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f/fundlab/search_harvest.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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{
"bxsy": {
"sym": "bxsy",
"name": "BEXIL INVESTMENT TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.06927005667397715,
"alpha_t_5y": 1.2149541754228392,
"alpha_t_full": 1.8229873570027744,
"r2_5y": 0.4618348730312034,
"r2_full": -2.220446049250313e-16,
"corr_portfolio": 0.33892135334668516,
"corr_benchmark": 0.45602489423127307,
"alpha_pos_frac": 0.515695067264574,
"fund_max_dd": -0.7433132163156555,
"first": "1998-06-25",
"verdict": "weak/unstable alpha"
},
"wbqnl": {
"sym": "wbqnl",
"name": "Woodbridge Liquidation Trust",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.9961091932730224,
"alpha_t_5y": 1.1101705514920563,
"alpha_t_full": 1.0226428696167786,
"r2_5y": 3.3306690738754696e-16,
"r2_full": 9.992007221626409e-16,
"corr_portfolio": -0.0035199119784513296,
"corr_benchmark": -0.03393673842772135,
"alpha_pos_frac": NaN,
"fund_max_dd": -0.9399999571200082,
"first": "2020-05-11",
"verdict": "weak/unstable alpha"
},
"chkr": {
"sym": "chkr",
"name": "CHESAPEAKE GRANITE WASH TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.5212096221629036,
"alpha_t_5y": 1.9305694961835806,
"alpha_t_full": 1.9305694961835806,
"r2_5y": 2.220446049250313e-16,
"r2_full": 2.220446049250313e-16,
"corr_portfolio": 0.07574482096405284,
"corr_benchmark": 0.05001005398172679,
"alpha_pos_frac": NaN,
"fund_max_dd": -0.6324567415625832,
"first": "2021-01-11",
"verdict": "weak/unstable alpha"
},
"gultu": {
"sym": "gultu",
"name": "Gulf Coast Ultra Deep Royalty Trust",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 1.0634379242764702,
"alpha_t_5y": 1.94477678998177,
"alpha_t_full": 1.382409605533132,
"r2_5y": -4.440892098500626e-16,
"r2_full": 1.4432899320127035e-15,
"corr_portfolio": 0.04066632940436689,
"corr_benchmark": 0.040088555722086666,
"alpha_pos_frac": NaN,
"fund_max_dd": -0.997829688469555,
"first": "2013-06-05",
"verdict": "weak/unstable alpha"
},
"mmtrs": {
"sym": "mmtrs",
"name": "MILLS MUSIC TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.07762726973809353,
"alpha_t_5y": 0.42528679541423187,
"alpha_t_full": 1.6768081213200938,
"r2_5y": 6.661338147750939e-16,
"r2_full": 0.031157054651066884,
"corr_portfolio": -0.050398683241705884,
"corr_benchmark": -0.044939596922708436,
"alpha_pos_frac": 0.5163043478260869,
"fund_max_dd": -0.605949540821771,
"first": "2010-10-18",
"verdict": "weak/unstable alpha"
},
"hgtxu": {
"sym": "hgtxu",
"name": "HUGOTON ROYALTY TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.7307734743494634,
"alpha_t_5y": 1.2232580470623284,
"alpha_t_full": 1.170973341611815,
"r2_5y": 0.02610774179213693,
"r2_full": 0.003643640247751545,
"corr_portfolio": 0.034422175407928385,
"corr_benchmark": 0.009653641140543325,
"alpha_pos_frac": 0.41379310344827586,
"fund_max_dd": -0.997779953094849,
"first": "1999-04-12",
"verdict": "weak/unstable alpha"
},
"ltcn": {
"sym": "ltcn",
"name": "Grayscale Litecoin Trust (LTC)",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": -0.4170605500709843,
"alpha_t_5y": -0.910466285049782,
"alpha_t_full": 0.44872825005523104,
