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# Fund discovery research log
Running log of attempts, dead ends, and learnings for finding candidate
funds (alpha-driven, portfolio-complementing) with the `fundlab`
pipeline. Newest entries at the bottom of each section. Update as you
go — this file IS the knowledge base.
## Sources & what works
| Source | Status | Notes |
|---|---|---|
| Local stocks DB (`~/prog/fin/stocks/`, 8,250 syms) | ✅ primary | ~100 open-end alt families already present; `dbmine.py` mines by name pattern |
| SEC full-index `Archives/edgar/full-index/YYYY/QTRn/company.gz` | ✅ **discovery workhorse** | lists EVERY filing; 497/497K filers = all active open-end funds. 4-quarter union = 1,668 CIKs, 33,188 series, 10,372 class tickers |
| SEC full-submission `.txt` (per accession) | ✅ | ~10–50KB; line-based SGML cover with `<SERIES-NAME>` (UNCLOSED tag) + `<CLASS-CONTRACT-TICKER-SYMBOL>` per class; often several series per filing |
| Yahoo chart API (`query1.../v8/finance/chart/<T>`) | ✅ | no crumb needed; meta has instrumentType/exchange/longName; `range=20y` gives history length |
| `goget` (`~/go/bin/goget`) | ✅ | batch downloader, idempotent, ~2–5s/sym |
| EDGAR FTS (`efts.sec.gov/LATEST/search-index`) | ⚠️ fragile | phrase queries w/ hyphens fail; AND-semantics; 100-hit cap per query → incomplete for common phrases. OK for rare phrases only |
| SEC `browse-edgar` company listing | ❌ dead | now JS-rendered, no data in HTML |
| SEC `/files/investment-company-tickers.json` | ❌ doesn't exist | 404 (misremembered) |
| SEC `company_tickers.json` | ❌ for our purpose | only exchange-listed (ETFs/CEFs/stocks); open-end OTC funds absent |
| Yahoo search/crumb API | ❌ throttled | IP-level "Too Many Requests" on `fc.yahoo.com`/`getcrumb`; chart API unaffected |
| stockanalysis.com/funds/ | ❌ 404 | path guessed wrong, not pursued |
## Learnings (hard-won)
1. **Famous multi-strategy/macro funds are private/offshore** — Millennium,
Balyasny, Schonfeld, ExodusPoint, Two Sigma, Winton, Marshall Wace,
Brevan Howard, AQR Event-Driven: no US open-end class, no EDGAR 497,
no Yahoo OTC ticker. Structural, not a search failure.
2. **Precision over recall for name→ticker resolution**: a guessed
ticker that "looks right" is worse than no answer. Chart-API name
gate + 2/3 token overlap rejected 23/24 memory-based guesses.
3. **Yahoo exchange name is a USELESS fund/ETF discriminator**: OTC
mutual funds report `fullExchangeName="Nasdaq"`. Use
`instrumentType` (MUTUALFUND vs ETF).
4. **497 SGML cover uses UNCLOSED tags, one per line** —
`<SERIES-NAME>Foo Fund\n<CLASS-CONTRACT-TICKER-SYMBOL>TNMAX\n`.
Closed-tag regexes find nothing; `to_text()` (tag stripping)
destroys the data. Parse line-based, BEFORE any tag stripping.
5. **Full-index columns drift** — don't trust fixed widths; the header
line and data rows don't align. Regex the whole line.
6. **One quarter ≠ the universe**: each fund's annual base-497
re-filing lands in a random quarter; union of 4 consecutive
quarters is the full active universe (1,209 in Q2 alone → 1,668
union).
7. **Accession paths in the index are relative to `/Archives/`**, not
`/Archives/edgar/data/` — doubling the prefix 404s.
8. **Amendments (497A/497VPU) may lack the series cover** — base 497 /
497K carry it. (497A inclusion pending — see below.)
9. **Family CIKs repeat across the index** (e.g. AB under 2 CIKs,
same series listed twice) — dedupe by series name, not CIK.
10. **Large-n BIC is knife-edge** (ΔBIC=2 ≈ ΔR²=0.0008 at n=2500) —
the |t|>2 gate on added regressors is essential (decompose.py).
11. **The portfolio is 50% market-neutral (qspnx)** — MN/L-S-equity
funds show the strongest alpha on screen (+12–17%/yr) but corr
0.35–0.76 with the portfolio. "Alpha" ≠ "diversifying for YOU".
12. **Near-duplicate sleeves make OLS knife-edge** — distinct-axis
candidate sets (one rep per sleeve family) or the betas split
arbitrarily between ivv/vti/vt.
13. **Wrong-fund objectives are worse than none** — all EDGAR
resolution stages gate on name match before accepting.
## Pipeline stages (current)
```
full-index (4 qtrs) → per-CIK latest 497/497K .txt (cached, 4-thread)
→ parse_cover (line-based SGML)
→ [name filter — REMOVED in v2, kept as a tag]
→ Yahoo chart verify (instrumentType, 20y length)
→ share-class dedupe (longest history)
→ goget missing (batched)
→ screen_fund (sleeve OLS, BIC fwd-select, 5y alpha t, persistence,
corr vs portfolio & benchmark) [0.3s/fund]
→ search_*.json → app Fund Lab "Alpha search" table
```
## Overnight comprehensive screen (v2, started 2026-08-26)
Goal: screen EVERY OTC open-end fund with ≥5y history from the 497
universe — no name pre-filter. Name match becomes a tag/cross-check,
not a gate.
