gmp/f
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
43ddd3ec7f
f/fundlab/decompose_results_rawalpha.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

1340 lines
36 KiB
JSON
Raw Blame History

{
"atesx": {
"fund": "atesx",
"start": "2016-09-07",
"end": "2026-08-21",
"n_obs": 2503,
"components": [
{
"sym": "qqq",
"label": "Nasdaq 100",
"beta": 0.45556908855154976,
"t": 21.168384781367326
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.23830733177169833,
"t": -8.880615083435835
}
],
"alpha_ann": 0.026346531979070175,
"alpha_t": 0.9293227873648724,
"r2": 0.3450047574870089,
"adj_r2": 0.34448076129299854,
"tracking_err_ann": 0.08913637737874539,
"fund_ann_return": 0.0858412132654425,
"dw": 2.2341043107825733,
"weights_sum": 0.21726175677985143,
"rolling": {
"window": 252,
"drift": {
"x0": 0.27669921266438996,
"x1": 0.848102513519347
},
"max_drift": 0.848102513519347,
"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": 0.44616170327416194,
"t": 14.149678424413535
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.22538567937254084,
"t": -5.264409165765193
}
],
"alpha_ann": 0.0055503014317009975,
"alpha_t": 0.1484113857382209,
"r2": 0.3610309574164604,
"adj_r2": 0.36012526068707196,
"tracking_err_ann": 0.08832002153748113,
"fund_ann_return": 0.05033812888713632,
"dw": 2.1534721910947656,
"weights_sum": 0.2207760239016211,
"rolling": {
"window": 252,
"drift": {
"x0": 0.2848956566742419,
"x1": 0.8185826141529595
},
"max_drift": 0.8185826141529595,
"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": 0.19562032232528356,
"t": 11.729655094756636
},
{
"sym": "vicbx",
"label": "intermediate-term corporate bond",
"beta": 1.2393291638674306,
"t": 6.561747110208925
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.5478003004605062,
"t": -5.661209653417961
},
{
"sym": "vstbx",
"label": "short-term corporate bond",
"beta": -1.0095528723812663,
"t": -3.2405021184626386
}
],
"alpha_ann": 0.026673637645486293,
"alpha_t": 0.6555619809844426,
"r2": 0.10182834965198462,
"adj_r2": 0.10064068465978881,
"tracking_err_ann": 0.13999308469624303,
"fund_ann_return": 0.06002154419716573,
"dw": 1.9501017065798456,
"weights_sum": -0.12240368664905843,
"rolling": {
"window": 252,
"drift": {
"x0": 0.9561739344457876,
"x1": 0.8851118294710612,
"x2": 1.6558653570574795,
"x3": 1.3496745692775076
},
"max_drift": 1.6558653570574795,
"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": 0.41897124333609137,
"t": 14.248528357545942
},
{
"sym": "shv",
"label": "US short-term treasuries",
"beta": -7.305355576774472,
"t": -4.903013063951641
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.42005732490633185,
"t": 3.997263415922683
}
],
"alpha_ann": 0.2243721369422037,
"alpha_t": 2.8094259011461844,
"r2": 0.21865529238383408,
"adj_r2": 0.21699285683571456,
"tracking_err_ann": 0.15588237414909037,
"fund_ann_return": 0.08494859854904573,
"dw": 1.9902727126144717,
"weights_sum": -6.466327008532049,
"rolling": {
"window": 252,
"drift": {
"x0": 0.8466015103540322,
"x1": 0.5239705908149238,
"x2": 0.5882002201443478
},
"max_drift": 0.8466015103540322,
"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": "1990-09-04",
"end": "2026-08-21",
"n_obs": 9057,
"components": [],
"alpha_ann": 0.05494737178055986,
"alpha_t": 6.693203697489781,
"r2": 3.3306690738754696e-15,
"adj_r2": 3.4416913763379853e-15,
"tracking_err_ann": 0.04921311085638685,
"fund_ann_return": 0.054947371780559855,
"dw": 2.201070204327631,
"weights_sum": 0.0,
"verdict": "no component explains returns (market neutral or cash-like) [strategy evolved \u2014 5y R\u00b2 = 0.74]",
"recent": {
"fund": "cvsix",
"start": "2021-01-05",
"end": "2026-08-21",
"n_obs": 1414,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.14337409425906908,
"t": 23.56952105733188
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.055353843180348514,
