Greg Pomerantz
db5fc4626d
- fundlab/decompose.py: per-fund OLS forward selection (BIC-gated, |t|>2,
per-model complete cases so differently-vintaged candidates stay
comparable) against curated DISTINCT-AXIS candidate sets; full-history
+ last-5y models; rolling 1y beta drift for static-vs-time-varying
verdicts; per-fund holdings cross-check notes
- results (13 unique funds; pmfkx/lcrix/egrsx are share classes):
* jlpsx ~1.04x S&P 500, R2 0.96 5y (cleanest)
* lamhx S&P + value/mid tilt, R2 0.95, stable
* cosix 5y: HY +0.30 / MBS +0.29 / IG +0.18, R2 0.86
* cvsix market neutral, 5y R2 0.74, +5.5%/yr alpha (t 6.7)
* pmaix multi-asset: HY .62 / EFA .23 / comm .05 / bonds -.15
* mbxix hedge: ivv .39 / ief -.67 / fxe -.28, R2 0.53
* atesx NOT a static mix - rolling beta to its own QQQ/SPY holdings
is 0.13-0.89 (median 0.30): the 'risk managed' overlay is real
* qspnx/svarx/eagmx/atrfx/pmorx: market-neutral or idiosyncratic -
alpha, not sleeves (qspnx +12.8%/yr alpha t 4.0)
* lcorx/lcrix: new classes (Jul 2026), no history yet - holdings only
- atesx holdings: pulled from the adviser's SOI PDF (anchor-soi-5.31.26):
QQQ 65.2% + SPY 29.3% + MMF 0.6%, options overlay 4.9%
- pool: added qqq (Nasdaq 100) - needed to fit tech-concentrated funds
- app Fund Lab tab: per-fund decomposition (verdict, R2 full/5y, alpha,
tracking error, beta drift, component table + bar chart, holdings
cross-check note) and an all-funds summary expander
- tests: ols/forward-select engine tests (50/50 fundlab)
67 lines
2.5 KiB
JSON
67 lines
2.5 KiB
JSON
{
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"mbxix": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001355064/000175272424272710/catalyst-nqs.htm",
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"filed": "2024-11-27"
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},
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"atrfx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001355064/000091047226008781/catalyst_combined-nqs.htm",
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"filed": "2026-06-01"
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},
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"cvsix": {
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"url": "https://www.sec.gov/Archives/edgar/data/0000826732/000141036826034378/NPORT_CVXM_73904120_0126.htm",
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"filed": "2026-03-31"
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},
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"jlpsx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001217286/000207169126012768/JPMUSLCCPF.htm",
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"filed": "2026-05-29"
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},
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"pmaix": {
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"url": "https://www.sec.gov/Archives/edgar/data/0002042316/000094040026007873/AAPI030AMU123125.htm",
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"filed": "2026-02-25"
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},
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"pmorx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001005942/000207169126008603/PMOF.htm",
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"filed": "2026-04-23"
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},
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"qspnx": {
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"url": "https://www.sec.gov/Archives/edgar/data/1444822/000207169126010957/primary-document.htm",
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"filed": "2026-05-22"
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},
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"svarx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001556505/000091047226011625/spectrum_nport.htm",
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"filed": "2026-08-14"
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},
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"cosix": {
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"url": "https://www.sec.gov/Archives/edgar/data/0000773757/000141036826076621/NPORT_652000_94123773_0526.htm",
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"filed": "2026-07-29"
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},
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"eagmx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001493214/000141036825012467/NPORT_FS8A_89608502_0725.htm",
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"filed": "2025-09-26"
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},
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"lcorx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001511699/000089418926004505/core-etf.htm",
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"filed": "2026-02-24"
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},
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"lamhx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0000887194/000141036826041319/NPORT_FDC7_25625056_0226.htm",
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"filed": "2026-04-28"
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},
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"pmfkx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0002042316/000094040026007873/AAPI030AMU123125.htm",
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"filed": "2026-02-25"
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},
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"lcrix": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001511699/000089418926004505/core-etf.htm",
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"filed": "2026-02-24"
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},
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"egrsx": {
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"url": "https://www.sec.gov/Archives/edgar/data/0001493214/000141036825012467/NPORT_FS8A_89608502_0725.htm",
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"filed": "2025-09-26"
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},
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"atesx": {
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"url": "https://anchor-capital.com/wp-content/uploads/2024/10/anchor-soi-5.31.26.pdf",
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"filed": "2026-05-31",
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"note": "Schedule of Investments (unaudited) from the adviser's website; the fund's own recent EDGAR N-PORTs cover only the Income fund. Composition: QQQ 65.2% + SPY 29.3% + MMF 0.6%; 'other assets in excess of liabilities' 4.9% indicates an options overlay."
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}
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} |