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f/fundlab/search_mined.json
Greg Pomerantz afec7bda73 Alpha search: mine + screen the local DB for idiosyncratic alpha complements 
Answer to 'find other alpha-driven funds that complement the portfolio':

- fundlab/search.py: complementarity screen - each fund's daily total
  returns vs the same 21 broad sleeve axes (BIC forward selection,
  |t|>2), full + 5y; alpha (intercept t), R2, rolling 6m alpha
  persistence, correlation vs the current qspnx/pmaix portfolio and the
  spy/agg/tlt benchmark mix. Verdict tiers: CANDIDATE (alpha +
  persistent + portfolio-corr<0.3) / semi-alpha / alpha-but-correlated /
  sleeve mix / weak.
- fundlab/dbmine.py: the actual search universe - the local stocks DB
  already holds ~100 US open-end alternatives (AQR, PIMCO, JPM,
  Principal, Calamos, GMO, Franklin K2, ...). Name-pattern miner with
  share-class family dedupe (keeps the longest-history class).
- fundlab/tickers.py + searchlist.py: external longlist resolution
  (chart-API name gate + EDGAR 497 cover tickers). Finding: the famous
  multi-strategy/macro names (Millennium, Balyasny, Two Sigma, Winton,
  Marshall Wace, Brevan Howard, AQR Event-Driven) are private/offshore
  or terminated - not US open-end accessible. Fidelity Multi-Asset
  Income (FMSDX) resolved and screens as weak alpha.
- app Fund Lab: 'Alpha search - all screened funds, ranked' table
  (80 funds: 13 shortlist + 59 mined + 1 external).
- results (ranked candidates, 5y alpha / t / portfolio-corr):
  wmnix Westwood Alt Income +3.8% t6.5 c0.09 | pyaix Payden ARB +3.0%
  t4.8 c0.13 | srdax Stone Ridge Div Alts +7.7% t4.2 c0.10 | padqx PGIM
  ARB +2.3% t2.4 c0.27 | bxmdx Blackstone Alt MS +3.5% t2.4 c0.30 |
  aqmix AQR Mngd Futures +8.0% t2.2 c0.21 | cmnix/gioix semi-alpha.
  Key insight: AQR MN / L/S-equity / Vanguard MN show strong alpha but
  corr 0.35-0.76 with the portfolio - it is already 50% market-neutral
  (qspnx), so more MN is not diversifying.
- tests: 59/59 fundlab (resolver gates, query ladder, family dedupe,
  ticker regex), 32/32 app, 14/14 data
2026-08-26 13:34:34 -04:00

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{
"qrprx": {
"sym": "qrprx",
"name": "AQR Alternative Risk Premia R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.1600539320146026,
"alpha_t_5y": 3.746900415536075,
"alpha_t_full": 2.519423053570873,
"r2_5y": 0.20826455753890027,
"r2_full": 0.12135409106563044,
"corr_portfolio": 0.7631471591786326,
"corr_benchmark": -0.12262262208507653,
"alpha_pos_frac": 0.5148514851485149,
"fund_max_dd": -0.317289520568956,
"first": "2017-09-20",
"verdict": "alpha, but correlated with current portfolio"
},
"qmnnx": {
"sym": "qmnnx",
"name": "AQR Equity Market Neutral N",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.15278577055161027,
"alpha_t_5y": 4.438381081698417,
"alpha_t_full": 3.55541908381974,
"r2_5y": 0.26967439068510246,
"r2_full": 0.0757410367367195,
"corr_portfolio": 0.607275193429323,
"corr_benchmark": -0.13627368396966566,
"alpha_pos_frac": 0.5474452554744526,
"fund_max_dd": -0.39217588487587307,
"first": "2014-10-10",
"verdict": "alpha, but correlated with current portfolio"
},
"qleix": {
"sym": "qleix",
"name": "AQR Long-Short Equity I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.16578977304134326,
