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f/fundlab/search_results.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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{
"atesx": {
"sym": "atesx",
"name": "Anchor Risk Mgd Equity Strategies Instl",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.0055503014317009975,
"alpha_t_5y": 0.1484113857382209,
"alpha_t_full": 0.9293227873648724,
"r2_5y": 0.3610309574164604,
"r2_full": 0.3450047574870089,
"corr_portfolio": 0.02673861645107734,
"corr_benchmark": 0.32376107223953887,
"alpha_pos_frac": 0.49122807017543857,
"fund_max_dd": -0.12863626413945228,
"first": "2016-09-07",
"verdict": "weak/unstable alpha"
},
"atrfx": {
"sym": "atrfx",
"name": "Catalyst Systematic Alpha I",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": -0.018652787752631877,
"alpha_t_5y": -0.28898498571118264,
"alpha_t_full": 0.18349887648678206,
"r2_5y": 0.2604813339838056,
"r2_full": 0.11614807049400844,
"corr_portfolio": 0.22142653468828064,
"corr_benchmark": 0.20713067913226307,
"alpha_pos_frac": 0.4676258992805755,
"fund_max_dd": -0.3515020833110952,
"first": "2014-08-04",
"verdict": "weak/unstable alpha"
},
"cvsix": {
"sym": "cvsix",
"name": "Calamos Market Neutral Income A",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.017888238619296486,
"alpha_t_5y": 2.4839246727508577,
"alpha_t_full": 6.693203697489781,
"r2_5y": 0.738709320350339,
"r2_full": 3.3306690738754696e-15,
"corr_portfolio": 0.29027243816488385,
"corr_benchmark": 0.5237277356889887,
"alpha_pos_frac": 0.48109965635738833,
"fund_max_dd": -0.20766965351534095,
"first": "1990-09-04",
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)"
},
"jlpsx": {
"sym": "jlpsx",
"name": "JPMorgan US Large Cap Core Plus I",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": -0.002431497257594755,
"alpha_t_5y": -0.1629307787117402,
"alpha_t_full": 0.4343924766190256,
"r2_5y": 0.9585561291856182,
"r2_full": 0.8354903597942736,
"corr_portfolio": 0.22676613719990743,
"corr_benchmark": 0.52227955380103,
"alpha_pos_frac": 0.47540983606557374,
"fund_max_dd": -0.513285225905074,
"first": "2005-11-02",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"pmaix": {
"sym": "pmaix",
"name": "Victory Pioneer Multi-Asset Income A",
"bucket": "shortlist",
"in_portfolio": true,
"alpha_ann_5y": 0.049278056125020175,
"alpha_t_5y": 2.968511924087205,
"alpha_t_full": 3.9672810281689546,
"r2_5y": 0.7003658056055937,
"r2_full": 0.7087086927628709,
"corr_portfolio": 0.6036927197479715,
"corr_benchmark": 0.37605309741869536,
"alpha_pos_frac": 0.4764705882352941,
"fund_max_dd": -0.24116000785637026,
"first": "2011-12-23",
"verdict": "alpha, but correlated with current portfolio"
},
"pmorx": {
"sym": "pmorx",
"name": "Putnam Mortgage Opportunities A",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.05216102895935035,
"alpha_t_5y": 4.144374847398222,
"alpha_t_full": 1.4357260819167152,
"r2_5y": 0.03721366605296683,
"r2_full": 0.10084825638507544,
"corr_portfolio": 0.15610236827399032,
"corr_benchmark": 0.1549485287519335,
"alpha_pos_frac": 0.7,
"fund_max_dd": -0.19308848044669336,
"first": "2019-07-01",
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio"
},
"qspnx": {
"sym": "qspnx",
"name": "AQR Style Premia Alternative N",
"bucket": "shortlist",
"in_portfolio": true,
"alpha_ann_5y": 0.16785818097663643,
"alpha_t_5y": 3.3082513187185243,
"alpha_t_full": 3.2654332888524036,
"r2_5y": 0.2616252851889068,
"r2_full": 0.11754675753202926,
"corr_portfolio": 0.852144510349361,
"corr_benchmark": -0.16758094685348948,
"alpha_pos_frac": 0.49324324324324326,
"fund_max_dd": -0.41792301574889723,
"first": "2013-10-31",
"verdict": "alpha, but correlated with current portfolio"
},
"svarx": {
"sym": "svarx",
"name": "Spectrum Low Volatility Investor",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.023983827438686146,
"alpha_t_5y": 2.2535550856884474,
"alpha_t_full": 4.583134072763739,
"r2_5y": 0.28289328741120845,
"r2_full": 0.16745275696353723,
"corr_portfolio": 0.13269895533798984,
"corr_benchmark": 0.27028110365794056,
"alpha_pos_frac": 0.3698630136986301,
"fund_max_dd": -0.06486054560652632,
"first": "2013-12-18",
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)"
},
"cosix": {
"sym": "cosix",
"name": "Columbia Strategic Income A",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.010918442324802066,
"alpha_t_5y": 1.6544462573044783,
"alpha_t_full": 8.97921782878531,
"r2_5y": 0.8663944005206073,
"r2_full": 3.3306690738754696e-16,
"corr_portfolio": 0.14900065311998206,
"corr_benchmark": 0.5726198691530625,
"alpha_pos_frac": 0.5086705202312138,
"fund_max_dd": -0.261588575393748,
"first": "1990-01-03",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
},
"mbxix": {
"sym": "mbxix",
"name": "Catalyst/Millburn Hedge Strategy I",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.031018107560385543,
"alpha_t_5y": 0.8817953110008355,
"alpha_t_full": 0.9829918601685478,
"r2_5y": 0.4921477665240592,
"r2_full": 0.5706527612045402,
"corr_portfolio": 0.31809032443125856,
"corr_benchmark": 0.31985204190867955,
"alpha_pos_frac": 0.5491803278688525,
"fund_max_dd": -0.317313385665538,
"first": "2015-12-29",
"verdict": "weak/unstable alpha"
},
"eagmx": {
"sym": "eagmx",
"name": "Eaton Vance Glbl Macr Absolute Return A",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": 0.05559035554775872,
"alpha_t_5y": 5.2379756386224,
"alpha_t_full": 8.039707312489185,
"r2_5y": 0.07396669655814492,
"r2_full": -1.1102230246251565e-15,
"corr_portfolio": 0.23667567422802827,
"corr_benchmark": -0.02151029112701147,
"alpha_pos_frac": 0.44223107569721115,
"fund_max_dd": -0.0931393650735658,
"first": "1997-11-03",
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)"
},
"lcorx": {
"sym": "lcorx",
"name": "Leuthold Core Investment Retail",
"bucket": "shortlist",
"error": "no return history in the data set"
},
"lamhx": {
"sym": "lamhx",
"name": "Lord Abbett Dividend Growth R6",
"bucket": "shortlist",
"in_portfolio": false,
"alpha_ann_5y": -0.005326437096891267,
"alpha_t_5y": -0.3518378999299911,
"alpha_t_full": 0.4775716671703663,
"r2_5y": 0.9437584450573062,
"r2_full": 0.9561509121649294,
"corr_portfolio": 0.29977485384501745,
"corr_benchmark": 0.6191978200471758,
"alpha_pos_frac": 0.515625,
"fund_max_dd": -0.3345219095634927,
"first": "2015-07-01",
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven"
}
}
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