### Notes while running (live - the log() below appends automatically)
- [x] survey: 10,372 class tickers in covers cache; 1,223 already local,
9,149 to verify on Yahoo; screen costs 0.3s/fund.
- [x] 497A adds ZERO new CIKs over 497/497K (every 497A filer also
filed a base in window) - no need to include.
- [x] verify: 10,260/10,372 tickers with data (4-thread, ~10 min;
112 dead/never-listed tickers dropped). Cached in
universe_cache/yahoo_meta.json.
- [x] select: **2,384 funds** (407 local, 1,977 external). Only 54
match the alpha name pattern - the other 2,330 are exactly what
the v1 name-filter would have missed. Worklist cached in
universe_cache/selected.json.
- [x] download: 1,960 symbols (resumed at 1,823 after the watchdog
kill-test). Logs to fundlab/overnight.log + this file.
- [x] screen: 2,384 funds -> search_all.json (1.2MB).
- [x] finalize: verdict counts + "candidates v1 would have missed".
### RESULTS (run finished 2026-08-27 03:23, 5.2h, watchdog exited clean)
- 2,384 screened: 250 CANDIDATE, 1336 sleeve mix, 707 weak, 42
alpha-but-correlated, 32 not-persistent, 17 no-5y-window.
- Of the 250: ~37 are short-duration/floating-rate/money-market CARRY
(model artifact - the 21-sleeve set has no short-duration axis, so
carry shows up as a positive intercept). The rest mix:
a) GENUINE idiosyncratic alpha: hmezx NexPoint Merger Arb (t5 7.1,
tF 4.6, corr 0.14), mervx The Merger Fund, egrix Eaton Vance
Global Macro (R2 0.07, +7.9%), wmnux Westwood Alt Income,
dmszx Destinations Multi-Strat, anglx Angel Oak Multi-Strat,
aguax Am Beacon Dev World Income (+6.5%, t5 3.7), femdx
Franklin EM Debt Opps (+6.0%), rctix River Canyon TR Bond
(t5 5.6), kmdnx Kinetics Multi-Disciplinary.
b) MISSING-FACTOR exposures (sector not in the 21 sleeves, so
sector exposure reads as "alpha"): munis (hicox, fhmix),
preferreds (lpxax, dpiax), EM debt (femdx), securitized credit
(scfzx), TIPS/real-return.
- ~200 candidates have "boring" names the v1 alpha-name filter would
have rejected - direct quantification of the v1 blind spot.
- eniax SIIT Opportunistic Income: t5 10.1 but tF 1.44 -> alpha is
RECENT (last 5y), not full-history. Good thing the screen keeps both
stats.
### Next iterations
1. [x] **Add missing factors + cluster by return driver**
(fundlab/factors.py + fundlab/cluster.py).
2. [x] **N-PORT holdings cross-check on the top candidates**
(fundlab/xcheck.py) - results below.
3. [x] **Drawdown-resilience screen** (fundlab/drawdown.py) -
which candidates were positive when equities crashed.
4. CEF universe (485/N-2 filers) - separate pass; CEFs have
premium/discount dynamics the NAV screen can't see.
### RIC vs pass-through + return-of-capital check (2026-08-27)
User asked (1) whether the long-short alternatives are RICs or
pass-throughs, and (2) whether mutual funds can distribute
non-taxable "return of capital".
**RIC vs pass-through - verified on EDGAR (form-type history):**
CVSIX, QSPNX, MBXIX, ATRFX, ATESX, EAGMX, PBAIX, WISEX, EBSAX ALL
file NPORT-P + N-CSR + N-CSRS + N-CEN + 497/497K - i.e. registered
40 Act open-end funds = RICs. MBXIX/ATRFX (the "hedge strategy" I
classes) are in a registered trust (Mutual Fund Series Trust) even
though they sound like hedge funds. 1120-R tax returns are filed with
the IRS, not EDGAR, so their absence there is expected. The whole
2,384-fund universe is 497-filers, so NO candidate is a pass-through:
none can pass capital losses to shareholders; the only internal
tax benefit is the harvest reserve (offsets the fund's FUTURE gain
distributions). K-1 loss pass-throughs (MLPs, private credit) are
outside the universe and IRA-bound anyway.
**Return of capital - yes, and it happens in the candidate pool:**
ROC = distribution characterized as a return of the shareholder's
OWN basis. Non-taxable until basis is exhausted, then taxed as a
capital gain - i.e. DEFERRED, not exempt. It is also a red flag:
the fund is paying back principal. The definitive source is the
per-share "Financial Highlights" table in the N-CSR annual report
("Distributions from: NII / gains / (tax) return of capital /
total").
fundlab/rocdetect.py parses that table (whitespace-normalized,
dollar-basis and date-column rejection, lone values placed by
per-column arithmetic NII+gains+ROC==total, family reports
disambiguated by current-NAV match). Run over the 38 core funds
(cached per fund in roc_cache/):
- HMEZX: 18.3% of 5y distributions were ROC ($0.62 and $0.37 per
share in 2 of 5 fiscal years; $1.01/yr distributions otherwise
from NII) - reinforces the IRA placement.
- 17 funds verified ZERO ROC: AFLIX, ANGLX, ATESX, BTMIX, EAGMX,
EGRIX, EGRSX, ETSIX, FHCOX, FHMIX, LCORX, LCRIX, PMAIX, PMFKX,
SVARX, WMNUX.
- 14 unverified (non-standard report layouts: Vanguard MERVX,
JPMorgan JLPSX, AQR QSPNX, PGIM SCFZX, Columbia COSIX, ...):
parser is a prototype; per-family layouts not all covered.
- PMORX/QCMMRX: ticker not resolvable via browse-edgar.
