Greg Pomerantz
d0ae2ec348
fundlab/drawdown.py detects the severe equity drawdown scenarios from the index (IVV) rather than hard-coding them: one worst peak->trough per calendar year since 2022, min depth 8% (a 10% floor would silently drop the 2023 rate shock at -9.9% and the 2024 Aug-5 dip at -8.4%). Detected: 2022 bear mkt (-24.5%), 2023 rate shock (-9.9%), 2024 vol spike (-8.4%), 2025 tariff crash (-18.8%), 2026 Q1 drawdown (-8.9%). For each of the 2,384 screened funds it computes that fund's own-NAV return over each peak->trough window (first print after the peak to the last print on/before the trough) and ranks the 250 CANDIDATEs by # scenarios positive. Key finding: positive in all 5 scenarios = only 7 funds, all ultra-short/cash (BILS, QCMMRX, PULS, FHCOX, FHMIX, SAFEX, COIAX). Drawdown resilience at the top tier is a duration property, not alpha. The interesting tier is 4/5 WITH real 5y alpha: HMEZX merger arb (+1.5% 2022, +3.1% 2023, t5 +7.1), MERVX, CBHCX market-neutral, SCFZX securitized credit (t5 +8.4), ENIAX (t5 +10.1), WMNUX (t5 +6.9), RCTIX. App: Fund Lab "Drawdown resilience" expander (scenario table + candidate table). Output: fundlab/drawdown_results.json. Tests: test_drawdown() added (4 checks). 88/32 suites green.
42642 lines
1.3 MiB
42642 lines
1.3 MiB
{
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"index": "ivv",
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"since": "2022-01-01",
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"min_dd": 0.08,
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"episodes": [
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{
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"peak": "2022-01-03",
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"trough": "2022-10-12",
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"min_dd": -0.24527601931262455,
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"year": 2022,
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"label": "2022 bear mkt"
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},
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{
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"peak": "2023-07-31",
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"trough": "2023-10-27",
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"min_dd": -0.09939970567872891,
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"year": 2023,
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"label": "2023 rate shock"
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},
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{
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"peak": "2024-07-16",
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"trough": "2024-08-05",
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"min_dd": -0.08412563952430419,
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"year": 2024,
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"label": "2024 vol spike"
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},
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{
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"peak": "2025-02-19",
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"trough": "2025-04-08",
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"min_dd": -0.18754490914242994,
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"year": 2025,
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"label": "2025 tariff crash"
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},
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{
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"peak": "2026-01-28",
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"trough": "2026-03-30",
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"min_dd": -0.08885038076247986,
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"year": 2026,
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"label": "2026 Q1 drawdown"
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}
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],
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"funds": {
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"aaaax": {
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"name": "DWS RREEF Real Assets Fund",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.2934097161520801,
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"corr_port": 0.3663413480361542,
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"rets": {
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"2022 bear mkt": -0.17034215184361956,
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"2023 rate shock": -0.0864196978095535,
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"2024 vol spike": -0.02852360797390774,
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"2025 tariff crash": -0.0814143973953152,
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"2026 Q1 drawdown": 0.008784760623862464
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},
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"n_avail": 5,
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"n_pos": 1,
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"min_ret": -0.17034215184361956,
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"max_ret": 0.008784760623862464,
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"all_pos": false
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},
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"aaaox": {
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"name": "ONE CHOICE BLEND+ IN RETIREMENT PORTFOLIO",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -0.24897136416866972,