"t": 4.856854249459811
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.025427867003656124,
"t": 3.6082323626617847
}
],
"alpha_ann": 0.018963344604106105,
"alpha_t": 2.625529185806505,
"r2": 0.7365622841041414,
"adj_r2": 0.7360017783256396,
"tracking_err_ann": 0.017045091698141286,
"fund_ann_return": 0.04743113695845717,
"dw": 2.4362438569399654,
"weights_sum": 0.2241558044430737,
"rolling": {
"window": 252,
"drift": {
"x0": 0.16656102001355494,
"x1": 0.09765665332386918,
"x2": 0.11331311792968189
},
"max_drift": 0.16656102001355494,
"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": "2005-11-02",
"end": "2026-08-24",
"n_obs": 5233,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 1.0437558832956155,
"t": 162.56889184909045
}
],
"alpha_ann": 0.011050486799195222,
"alpha_t": 0.5691336721993374,
"r2": 0.8347738874968654,
"adj_r2": 0.8347423015453259,
"tracking_err_ann": 0.08838608033412072,
"fund_ann_return": 0.14222655212102187,
"dw": 2.8431265199678273,
"weights_sum": 1.0437558832956155,
"rolling": {
"window": 252,
"drift": {
"x0": 0.0438981065572047
},
"max_drift": 0.0438981065572047,
"n_windows": 238
},
"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": 1.034383539393894,
"t": 91.67948652777572
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": -0.029869184923710934,
"t": -3.6565866275389944
},
{
"sym": "vwo",
"label": "emerging markets stock",
"beta": 0.024879403995978433,
"t": 3.325899423592402
}
],
"alpha_ann": -0.0029851840422737987,
"alpha_t": -0.19449233213311515,
"r2": 0.9561755665716403,
"adj_r2": 0.9560823891795176,
"tracking_err_ann": 0.0362318939737439,
"fund_ann_return": 0.15826248266783624,
"dw": 2.2564400244536875,
"weights_sum": 1.0293937584661617,
"rolling": {
"window": 252,
"drift": {
"x0": 0.029887310344874126,
"x1": 0.1450970324235002,
"x2": 0.09661012864484575
},
"max_drift": 0.1450970324235002,
"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": 0.2344874843476855,
"t": 30.602178496272092
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.6192246204138075,
"t": 37.00150032703783
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.04740991451070612,
"t": 10.82367809724191
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.15148499144323813,
"t": -10.175119663083366
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.050460193217015836,
"t": -6.080317182282203
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.023020899742284634,
"t": 4.40169223227429
}
],
"alpha_ann": 0.035437156651329446,
"alpha_t": 3.3490804145584185,
"r2": 0.679121578877175,
"adj_r2": 0.6785981230515259,
"tracking_err_ann": 0.040264984588024334,
"fund_ann_return": 0.08546192744916578,
"dw": 2.088102202855144,
"weights_sum": 0.7221977343542297,
"rolling": {
"window": 252,
"drift": {
"x0": 0.20577309247165354,
"x1": 0.18907744513443525,
"x2": 0.158769877923333,
"x3": 0.4541512565652454,
"x4": 0.3837359243950157,
"x5": 0.165791799569151
},
"max_drift": 0.4541512565652454,
"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": 0.2449954218314655,
"t": 19.03579186143622
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.5344327280136246,
"t": 16.011005736881103
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.06919531081867039,
"t": 10.653443293821173
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.1934942270463675,
"t": -8.131663840261679
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.066420197792225,
"t": 7.199106958431038
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.08454175511501988,
"t": -6.445665952633282
}
],
"alpha_ann": 0.05220162671812971,
"alpha_t": 2.7522346782393368,
"r2": 0.6089406987814124,
"adj_r2": 0.6072730684990304,
"tracking_err_ann": 0.04465476548081441,
"fund_ann_return": 0.10594922784805459,
"dw": 1.935004996999197,
"weights_sum": 0.637007676294598,
"rolling": {