Separate proof case found earlier while checking the NAV-decline
heuristic: PGSIX (Putnam Mortgage Securities, a drawdown-screen
candidate) - per-share table shows a "Tax return of capital" line
($0.35/sh in FY2021: NII $0.14 + ROC $0.35 = $0.49 total) and the
NAV eroded $11.87 -> $7.88 (-34%) over the 5 shown fiscal years
while paying out every year. Classic constant-distribution principal
erosion.
**Placement consequence (CORRECTED after user pushback - the first
draft of this section was WRONG):** ROC IS a taxable-account
feature, exactly like NAV appreciation. Mechanics: the ROC payment
is tax-free now (reduces your basis); at sale it reappears inside
YOUR capital gain - LTCG if you held >1y, at the LTCG rate. In a
traditional IRA the same dollars come out as ORDINARY income at
withdrawal. The two are not "the same deferral": taxable defers to
the LOWER rate, the traditional IRA defers to the HIGHER one. Under
the user's premise (LTCG rate < future ordinary rate), a fund whose
return defers to the investor (appreciation or ROC) belongs in the
taxable account. Numerically: $1,000 return - taxable: 15% LTCG =
$150; traditional IRA: 32% ordinary = $320. (Contrast: ordinary
income - interest, ordinary divs, STCG - is taxed at the ordinary
rate in BOTH accounts, so there only the IRA's deferral/time-value
wins.)
taxplan.py now computes, per fund, the deferred-to-investor share of
the 5y return = max(appreciation share, (NAV change + ROC)/total
return, using the parsed per-share table), and:
- >= 50% deferred -> "TAXABLE (defers to LTCG)" (renamed from
"TAXABLE (accrues)");
- 10-50% of distributions were ROC -> note (counterweight, no
location flip).
Merger-arb cap relaxed 0.35 -> 0.50: HMEZX's per-share table
(52% NII / 30% realized gains / 18% ROC over 5y) refutes the
"mostly STCG" assumption - HMEZX/MERVX are now MIXED (check 1099),
not clean IRA.
IMPORTANT - keep the tax question separate from the QUALITY
question: a fund paying out a lot of ROC may be returning PRINCIPAL
(payout > earnings; PGSIX's NAV -34% over 5y). That is a
sustainability/real-return red flag to weigh in the selection, but
it does not change the tax-optimal account. You can prefer a fund's
ROC/appreciation profile for the taxable account while still being
skeptical of its return durability.
### Price-appreciation vs. payout split (fundlab/taxsplit.py, 2026-08-27)
Follow-up to the tax-location plan: the user pointed out that fund
NAV appreciation is ALSO a capital gain (LTCG on a >1y sale) - the
taxplan score only measured DISTRIBUTION character. The fund price
files carry both series (Close = raw NAV with distributions paid
out; Adj Close = total return reinvested), so the split is
computable directly:
price appreciation = f(Close) -> investor's own gain on sale
payout component = f(Adj)-f(Close) -> taxed every year
FINDINGS (5y windows):
- ACCUMULATORS (>=50% of return is appreciation -> upgraded to
"TAXABLE (accrues)" in taxplan): MBXIX 76% (0.0% payout 12m),
ATESX 66%, LAMHX 62%, CVSIX 61%, and candidate PBAIX 60%
(0.0% payout 12m). For these the taxable account's LTCG-on-sale
benefit is real and large - the annual drag is tiny.
- PAY-OUT funds (return comes almost entirely as distributions):
HMEZX (99% paid out - the STCG merger-arb case), MERVX, COSIX,
PMORX, SVARX, SCFZX, DMSZX, all munis, EM/HY credit. IRA stands.
- DATA ARTIFACTS caught: JLPSX & QSPNX show one-time NAV gap events
~2022 (special distribution or share-class reorg) - the 5y payout
average (13%/yr) is misleading; the 12m payout column (0-3%)
reflects current behavior. QCMMRX (MMF) price data is a
total-return index, not NAV - its "100% appreciation" is
meaningless. Hence both the 5y and the 12m payout are shown.
CAPITAL-LOSS DISTRIBUTIONS: registered US RICs CANNOT distribute
net realized capital losses to shareholders (code) - losses stay in
the fund as a carryforward. The taxable-account benefit the user was
looking for exists as the fund's HARVEST RESERVE: a fund that
realized losses in down years (2022/2025) offsets FUTURE gain
distributions, so later appreciation converts to distributions
without triggering a gain distribution. Detectable only from the
annual report (N-CSR) / 1099 history: low-or-zero capital-gain
distributions after strong up-years. K-1 vehicles (MLPs, some
private credit) DO pass through losses, but they're ordinary-income
vehicles -> IRA anyway. NEXT: pull N-CSR per-share distribution
tables for the MIXED funds (PMAIX/PMFKX, QSPNX, MBXIX, EGRIX,
DMSZX, PBAIX, FCVSX/FISCX, MMUFX/PRUAX, PABAX, WISEX).
### Tax-location plan (fundlab/taxplan.py, 2026-08-27)
User's premise: current LTCG rate < future ordinary rate, so a fund's
account placement follows the CHARACTER of its distributions:
- qualified dividends + LTCG -> TAXABLE (low LTCG rate is the benefit)
- tax-exempt (munis) -> TAXABLE (wasted in an IRA)
- ordinary interest / STCG / REIT / K-1 -> IRA (deferral is the benefit)
- cash -> FLEXIBLE
No 1099-DIV characterizations on file for 2,400 funds, so this is a
STRUCTURAL estimate. `score` = estimated share of distributions that
are tax-favorable (QD + LTCG + tax-exempt), from three tiers of ground
truth:
1. 16-fund shortlist -> nport_cache buckets (keyword)
2. 22 cross-checked -> xcheck_report buckets (SEC assetCat/issuerCat)
3. 250 candidates -> factor sleeve loadings (return proxy)
Fallback: if the keyword parser left >50% of a book unclassified
("Other"), use the return sleeves. Manual override for the Leuthold
wrappers (no return history).