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"corr_port": 0.09542294247246016,
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"rets": {
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"2022 bear mkt": -0.17816098486875942,
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"2023 rate shock": -0.055378075461741894,
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"2024 vol spike": -0.017821653660206604,
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"2025 tariff crash": -0.06309155867488148,
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"2026 Q1 drawdown": -0.031894934333958735
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.17816098486875942,
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"max_ret": -0.017821653660206604,
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"all_pos": false
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},
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"aaarx": {
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"name": "STRATEGIC ALLOCATION: AGGRESSIVE FUND",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.3951084353601528,
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"corr_port": 0.3225122268166367,
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"rets": {
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"2022 bear mkt": -0.22819608907087763,
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"2023 rate shock": -0.09433966660101656,
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"2024 vol spike": -0.04727269436629544,
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"2025 tariff crash": -0.13357410936446779,
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"2026 Q1 drawdown": -0.07039106145251384
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.22819608907087763,
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"max_ret": -0.04727269436629544,
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"all_pos": false
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},
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"aaatx": {
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"name": "American Funds 2010 Target Date Retirement Income Fund",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": 1.459611416897648,
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"corr_port": 0.33136805339229963,
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"rets": {
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"2022 bear mkt": -0.14748768377854737,
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"2023 rate shock": -0.05146423566464875,
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"2024 vol spike": -0.009197256882681137,
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"2025 tariff crash": -0.04761902636819071,
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"2026 Q1 drawdown": -0.025682182985553803
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.14748768377854737,
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"max_ret": -0.009197256882681137,
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"all_pos": false
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},
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"aabkx": {
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"name": "ONE CHOICE BLEND+ 2025 PORTFOLIO",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -0.6280889159085827,
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"corr_port": 0.10222345049772473,
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"rets": {
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"2022 bear mkt": -0.18786123757734519,
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"2023 rate shock": -0.061093249131082605,
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"2024 vol spike": -0.021825394675507814,
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"2025 tariff crash": -0.07411065544844497,
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"2026 Q1 drawdown": -0.03607770582793712
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.18786123757734519,
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"max_ret": -0.021825394675507814,
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"all_pos": false
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},
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"aacpx": {
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"name": "ONE CHOICE BLEND+ 2035 PORTFOLIO",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -2.1444541373515267,
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"corr_port": 0.11220858696305178,
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"rets": {
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"2022 bear mkt": -0.21872021373771722,
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"2023 rate shock": -0.08137043982890202,
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"2024 vol spike": -0.03411306414319415,
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"2025 tariff crash": -0.10521327358108434,
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"2026 Q1 drawdown": -0.050774526678141085
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.21872021373771722,
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"max_ret": -0.03411306414319415,
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"all_pos": false
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},
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"aacrx": {
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"name": "STRATEGIC ALLOCATION: CONSERVATIVE FUND",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.4595809867694296,
