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f/fundlab/decompose_results.json
Greg Pomerantz 89674c24dd Compute all alphas in excess of the 3-mo T-bill rate (BIL) 
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).
2026-08-30 15:50:15 -04:00

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{
"atesx": {
"fund": "atesx",
"start": "2016-09-07",
"end": "2026-08-21",
"n_obs": 2503,
"components": [
{
"sym": "qqq",
"label": "Nasdaq 100",
"beta": 0.45572396343432614,
"t": 21.18605303017631
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.23844196226163528,
"t": -8.890548299853723
}
],
"alpha_ann": 0.008725569358042086,
"alpha_t": 0.3080359868376329,
"r2": 0.34539068152830166,
"adj_r2": 0.3448669940735243,
"tracking_err_ann": 0.08909165992156144,
"fund_ann_return": 0.06334361818459308,
"dw": 2.233073860681213,
"weights_sum": 0.21728200117269086,
"rolling": {
"window": 252,
"drift": {
"x0": 0.27778875601159253,
"x1": 0.8450625968175058
},
"max_drift": 0.8450625968175058,
"n_windows": 108
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "atesx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "qqq",
"label": "Nasdaq 100",
"beta": 0.445815877280377,
"t": 14.154261336566856
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.22490717947848665,
"t": -5.26026364708684
}
],
"alpha_ann": -0.0187973654825882,
"alpha_t": -0.5034210308392802,
"r2": 0.3613954930728359,
"adj_r2": 0.3604903130488427,
"tracking_err_ann": 0.08824726032639948,
"fund_ann_return": 0.019103739889775293,
"dw": 2.152090740853146,
"weights_sum": 0.22090869780189037,
"rolling": {
"window": 252,
"drift": {
"x0": 0.2864564425948349,
"x1": 0.8108320708441488
},
"max_drift": 0.8108320708441488,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Holdings (May 2026): QQQ 65% + SPY 29% + MMF 0.6%, with 4.9% 'other assets in excess of liabilities' \u2014 an options overlay. But the rolling beta to those SAME holdings stays 0.13\u20130.89 (median 0.30, never above 1): the 'risk managed' in the name is real \u2014 a systematic equity de-risking overlay. Decomposition: one TACTICAL US-equity sleeve, not a static mix."
},
"atrfx": {
"fund": "atrfx",
"start": "2014-08-04",
"end": "2026-08-21",
"n_obs": 3030,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.20023325080074655,
"t": 12.02423293683505
},
{
"sym": "vicbx",
"label": "intermediate-term corporate bond",
"beta": 0.7688420105637657,
"t": 6.50302650384594
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.4879323422149587,
"t": -5.135965057073309
}
],
"alpha_ann": 0.003956715334128657,
"alpha_t": 0.09761712179706401,
"r2": 0.09940738773245605,
"adj_r2": 0.09851453319286496,
"tracking_err_ann": 0.14027597595864763,
"fund_ann_return": 0.04147263423504969,
"dw": 1.94253752196585,
"weights_sum": 0.4811429191495535,
"rolling": {
"window": 252,
"drift": {
"x0": 0.9694925942688659,
"x1": 1.4173627741130663,
"x2": 1.8294100512225502
},
"max_drift": 1.8294100512225502,
"n_windows": 133
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "atrfx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.37988291209093883,
"t": 12.261257986224251
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.2682498767001146,
"t": 2.0046234665906315
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.9603456978920113,
"t": -4.147813345469411
},
{
"sym": "vicbx",
"label": "intermediate-term corporate bond",
"beta": 1.0609798821975496,
"t": 3.3235471847440783
}
],
"alpha_ann": -0.01754445090924893,
"alpha_t": -0.26544401732242506,
"r2": 0.21946927006075034,
"adj_r2": 0.2172534269665296,
"tracking_err_ann": 0.15592265558638874,
"fund_ann_return": 0.053714209551684704,
"dw": 1.9852608701628978,
"weights_sum": 0.7487669730965917,
"rolling": {
"window": 252,
"drift": {
"x0": 0.9197457813795715,
"x1": 1.1282394407074852,
"x2": 0.6818744285659768,
"x3": 0.6952870456027107
},
"max_drift": 1.1282394407074852,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Systematic alpha over short-duration IG credit + cash. Returns are dominated by idiosyncratic credit/derivatives P&L (R\u00b2 \u2264 0.22 vs bond sleeves) and the best-fit weights are knife-edge. Read as: cash-like carry + systematic alpha, no meaningful static sleeve."