"alpha_t_5y": 4.4015935945881,
"alpha_t_full": 4.011544078674546,
"r2_5y": 0.25840152025440843,
"r2_full": 0.44615723686486575,
"corr_portfolio": 0.7071423062698972,
"corr_benchmark": 0.2670155502700607,
"alpha_pos_frac": 0.5695364238410596,
"fund_max_dd": -0.391976987856436,
"first": "2013-07-17",
"verdict": "alpha, but correlated with current portfolio"
},
"qgmrx": {
"sym": "qgmrx",
"name": "AQR Macro Opportunities R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.057980519614889287,
"alpha_t_5y": 1.5977947998407327,
"alpha_t_full": 2.435129166036336,
"r2_5y": 0.22291108011334915,
"r2_full": 0.08727126384018968,
"corr_portfolio": 0.36214588351890326,
"corr_benchmark": -0.1756799669770561,
"alpha_pos_frac": 0.5,
"fund_max_dd": -0.13533835978044884,
"first": "2014-09-04",
"verdict": "weak/unstable alpha"
},
"qmhrx": {
"sym": "qmhrx",
"name": "AQR Managed Futures Strategy HV R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.09824897354855751,
"alpha_t_5y": 1.8083554349675617,
"alpha_t_full": 2.1668606129500954,
"r2_5y": 0.35128536900753526,
"r2_full": 0.16284423243263402,
"corr_portfolio": 0.1902974299432177,
"corr_benchmark": -0.18975892567115601,
"alpha_pos_frac": 0.42028985507246375,
"fund_max_dd": -0.39058979113920433,
"first": "2014-09-04",
"verdict": "weak/unstable alpha"
},
"aqmix": {
"sym": "aqmix",
"name": "AQR Managed Futures Strategy I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.08005605082170343,
"alpha_t_5y": 2.1784878724553636,
"alpha_t_full": 2.492282530709043,
"r2_5y": 0.34683324124502435,
"r2_full": 0.11642882514098007,
"corr_portfolio": 0.20517533934397383,
"corr_benchmark": -0.1757448117047195,
"alpha_pos_frac": 0.4948453608247423,
"fund_max_dd": -0.2654230054569442,
"first": "2010-01-06",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"warrx": {
"sym": "warrx",
"name": "Allspring Absolute Return R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.033144306024387275,
"alpha_t_5y": 1.3146300225087615,
"alpha_t_full": 0.6450360204937103,
"r2_5y": 0.4096067761908916,
"r2_full": 0.3925574402466193,
"corr_portfolio": 0.3888931145600147,
"corr_benchmark": 0.33189487333668094,
"alpha_pos_frac": 0.5703703703703704,
"fund_max_dd": -0.23090428701476684,
"first": "2014-12-01",
"verdict": "weak/unstable alpha"
},
"eksrx": {
"sym": "eksrx",
"name": "Allspring Diversified Income Bldr R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.007912370994162737,
"alpha_t_5y": 0.7248836188102821,
"alpha_t_full": 0.11380161203748929,
"r2_5y": 0.8712354981772631,
"r2_full": 0.8666793384341597,
"corr_portfolio": 0.2909267060359785,
"corr_benchmark": 0.6401931480941127,
"alpha_pos_frac": 0.4945054945054945,
"fund_max_dd": -0.2257163497358341,
"first": "2018-08-06",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"bkmix": {
"sym": "bkmix",
"name": "BlackRock Multi-Asset Income Portfolio K",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.0013661837406016611,
"alpha_t_5y": 0.1717813919596725,
"alpha_t_full": 0.4050232448112397,
"r2_5y": 0.9094131536032556,
"r2_full": 0.8936803659916046,
"corr_portfolio": 0.3139285671999697,
"corr_benchmark": 0.7165194921939918,
"alpha_pos_frac": 0.5321100917431193,
"fund_max_dd": -0.1973451734470697,
"first": "2017-02-09",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"bxmdx": {