"window": 252,
"drift": {
"x0": 0.16713565476068823,
"x1": 0.26061370415899987,
"x2": 0.08726856185338772,
"x3": 0.16461642759479633,
"x4": 0.13071922650272086,
"x5": 0.21414714053386924
},
"max_drift": 0.26061370415899987,
"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": 0.31388720384359853,
"t": 14.18893920835988
}
],
"alpha_ann": 0.029332925492427733,
"alpha_t": 1.4357260819167152,
"r2": 0.10084825638507544,
"adj_r2": 0.10034733619364655,
"tracking_err_ann": 0.054457753005862385,
"fund_ann_return": 0.04399267904999808,
"dw": 2.051284316393219,
"weights_sum": 0.31388720384359853,
"rolling": {
"window": 252,
"drift": {
"x0": 0.7331280914924483
},
"max_drift": 0.7331280914924483,
"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": 0.04168035087416321,
"t": 2.2063240080677304
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.3867098615283498,
"t": -10.37474630140078
},
{
"sym": "vmbix",
"label": "mortgage-backed securities",
"beta": 0.31402590773539685,
"t": 9.161419056733536
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.06735987458994033,
"t": 5.549320204906601
}
],
"alpha_ann": 0.0527292589505514,
"alpha_t": 4.2909358903055885,
"r2": 0.08657628999415645,
"adj_r2": 0.08398501705796968,
"tracking_err_ann": 0.028979898356966537,
"fund_ann_return": 0.05695447285684168,
"dw": 2.2442433975515654,
"weights_sum": 0.0363562716711506,
"rolling": {
"window": 252,
"drift": {
"x0": 0.21698400351224853,
"x1": 0.4064266430323177,
"x2": 0.3680865071797071,
"x3": 0.09762048759677722
},
"max_drift": 0.4064266430323177,
"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": -0.08192299528316607,
"t": -4.0260419229419835
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.2609710931386727,
"t": 9.495012993507824
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.7033008999688797,
"t": -14.398386309918285
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": 0.3751139296366351,
"t": 8.722604382154021
},
{
"sym": "ijs",
"label": "S&P Small-Cap 600 Value",
"beta": 0.1845783441822273,
"t": 6.386825106301779
},
{
"sym": "shv",
"label": "US short-term treasuries",
"beta": -2.754459031292181,
"t": -3.8820894019208985
}
],
"alpha_ann": 0.12818487124441533,
"alpha_t": 3.9840661559835087,
"r2": 0.1134410104537722,
"adj_r2": 0.11178543811101538,
"tracking_err_ann": 0.10508112594918419,
"fund_ann_return": 0.08091865655856706,
"dw": 1.8961660779849816,
"weights_sum": -2.7190195595866915,
"rolling": {
"window": 252,
"drift": {
"x0": 0.8863354304694652,
"x1": 0.8607703018245606,
"x2": 0.40949478429698954,
"x3": 0.3889681450569688,
"x4": 0.9937533641149741,
"x5": 1.4461092192565497
},
"max_drift": 1.4461092192565497,
"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": -0.06943941702935164,
"t": -2.2675960385991307
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.21375136440801723,
"t": 4.0635176755747535
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.6189777356607347,
"t": -11.154913059718409
},
{
"sym": "ijs",
"label": "S&P Small-Cap 600 Value",
"beta": 0.48890809639467814,
"t": 8.976960770542815
},
{
"sym": "shv",
"label": "US short-term treasuries",
"beta": -6.202064838851471,
"t": -5.221795262354262
}
],
"alpha_ann": 0.37899676888646366,
"alpha_t": 5.884228223888841,
"r2": 0.17907422272719475,
"adj_r2": 0.17615900334767476,
"tracking_err_ann": 0.1258743914848915,
"fund_ann_return": 0.20378567372709033,
"dw": 1.8476027480671517,
"weights_sum": -6.1878225307388615,
"rolling": {
"window": 252,
"drift": {
"x0": 0.4695949092898872,
"x1": 0.8640997084339416,
"x2": 0.6037347855639,
"x3": 0.7978620842217455,
"x4": 0.6116773035053029
},
"max_drift": 0.8640997084339416,
"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": 0.06942890671894897,
"t": 18.07601188807692
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.10001905582875992,