},
"cvsix": {
"fund": "cvsix",
"start": "2007-06-04",
"end": "2026-08-21",
"n_obs": 4836,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.13944342275016944,
"t": 22.16048007154632
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.1115643987894347,
"t": 17.894583784593237
}
],
"alpha_ann": 0.00018013801893943223,
"alpha_t": 0.03199460527681233,
"r2": 0.7982879559907375,
"adj_r2": 0.7982044831812986,
"tracking_err_ann": 0.024635349708886055,
"fund_ann_return": 0.024464456597050144,
"dw": 2.4240185481991383,
"weights_sum": 0.2510078215396041,
"rolling": {
"window": 252,
"drift": {
"x0": 0.40044401361877857,
"x1": 0.49055678180877993
},
"max_drift": 0.49055678180877993,
"n_windows": 219
},
"verdict": "partially explainable \u2014 material active/timing residual",
"recent": {
"fund": "cvsix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.14332125424877917,
"t": 23.593729794061424
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.05579355995261459,
"t": 4.905834804784004
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.025826125856986126,
"t": 3.669915182504569
}
],
"alpha_ann": -0.005310865729658133,
"alpha_t": -0.7370078105449293,
"r2": 0.7380703930757613,
"adj_r2": 0.7375130960397522,
"tracking_err_ann": 0.01702192650751983,
"fund_ann_return": 0.016196747961096148,
"dw": 2.4617978242509237,
"weights_sum": 0.2249409400583799,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1643362109577189,
"x1": 0.10078843706110298,
"x2": 0.11120586309418823
},
"max_drift": 0.1643362109577189,
"n_windows": 56
},
"verdict": "partially explainable \u2014 material active/timing residual"
},
"note": "Market neutral (long US equity, short credit). Full sample (since 1990) is unexplainable \u2014 the strategy has changed over 36 years; the last 5 years show a small net equity/credit tilt (ivv +0.14, vweax +0.06) explaining 74%. The rest is spread/option alpha (full-sample annualized alpha +5.5%, t=6.7)."
},
"jlpsx": {
"fund": "jlpsx",
"start": "2007-06-04",
"end": "2026-08-24",
"n_obs": 4837,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 1.045744428061813,
"t": 156.1531644094943
}
],
"alpha_ann": 0.00821786074894376,
"alpha_t": 0.3932062645650097,
"r2": 0.8345244082476451,
"adj_r2": 0.8344901837198783,
"tracking_err_ann": 0.09149097192784611,
"fund_ann_return": 0.12069329792642097,
"dw": 2.8461024450042416,
"weights_sum": 1.045744428061813,
"rolling": {
"window": 252,
"drift": {
"x0": 0.0405871593856497
},
"max_drift": 0.0405871593856497,
"n_windows": 219
},
"verdict": "partially explainable \u2014 material active/timing residual",
"recent": {
"fund": "jlpsx",
"start": "2021-01-05",
"end": "2026-08-24",
"n_obs": 1415,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 1.0343108756744281,
"t": 91.68427897314943
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": -0.029864745507038104,
"t": -3.6557821227836684
},
{
"sym": "vwo",
"label": "emerging markets stock",
"beta": 0.02487374461042563,
"t": 3.3242390669207933
}
],
"alpha_ann": -0.002058102594816536,
"alpha_t": -0.13416706315402047,
"r2": 0.9562016726363036,
"adj_r2": 0.9561085507496339,
"tracking_err_ann": 0.036233216893478574,
"fund_ann_return": 0.12703071926629914,
"dw": 2.2562790008673534,
"weights_sum": 1.0293198747778156,
"rolling": {
"window": 252,
"drift": {
"x0": 0.02989869018735069,
"x1": 0.14511033434068452,
"x2": 0.09659940983847856
},
"max_drift": 0.14511033434068452,
"n_windows": 56
},
"verdict": "static sleeve mix (weights stable, ~fully explained)"
},
"note": "US large-cap core plus: essentially 1.04x the S&P 500 (R\u00b2 0.96 over 5y, stable). The 'plus' is small optionality (tiny ijt/vwo tilts in the 5y fit). The cleanest fund on the list."