Location bands: score >= 0.60 TAXABLE, <= 0.35 IRA, else MIXED (check
the 1099). Name-based overrides: muni name -> TAXABLE (munis), money
market -> FLEXIBLE, and strategy caps (merger-arb/event-driven capped
at 0.35 because gains are mostly SHORT-TERM; market-neutral 0.35;
hedge 0.50; style-premia 0.50).
KEY FINDINGS:
- 16 shortlist: TAXABLE = ATESX, JLPSX, LAMHX, LCORX, LCRIX (all
equity). IRA = ATRFX, COSIX, CVSIX, PMORX, SVARX, EAGMX/EGRSX
(macro/market-neutral/income). MIXED (check 1099) = MBXIX (hedge),
QSPNX (AQR factor), PMAIX/PMFKX (multi-asset income, same fund two
classes).
- 22 cross-checked: the four MUNIS (BTMIX, FHMIX, HICOX, USMSX) ->
TAXABLE, everything else IRA except the macro FOFs (EGRIX MIXED,
ETSIX IRA) and DMSZX (MIXED, 38% equity + 36% CLO).
- MERGER-ARB TRAP: HMEZX + MERVX hold ~75% equity (looks tax-
efficient) but their distributions are mostly SHORT-TERM gains
(deals close <1 yr) -> IRA, not taxable. This is the one place the
equity-looking book is misleading.
- 250 candidates: 109 munis (TAXABLE), 127 IRA (bonds/credit/HY/loans),
6 equity TAXABLE (PHSTX, ANNPX, FKUTX, ALGRX, EBSAX, MCOAX), 7
MIXED, 1 FLEXIBLE. The candidate pool is credit-heavy, so most are
IRA.
App: Fund Lab -> "Tax location" expander (shortlist + cross-checked
+ 250-candidate tables, location filter). Output:
fundlab/taxplan_results.json. The last 1099-DIV is the final arbiter
for any MIXED fund.
### Drawdown-resilience screen (fundlab/drawdown.py, 2026-08-27)
Scenarios DETECTED from IVV (S&P 500) - one worst peak->trough per
calendar year since 2022, min depth 8% (2024's Aug-5 dip and 2023's
rate shock are just under 10%, so a 10% floor would silently drop
them):
- 2022 bear mkt 2022-01-03 -> 2022-10-12 -24.5%
- 2023 rate shock 2023-07-31 -> 2023-10-27 -9.9%
- 2024 vol spike 2024-07-16 -> 2024-08-05 -8.4%
- 2025 tariff crash 2025-02-19 -> 2025-04-08 -18.8%
- 2026 Q1 drawdown 2026-01-28 -> 2026-03-30 -8.9%
Fund return = its own NAV, first print after the peak to the last
print on/before the trough (per-fund dates, no reindexing). 2,384
funds screened; the 250 CANDIDATEs ranked by # scenarios positive.
FINDINGS:
- Positive in ALL 5: only 7 funds, and ALL are ultra-short/cash
(BILS, QCMMRX, PULS, FHCOX, FHMIX, SAFEX, COIAX). Being positive
through every equity drawdown is mostly a DURATION property, not
alpha - the honest read of the 5/5 tier.
- The interesting tier is 4/5 WITH real 5y alpha:
- HMEZX merger arb +1.5% (2022) +3.1% (2023) +0.1% (2024)
-0.4% (2025) +0.4% (2026), t5 +7.1, corr +0.14 - the standout:
genuinely positive in the two biggest equity crashes.
- MERVX merger arb +0.2/+2.6/0.0/+0.5/+0.4, t5 +2.7, corr +0.19.
- CBHCX market-neutral -5.4 (2022) but +3.1 (2023) +4.5 (2026),
t5 +2.4 - a true equity hedge.
- SCFZX securitized credit -2.6 (2022) then ~flat/small, t5 +8.4,
corr +0.16.
- ENIAX SIIT opportunistic t5 +10.1 (highest alpha in the set),
only small 2025 dip.
- WMNUX -2.6 (2022) then ~flat, t5 +6.9.
- RCTIX -5.6 (2022, its one weak spot) then positive x4, t5 +5.6.
- EBSAX Campbell Systematic Macro: +35.9% in the 2022 bear market,
+5.0% in 2026 Q1, but -4.1 (2024) -2.7 (2025) - a 2022/2026 macro
winner, 3/5.
App: Fund Lab -> "Drawdown resilience" expander (scenario table +
candidate table sorted by # positive). Output:
fundlab/drawdown_results.json.
### N-PORT cross-check (fundlab/xcheck.py, 2026-08-27)
21 of 22 top candidates resolved to their ACTUAL holdings (qcmmrx =
money-market account, no holdings to parse).
Pipeline hard-won facts:
- The fund's NPORT is usually filed under the fund's OWN registrant
(browse-edgar ticker->CIK), not the 497-cover family/trust CIK
(EV: trust 1552324 vs fund 745463). covers.json of the own CIK gives
the exact series name -> the ONLY reliable disambiguator between
sibling funds ("...Absolute Return Fund" vs "...Advantage Fund" share
6 of 7 words; token-overlap alone can't tell them apart).