"t": 7.751274664401302
}
],
"alpha_ann": 0.05206713295886885,
"alpha_t": 5.103917116288613,
"r2": 0.12071609207684797,
"adj_r2": 0.12016377806433343,
"tracking_err_ann": 0.03623399351955989,
"fund_ann_return": 0.06016511606656689,
"dw": 2.1930328695290275,
"weights_sum": 0.16944796254770889,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1373472721585143,
"x1": 0.2623420377551537
},
"max_drift": 0.2623420377551537,
"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": 0.16482774305146136,
"t": 13.530158875689205
},
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.05272328376723269,
"t": 11.974320936849248
}
],
"alpha_ann": 0.02851487058619257,
"alpha_t": 2.6098427381219285,
"r2": 0.24198871761674323,
"adj_r2": 0.24091428631641254,
"tracking_err_ann": 0.02582591212260749,
"fund_ann_return": 0.03414405706979862,
"dw": 2.027102891716548,
"weights_sum": 0.21755102681869404,
"rolling": {
"window": 252,
"drift": {
"x0": 0.21771692656768357,
"x1": 0.06046195722494479
},
"max_drift": 0.21771692656768357,
"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": "1990-01-03",
"end": "2026-08-21",
"n_obs": 9226,
"components": [],
"alpha_ann": 0.058717525483004025,
"alpha_t": 8.97921782878531,
"r2": 3.3306690738754696e-16,
"adj_r2": 4.440892098500626e-16,
"tracking_err_ann": 0.039565089695926974,
"fund_ann_return": 0.05871752548300402,
"dw": 1.7589309508798752,
"weights_sum": 0.0,
"verdict": "no component explains returns (market neutral or cash-like) [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": 0.288460763166248,
"t": 12.452945480339036
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.29933745310561866,
"t": 28.620403943860424
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": 0.1773268606937985,
"t": 5.111860730207353
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.023873312991125495,
"t": 3.2290450844819194
}
],
"alpha_ann": 0.010013564293547298,
"alpha_t": 1.4857644255260904,
"r2": 0.8602970091640032,
"adj_r2": 0.8599004073447385,
"tracking_err_ann": 0.015882120791285648,
"fund_ann_return": 0.021278965202663088,
"dw": 2.102412506087817,
"weights_sum": 0.7889983899567907,
"rolling": {
"window": 252,
"drift": {
"x0": 0.42276301035369823,
"x1": 0.24123352544971702,
"x2": 0.7930957664509884,
"x3": 0.2024940055906148
},
"max_drift": 0.7930957664509884,
"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": 0.39245838142956163,
"t": 20.072399939088108
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.6691512098665768,
"t": -9.960156247284127
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.28134567186258985,
"t": -9.853324593642872
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.08330432021118495,
"t": 7.670473267330599
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.17450273619844878,
"t": 5.921229335495926
},
{
"sym": "efa",
"label": "developed markets (ex-US, MSCI)",
"beta": 0.10847192647358558,
"t": 5.004925817589
}
],
"alpha_ann": 0.024820519135557266,
"alpha_t": 0.8961816713889841,
"r2": 0.5321084883020772,
"adj_r2": 0.531057046702756,
"tracking_err_ann": 0.0899358494603154,
"fund_ann_return": 0.09479368792724513,
"dw": 1.9290049781910437,
"weights_sum": -0.19175951741638578,
"rolling": {
"window": 252,
"drift": {
"x0": 0.2670019959185202,
"x1": 0.7612945161886517,
"x2": 0.5685135801904753,
"x3": 0.25349794378898627,
"x4": 0.42287402866416995,
"x5": 0.5520356165472149
},
"max_drift": 0.7612945161886517,
"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": 0.4102633005758794,
"t": 24.341611835442336
},
{
"sym": "ief",
"label": "US intermediate treasuries (7-10 yr)",
"beta": -0.7200822566052334,
"t": -9.045916015900026
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.10085813682120615,
"t": 7.96335478113521
},
{
"sym": "fxe",
"label": "Euro",
"beta": -0.1852046053656746,
"t": -5.387240877525066
},
{