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"corr_port": 0.30122990940670624,
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"rets": {
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"2022 bear mkt": -0.18351753904495782,
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"2023 rate shock": -0.06382821187074095,
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"2024 vol spike": -0.017857218014627807,
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"2025 tariff crash": -0.07684578662527963,
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"2026 Q1 drawdown": -0.04188491704684205
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.18351753904495782,
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"max_ret": -0.017857218014627807,
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"all_pos": false
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},
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"aacsx": {
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"name": "ONE CHOICE BLEND+ 2040 PORTFOLIO",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.400534419447688,
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"corr_port": 0.11965500928327584,
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"rets": {
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"2022 bear mkt": -0.22602092846168542,
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"2023 rate shock": -0.08985195344273711,
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"2024 vol spike": -0.04003807642361845,
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"2025 tariff crash": -0.12044817492959481,
|
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"2026 Q1 drawdown": -0.05833333333333324
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},
|
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.22602092846168542,
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"max_ret": -0.04003807642361845,
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"all_pos": false
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},
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"aactx": {
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"name": "American Funds 2020 Target Date Retirement Income Fund",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": 0.8253519792998457,
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"corr_port": 0.32588677049383846,
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"rets": {
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"2022 bear mkt": -0.1691227627362185,
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"2023 rate shock": -0.05909803131265301,
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"2024 vol spike": -0.013748131739751646,
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"2025 tariff crash": -0.06056243009845097,
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"2026 Q1 drawdown": -0.03529411764705881
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.1691227627362185,
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"max_ret": -0.013748131739751646,
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"all_pos": false
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},
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"aadax": {
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"name": "Invesco Select Risk: Growth Investor Fund",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.9395142886940664,
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"corr_port": 0.31477267314893853,
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"rets": {
|
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"2022 bear mkt": -0.24611703828665088,
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"2023 rate shock": -0.0962077877063704,
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"2024 vol spike": -0.04954372237900784,
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"2025 tariff crash": -0.13324793836739746,
|
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"2026 Q1 drawdown": -0.06643553243417288
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},
|
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"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.24611703828665088,
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"max_ret": -0.04954372237900784,
|
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"all_pos": false
|
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},
|
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"aadhx": {
|
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"name": "ONE CHOICE BLEND+ 2045 PORTFOLIO",
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
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"t5": -1.3150745815657783,
|
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"corr_port": 0.12394695711192133,
|
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"rets": {
|
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"2022 bear mkt": -0.23396236782141688,
|
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"2023 rate shock": -0.09822349251964879,
|
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"2024 vol spike": -0.04592308073730389,
|
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"2025 tariff crash": -0.13290554448042435,
|
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"2026 Q1 drawdown": -0.06477732793522262
|
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},
|
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"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.23396236782141688,