"sym": "bxmdx",
"name": "Blackstone Alternative Multi-Strategy D",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.03491646193195598,
"alpha_t_5y": 2.3968211702431157,
"alpha_t_full": 1.7792956578721164,
"r2_5y": 0.28636888773620184,
"r2_full": 0.398432871732595,
"corr_portfolio": 0.29622985929330004,
"corr_benchmark": 0.3250033230998725,
"alpha_pos_frac": 0.4888888888888889,
"fund_max_dd": -0.19319231161826877,
"first": "2014-11-20",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"burfx": {
"sym": "burfx",
"name": "Burnham Financial Long/Short A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": null,
"alpha_t_5y": NaN,
"alpha_t_full": 0.9942402027129364,
"r2_5y": NaN,
"r2_full": 0.7475045831670635,
"corr_portfolio": 0.2677504925335687,
"corr_benchmark": 0.18598003223530538,
"alpha_pos_frac": 0.4142857142857143,
"fund_max_dd": -0.3836435558268434,
"first": "2004-05-05",
"verdict": "no 5y window"
},
"cmnix": {
"sym": "cmnix",
"name": "Calamos Market Neutral Income I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.020194291397578824,
"alpha_t_5y": 2.797664087264935,
"alpha_t_full": 4.270226253902055,
"r2_5y": 0.7405097352200456,
"r2_full": 0.6092636885705476,
"corr_portfolio": 0.2885184137546138,
"corr_benchmark": 0.5236308979040174,
"alpha_pos_frac": 0.47766323024054985,
"fund_max_dd": -0.20593822768920278,
"first": "2000-05-30",
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)"
},
"cplsx": {
"sym": "cplsx",
"name": "Calamos Phineus Long/Short A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.00015958554490860363,
"alpha_t_5y": -0.004435247962308447,
"alpha_t_full": 1.200988338503044,
"r2_5y": 0.541363993913625,
"r2_full": 0.6192563617744269,
"corr_portfolio": 0.28162855590905017,
"corr_benchmark": 0.3604673541731384,
"alpha_pos_frac": 0.46218487394957986,
"fund_max_dd": -0.34053557415202185,
"first": "2016-04-06",
"verdict": "weak/unstable alpha"
},
"cltix": {
"sym": "cltix",
"name": "Catalyst Tactical Allocation Fund I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.04456170305768831,
"alpha_t_5y": -1.26755312021696,
"alpha_t_full": -0.7564123705589307,
"r2_5y": 0.6852411466890216,
"r2_full": 0.6638756866683736,
"corr_portfolio": 0.23847580532582827,
"corr_benchmark": 0.5381142781143685,
"alpha_pos_frac": 0.48226950354609927,
"fund_max_dd": -0.28630516786071747,
"first": "2014-06-09",
"verdict": "weak/unstable alpha"
},
"taltx": {
"sym": "taltx",
"name": "Consulting Group Capital Markets Funds - Alternative Strategy Fund",
"bucket": "mined",
"error": "no return history in the data set"
},
"cmalx": {
"sym": "cmalx",
"name": "Crawford Multi-Asset Income",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.016394380923237965,
"alpha_t_5y": 1.0161202707404007,
"alpha_t_full": 0.3817633032313494,
"r2_5y": 0.8191174808757729,
"r2_full": 0.7736058170932395,
"corr_portfolio": 0.3827550564186549,
"corr_benchmark": 0.544426034703509,
"alpha_pos_frac": 0.6039603960396039,
"fund_max_dd": -0.3903768839466234,
"first": "2017-09-13",
"verdict": "weak/unstable alpha"
},
"dmsfx": {
"sym": "dmsfx",
"name": "Destinations Multi Strategy Alts I",
"bucket": "mined",
"error": "no return history in the data set"
},
"diayx": {
"sym": "diayx",