},
"pmaix": {
"fund": "pmaix",
"start": "2011-12-23",
"end": "2026-08-21",
"n_obs": 3685,
"components": [
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.2342021034482813,
"t": 30.55911776078371
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.6208238607608472,
"t": 37.13835065231049
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.04749938999070426,
"t": 10.840482274867233
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.15046206386526964,
"t": -10.106171597269745
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.0501875886192944,
"t": -6.046018997522196
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.02287144257442776,
"t": 4.371756269052925
}
],
"alpha_ann": 0.031162715385478136,
"alpha_t": 2.947865397945414,
"r2": 0.6797062077878001,
"adj_r2": 0.6791837056797867,
"tracking_err_ann": 0.04028099756820632,
"fund_ann_return": 0.07034099188016898,
"dw": 2.0876013830865383,
"weights_sum": 0.7247471442896964,
"rolling": {
"window": 252,
"drift": {
"x0": 0.20575805386781323,
"x1": 0.18681220808923746,
"x2": 0.1587993928513138,
"x3": 0.45454745825600446,
"x4": 0.38444792558498725,
"x5": 0.16546789947568588
},
"max_drift": 0.45454745825600446,
"n_windows": 164
},
"verdict": "partially explainable \u2014 material active/timing residual",
"recent": {
"fund": "pmaix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.24473759389588262,
"t": 19.00283922997842
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.5372104897386567,
"t": 16.103260936561814
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.06938599801895062,
"t": 10.676712958820943
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.19333009783683208,
"t": -8.11160151508934
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.06621826956477261,
"t": 7.172193699170671
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.08435181341513154,
"t": -6.426348838004292
}
],
"alpha_ann": 0.04082495688531831,
"alpha_t": 2.152397614138228,
"r2": 0.6096553683333141,
"adj_r2": 0.6079907856822835,
"tracking_err_ann": 0.044689122030053804,
"fund_ann_return": 0.07471483885069356,
"dw": 1.9346130218527207,
"weights_sum": 0.639870439966299,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1671860759451414,
"x1": 0.25655049841349564,
"x2": 0.08732386984016029,
"x3": 0.16621273904543582,
"x4": 0.12920669787121783,
"x5": 0.21412246453558206
},
"max_drift": 0.25655049841349564,
"n_windows": 56
},
"verdict": "partially explainable \u2014 material active/timing residual"
},
"note": "Global multi-asset fund of funds (N-PORT: 99.5% in unaffiliated underlying funds/loans). Returns decompose into high-yield credit (vweax +0.62), intl equity (efa +0.23), commodities (+0.05), bonds (\u22120.15): R\u00b2 0.68, stable weights, alpha +3.5%/yr (t=3.3). The sleeves show through the underlying funds."
},
"pmorx": {
"fund": "pmorx",
"start": "2019-07-01",
"end": "2026-08-24",
"n_obs": 1797,
"components": [
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.31408020584888224,
"t": 14.233025536261852
}
],
"alpha_ann": 0.011214743353964248,
"alpha_t": 0.5499099164846765,
"r2": 0.1014122666997479,
"adj_r2": 0.10091166072019342,
"tracking_err_ann": 0.054415787896770054,
"fund_ann_return": 0.0175913878955729,
"dw": 2.0490050441415466,
"weights_sum": 0.31408020584888224,
"rolling": {
"window": 252,
"drift": {
"x0": 0.7350910426419783
},
"max_drift": 0.7350910426419783,
"n_windows": 74
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "pmorx",
"start": "2021-01-05",
"end": "2026-08-24",
"n_obs": 1415,
"components": [
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.04320170198849804,
"t": 2.296500416096954
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.38969258904974097,
"t": -10.479771644162556
},
{
"sym": "vmbix",
"label": "mortgage-backed securities",
"beta": 0.3130362587759152,
"t": 9.157046020939154
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.0685623035477091,
"t": 5.6603761842671565
}
],
"alpha_ann": 0.022574207899981324,
"alpha_t": 1.8450816514697712,
"r2": 0.08790217742190443,
"adj_r2": 0.08531466586849135,
"tracking_err_ann": 0.028900955479401885,
"fund_ann_return": 0.02572270945530456,
"dw": 2.249149864058837,
"weights_sum": 0.03510767526238136,
"rolling": {
"window": 252,
"drift": {
"x0": 0.21917257525109182,
"x1": 0.38158369877153014,
"x2": 0.3640541567160828,
"x3": 0.08752483555662005
},
"max_drift": 0.38158369877153014,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Long/short mortgage & ABS \u2014 returns mostly idiosyncratic (R\u00b2 0.10). 5y direction is long MBS (vmbix +0.31) / short intermediate rates (ief \u22120.39), consistent with a carry/relative-value mortgage strategy. Not a static sleeve."
