vweax +0.38, vmbix +0.18, qqq -0.03, vwo +0.02",
|
|
"ref_full": "vweax +0.48, vmbix +0.11, vwo +0.03, qqq -0.02"
|
|
},
|
|
"tvafx": {
|
|
"sym": "tvafx",
|
|
"name": "Thornburg American Opportunities Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.05723565132993613,
|
|
"alpha_t_5y": -1.9780989767079786,
|
|
"alpha_t_full": -1.9292352544222289,
|
|
"r2_5y": 0.8950148709657693,
|
|
"r2_full": 0.9109407053350927,
|
|
"corr_portfolio": 0.2961239204013723,
|
|
"corr_benchmark": 0.5734804102644422,
|
|
"alpha_pos_frac": 0.4649122807017544,
|
|
"fund_max_dd": -0.5940537521171083,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.61, ivv +0.64, qqq -0.19, fxy -0.09, gsg +0.03",
|
|
"ref_full": "ivv +0.51, iwm +0.37, efa +0.11, vweax +0.13, vnq -0.04, agg +0.09"
|
|
},
|
|
"tvlax": {
|
|
"sym": "tvlax",
|
|
"name": "Touchstone Value Fund",
|
|
"bucket": "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": 0.4164185682741472,
|
|
"corr_benchmark": 0.4721646178055893,
|
|
"alpha_pos_frac": 0.47470817120622566,
|
|
"fund_max_dd": -0.5319237064196705,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "iwm +0.16, vnq +0.04, efa +0.15, ief -0.10, qqq -0.79, ivv +1.35",
|
|
"ref_full": "ivv +1.08, qqq -0.49, iwm +0.18, efa +0.13, fxe -0.10, tlt -0.05"
|
|
},
|
|
"tzinx": {
|
|
"sym": "tzinx",
|
|
"name": "Templeton Global Dynamic Income Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.0053305943717195615,
|
|
"alpha_t_5y": 0.2627504552747435,
|
|
"alpha_t_full": -0.4962596906514167,
|
|
"r2_5y": 0.8337788442937992,
|
|
"r2_full": 0.7764417402710265,
|
|
"corr_portfolio": 0.35627896925027513,
|
|
"corr_benchmark": 0.5126435262913371,
|
|
"alpha_pos_frac": 0.5022421524663677,
|
|
"fund_max_dd": -0.3637009958888874,
|
|
"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
|
|
"ref_5y": "vea -0.05, iwm +0.12, vwo +0.14, vweax +0.30, fxe +0.18, efa +0.35",
|
|
"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"
|
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|
|
"vfmf": {
|
|
"sym": "vfmf",
|
|
"name": "Vanguard U.S. Multifactor ETF",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.041455522745790424,
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"alpha_t_5y": 1.8336498728761486,
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"alpha_t_full": 1.2108169173733359,
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"r2_5y": 0.9118880571825944,
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"r2_full": 0.9338575145158837,
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"corr_portfolio": 0.39549773196800336,
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"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,
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"alpha_t_full": 1.1039226666928683,
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"r2_5y": 0.9289455882111064,
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"corr_portfolio": 0.3942926442224065,
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"alpha_pos_frac": 0.4375,
|
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"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,
|
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"alpha_t_5y": 0.4736184208042309,
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"alpha_t_full": -0.04238224221709725,
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"r2_5y": 0.8589535102203752,
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"r2_full": 0.8596795708155425,
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"corr_portfolio": 0.25191379678367265,
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"corr_benchmark": 0.5883459034241233,
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"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,
|
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"alpha_t_full": 0.564898645923023,
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"r2_5y": 0.7978432461856151,
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"r2_full": 0.8395237950311316,
|
|
"corr_portfolio": 0.31947970619726157,
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"corr_benchmark": 0.6199455375859544,
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"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,
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"r2_5y": 0.972374074871214,
|
|
"r2_full": 0.9860280260088864,
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|
"corr_portfolio": 0.3214797426685481,
|
|
"corr_benchmark": 0.63918708811324,
|
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"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,
|
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"r2_5y": 0.9321398799504287,
|
|
"r2_full": 0.93993481047477,
|
|
"corr_portfolio": 0.30038235251879714,
|
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"corr_benchmark": 0.5983067122992557,
|
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"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,
|
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"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",
|
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"in_portfolio": false,
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"alpha_ann_5y": 0.0021011544313475276,
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"alpha_t_full": 0.3483545877223737,
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"r2_5y": 0.9963310265611874,
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"r2_full": 0.9938005676414744,
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"corr_portfolio": 0.2542374927240262,
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"corr_benchmark": 0.5446691335961238,
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"alpha_pos_frac": 0.4648648648648649,
|
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"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"
|
|
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|
|
"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,
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"alpha_t_full": 0.05566715550134623,
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"r2_5y": 0.99651585767076,
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"r2_full": 0.9943870530229081,
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"corr_portfolio": 0.21127498440583814,
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"corr_benchmark": 0.5868145180157349,
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"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,
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"alpha_t_full": -0.5895426492659598,
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"r2_5y": 0.9950974027907569,
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"corr_portfolio": 0.2766996593391812,
|
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"corr_benchmark": 0.6209433233478259,
|
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"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,
|