- Big trusts file dozens of NPORT-Ps per quarter (one per fund); a
flat newest-30 window misses the fund's own filing. Take all filings
on the 4 most recent distinct dates.
- The submissions API points at the XSL-RENDERED view
(xslFormNPORT-P_X01/primary_doc.xml, a 5-20MB HTML page); the raw
schema data (seriesName/invstOrSec/netAssets) sits at
accession-root primary_doc.xml (5KB-1.5MB). Strip the xsl prefix.
- The raw file is malformed XHTML (CSS in <style>) - strict ET fails;
regex field extraction on the fixed schema works.
- nport._SECTION needed an "INVESTMENT PORTFOLIO (unaudited)" variant
(NPORT-EX Sch-F files); find_section got a frac token-tolerance
param (Yahoo names drift from filing names).
- EDGAR FTS lags ~1yr on recent NPORTs - don't use it for discovery.
- assetCat codes (ABS-O, ABS-CBDO, DBT, DIR, LON, STIV, RA, DE...) mix
asset types within a code - bucket by position NAME keywords, show
the raw code per row.
VERDICTS (screen t5 = 5y alpha t, full-sleeve R2):
Genuine idiosyncratic alpha (holdings confirm the returns story):
- hmezx t5+7.1: MERGER ARB - 73% equity in deal targets (Hologic,
Clearwater, Sealed Air, OneStream, Air Lease, CSG, EA, Semrush,
Masimo) + 22% escrow. Textbook.
- mervx t5+2.7: MERGER ARB - 83% equity targets + GS escrow.
- egrix t5+4.9: MACRO WRAPPER - 100% in "Global Macro Absolute Return
Advantage Portfolio" (managed acct; underlying NOT disclosed in
NPORT). Structure confirms pure macro; alpha is the SMA's.
- etsix t5+4.1: FOF of EV internal accounts - 76% "Global
Opportunities Portfolio" (multi-strat), 13% macro, +HI/EM.
Opaque but genuinely multi-strat.
- wmnux t5+6.9: ALTERNATIVE CREDIT - 67 discounted/zero-coupon
corporate bonds (Centrus 0%, Datadog 0%, Ormat 2.5%, N. Oil 3.6%) +
61 equity SWAPS (BNP counterparty: Tetra Tech, Akamai, AeroVironment,
Synaptics, Etsy...) = synthetic equity overlay. The "equity names" in
the book are bond issuers / swap underlyings, not stock holdings.
Alpha = credit selection + synthetic equity, not any sleeve.
- scfzx t5+8.4: SECURITIZED CREDIT - 672 pos: CLOs (Aurium, TikeHau,
Palmer Sq, Harot) + CMBS + ABS. Missing-factor sleeve.
- coiax t5+7.0: PRIVATE CREDIT / bank loans - 32% in 3 unlisted loan
blocks (RA) + bank ABS. Missing factor.
- rctix t5+5.6: DISTRESSED/turnaround credit - DISH DBS, Puerto Rico
GDB Debt Recovery, PR Commonwealth, Deutsche Bank, Cablevision,
Avant credit-card ABS. Genuinely idio credit.
Missing-factor (real assets absent from the 35-sleeve set; alpha =
exposure, not skill):
- hicox t5+3.0 (Colorado munis 98%), fhmix t5+3.4 (muni microshort),
usmsx t5+2.9 (ultrashort muni, 1092 pos), btmix t5+2.8 (short muni,
1832 pos), aguax t5+3.7 (EM developing-world debt: Ghana, Argentina,
Kenya, Angola + 46% EM equity), femdx t5+3.0 (EM sovereign: Brazil,
Ethiopia, Turkiye, Mexico, Venezuela), lpxax t5+2.6 (now mostly
bank/financial corporate debt - Truist, Citi, UBS, RBC, Enbridge,
HSBC, TD, Goldman - only 17 prefs remain; rotated out of prefs),
anglx t5+2.4 (agency MBS 63% + CMBS + senior loans),
aflix t5+3.9 (levered loans: Energy Transfer, Caesars, Nissan,
Aramark - semi-transparent), dmszx t5+3.5 (FOF + direct CLOs -
semi-transparent).
Short-duration CARRY artifacts (alpha ~= carry; a short-duration sleeve
would explain them - lower priority as complements):
- fhcox t5+6.3 (short bank notes: StanChart, MUFG, BNP, SG),
dultx t5+2.9 (ultrashort bank debt: Santander, Telstra, HSBC),
safex t5+2.7 (88% T-bills/Treas + MMF - pure cash carry).
CONCLUSION: the screen's top candidates are REAL - the highest t5 names
(hmezx, mervx, egrix, wmnux, scfzx, coiax, rctix) hold exactly what
their returns imply, and none is a data artifact. The "missing-factor"
funds (munis, EM debt, preferreds, agency MBS, securitized credit,
private credit) are genuine exposures the model lacks sleeves for.
The 3 carry funds are genuine but their excess is short-duration
carry, not alpha. Output: fundlab/xcheck_report.json +
fundlab/xcheck_run.log; app shows it under Fund Lab.