},
"qspnx": {
"fund": "qspnx",
"start": "2013-10-31",
"end": "2026-08-21",
"n_obs": 3220,
"components": [
{
"sym": "ivw",
"label": "S&P 500 Growth",
"beta": -0.08288027892571437,
"t": -4.061874733985948
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.2631578836681017,
"t": 9.548634976330503
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.7065839489410959,
"t": -14.427225726606203
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": 0.3797291609859403,
"t": 8.807492366228692
},
{
"sym": "ijs",
"label": "S&P Small-Cap 600 Value",
"beta": 0.1854162059676364,
"t": 6.397900453903693
}
],
"alpha_ann": 0.061425150241996296,
"alpha_t": 2.0780310327829867,
"r2": 0.10887556817835176,
"adj_r2": 0.10748925138958132,
"tracking_err_ann": 0.10539540298132072,
"fund_ann_return": 0.06351536823711293,
"dw": 1.8979885652198045,
"weights_sum": 0.038839022754868086,
"rolling": {
"window": 252,
"drift": {
"x0": 0.9128531135288536,
"x1": 0.8336688348336744,
"x2": 0.4071159094670215,
"x3": 0.398133162887613,
"x4": 0.9970353576964819
},
"max_drift": 0.9970353576964819,
"n_windows": 142
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "qspnx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ivw",
"label": "S&P 500 Growth",
"beta": -0.07119090361077429,
"t": -2.301241410561487
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.20730669513553426,
"t": 3.9030785065041704
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.6180444313646999,
"t": -11.024699613537605
},
{
"sym": "ijs",
"label": "S&P Small-Cap 600 Value",
"beta": 0.4901986852240423,
"t": 8.909005344369199
}
],
"alpha_ann": 0.1598760426481058,
"alpha_t": 2.965355762635578,
"r2": 0.16287159905623472,
"adj_r2": 0.16049508123950285,
"tracking_err_ann": 0.12721486602467913,
"fund_ann_return": 0.1725512847297293,
"dw": 1.8421545589396595,
"weights_sum": 0.008270045384102365,
"rolling": {
"window": 252,
"drift": {
"x0": 0.5094062629657062,
"x1": 0.8225949710968278,
"x2": 0.5974024219433977,
"x3": 0.8196865556032501
},
"max_drift": 0.8225949710968278,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Market-neutral style premia: no static sleeve explains returns (R\u00b2 0.18 5y). Alpha vs a cash-like benchmark: +12.8%/yr full sample (t=4.0). Decomposition = pure factor harvesting (value/size/style tilts in both books); the 'exposures' in the table are residuals, not sleeves."
},
"svarx": {
"fund": "svarx",
"start": "2013-12-18",
"end": "2026-08-21",
"n_obs": 3187,
"components": [
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.06948105881819999,
"t": 18.06635743333585
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.10159918527703161,
"t": 7.870702155093096
}
],
"alpha_ann": 0.03745366827045679,
"alpha_t": 3.668270549372026,
"r2": 0.12127758251775789,
"adj_r2": 0.120725621200244,
"tracking_err_ann": 0.03628091861372832,
"fund_ann_return": 0.042581654423058744,
"dw": 2.1932994077908066,
"weights_sum": 0.1710802440952316,
"rolling": {
"window": 252,
"drift": {
"x0": 0.13695069540946475,
"x1": 0.26439042539155894
},
"max_drift": 0.26439042539155894,
"n_windows": 140
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "svarx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.16470239306726778,
"t": 13.453450014561591
},
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.05306670613704391,
"t": 12.008458633606425
}
],
"alpha_ann": 0.0040432870101372,
"alpha_t": 0.36849827060502655,
"r2": 0.24147161332709932,
"adj_r2": 0.24039644906533753,
"tracking_err_ann": 0.02592266056097889,
"fund_ann_return": 0.002909668072437604,
"dw": 2.0354525960284975,
"weights_sum": 0.2177690992043117,
"rolling": {
"window": 252,
"drift": {
"x0": 0.22337534938288625,
"x1": 0.060580504485098566
},
"max_drift": 0.22337534938288625,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Low-volatility equity fund of funds. Small but positive net market (efa +0.07, agg +0.10; R\u00b2 0.24, low drift). The edge is in volatility selection, not the mix: +5.2%/yr alpha over that small sleeve (t=5.1)."