"sym": "tlt",
"label": "US long-term treasuries (20+ yr)",
"beta": 0.1371607922006066,
"t": 3.7298157820718036
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": -0.2190781037842444,
"t": -3.4498633589251306
}
],
"alpha_ann": 0.026755231746647828,
"alpha_t": 0.7260542397794253,
"r2": 0.4427937324584458,
"adj_r2": 0.4404175863282046,
"tracking_err_ann": 0.08668088600277926,
"fund_ann_return": 0.10072573524358285,
"dw": 1.8935415103077673,
"weights_sum": -0.4760827361574602,
"rolling": {
"window": 252,
"drift": {
"x0": 0.19181939552220412,
"x1": 0.3354105640246233,
"x2": 0.2047082089271779,
"x3": 0.5337763768544731,
"x4": 0.31529704059151686,
"x5": 1.158363172487587
},
"max_drift": 1.158363172487587,
"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": "1997-11-03",
"end": "2026-08-21",
"n_obs": 7244,
"components": [],
"alpha_ann": 0.050824482110222884,
"alpha_t": 8.039707312489185,
"r2": -1.1102230246251565e-15,
"adj_r2": -1.1102230246251565e-15,
"tracking_err_ann": 0.033891570631519576,
"fund_ann_return": 0.0508244821102229,
"dw": 1.9385563443482812,
"weights_sum": 0.0,
"verdict": "no component explains returns (market neutral or cash-like)",
"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": -0.08612900590965679,
"t": -7.775770337985069
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.09714053153148342,
"t": 6.2437458560353
},
{
"sym": "fxy",
"label": "Japanese Yen",
"beta": 0.029519557759761714,
"t": 3.7673950023045486
}
],
"alpha_ann": 0.055900808564439394,
"alpha_t": 5.20066580035999,
"r2": 0.05095371708568386,
"adj_r2": 0.048934469675227854,
"tracking_err_ann": 0.02533976434093521,
"fund_ann_return": 0.058946455973364384,
"dw": 1.837466450766458,
"weights_sum": 0.04053108338158834,
"rolling": {
"window": 252,
"drift": {
"x0": 0.3492893563867785,
"x1": 0.20298329394851625,
"x2": 0.07174902615914276
},
"max_drift": 0.3492893563867785,
"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": "1990-01-01",
"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": 0.5924375150630279,
"t": 47.111831514579826
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.287611197385718,
"t": 24.519604228970984
},
{
"sym": "ijk",
"label": "S&P Mid-Cap 400 Growth",
"beta": 0.21615100882604454,
"t": 16.024470374704247
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.23713306806264878,
"t": -15.301969229049684
},
{
"sym": "ijt",
"label": "S&P Small-Cap 600 Growth",
"beta": 0.08182509699723003,
"t": 5.251050388316936
},
{
"sym": "shv",
"label": "US short-term treasuries",
"beta": 0.8402716605552001,
"t": 3.371728168166483
}
],
"alpha_ann": -0.013142415064292253,
"alpha_t": -1.100272198008015,
"r2": 0.9538473658830551,
"adj_r2": 0.9537483258956797,
"tracking_err_ann": 0.03577603601650824,
"fund_ann_return": 0.13631999009039603,
"dw": 2.1773606534393157,
"weights_sum": 1.781163410764572,
"rolling": {
"window": 252,
"drift": {
"x0": 0.1728242094144316,
"x1": 0.34751423069844256,
"x2": 0.2577728950590679,
"x3": 0.44186860937361244,
"x4": 0.3668810220684854,
"x5": 1.6462023135541486
},
"max_drift": 1.6462023135541486,
"n_windows": 122
},
"verdict": "mostly stable sleeve mix with drifting weights",
"recent": {
"fund": "lamhx",
"start": "2021-01-05",
"end": "2026-08-24",
"n_obs": 1415,
"components": [
{
"sym": "ivv",
"label": "S&P 500",
"beta": 0.6193099922725518,
"t": 40.4949370126514
},
{
"sym": "ive",
"label": "S&P 500 Value",
"beta": 0.26293261022523196,
"t": 16.74318387082312
},
{
"sym": "ijk",
"label": "S&P Mid-Cap 400 Growth",
"beta": 0.19701675392247014,
"t": 12.023321527643459
},
{
"sym": "iwm",
"label": "US small cap",
"beta": -0.14148284702566433,
"t": -10.876289620460732
}
],
"alpha_ann": -0.0024165247422386882,
"alpha_t": -0.15995398884720494,
"r2": 0.9442029093804821,
"adj_r2": 0.9440446197617034,
"tracking_err_ann": 0.03562317439718008,