### Factor screen + clusters (iteration 2, 2026-08-27)
Design (per user: overinclusive, NO portfolio-corr screening - high
corr funds are REPLACEMENTS; group funds by return driver):
- fundlab/factors.py: full OLS of every fund's daily total returns on
a 35-driver basis (was 21): +lqd (IG corp), +hyg, +pff (prefs),
+emb (EM debt), +tip, +shy, +vtv (value), +8 sectors (xl*), +dbmf
(CTA), +dbb (commodities). Dropped from the regression basis:
vea/vug (>0.95 dupes of efa/qqq), **finux (TERMINATED 2017 - it
silently zeroed the complete-case mask for every fund overlapping its
lifetime; the v1 forward selector never hit this because sleeves
were optional, full OLS needs a common sample)**, bil (its shv/bil
pair let OLS express tiny net cash exposure as huge offsetting
loadings shv+64/bil-54 - noise fits with R2~0.01, |t|<2).
vblix residualized on [ivv, tlt] (tlt~vblix 0.963) -> pure vol axis.
Small ridge (0.02, slopes only) stabilizes loadings; winsorize at
+/-4 for clustering. Output: factor_results.json (per-fund
full+5y loadings, R2, alpha, t + carried screen metadata).
- fundlab/cluster.py: (a) hierarchical avg-linkage tree (saved,
4-8s) - but **fixed-k tree cuts are degenerate here**: most funds
are multi-sleeve blends, so the tree lumps ~2250 of them into one
blob and only peels pure single-sleeve clusters. (b) **k-means
(k-means++ init, numpy, deterministic) is the useful grouping** -
the app re-runs it live for any k (2384x35 is milliseconds).
Labels = top |median loading| per cluster (>=0.30 gate, else
"no dominant driver (balanced/idio)").
- App Fund Lab: "Return-driver clusters" expander - k slider
(10-60, default 30), summary table (label, n, t5>=2 count, top
fund by |t5|), selectbox -> member table sorted by alpha t desc
(corr port as info column only).
Findings (k=30): the universe decomposes into readable driver groups:
US large blend (232), short T 1-3y (194), cash/ultra-short (185),
US small (128+70+47), US value (115), intl developed (109), growth-
tilted blend (79+27, loadings ivv+1.07/vtv-0.68), healthcare (15),
plus a 686-fund "no dominant driver (balanced/idio)" blob - the
largest single group, where the real candidate hunting happens (84
funds with t5>=2). The screen's 250 candidates now have a driver
address: e.g. hmezx (merger arb) and egrix (macro) sit in the
balanced/idio blob with no sleeve to blame; rctix/dflex sit in
short-duration; aguax/femdx in the EM group.
Caveats: loadings are FULL-history (5y fallback) and ridge-shrunk -
they describe the driver, not a tradable weight; the balanced/idio
blob is big by construction (most funds ARE mixes); Japan/China/India
single-country funds have no country sleeve and read as weak/idio -
a known coverage gap.
Infra lesson: /tmp gets cleaned mid-run - keep logs + caches in the
project (fundlab/overnight.log, fundlab/universe_cache/), and use
`setsid nohup ... < /dev/null &` so a closed shell can't kill the job.
### Watchdog incident (2026-08-26 ~22:00)
- First watchdog used `pgrep -f "fundlab.overnight"` for liveness.
**Failed test**: a monitoring one-liner whose command line merely
CONTAINED the string made pgrep match the monitor's own bash -c
wrapper -> watchdog reported "alive" while the real run was dead.
Lesson: `pgrep -f` on a distinctive-but-quotable string is fragile;
any shell quoting the string is a false positive. Use a PID file the
process writes itself (`fundlab/overnight.pid`), pattern only as
fallback for pre-pidfile launches.
- Fixed watchdog restarted; it detected the dead run on its first
check, relaunched, and the run resumed at "1823 missing" (137
symbols already cached - exactly the expected resume).
- Also hardened stage_download: a hung goget batch (TimeoutExpired)
no longer kills the whole run - caught per batch.
- 2026-08-26 16:01 === stage verify ===
- 2026-08-26 16:01 verify: 10372 tickers, 9149 to hit Yahoo
- 2026-08-26 16:01 verify: 500/9149
- 2026-08-26 16:02 verify: 1000/9149
- 2026-08-26 16:03 verify: 1500/9149
- 2026-08-26 16:03 verify: 2000/9149
- 2026-08-26 16:04 verify: 2500/9149
- 2026-08-26 16:04 verify: 3000/9149
- 2026-08-26 16:05 verify: 3500/9149
- 2026-08-26 16:05 verify: 4000/9149
- 2026-08-26 16:06 verify: 4500/9149
- 2026-08-26 16:06 verify: 5000/9149
- 2026-08-26 16:07 verify: 5500/9149
- 2026-08-26 16:07 verify: 6000/9149
- 2026-08-26 16:08 verify: 6500/9149
- 2026-08-26 16:09 verify: 7000/9149
- 2026-08-26 16:09 verify: 7500/9149
- 2026-08-26 16:10 verify: 8000/9149
- 2026-08-26 16:10 verify: 8500/9149
- 2026-08-26 16:11 verify: 9000/9149
- 2026-08-26 16:11 verify done: 10260/10372 with data
- 2026-08-26 16:11 === overnight run finished in 0.2h ===
- 2026-08-26 21:31 === stage select ===
- 2026-08-26 21:31 select: 2384 funds (407 local, 1977 external)
- 2026-08-26 21:31 === overnight run finished in 0.0h ===
- 2026-08-26 21:31 === stage download ===
- 2026-08-26 21:31 download: 1960 missing symbols
- 2026-08-26 21:54:22 watchdog: watchdog started (interval 300s)
- 2026-08-26 21:54:22 watchdog: overnight alive, still_missing=2384
- 2026-08-26 21:59:22 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:04:22 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:08:01 watchdog: watchdog started (interval 300s)
- 2026-08-26 22:08:01 watchdog: process DEAD with 2384 funds unscreened - relaunching