"name": "Diamond Hill Long-Short Y",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.001981324982722584,
"alpha_t_5y": -0.09335373100975897,
"alpha_t_full": 0.4520617676334624,
"r2_5y": 0.7791683109831256,
"r2_full": 0.8456521452529505,
"corr_portfolio": 0.3738215361306875,
"corr_benchmark": 0.46331563031570455,
"alpha_pos_frac": 0.5470588235294118,
"fund_max_dd": -0.31517374676226695,
"first": "2012-01-03",
"verdict": "weak/unstable alpha"
},
"fsmmx": {
"sym": "fsmmx",
"name": "FS Multi-Strategy Alternatives A",
"bucket": "mined",
"error": "no return history in the data set"
},
"fiwbx": {
"sym": "fiwbx",
"name": "Fidelity Advisor Multi-Asset Income Z",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.020727506850474794,
"alpha_t_5y": 1.1281227395081184,
"alpha_t_full": 1.425120797719713,
"r2_5y": 0.8133897393682811,
"r2_full": 0.8557754005261389,
"corr_portfolio": 0.24474961361413924,
"corr_benchmark": 0.7136768077831611,
"alpha_pos_frac": 0.4044943820224719,
"fund_max_dd": -0.21636594184198255,
"first": "2018-10-05",
"verdict": "weak/unstable alpha"
},
"fmsdx": {
"sym": "fmsdx",
"name": "Fidelity Multi-Asset Income",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.020065620099702027,
"alpha_t_5y": 1.0942433920841528,
"alpha_t_full": 1.37561098737718,
"r2_5y": 0.8138427119012845,
"r2_full": 0.8528139741095889,
"corr_portfolio": 0.2487814171872356,
"corr_benchmark": 0.7139377060887578,
"alpha_pos_frac": 0.4270833333333333,
"fund_max_dd": -0.21636659636345534,
"first": "2018-02-27",
"verdict": "weak/unstable alpha"
},
"ftmax": {
"sym": "ftmax",
"name": "First Trust Multi-Strategy Cl A",
"bucket": "mined",
"error": "no return history in the data set"
},
"faaax": {
"sym": "faaax",
"name": "Franklin Alternative Strategies A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.01309203663717352,
"alpha_t_5y": 1.2283383720658967,
"alpha_t_full": 1.6275872976359376,
"r2_5y": 0.607887440695306,
"r2_full": 0.6553175930301992,
"corr_portfolio": 0.28793504560310224,
"corr_benchmark": 0.47738642110979973,
"alpha_pos_frac": 0.46938775510204084,
"fund_max_dd": -0.1117951457283084,
"first": "2013-11-21",
"verdict": "weak/unstable alpha"
},
"gaagx": {
"sym": "gaagx",
"name": "GMO Alternative Allocation I",
"bucket": "mined",
"error": "no return history in the data set"
},
"gmamx": {
"sym": "gmamx",
"name": "Goldman Sachs Multi-Strategy Alternatives Fund",
"bucket": "mined",
"error": "no return history in the data set"
},
"gpaix": {
"sym": "gpaix",
"name": "Grant Park Multi Alternative Strats I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.008035877843127431,
"alpha_t_5y": 0.3735357407955509,
"alpha_t_full": 0.9846312406722558,
"r2_5y": 0.3870196716719805,
"r2_full": 0.30386830162653355,
"corr_portfolio": 0.20324552382593455,
"corr_benchmark": 0.4141139479733764,
"alpha_pos_frac": 0.4657534246575342,
"fund_max_dd": -0.17161194715948835,
"first": "2014-01-06",
"verdict": "weak/unstable alpha"
},
"gioix": {
"sym": "gioix",
"name": "Guggenheim Macro Opportunities Instl",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.015410219407521897,
"alpha_t_5y": 2.3610357649028573,
"alpha_t_full": 4.416604738332403,
"r2_5y": 0.763725975931929,
"r2_full": 0.47854017954161043,
"corr_portfolio": 0.16595563271383124,
"corr_benchmark": 0.44600909254459775,
"alpha_pos_frac": 0.49707602339181284,