},
"cosix": {
"fund": "cosix",
"start": "2007-06-04",
"end": "2026-08-21",
"n_obs": 4836,
"components": [
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.4548169631907527,
"t": 63.34131435492553
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.1511675849079179,
"t": 13.98735276918438
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": 0.15324759437039684,
"t": 11.328259223816248
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": -0.03705845576018543,
"t": -6.535405568215052
}
],
"alpha_ann": 0.0069253030834754035,
"alpha_t": 1.2352815941690094,
"r2": 0.5962345112110221,
"adj_r2": 0.5959001990696112,
"tracking_err_ann": 0.024510720042011852,
"fund_ann_return": 0.030921441320152232,
"dw": 2.0939763493598593,
"weights_sum": 0.722173686708882,
"rolling": {
"window": 252,
"drift": {
"x0": 0.27786461788880673,
"x1": 0.8264273441874537,
"x2": 0.7280829240711465,
"x3": 0.1742435011846507
},
"max_drift": 0.8264273441874537,
"n_windows": 219
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions [strategy evolved \u2014 5y R\u00b2 = 0.86]",
"recent": {
"fund": "cosix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "vmbix",
"label": "mortgage-backed securities",
"beta": 0.28887316382647,
"t": 12.454890809700483
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.3002086642913559,
"t": 28.72276270767028
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.17631619697194606,
"t": 5.066864540669999
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.02400101994199455,
"t": 3.236297956445751
}
],
"alpha_ann": 0.0034055231266541166,
"alpha_t": 0.5060180240719854,
"r2": 0.8601673041602881,
"adj_r2": 0.8597703341224181,
"tracking_err_ann": 0.015892834236782012,
"fund_ann_return": -0.00995542379469793,
"dw": 2.1051888823492595,
"weights_sum": 0.7893990450317664,
"rolling": {
"window": 252,
"drift": {
"x0": 0.4252489595125078,
"x1": 0.23657124441969127,
"x2": 0.8037120941320186,
"x3": 0.20459293605726642
},
"max_drift": 0.8037120941320186,
"n_windows": 56
},
"verdict": "mostly stable sleeve mix"
},
"note": "Strategic income across the credit spectrum. Full sample (since 1990) unexplainable \u2014 vintage; the last 5 years are the honest current mix: high-yield +0.30, MBS +0.29, IG core +0.18 (R\u00b2 0.86)."