|
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"max_ret": -0.04592308073730389,
|
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"all_pos": false
|
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},
|
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"aadnx": {
|
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"name": "ONE CHOICE BLEND+ 2050 PORTFOLIO",
|
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"t5": -0.9696138915698386,
|
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"corr_port": 0.12970489995967874,
|
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"rets": {
|
|
"2022 bear mkt": -0.23894632417693185,
|
|
"2023 rate shock": -0.10373455015645838,
|
|
"2024 vol spike": -0.05175585154219897,
|
|
"2025 tariff crash": -0.14438505446673922,
|
|
"2026 Q1 drawdown": -0.07081712062256806
|
|
},
|
|
"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.23894632417693185,
|
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"max_ret": -0.05175585154219897,
|
|
"all_pos": false
|
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},
|
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"aadtx": {
|
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"name": "American Funds 2025 Target Date Retirement Income Fund",
|
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.053499688331212436,
|
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"corr_port": 0.3135647474767928,
|
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"rets": {
|
|
"2022 bear mkt": -0.18668324925731028,
|
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"2023 rate shock": -0.06384463937023643,
|
|
"2024 vol spike": -0.01668799789678077,
|
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"2025 tariff crash": -0.06402054332550888,
|
|
"2026 Q1 drawdown": -0.03963414634146334
|
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},
|
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"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.18668324925731028,
|
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"max_ret": -0.01668799789678077,
|
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"all_pos": false
|
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},
|
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"aadwx": {
|
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"name": "ONE CHOICE BLEND+ 2055 PORTFOLIO",
|
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"t5": -0.8248743704496688,
|
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"corr_port": 0.13366366350689182,
|
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"rets": {
|
|
"2022 bear mkt": -0.241314539129175,
|
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"2023 rate shock": -0.10651502758668296,
|
|
"2024 vol spike": -0.05484466992143622,
|
|
"2025 tariff crash": -0.15627746303363854,
|
|
"2026 Q1 drawdown": -0.07593014426727407
|
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},
|
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"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.241314539129175,
|
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"max_ret": -0.05484466992143622,
|
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"all_pos": false
|
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},
|
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"aaegx": {
|
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"name": "ONE CHOICE BLEND+ 2060 PORTFOLIO",
|
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"t5": -0.7456030714241346,
|
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"corr_port": 0.1337595029412155,
|
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"rets": {
|
|
"2022 bear mkt": -0.24367387651693628,
|
|
"2023 rate shock": -0.10849555975537495,
|
|
"2024 vol spike": -0.05791852093179517,
|
|
"2025 tariff crash": -0.15625013495325213,
|
|
"2026 Q1 drawdown": -0.07766990291262144
|
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},
|
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"n_avail": 5,
|
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"n_pos": 0,
|
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"min_ret": -0.24367387651693628,
|
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"max_ret": -0.05791852093179517,
|
|
"all_pos": false
|
|
},
|
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"aaekx": {
|
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"name": "ONE CHOICE BLEND+ 2065 PORTFOLIO",
|
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"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
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"t5": -0.943140546345446,
|
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"corr_port": 0.1356271723120391,
|
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"rets": {
|
|
"2022 bear mkt": -0.24440291175405893,
|
|
"2023 rate shock": -0.10869562574686153,
|
|
"2024 vol spike": -0.057481863074557826,
|
|
"2025 tariff crash": -0.15743944205253302,
|
|
"2026 Q1 drawdown": -0.07715133531157281
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24440291175405893,
|
|
"max_ret": -0.057481863074557826,
|
|
"all_pos": false
|
|
},
|
|
"aaetx": {
|
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"name": "American Funds 2030 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4772297239416557,
|
|
"corr_port": 0.30995028539929786,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20596525942486965,
|
|
"2023 rate shock": -0.0730939364361406,
|
|
"2024 vol spike": -0.026376219208195772,
|
|
"2025 tariff crash": -0.08571422104492232,
|
|
"2026 Q1 drawdown": -0.051308848167539445