"fund_max_dd": -0.122231668089825,
"first": "2011-12-01",
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)"
},
"gfsyx": {
"sym": "gfsyx",
"name": "GuideStone Funds - Strategic Alternatives Fund",
"bucket": "mined",
"error": "no return history in the data set"
},
"piffx": {
"sym": "piffx",
"name": "Invesco Multi-Asset Income R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.0033625121745873713,
"alpha_t_5y": -0.31735541545172474,
"alpha_t_full": -1.5456145262241747,
"r2_5y": 0.8662808420139416,
"r2_full": 0.7444930152458893,
"corr_portfolio": 0.2944534009486804,
"corr_benchmark": 0.7239162969462484,
"alpha_pos_frac": 0.6211180124223602,
"fund_max_dd": -0.3038145640820791,
"first": "2012-09-25",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"qvopx": {
"sym": "qvopx",
"name": "Invesco Multi-Strategy Fund A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.013307866825721153,
"alpha_t_5y": -0.8684139396624104,
"alpha_t_full": 3.7481298369307288,
"r2_5y": 0.3261525760675942,
"r2_full": -2.220446049250313e-16,
"corr_portfolio": 0.2812182137557509,
"corr_benchmark": 0.4186621735141323,
"alpha_pos_frac": 0.5067264573991032,
"fund_max_dd": -0.30552532857851666,
"first": "1990-01-03",
"verdict": "weak/unstable alpha"
},
"jaaax": {
"sym": "jaaax",
"name": "JHancock Alternative Asset Allc A",
"bucket": "mined",
"error": "no return history in the data set"
},
"jhaax": {
"sym": "jhaax",
"name": "JHancock Multi-Asset Absolute Return A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.01657599676490538,
"alpha_t_5y": 0.9102288544471362,
"alpha_t_full": -1.2999375934531863,
"r2_5y": 0.6368496214350496,
"r2_full": 0.5857621323143583,
"corr_portfolio": 0.18627034104514065,
"corr_benchmark": 0.5740329776144575,
"alpha_pos_frac": 0.5294117647058824,
"fund_max_dd": -0.1086538355925708,
"first": "2011-12-21",
"verdict": "weak/unstable alpha"
},
"lotix": {
"sym": "lotix",
"name": "LoCorr Market Trend I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.0007375529286507751,
"alpha_t_5y": 0.015717595792688714,
"alpha_t_full": 0.9954645022981967,
"r2_5y": 0.31753350966115257,
"r2_full": 0.1506937744585053,
"corr_portfolio": 0.24657982458097683,
"corr_benchmark": 0.06954555932845519,
"alpha_pos_frac": 0.42142857142857143,
"fund_max_dd": -0.28317369088420274,
"first": "2014-07-03",
"verdict": "weak/unstable alpha"
},
"blavx": {
"sym": "blavx",
"name": "Lord Abbett Multi-Asset Balanced Opp R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.011797325556756307,
"alpha_t_5y": -1.010085865942392,
"alpha_t_full": -0.7357659599702105,
"r2_5y": 0.9265728887932777,
"r2_full": 0.9328197776952308,
"corr_portfolio": 0.3103505887208745,
"corr_benchmark": 0.6379261074081366,
"alpha_pos_frac": 0.421875,
"fund_max_dd": -0.260437261686727,
"first": "2015-07-01",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"lixvx": {
"sym": "lixvx",
"name": "Lord Abbett Multi-Asset Income R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.004383174411143441,
"alpha_t_5y": -0.4568981299201697,
"alpha_t_full": -0.15577519270389997,
"r2_5y": 0.9042459815827678,
"r2_full": 0.8951857833403745,
"corr_portfolio": 0.3062653746695319,
"corr_benchmark": 0.6813260480847899,
"alpha_pos_frac": 0.4765625,
"fund_max_dd": -0.20178167405603809,