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"r2_5y": 0.9641086396364031,
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"r2_full": 0.9669585153563288,
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"corr_portfolio": 0.3161528086046489,
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"corr_benchmark": 0.495538939267024,
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"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": 0.10013715734657057,
|
|
"corr_benchmark": 0.6173466006527826,
|
|
"alpha_pos_frac": 0.5964125560538116,
|
|
"fund_max_dd": -0.5036963395861764,
|
|
"first": "2007-06-04",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "qqq +0.98, iwm +0.15, vea -0.78, efa +0.61, vwo +0.08, vweax +0.18",
|
|
"ref_full": "qqq +0.68, ivv +0.29, iwm +0.10, vnq -0.05, agg +0.10, fxe +0.04"
|
|
},
|
|
"vymi": {
|
|
"sym": "vymi",
|
|
"name": "Vanguard International High Dividend Yield Index Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": 0.04643251630028255,
|
|
"alpha_t_5y": 3.3350829327929645,
|
|
"alpha_t_full": 2.3375658379440707,
|
|
"r2_5y": 0.9496603413790634,
|
|
"r2_full": 0.9571420889342495,
|
|
"corr_portfolio": 0.4363807884029878,
|
|
"corr_benchmark": 0.5125469002383687,
|
|
"alpha_pos_frac": 0.5,
|
|
"fund_max_dd": -0.39996412767977396,
|
|
"first": "2016-03-03",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"alpha_name": false,
|
|
"ref_5y": "efa +0.49, qqq -0.32, vwo +0.16, ivv +0.33, gsg +0.04, 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,
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"alpha_t_5y": 0.4412022204867405,
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"alpha_t_full": -0.21158393555004426,
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"r2_5y": 0.9274785068315605,
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"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",
|
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"ref_full": "qqq +0.79, iwm +0.27, vnq -0.11, vweax +0.18, gld +0.05"
|
|
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|
|
"wtabx": {
|
|
"sym": "wtabx",
|
|
"name": "Wilmington Municipal Bond Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
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|
"alpha_ann_5y": -0.018760398833146542,
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"alpha_t_full": 0.3280317787248939,
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"r2_5y": 0.38181617229830855,
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"corr_portfolio": 0.03663823839585975,
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"first": "2007-06-04",
|
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"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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"ref_5y": "vweax +0.30, ief +0.11, ivv -0.05, vnq +0.02",
|
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"ref_full": "agg +0.10, vweax +0.22, ief +0.06, fxy +0.03, efa -0.02, vnq +0.01"
|
|
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|
|
"wusax": {
|
|
"sym": "wusax",
|
|
"name": "Columbia Variable Portfolio - Acorn Fund",
|
|
"bucket": "all",
|
|
"in_portfolio": false,
|
|
"alpha_ann_5y": -0.07636167490402458,
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"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,
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|
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"corr_portfolio": 0.23010860456917398,
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"first": "2007-06-04",
|
|
"verdict": "weak/unstable alpha",
|
|
"alpha_name": false,
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|
"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,
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|
|
"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,
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|
"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,
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|
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|
"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,
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|
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"r2_5y": 0.8737501269285449,
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|
"r2_full": 0.7050203618954083,
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"corr_portfolio": 0.2915908385566141,
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"corr_benchmark": 0.4688879716903479,
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|
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|
"fund_max_dd": -0.4091846609250087,
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|
"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,
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|
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|
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"r2_5y": 0.8006541292870855,
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|
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|
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"corr_benchmark": 0.5503694951221288,
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|
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|
|
"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,
|
|
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|
"alpha_t_full": 0.790267468220855,
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|
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|
"corr_portfolio": 0.1969365914554646,
|
|
"corr_benchmark": 0.5683976748547654,
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|
"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,
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|
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|
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|
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|
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|
"corr_benchmark": 0.5279032457952386,
|
|
"alpha_pos_frac": 0.4805194805194805,
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|
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|
|
"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,
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|
"r2_5y": 0.8377320340950294,
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|
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|
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|
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|
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|
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|
|
"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,
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|
"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,
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|
"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,
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|
"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"
|
|
}
|
|
} |