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20596525942486965,
|
|
"max_ret": -0.026376219208195772,
|
|
"all_pos": false
|
|
},
|
|
"aaewx": {
|
|
"name": "ONE CHOICE BLEND+ 2030 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9214368203322618,
|
|
"corr_port": 0.1109345265235303,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20019151405994262,
|
|
"2023 rate shock": -0.06937034730687852,
|
|
"2024 vol spike": -0.027424217579898658,
|
|
"2025 tariff crash": -0.08880311292956689,
|
|
"2026 Q1 drawdown": -0.04188948306595375
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20019151405994262,
|
|
"max_ret": -0.027424217579898658,
|
|
"all_pos": false
|
|
},
|
|
"aaftx": {
|
|
"name": "American Funds 2035 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5921875191460281,
|
|
"corr_port": 0.3032288166941522,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2275756134304192,
|
|
"2023 rate shock": -0.0818339443315288,
|
|
"2024 vol spike": -0.03484143635505366,
|
|
"2025 tariff crash": -0.10395530641958373,
|
|
"2026 Q1 drawdown": -0.06212050443717898
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2275756134304192,
|
|
"max_ret": -0.03484143635505366,
|
|
"all_pos": false
|
|
},
|
|
"aagox": {
|
|
"name": "Alger Large Cap Growth Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7643928454212308,
|
|
"corr_port": 0.10578207624738772,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3759568095206237,
|
|
"2023 rate shock": -0.1241322363077918,
|
|
"2024 vol spike": -0.09775332600222442,
|
|
"2025 tariff crash": -0.257586961492121,
|
|
"2026 Q1 drawdown": -0.14177406581996022
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3759568095206237,
|
|
"max_ret": -0.09775332600222442,
|
|
"all_pos": false
|
|
},
|
|
"aagtx": {
|
|
"name": "American Funds 2040 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0332493712865518,
|
|
"corr_port": 0.2979217542762339,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24380774049568266,
|
|
"2023 rate shock": -0.09070785639921197,
|
|
"2024 vol spike": -0.04780478516656517,
|
|
"2025 tariff crash": -0.1328343713468917,
|
|
"2026 Q1 drawdown": -0.07799317360848135
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24380774049568266,
|
|
"max_ret": -0.04780478516656517,
|
|
"all_pos": false
|
|
},
|
|
"aahmx": {
|
|
"name": "abrdn Short Duration High Yield Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.197380905002647,
|
|
"corr_port": 0.06916067345208148,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09739507609754283,
|
|
"2023 rate shock": -0.03503486905426201,
|
|
"2024 vol spike": 0.01069957944960831,
|
|
"2025 tariff crash": -0.025205629292503584,
|
|
"2026 Q1 drawdown": -0.0069390330555308966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09739507609754283,
|
|
"max_ret": 0.01069957944960831,
|
|
"all_pos": false
|
|
},
|
|
"aahtx": {
|
|
"name": "American Funds 2045 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6479810573161962,
|
|
"corr_port": 0.2953268099317391,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2504717335155674,
|
|
"2023 rate shock": -0.09395254299469946,
|
|
"2024 vol spike": -0.052132684231117055,
|
|
"2025 tariff crash": -0.14182141945564053,
|
|
"2026 Q1 drawdown": -0.08613020622725431
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2504717335155674,
|
|
"max_ret": -0.052132684231117055,
|
|
"all_pos": false
|
|
},
|
|
"aaiix": {
|
|
"name": "Ancora Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2491406782596107,
|
|
"corr_port": 0.23730504166551603,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13514313232128816,
|
|
"2023 rate shock": -0.04628285421105216,
|
|
"2024 vol spike": -0.01254653467561595,
|
|
"2025 tariff crash": -0.05563795539194516,
|
|
"2026 Q1 drawdown": -0.016854371179496508
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13514313232128816,
|
|
"max_ret": -0.01254653467561595,
|
|
"all_pos": false
|
|
},
|
|
"aaltx": {
|
|
"name": "American Funds 2050 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7864271343271277,
|
|
"corr_port": 0.2902129453082289,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25632451948997015,
|
|
"2023 rate shock": -0.09565686912493032,
|
|
"2024 vol spike": -0.053872167286185935,
|
|
"2025 tariff crash": -0.14574710671310454,
|
|
"2026 Q1 drawdown": -0.08930766079475627
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25632451948997015,
|
|
"max_ret": -0.053872167286185935,
|
|
"all_pos": false
|
|
},
|
|
"aamtx": {
|
|
"name": "American Funds 2055 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2767558093167584,
|
|
"corr_port": 0.28733922473488294,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2614155266156487,
|
|
"2023 rate shock": -0.09653362707394031,
|
|
"2024 vol spike": -0.0562571414136851,
|
|
"2025 tariff crash": -0.15021927325936868,
|
|
"2026 Q1 drawdown": -0.09303079416531612
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2614155266156487,
|
|
"max_ret": -0.0562571414136851,
|
|
"all_pos": false
|
|
},
|
|
"aantx": {
|
|
"name": "American Funds 2060 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8551594499116322,
|
|
"corr_port": 0.2736775026375596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2624153013129392,
|
|
"2023 rate shock": -0.09767136916103614,
|
|
"2024 vol spike": -0.05690140228818252,
|
|
"2025 tariff crash": -0.15153141932840275,
|
|
"2026 Q1 drawdown": -0.09444708115804468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2624153013129392,
|
|
"max_ret": -0.05690140228818252,
|
|
"all_pos": false
|
|
},
|
|
"aasox": {
|
|
"name": "Alger Small Cap Growth Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5685665688799252,