},
"mbxix": {
"fund": "mbxix",
"start": "2015-12-29",
"end": "2026-08-21",
"n_obs": 2677,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.3934730631010903,
"t": 20.112747794893927
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.6672904325112433,
"t": -9.91301804981739
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.2798391951716235,
"t": -9.795180847339958
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.08395773991820255,
"t": 7.7259730012089936
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.17422527203235444,
"t": 5.900986213589557
},
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.10752699727091022,
"t": 4.958043720895558
}
],
"alpha_ann": -0.00045153048490512436,
"alpha_t": -0.016302926780138057,
"r2": 0.5318661802389226,
"adj_r2": 0.5308141941271,
"tracking_err_ann": 0.09001270615106423,
"fund_ann_return": 0.07365514892974617,
"dw": 1.928481894810867,
"weights_sum": -0.18794655536030927,
"rolling": {
"window": 252,
"drift": {
"x0": 0.26552764444765425,
"x1": 0.7705992465476852,
"x2": 0.5769052940500818,
"x3": 0.2524028772138047,
"x4": 0.42658508723365424,
"x5": 0.5526302034711513
},
"max_drift": 0.7705992465476852,
"n_windows": 116
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "mbxix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.41033195033923553,
"t": 24.32702742184995
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.7227300740808164,
"t": -9.064686365407582
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.10129522687657033,
"t": 7.993393805761339
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.18505121038096506,
"t": -5.379199276723343
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.1377856249092302,
"t": 3.742065631674986
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": -0.21485190880161434,
"t": -3.384813799345217
}
],
"alpha_ann": -0.019512977194782143,
"alpha_t": -0.5297536811693668,
"r2": 0.4429572785271425,
"adj_r2": 0.4405818298215013,
"tracking_err_ann": 0.08673742554440077,
"fund_ann_return": 0.06949134624622183,
"dw": 1.89538372709432,
"weights_sum": -0.4732203911383597,
"rolling": {
"window": 252,
"drift": {
"x0": 0.19345902452527108,
"x1": 0.3415891839856278,
"x2": 0.20267729447586033,
"x3": 0.5395865512305767,
"x4": 0.3169090312799757,
"x5": 1.1606476003364163
},
"max_drift": 1.1606476003364163,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Multi-strategy hedge fund: 53% explained over a decade (ivv +0.39, ief \u22120.67, fxe \u22120.28, tlt +0.17, djp +0.08) \u2014 equity long, duration short, FX/commodity tilts, large active residual. Caveat: newest N-PORT on file is Sep 2024 \u2014 the fund may have changed strategy or stopped filing."
},
"eagmx": {
"fund": "eagmx",
"start": "2007-06-04",
"end": "2026-08-21",
"n_obs": 4836,
"components": [
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.1856182895144886,
"t": 26.657820898961045
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": -0.023567148498810905,
"t": -9.600125447250651
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.03289345466104654,
"t": -7.43513325825094
},
{
"sym": "gld",
"label": "Gold",
"beta": 0.010335544923485457,
"t": 4.6821274173683465
}
],
"alpha_ann": 0.019434047018155307,
"alpha_t": 3.339738602782719,
"r2": 0.14533027958195488,
"adj_r2": 0.14462262508357515,
"tracking_err_ann": 0.025421613566359646,
"fund_ann_return": 0.02816589029687043,
"dw": 1.962370565847655,
"weights_sum": 0.1394932312781166,
"rolling": {
"window": 252,
"drift": {
"x0": 0.2647558304142975,
"x1": 0.12336675263361316,
"x2": 0.1503415802741684,
"x3": 0.062042137475788454
},
"max_drift": 0.2647558304142975,
"n_windows": 219
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "eagmx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.08584494619380106,
"t": -7.760430041526917
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.09895733450894054,
"t": 6.3794087439033405
},
{
"sym": "fxy",
"label": "Japanese Yen",
"beta": 0.027162142673230097,
"t": 3.467903803568033
}
],
"alpha_ann": 0.025672260006706474,
"alpha_t": 2.3926054768160046,
"r2": 0.051193736807026546,
"adj_r2": 0.049175000076828734,
"tracking_err_ann": 0.025307740165345066,
"fund_ann_return": 0.027712066976003362,
"dw": 1.8511969677296585,
"weights_sum": 0.04027453098836957,
"rolling": {
"window": 252,
"drift": {
"x0": 0.3589328503652043,
"x1": 0.19412226009744077,
"x2": 0.07688233298512344
},
"max_drift": 0.3589328503652043,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "Global macro (sovereign-centric): nothing explains returns in the full or 5y window (R\u00b2 \u2264 0.05) \u2014 textbook macro, positions are tactical and asset-agnostic. The whole story is +5.1%/yr (t=8.0) over a flat benchmark."
},
"lcorx": {
"fund": "lcorx",
"error": "no return history in the data set",
"verdict": "no return history",
"start": "2007-06-01",
"recent": {
"fund": "lcorx",
"error": "no return history in the data set",
"verdict": "no return history",
"start": "2021-01-01"
},
"note": "NEW share classes (trading since Jul 2026) \u2014 no return history to regress. Holdings (Dec 2025 N-PORT): 91.7% ETFs + 8.4% money market; the strategy is Leuthold core multi-asset via ETFs. Re-run the decomposition after a year of NAV accumulates."