"first": "2015-07-01",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"difhx": {
"sym": "difhx",
"name": "MFS Diversified Income R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.0039245713054233385,
"alpha_t_5y": 0.5466028351398784,
"alpha_t_full": 0.5949328291259101,
"r2_5y": 0.9344580249970595,
"r2_full": 0.934363839968193,
"corr_portfolio": 0.33988525357150673,
"corr_benchmark": 0.6931115151589421,
"alpha_pos_frac": 0.5853658536585366,
"fund_max_dd": -0.23744092135921013,
"first": "2012-07-03",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"dvrlx": {
"sym": "dvrlx",
"name": "MFS Global Alternative Strategy R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.03657211770555811,
"alpha_t_5y": -2.5657867620747057,
"alpha_t_full": -0.1291828242329135,
"r2_5y": 0.6895569997257555,
"r2_full": 0.4897033044299437,
"corr_portfolio": 0.28971086546170755,
"corr_benchmark": 0.52598078027921,
"alpha_pos_frac": 0.5229357798165137,
"fund_max_dd": -0.492406289109413,
"first": "2007-12-20",
"verdict": "weak/unstable alpha"
},
"csaax": {
"sym": "csaax",
"name": "Mast Managed Futures Strategy A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.021839231499901426,
"alpha_t_5y": -0.5670420422388186,
"alpha_t_full": 1.1787995000841218,
"r2_5y": 0.25105581683621214,
"r2_full": 0.11110482665395294,
"corr_portfolio": 0.10211184167780919,
"corr_benchmark": -0.13429454987458886,
"alpha_pos_frac": 0.4472049689440994,
"fund_max_dd": -0.28773051050447884,
"first": "2012-10-04",
"verdict": "weak/unstable alpha"
},
"mstvx": {
"sym": "mstvx",
"name": "Morningstar Funds Trust - Morningstar Alternatives Fund",
"bucket": "mined",
"error": "no return history in the data set"
},
"czamx": {
"sym": "czamx",
"name": "Multi-Manager Alternative Strat Inst",
"bucket": "mined",
"error": "no return history in the data set"
},
"dpzrx": {
"sym": "dpzrx",
"name": "Nomura Diversified Income R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.000730284066316539,
"alpha_t_5y": 0.12826526384995596,
"alpha_t_full": 1.0276307131100524,
"r2_5y": 0.9461638110297028,
"r2_full": 0.9003950238884322,
"corr_portfolio": -0.013103435138370314,
"corr_benchmark": 0.7207677383087638,
"alpha_pos_frac": 0.5,
"fund_max_dd": -0.19438389559225144,
"first": "2016-05-05",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"pasix": {
"sym": "pasix",
"name": "PACE Alternative Strategies A",
"bucket": "mined",
"error": "no return history in the data set"
},
"padqx": {
"sym": "padqx",
"name": "PGIM Absolute Return Bond R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.02253366213400559,
"alpha_t_5y": 2.421479706530911,
"alpha_t_full": 3.842984939716189,
"r2_5y": 0.31680161727319966,
"r2_full": 0.42634234905883495,
"corr_portfolio": 0.2749211688974797,
"corr_benchmark": 0.14414798935984474,
"alpha_pos_frac": 0.4913294797687861,
"fund_max_dd": -0.18058226282780776,
"first": "2011-03-31",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"pwlix": {
"sym": "pwlix",
"name": "PIMCO RAE Worldwide Long/Short PLUS Inst",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.07660282789667064,
"alpha_t_5y": 2.2896624565350545,
"alpha_t_full": 1.715326163582548,
"r2_5y": 0.2993915194908645,
"r2_full": 0.3849850156716639,
"corr_portfolio": 0.4290639036766289,
"corr_benchmark": 0.2060141552122883,
"alpha_pos_frac": 0.5777777777777777,