- 2026-08-26 22:08 === stage download ===
- 2026-08-26 22:08 download: 1823 missing symbols
- 2026-08-26 22:09:01 watchdog: relaunch confirmed alive
- 2026-08-26 22:14:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:19:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:24:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:29:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:34:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:39:01 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:41 download: batch 1 -> 200/200
- 2026-08-26 22:44:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:49:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:54:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 22:59:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:04:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:09:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:14:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:14 download: batch 2 -> 200/200
- 2026-08-26 23:19:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:24:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:29:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:34:02 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:39:03 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:44:03 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:47 download: batch 3 -> 200/200
- 2026-08-26 23:49:03 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:54:03 watchdog: overnight alive, still_missing=2384
- 2026-08-26 23:59:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:04:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:09:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:14:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:19:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:20 download: batch 4 -> 200/200
- 2026-08-27 00:24:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:29:03 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:34:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:39:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:44:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:49:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:54 download: batch 5 -> 200/200
- 2026-08-27 00:54:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 00:59:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:04:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:09:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:14:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:19:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:24:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:27 download: batch 6 -> 200/200
- 2026-08-27 01:29:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:34:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:39:04 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:44:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:49:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:54:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 01:59:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:00 download: batch 7 -> 200/200
- 2026-08-27 02:04:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:09:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:14:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:19:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:24:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:29:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:33 download: batch 8 -> 200/200
- 2026-08-27 02:34:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:39:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:44:05 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:49:06 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:54:06 watchdog: overnight alive, still_missing=2384
- 2026-08-27 02:59:06 watchdog: overnight alive, still_missing=2384
- 2026-08-27 03:04:06 watchdog: overnight alive, still_missing=2384
- 2026-08-27 03:06 download: batch 9 -> 200/200
- 2026-08-27 03:09:06 watchdog: overnight alive, still_missing=2384
- 2026-08-27 03:10 download: batch 10 -> 23/23
- 2026-08-27 03:10 download done: 0 still missing (no Yahoo data?)
- 2026-08-27 03:10 === stage screen ===
- 2026-08-27 03:10 screen: 2384 funds, 2384 to do
- 2026-08-27 03:11 screen: 100/2384
- 2026-08-27 03:11 screen: 200/2384
- 2026-08-27 03:12 screen: 300/2384
- 2026-08-27 03:12 screen: 400/2384
- 2026-08-27 03:13 screen: 500/2384
- 2026-08-27 03:13 screen: 600/2384
- 2026-08-27 03:14:06 watchdog: overnight alive, still_missing=1784
- 2026-08-27 03:14 screen: 700/2384
- 2026-08-27 03:14 screen: 800/2384
- 2026-08-27 03:15 screen: 900/2384
- 2026-08-27 03:15 screen: 1000/2384
- 2026-08-27 03:16 screen: 1100/2384
- 2026-08-27 03:16 screen: 1200/2384
- 2026-08-27 03:17 screen: 1300/2384
- 2026-08-27 03:17 screen: 1400/2384
- 2026-08-27 03:18 screen: 1500/2384
- 2026-08-27 03:18 screen: 1600/2384
- 2026-08-27 03:19:06 watchdog: overnight alive, still_missing=784
- 2026-08-27 03:19 screen: 1700/2384
- 2026-08-27 03:19 screen: 1800/2384
- 2026-08-27 03:20 screen: 1900/2384
- 2026-08-27 03:20 screen: 2000/2384
- 2026-08-27 03:21 screen: 2100/2384
- 2026-08-27 03:22 screen: 2200/2384
- 2026-08-27 03:22 screen: 2300/2384