},
"lamhx": {
"fund": "lamhx",
"start": "2015-07-01",
"end": "2026-08-24",
"n_obs": 2803,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.593019822972016,
"t": 47.07770326542599
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.2863569929315508,
"t": 24.37527619414036
},
{
"sym": "ijk",
"label": "S&P Mid-Cap 400 Growth",
"beta": 0.21591549826148396,
"t": 15.978214010755446
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.23616913429979125,
"t": -15.21453181807965
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": 0.0807323819883079,
"t": 5.172760977242069
}
],
"alpha_ann": 0.0031337542547337296,
"alpha_t": 0.29080627615512256,
"r2": 0.9536821147147603,
"adj_r2": 0.9535993154918693,
"tracking_err_ann": 0.03584709236568382,
"fund_ann_return": 0.11618075769703362,
"dw": 2.178557351299804,
"weights_sum": 0.9398555618535674,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1710556781276705,
"x1": 0.34926427744634014,
"x2": 0.2669770282113219,
"x3": 0.4429090626254094,
"x4": 0.3613643918168113
},
"max_drift": 0.4429090626254094,
"n_windows": 122
},
"verdict": "static sleeve mix (weights stable, ~fully explained)",
"recent": {
"fund": "lamhx",
"start": "2021-01-05",
"end": "2026-08-24",
"n_obs": 1415,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.6192984859387928,
"t": 40.49813418191866
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.26281986594649553,
"t": 16.73967670759519
},
{
"sym": "ijk",
"label": "S&P Mid-Cap 400 Growth",
"beta": 0.1969975023111903,
"t": 12.023345544491676
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.14141741056740176,
"t": -10.87181614921345
}
],
"alpha_ann": -0.004349856947577257,
"alpha_t": -0.28823411949274097,
"r2": 0.9442561614367614,
"adj_r2": 0.9440980228876458,
"tracking_err_ann": 0.03561976721275234,
"fund_ann_return": 0.10706115749894561,
"dw": 2.098664337465379,
"weights_sum": 0.937698443629077,
"rolling": {
"window": 252,
"drift": {
"x0": 0.09299670756045621,
"x1": 0.3200445093462297,
"x2": 0.2548621120877867,
"x3": 0.26287387349580643
},
"max_drift": 0.3200445093462297,
"n_windows": 56
},
"verdict": "mostly stable sleeve mix"
},
"note": "Dividend growth: R\u00b2 0.95; S&P 500 + value/mid tilt (ivv +0.62, ive +0.26, ijk +0.20, iwm \u22120.14 over 5y), stable weights. Closest to a passive fund with an overlay on this list."
},
"pmfkx": {
"fund": "pmfkx",
"start": "2011-12-23",
"end": "2026-08-21",
"n_obs": 3685,
"components": [
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.2342021034482813,
"t": 30.55911776078371
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.6208238607608472,
"t": 37.13835065231049
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.04749938999070426,
"t": 10.840482274867233
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.15046206386526964,
"t": -10.106171597269745
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.0501875886192944,
"t": -6.046018997522196
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.02287144257442776,
"t": 4.371756269052925
}
],
"alpha_ann": 0.031162715385478136,
"alpha_t": 2.947865397945414,
"r2": 0.6797062077878001,
"adj_r2": 0.6791837056797867,
"tracking_err_ann": 0.04028099756820632,
"fund_ann_return": 0.07034099188016898,
"dw": 2.0876013830865383,
"weights_sum": 0.7247471442896964,
"rolling": {
"window": 252,
"drift": {
"x0": 0.20575805386781323,
"x1": 0.18681220808923746,
"x2": 0.1587993928513138,
"x3": 0.45454745825600446,
"x4": 0.38444792558498725,
"x5": 0.16546789947568588
},
"max_drift": 0.45454745825600446,
"n_windows": 164
},
"verdict": "partially explainable \u2014 material active/timing residual",
"recent": {
"fund": "pmaix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.24473759389588262,
"t": 19.00283922997842
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.5372104897386567,
"t": 16.103260936561814
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.06938599801895062,
"t": 10.676712958820943
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.19333009783683208,
"t": -8.11160151508934
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.06621826956477261,
"t": 7.172193699170671
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.08435181341513154,
"t": -6.426348838004292
}
],
"alpha_ann": 0.04082495688531831,
"alpha_t": 2.152397614138228,
"r2": 0.6096553683333141,
"adj_r2": 0.6079907856822835,
"tracking_err_ann": 0.044689122030053804,
"fund_ann_return": 0.07471483885069356,
"dw": 1.9346130218527207,
"weights_sum": 0.639870439966299,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1671860759451414,
"x1": 0.25655049841349564,
"x2": 0.08732386984016029,
"x3": 0.16621273904543582,
"x4": 0.12920669787121783,
"x5": 0.21412246453558206
},
"max_drift": 0.25655049841349564,
"n_windows": 56
},
"verdict": "partially explainable \u2014 material active/timing residual"
},
"note": "share class of pmaix \u2014 identical report. Global multi-asset fund of funds (N-PORT: 99.5% in unaffiliated underlying funds/loans). Returns decompose into high-yield credit (vweax +0.62), intl equity (efa +0.23), commodities (+0.05), bonds (\u22120.15): R\u00b2 0.68, stable weights, alpha +3.5%/yr (t=3.3). The sleeves show through the underlying funds."