"fund_max_dd": -0.26923060673685906,
"first": "2014-12-09",
"verdict": "alpha, but correlated with current portfolio"
},
"pqtix": {
"sym": "pqtix",
"name": "PIMCO TRENDS Fund Institutional",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.02847297577275021,
"alpha_t_5y": 0.742679931550064,
"alpha_t_full": 2.335970708368272,
"r2_5y": 0.15216577250089436,
"r2_full": 0.12647924317600812,
"corr_portfolio": 0.033638037506023684,
"corr_benchmark": -0.13324860245978445,
"alpha_pos_frac": 0.4863013698630137,
"fund_max_dd": -0.27647343409415515,
"first": "2014-01-07",
"verdict": "weak/unstable alpha"
},
"pyaix": {
"sym": "pyaix",
"name": "Payden Absolute Return Bond SI",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.02968496968469588,
"alpha_t_5y": 4.784530488694529,
"alpha_t_full": 4.200797542613163,
"r2_5y": 0.3451232727740463,
"r2_full": 0.3250972688950624,
"corr_portfolio": 0.12526637204534918,
"corr_benchmark": 0.1844971141588079,
"alpha_pos_frac": 0.47794117647058826,
"fund_max_dd": -0.15680465360347773,
"first": "2014-11-10",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"pgblx": {
"sym": "pgblx",
"name": "Principal Diversified Income R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.01412872049404619,
"alpha_t_5y": 1.5199678294021424,
"alpha_t_full": 0.12964149147420354,
"r2_5y": 0.6978234439108565,
"r2_full": 0.6010198995642109,
"corr_portfolio": 0.27492234459641884,
"corr_benchmark": 0.608590270031421,
"alpha_pos_frac": 0.5904761904761905,
"fund_max_dd": -0.23771744813108997,
"first": "2017-06-13",
"verdict": "weak/unstable alpha"
},
"pmsax": {
"sym": "pmsax",
"name": "Principal Global Multi-Strategy A",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.015538371548211896,
"alpha_t_5y": 1.8001012780965024,
"alpha_t_full": 1.665528177023728,
"r2_5y": 0.7847873201394527,
"r2_full": 0.6186592627892099,
"corr_portfolio": 0.39358726932232607,
"corr_benchmark": 0.53030328440744,
"alpha_pos_frac": 0.4941860465116279,
"fund_max_dd": -0.13947126763842388,
"first": "2011-11-02",
"verdict": "weak/unstable alpha"
},
"pglsx": {
"sym": "pglsx",
"name": "Principal Global Multi-Strategy R-6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.022834716219407386,
"alpha_t_5y": 2.6351709042494034,
"alpha_t_full": 2.2131792526289487,
"r2_5y": 0.7785150170658945,
"r2_full": 0.6229229469007576,
"corr_portfolio": 0.36642507552789066,
"corr_benchmark": 0.5511123168886634,
"alpha_pos_frac": 0.5238095238095238,
"fund_max_dd": -0.1395139992317488,
"first": "2017-06-13",
"verdict": "weak/unstable alpha"
},
"rlsfx": {
"sym": "rlsfx",
"name": "RiverPark Long/Short Opportunity Retail",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.16115615211661527,
"alpha_t_5y": -2.9697402107938906,
"alpha_t_full": -2.535083944427401,
"r2_5y": 0.7308724540747933,
"r2_full": 0.6421080886088519,
"corr_portfolio": -0.055074612442200174,
"corr_benchmark": 0.5146127994733334,
"alpha_pos_frac": 0.5988023952095808,
"fund_max_dd": -0.608949397322442,
"first": "2012-04-03",
"verdict": "weak/unstable alpha"
},
"smsax": {
"sym": "smsax",
"name": "SEI Multi Strategy Alternatives F (SIMT)",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.017757331922862697,
"alpha_t_5y": 1.564490845308455,
"alpha_t_full": 0.3248577204647862,