|
|
"corr_port": 0.06677511155956084,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36718163193815945,
|
|
"2023 rate shock": -0.16430770511212278,
|
|
"2024 vol spike": -0.07550427861324249,
|
|
"2025 tariff crash": -0.2497135572103265,
|
|
"2026 Q1 drawdown": -0.14604989604989604
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36718163193815945,
|
|
"max_ret": -0.07550427861324249,
|
|
"all_pos": false
|
|
},
|
|
"abaex": {
|
|
"name": "AB Emerging Markets Multi-Asset Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2154329543807285,
|
|
"corr_port": 0.3235424738503037,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30040439386539863,
|
|
"2023 rate shock": -0.07706026340855943,
|
|
"2024 vol spike": -0.05568192009071116,
|
|
"2025 tariff crash": -0.11063184315414021,
|
|
"2026 Q1 drawdown": -0.06629206341750149
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30040439386539863,
|
|
"max_ret": -0.05568192009071116,
|
|
"all_pos": false
|
|
},
|
|
"abalx": {
|
|
"name": "AMERICAN BALANCED FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.120317924610738,
|
|
"corr_port": 0.30517974867434994,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18515268610878988,
|
|
"2023 rate shock": -0.06873696022360798,
|
|
"2024 vol spike": -0.03357042096735097,
|
|
"2025 tariff crash": -0.10450258692614012,
|
|
"2026 Q1 drawdown": -0.060944588939654154
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18515268610878988,
|
|
"max_ret": -0.03357042096735097,
|
|
"all_pos": false
|
|
},
|
|
"abasx": {
|
|
"name": "AB Discovery Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11653805167671269,
|
|
"corr_port": 0.3516876665757004,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22873778334519612,
|
|
"2023 rate shock": -0.15566684054865765,
|
|
"2024 vol spike": -0.07170298301841604,
|
|
"2025 tariff crash": -0.20244821242447286,
|
|
"2026 Q1 drawdown": -0.051474073398499076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22873778334519612,
|
|
"max_ret": -0.051474073398499076,
|
|
"all_pos": false
|
|
},
|
|
"abdax": {
|
|
"name": "Columbia Capital Allocation Conservative Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.595492639675891,
|
|
"corr_port": 0.18593762286960241,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16983231632699758,
|
|
"2023 rate shock": -0.0481327448554264,
|
|
"2024 vol spike": -0.005422918794308562,
|
|
"2025 tariff crash": -0.03308924033316696,
|
|
"2026 Q1 drawdown": -0.028459032939273432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16983231632699758,
|
|
"max_ret": -0.005422918794308562,
|
|
"all_pos": false
|
|
},
|
|
"abhix": {
|
|
"name": "HIGH-YIELD FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.25325945402812855,
|
|
"corr_port": 0.292794943731646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14647585195345014,
|
|
"2023 rate shock": -0.029531805959319035,
|
|
"2024 vol spike": -0.003368385285333453,
|
|
"2025 tariff crash": -0.026073429670879555,
|
|
"2026 Q1 drawdown": -0.014805547657914642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14647585195345014,
|
|
"max_ret": -0.003368385285333453,
|
|
"all_pos": false
|
|
},
|
|
"abhyx": {
|
|
"name": "HIGH-YIELD MUNICIPAL FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5180941551233487,
|
|
"corr_port": 0.05913614207238981,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14492850406839197,
|
|
"2023 rate shock": -0.0649630667904113,
|
|
"2024 vol spike": 0.016972172806418495,
|
|
"2025 tariff crash": -0.036305047895377585,
|
|
"2026 Q1 drawdown": -0.008808257483537751
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14492850406839197,
|
|
"max_ret": 0.016972172806418495,
|
|
"all_pos": false
|
|
},
|
|
"abiax": {
|
|
"name": "AB International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3109280301450883,
|
|
"corr_port": 0.41285063652609805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29986236330043425,
|
|
"2023 rate shock": -0.128879857939453,
|
|
"2024 vol spike": -0.06773159573037113,
|
|
"2025 tariff crash": -0.10484406697723958,
|
|
"2026 Q1 drawdown": -0.08669941313790208
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29986236330043425,
|
|
"max_ret": -0.06773159573037113,
|
|
"all_pos": false
|
|
},
|
|
"abimx": {
|
|
"name": "AB Impact Municipal Income Shares",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.45107946498539275,
|
|
"corr_port": 0.03584391704894748,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14849743471809873,
|
|
"2023 rate shock": -0.07301801126987184,
|
|
"2024 vol spike": 0.01933529511490839,
|
|
"2025 tariff crash": -0.034798031240409144,
|
|
"2026 Q1 drawdown": -0.009600240842865704
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14849743471809873,
|
|
"max_ret": 0.01933529511490839,
|
|
"all_pos": false
|
|
},
|
|
"ablox": {
|
|
"name": "Alger Balanced Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6988103229469547,
|
|
"corr_port": 0.2923347721809022,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17336050799573688,
|
|
"2023 rate shock": -0.06124674460140245,
|
|
"2024 vol spike": -0.049999928101566615,
|
|
"2025 tariff crash": -0.12845245546791417,
|
|
"2026 Q1 drawdown": -0.054135989605889945
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17336050799573688,
|
|
"max_ret": -0.049999928101566615,
|
|
"all_pos": false
|
|
},
|
|
"abnax": {
|
|
"name": "AB Bond Inflation Strategy",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9908653925973718,
|
|
"corr_port": 0.024488035252518095,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09755521575497261,
|
|
"2023 rate shock": -0.01088516050140842,
|
|
"2024 vol spike": 0.007699463249290162,