- 2026-08-27 03:23 screen done: 2384 funds
- 2026-08-27 03:23 === stage finalize ===
- 2026-08-27 03:23 finalize: 2384 funds screened
- 2026-08-27 03:23 1336 sleeve mix
- 2026-08-27 03:23 707 weak/unstable alpha
- 2026-08-27 03:23 250 CANDIDATE
- 2026-08-27 03:23 42 alpha, but correlated with current portfolio
- 2026-08-27 03:23 32 alpha in 5y window, but not persistent
- 2026-08-27 03:23 17 no 5y window
- 2026-08-27 03:23 candidates v1 name-filter would have missed: ['abhyx', 'acfix', 'acitx', 'acthx', 'aflix', 'aftex', 'agovx', 'aguax', 'aidax', 'alcax', 'algrx', 'alnyx', 'althx', 'amaax', 'amhix', 'annpx', 'asdvx', 'atfax', 'avaax', 'bchyx', 'bcitx', 'bils', 'bmbix', 'bsnix', 'btmix', 'cfmox', 'cfnlx', 'cfrax', 'coiax', 'coltx', 'cpxax', 'csdax', 'cshix', 'cxhyx', 'deffx', 'delix', 'dflex', 'ditex', 'dmusx', 'dnmzx', 'dpiax', 'drcax', 'drnjx', 'dsibx', 'dultx', 'dvmhx', 'dvtax', 'eablx', 'eacax', 'eanax', 'eascx', 'ebsax', 'eniax', 'etazx', 'etgax', 'ethyx', 'etmdx', 'etmnx', 'etmox', 'etncx', 'etnjx', 'etorx', 'etpax', 'etsix', 'etvax', 'evfax', 'exmax', 'exnax', 'fafrx', 'faztx', 'fcamx', 'fcfix', 'fcotx', 'fcstx', 'fcvsx', 'fdmmx', 'femdx', 'ffrsx', 'fhaix', 'fhcox', 'fhmix', 'ficnx', 'fiscx', 'fkcix', 'fklax', 'fknix', 'fkstx', 'fktfx', 'fktix', 'fkutx', 'fkytx', 'flrn', 'fltdx', 'fltmx', 'fltr', 'fmdtx', 'fmoax', 'fmotx', 'fnmtx', 'fnytx', 'fpntx', 'fralx', 'frcox', 'frmox', 'frnjx', 'frorx', 'frpax', 'frstx', 'fsazx', 'ftazx', 'ftfmx', 'ftgax', 'ftlax', 'ftnyx', 'ftorx', 'fwiax', 'fxncx', 'gbonx', 'giyix', 'gtfbx', 'hicox', 'hmezx', 'hubax', 'icifx', 'ihiax', 'intax', 'kctax', 'kmdnx', 'kntax', 'lansx', 'lmsfx', 'lpxax', 'lsbdx', 'lsyux', 'ltebx', 'ltnyx', 'lubax', 'masax', 'mcoax', 'mdxbx', 'mervx', 'mfalx', 'mfarx', 'mfiax', 'mfpax', 'mfscx', 'mfsmx', 'mfssx', 'mfwvx', 'mgfox', 'missx', 'mmgax', 'mmhyx', 'mmufx', 'msncx', 'msnyx', 'msvax', 'mtbax', 'mtlfx', 'nefzx', 'nhmax', 'nmbax', 'nmdax', 'nmuix', 'nnjax', 'nnyax', 'nsmmx', 'nthex', 'olcax', 'omifx', 'onjcx', 'opcax', 'opnyx', 'orncx', 'pabax', 'pamfx', 'pbaix', 'pbcax', 'pgsix', 'phizx', 'phstx', 'ppnax', 'prfhx', 'prfrx', 'prfsx', 'prinx', 'prmdx', 'prnyx', 'prsmx', 'prtax', 'pruax', 'prvax', 'prvbx', 'prxcx', 'psnyx', 'ptebx', 'puls', 'pysix', 'qcmmrx', 'rctix', 'rlvsx', 'rmuyx', 'rpidx', 'rpifx', 'safex', 'scfzx', 'sdsax', 'sefix', 'seimx', 'shtix', 'sitex', 'smlax', 'sngvx', 'szmax', 'taftx', 'tisix', 'trbux', 'trhyx', 'tsdjx', 'twtix', 'ulst', 'usiax', 'usmsx', 'vcaix', 'vcitx', 'vctfx', 'vidax', 'vklmx', 'vkmmx', 'vmatx', 'vmltx', 'vnjtx', 'vnytx', 'vohix', 'vpaix', 'vtipx', 'vubfx', 'vusb', 'vwahx', 'vweax', 'vwitx', 'vwltx', 'wisex']
- 2026-08-27 03:23 === overnight run finished in 5.2h ===
- 2026-08-27 03:24:06 watchdog: process gone but screen COMPLETE (0 missing) - watchdog exiting
- 2026-08-27 03:24:06 watchdog: watchdog exit
### Tax strategy landscape (2026-08-27)
Full taxonomy of security types / structures that offset capital gains
or ordinary income, in service of the tax-placement work:
1. **Offset cap gains (taxable):** loss harvesting (1:1 + $3k/yr +
carryfwd; tricks: write options after harvest = no wash sale; munis
are 1091-exempt so harvest+rebuy same day; loss-harvester ETFs);
fund-level harvest reserve (already modeled); §1256 CTA MTM (60/40
character, losses included); §1244 stock (ordinary loss
$50k/$100k MFJ).
2. **Offset ordinary income (K-1/depreciation world):** MLP (ROC ->
investor LTCG; loss pass-through is real but basis/at-risk/passive
limited; OBBBA 199A 20% on MLP income 2025-2029; IRA UBTI check,
many are 531(e)(2)-free); real estate depreciation (100% bonus now
permanent post-OBBBA; $25k active-participant loss phasing out
$100-150k MAGI; unlimited w/ REP 500-hr status; working-farm 1031;
199A on real property SALE gains 2025-2029); 45L/59A direct-pay LLCs
(30% credit + basis depreciation -> current deduction ~1.5-2x
investment, 30-yr/15-yr holds); private credit K-1s; 199A generally.
3. **Inherently favorable income:** munis (NIIT-exempt, no wash sale,
muni-equivalents for out-of-state); QREIT dividends (20% LTCG rate);
Opportunity Zone funds (deferral + 100% excl. on post-2018 apprc,
2026 last year for current designations; taxable-only); QSBS 1202
(100% excl., $10M/issuer, 5yr); §1256 gains.
4. **Charitable/structural:** donate appreciated LTCG (skip gain + FMV
deduction; DAF timing); CRT (sell concentrated pos. untaxed); QCD
(70.5+, IRA->charity excluded from income, counts to RMD - the one
way to AVOID a trad IRA's ordinary character); 1031 (real property
only); gifting LTCG stock (carryover basis, lower-bracket donee,
~$19k/yr exclusion).
5. **Deferral outside IRA:** annuities (only other deferral bucket;
no RMD; 10% penalty pre-59.5).
Fit for this portfolio (mutual-fund investor, taxable + trad IRA):
(1) harvest discipline incl. before conversion/RMD years, (2) munis
(109 in screen), (3) small CTA sleeve (taxable), (4) K-1/depreciation
overlay only as a separate private-markets decision, (5) charitable
when relevant. All of 3-4 above are taxable-only by nature.
Post-OBBBA (Pub. L. 119-21) items I could not re-verify live (SearXNG
index down): 199A specified-investment-asset scope/sunset, SALT cap,
QCD dollar limit. Verify with tax pro before relying.
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