"r2_5y": 0.6693784935352178,
"r2_full": 0.4972808858277301,
"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"
},
"sioax": {
"sym": "sioax",
"name": "SEI Multi-Asset Income F (SIMT)",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.014537259779691733,
"alpha_t_5y": 1.8693036401798908,
"alpha_t_full": 2.2624177895387705,
"r2_5y": 0.8242395177988513,
"r2_full": 0.7457014660275068,
"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"
},
"srdax": {
"sym": "srdax",
"name": "Stone Ridge Diversified Alternatives I",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.077315378593081,
"alpha_t_5y": 4.194473136324014,
"alpha_t_full": 4.335855416124276,
"r2_5y": 0.024737567509405922,
"r2_full": 0.025626537670158656,
"corr_portfolio": 0.10433532078238511,
"corr_benchmark": -0.05093300486016625,
"alpha_pos_frac": 0.5,
"fund_max_dd": -0.06326727678361443,
"first": "2020-10-19",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"tmssx": {
"sym": "tmssx",
"name": "T. Rowe Price Multi-Strategy Total Return Fund",
"bucket": "mined",
"error": "no return history in the data set"
},
"vmnfx": {
"sym": "vmnfx",
"name": "Vanguard Market Neutral Inv",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.1213151413486212,
"alpha_t_5y": 4.1229748270195845,
"alpha_t_full": 2.480579289606245,
"r2_5y": 0.039369566462858496,
"r2_full": 1.5543122344752192e-15,
"corr_portfolio": 0.34813727658135635,
"corr_benchmark": -0.018378123746314586,
"alpha_pos_frac": 0.4824561403508772,
"fund_max_dd": -0.25936210806201754,
"first": "1998-11-17",
"verdict": "alpha, but correlated with current portfolio"
},
"maukx": {
"sym": "maukx",
"name": "Victory Pioneer Multi-Asset Ult Inc R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.03870281318242449,
"alpha_t_5y": 7.512773707625843,
"alpha_t_full": 5.4955644552594665,
"r2_5y": 0.3189960905860648,
"r2_full": 0.2813303336084766,
"corr_portfolio": 0.12275189616530456,
"corr_benchmark": 0.034450897116474206,
"alpha_pos_frac": 0.3987341772151899,
"fund_max_dd": -0.09969803918560205,
"first": "2012-12-26",
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)"
},
"vtarx": {
"sym": "vtarx",
"name": "Virtus Tactical Allocation R6",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": -0.05335515876677799,
"alpha_t_5y": -2.480328859971851,
"alpha_t_full": -2.6929563012168445,
"r2_5y": 0.8608844289577577,
"r2_full": 0.8580871497621856,
"corr_portfolio": -0.06863060772036257,
"corr_benchmark": 0.7202560361372964,
"alpha_pos_frac": 0.59375,
"fund_max_dd": -0.3628908267131912,
"first": "2020-10-21",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"wmnix": {
"sym": "wmnix",
"name": "Westwood Alternative Income Instl",
"bucket": "mined",
"in_portfolio": false,
"alpha_ann_5y": 0.038442357173482246,
"alpha_t_5y": 6.529116764845873,
"alpha_t_full": 5.306875605255055,
"r2_5y": 0.367349767186132,
"r2_full": 0.17596775396502795,
"corr_portfolio": 0.09120167169588639,
"corr_benchmark": 0.18140246101188268,
"alpha_pos_frac": 0.5153846153846153,
"fund_max_dd": -0.07640201924349688,
"first": "2015-05-04",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"masfx": {
"sym": "masfx",
"name": "iMGP Alternative Strategies Fund",
"bucket": "mined",
"error": "no return history in the data set"
}
}
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