"r2_5y": 0.09926912946027,
"r2_full": 0.06380014823207847,
"corr_portfolio": 0.006207970423322662,
"corr_benchmark": 0.1679271530301851,
"alpha_pos_frac": 0.3333333333333333,
"fund_max_dd": -0.9958,
"first": "2020-08-19",
"verdict": "weak/unstable alpha"
},
"etcg": {
"sym": "etcg",
"name": "Grayscale Ethereum Classic Trust (ETC)",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.10920362929835496,
"alpha_t_5y": 0.26335909961725734,
"alpha_t_full": 0.2598552018670923,
"r2_5y": 0.1222132658141114,
"r2_full": 0.09099648179825504,
"corr_portfolio": 0.08516993583383066,
"corr_benchmark": 0.1947569069467775,
"alpha_pos_frac": 0.40425531914893614,
"fund_max_dd": -0.9658798207673674,
"first": "2018-05-11",
"verdict": "weak/unstable alpha"
},
"bchg": {
"sym": "bchg",
"name": "Grayscale Bitcoin Cash Trust (BCH)",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": -1.0370219629357933,
"alpha_t_5y": -1.8073793086518852,
"alpha_t_full": 0.3919639833205906,
"r2_5y": 0.09353824409219647,
"r2_full": 0.07438637030766404,
"corr_portfolio": 0.012668117748772984,
"corr_benchmark": 0.14827766691441965,
"alpha_pos_frac": 0.3484848484848485,
"fund_max_dd": -0.9936056837230139,
"first": "2020-08-19",
"verdict": "weak/unstable alpha"
},
"vnorp": {
"sym": "vnorp",
"name": "VORNADO REALTY TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.6920962869579677,
"alpha_t_5y": 1.2244489160916494,
"alpha_t_full": 1.0787712165659415,
"r2_5y": -4.440892098500626e-16,
"r2_full": 6.661338147750939e-16,
"corr_portfolio": 0.02669554078119929,
"corr_benchmark": 0.0365901046059585,
"alpha_pos_frac": NaN,
"fund_max_dd": -0.7554747010633259,
"first": "2017-07-11",
"verdict": "weak/unstable alpha"
},
"grtuf": {
"sym": "grtuf",
"name": "GRANITE REAL ESTATE INVESTMENT TRUST",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.01169284649739261,
"alpha_t_5y": 0.09570009539903869,
"alpha_t_full": 0.6503721376518062,
"r2_5y": 0.1997409551483339,
"r2_full": 0.2222961586750618,
"corr_portfolio": 0.1777157657393587,
"corr_benchmark": 0.3142402348163954,
"alpha_pos_frac": 0.5126582278481012,
"fund_max_dd": -0.49333112124169476,
"first": "2013-01-07",
"verdict": "weak/unstable alpha"
},
"hctpf": {
"sym": "hctpf",
"name": "Hutchison Port Holdings Trust/ADR",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.38841147995406544,
"alpha_t_5y": 1.187463388113121,
"alpha_t_full": 0.6569127338633608,
"r2_5y": -2.220446049250313e-16,
"r2_full": 0.0037065997019110064,
"corr_portfolio": 0.05797833071874448,
"corr_benchmark": 0.0313773507142334,
"alpha_pos_frac": 0.37349397590361444,
"fund_max_dd": -0.85155740750894,
"first": "2012-04-19",
"verdict": "weak/unstable alpha"
},
"ismcf": {
"sym": "ismcf",
"name": "iShares S&P GSCI Commodity-Indexed Trust",
"bucket": "harvest",
"in_portfolio": false,
"alpha_ann_5y": 0.13726732445593715,
"alpha_t_5y": 1.2547956518417025,
"alpha_t_full": 0.31953542544447894,
"r2_5y": 0.5752024336058434,
"r2_full": 0.7685431108511669,
"corr_portfolio": 0.2648024508467313,
"corr_benchmark": 0.645255483182384,
"alpha_pos_frac": 0.3333333333333333,
"fund_max_dd": -0.2518381238626939,
"first": "2018-09-14",
"verdict": "weak/unstable alpha"
}
}
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