"fund_ann_return": 0.13829292090048273,
"dw": 2.098803191816331,
"weights_sum": 0.9377765093945896,
"rolling": {
"window": 252,
"drift": {
"x0": 0.09305182386862508,
"x1": 0.32077302560627446,
"x2": 0.2546046400945276,
"x3": 0.2629175684280181
},
"max_drift": 0.32077302560627446,
"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": 0.2344874843476855,
"t": 30.602178496272092
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.6192246204138075,
"t": 37.00150032703783
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.04740991451070612,
"t": 10.82367809724191
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.15148499144323813,
"t": -10.175119663083366
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.050460193217015836,
"t": -6.080317182282203
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.023020899742284634,
"t": 4.40169223227429
}
],
"alpha_ann": 0.035437156651329446,
"alpha_t": 3.3490804145584185,
"r2": 0.679121578877175,
"adj_r2": 0.6785981230515259,
"tracking_err_ann": 0.040264984588024334,
"fund_ann_return": 0.08546192744916578,
"dw": 2.088102202855144,
"weights_sum": 0.7221977343542297,
"rolling": {
"window": 252,
"drift": {
"x0": 0.20577309247165354,
"x1": 0.18907744513443525,
"x2": 0.158769877923333,
"x3": 0.4541512565652454,
"x4": 0.3837359243950157,
"x5": 0.165791799569151
},
"max_drift": 0.4541512565652454,
"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": 0.2449954218314655,
"t": 19.03579186143622
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.5344327280136246,
"t": 16.011005736881103
},
{
"sym": "djp",
"label": "Dow Jones-UBS Commodity Index",
"beta": 0.06919531081867039,
"t": 10.653443293821173
},
{
"sym": "agg",
"label": "US aggregate bond",
"beta": -0.1934942270463675,
"t": -8.131663840261679
},
{
"sym": "vnq",
"label": "US real estate (REITs)",
"beta": 0.066420197792225,
"t": 7.199106958431038
},
{
"sym": "ivv",
"label": "S&P 500",
"beta": -0.08454175511501988,
"t": -6.445665952633282
}
],
"alpha_ann": 0.05220162671812971,
"alpha_t": 2.7522346782393368,
"r2": 0.6089406987814124,
"adj_r2": 0.6072730684990304,
"tracking_err_ann": 0.04465476548081441,
"fund_ann_return": 0.10594922784805459,
"dw": 1.935004996999197,
"weights_sum": 0.637007676294598,
"rolling": {
"window": 252,
"drift": {
"x0": 0.16713565476068823,
"x1": 0.26061370415899987,
"x2": 0.08726856185338772,
"x3": 0.16461642759479633,
"x4": 0.13071922650272086,
"x5": 0.21414714053386924
},
"max_drift": 0.26061370415899987,
"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": "1990-01-01",
"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": "1997-11-03",
"end": "2026-08-21",
"n_obs": 7244,
"components": [],
"alpha_ann": 0.050824482110222884,
"alpha_t": 8.039707312489185,
"r2": -1.1102230246251565e-15,
"adj_r2": -1.1102230246251565e-15,
"tracking_err_ann": 0.033891570631519576,
"fund_ann_return": 0.0508244821102229,
"dw": 1.9385563443482812,
"weights_sum": 0.0,
"verdict": "no component explains returns (market neutral or cash-like)",
"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": -0.08612900590965679,
"t": -7.775770337985069
},
{
"sym": "vweax",
"label": "high-yield corporate",
"beta": 0.09714053153148342,
"t": 6.2437458560353
},
{
"sym": "fxy",
"label": "Japanese Yen",
"beta": 0.029519557759761714,
"t": 3.7673950023045486
}
],
"alpha_ann": 0.055900808564439394,
"alpha_t": 5.20066580035999,
"r2": 0.05095371708568386,
"adj_r2": 0.048934469675227854,
"tracking_err_ann": 0.02533976434093521,
"fund_ann_return": 0.058946455973364384,
"dw": 1.837466450766458,
"weights_sum": 0.04053108338158834,
"rolling": {
"window": 252,
"drift": {
"x0": 0.3492893563867785,
"x1": 0.20298329394851625,
"x2": 0.07174902615914276
},
"max_drift": 0.3492893563867785,
"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."
}
}
Reference in New Issue View Git Blame Copy Permalink