},
"lcrix": {
"fund": "lcrix",
"error": "no return history in the data set",
"verdict": "no return history",
"start": "2007-06-01",
"recent": {
"fund": "lcorx",
"error": "no return history in the data set",
"verdict": "no return history",
"start": "2021-01-01"
},
"note": "share class of lcorx \u2014 identical report. NEW share classes (trading since Jul 2026) \u2014 no return history to regress. Holdings (Dec 2025 N-PORT): 91.7% ETFs + 8.4% money market; the strategy is Leuthold core multi-asset via ETFs. Re-run the decomposition after a year of NAV accumulates."
},
"egrsx": {
"fund": "egrsx",
"start": "2007-06-04",
"end": "2026-08-21",
"n_obs": 4836,
"components": [
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.1856182895144886,
"t": 26.657820898961045
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": -0.023567148498810905,
"t": -9.600125447250651
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.03289345466104654,
"t": -7.43513325825094
},
{
"sym": "gld",
"label": "Gold",
"beta": 0.010335544923485457,
"t": 4.6821274173683465
}
],
"alpha_ann": 0.019434047018155307,
"alpha_t": 3.339738602782719,
"r2": 0.14533027958195488,
"adj_r2": 0.14462262508357515,
"tracking_err_ann": 0.025421613566359646,
"fund_ann_return": 0.02816589029687043,
"dw": 1.962370565847655,
"weights_sum": 0.1394932312781166,
"rolling": {
"window": 252,
"drift": {
"x0": 0.2647558304142975,
"x1": 0.12336675263361316,
"x2": 0.1503415802741684,
"x3": 0.062042137475788454
},
"max_drift": 0.2647558304142975,
"n_windows": 219
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions",
"recent": {
"fund": "eagmx",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.08584494619380106,
"t": -7.760430041526917
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.09895733450894054,
"t": 6.3794087439033405
},
{
"sym": "fxy",
"label": "Japanese Yen",
"beta": 0.027162142673230097,
"t": 3.467903803568033
}
],
"alpha_ann": 0.025672260006706474,
"alpha_t": 2.3926054768160046,
"r2": 0.051193736807026546,
"adj_r2": 0.049175000076828734,
"tracking_err_ann": 0.025307740165345066,
"fund_ann_return": 0.027712066976003362,
"dw": 1.8511969677296585,
"weights_sum": 0.04027453098836957,
"rolling": {
"window": 252,
"drift": {
"x0": 0.3589328503652043,
"x1": 0.19412226009744077,
"x2": 0.07688233298512344
},
"max_drift": 0.3589328503652043,
"n_windows": 56
},
"verdict": "not a static sleeve mix \u2014 returns driven by active decisions"
},
"note": "share class of eagmx \u2014 identical report. Global macro (sovereign-centric): nothing explains returns in the full or 5y window (R\u00b2 \u2264 0.05) \u2014 textbook macro, positions are tactical and asset-agnostic. The whole story is +5.1%/yr (t=8.0) over a flat benchmark."
}
}
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