|
|
"2025 tariff crash": 0.015479244847839135,
|
|
"2026 Q1 drawdown": -0.0004724146370836957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09755521575497261,
|
|
"max_ret": 0.015479244847839135,
|
|
"all_pos": false
|
|
},
|
|
"abndx": {
|
|
"name": "BOND FUND OF AMERICA",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2071372344517078,
|
|
"corr_port": -0.10144321061334434,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14154664586689425,
|
|
"2023 rate shock": -0.0408120967542045,
|
|
"2024 vol spike": 0.022308253382621324,
|
|
"2025 tariff crash": 0.009534105846020546,
|
|
"2026 Q1 drawdown": -0.007693746083285213
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14154664586689425,
|
|
"max_ret": 0.022308253382621324,
|
|
"all_pos": false
|
|
},
|
|
"abpax": {
|
|
"name": "AB Sustainable Thematic Balanced Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.942955336762477,
|
|
"corr_port": 0.16026699501893954,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24639876740642153,
|
|
"2023 rate shock": -0.08473067892599873,
|
|
"2024 vol spike": -0.01851852004713328,
|
|
"2025 tariff crash": -0.12602291542661848,
|
|
"2026 Q1 drawdown": -0.07047768206734539
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24639876740642153,
|
|
"max_ret": -0.01851852004713328,
|
|
"all_pos": false
|
|
},
|
|
"abtfx": {
|
|
"name": "AB High Income Municipal Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.27645775394872674,
|
|
"corr_port": 0.05656653010246015,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17929533795294295,
|
|
"2023 rate shock": -0.0852368647604016,
|
|
"2024 vol spike": 0.022841569596526057,
|
|
"2025 tariff crash": -0.03547225629217743,
|
|
"2026 Q1 drawdown": -0.012281942006077462
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17929533795294295,
|
|
"max_ret": 0.022841569596526057,
|
|
"all_pos": false
|
|
},
|
|
"abuax": {
|
|
"name": "Columbia Capital Allocation Moderate Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5166631763289293,
|
|
"corr_port": 0.2877915650194517,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21941468951598886,
|
|
"2023 rate shock": -0.06884350265043926,
|
|
"2024 vol spike": -0.035613847841012514,
|
|
"2025 tariff crash": -0.09328345887465472,
|
|
"2026 Q1 drawdown": -0.05324441721175155
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21941468951598886,
|
|
"max_ret": -0.035613847841012514,
|
|
"all_pos": false
|
|
},
|
|
"abvax": {
|
|
"name": "AB Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.13998690841611,
|
|
"corr_port": 0.38661073222305864,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16786688005346562,
|
|
"2023 rate shock": -0.1072067289868528,
|
|
"2024 vol spike": -0.055465780255011476,
|
|
"2025 tariff crash": -0.15815756428157046,
|
|
"2026 Q1 drawdown": -0.05203503348789296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16786688005346562,
|
|
"max_ret": -0.05203503348789296,
|
|
"all_pos": false
|
|
},
|
|
"abwax": {
|
|
"name": "AB All Market Total Return Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.160584157844383,
|
|
"corr_port": 0.30078286229989454,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24031470246558262,
|
|
"2023 rate shock": -0.07106595047608377,
|
|
"2024 vol spike": -0.030283156985981052,
|
|
"2025 tariff crash": -0.09896504021898755,
|
|
"2026 Q1 drawdown": -0.05982367758186402
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24031470246558262,
|
|
"max_ret": -0.030283156985981052,
|
|
"all_pos": false
|
|
},
|
|
"accex": {
|
|
"name": "INVESCO CORPORATE BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8603463691563076,
|
|
"corr_port": 0.050768112224297945,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20279046616601726,
|
|
"2023 rate shock": -0.05053350268580725,
|
|
"2024 vol spike": 0.013213878436872939,
|
|
"2025 tariff crash": -0.012291759917371858,
|
|
"2026 Q1 drawdown": -0.016997021752792163
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.20279046616601726,
|
|
"max_ret": 0.013213878436872939,
|
|
"all_pos": false
|
|
},
|
|
"accnx": {
|
|
"name": "CORE PLUS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.07311576300720034,
|
|
"corr_port": -0.04833223927687696,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15976451339841335,
|
|
"2023 rate shock": -0.047847190460344136,
|
|
"2024 vol spike": 0.021545322669457745,
|
|
"2025 tariff crash": -0.00184132935341641,
|
|
"2026 Q1 drawdown": -0.009476890086784984
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15976451339841335,
|
|
"max_ret": 0.021545322669457745,
|
|
"all_pos": false
|
|
},
|
|
"aceix": {
|
|
"name": "INVESCO EQUITY AND INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.40793312983514546,
|
|
"corr_port": 0.3834129726840847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15654609509044026,
|
|
"2023 rate shock": -0.07423676873721585,
|
|
"2024 vol spike": -0.035944561383765894,
|
|
"2025 tariff crash": -0.11754871792729615,
|
|
"2026 Q1 drawdown": -0.03997451080682046
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15654609509044026,
|
|
"max_ret": -0.035944561383765894,
|
|
"all_pos": false
|
|
},
|
|
"aceyx": {
|
|
"name": "AB All China Equity Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9451638274494988,
|
|
"corr_port": 0.11475967574357174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3345421674053626,
|
|
"2023 rate shock": -0.11097415074502415,
|
|
"2024 vol spike": -0.051519240138068745,
|
|
"2025 tariff crash": -0.13599998655392298,
|
|
"2026 Q1 drawdown": -0.13599274705349051
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3345421674053626,
|
|
"max_ret": -0.051519240138068745,
|
|
"all_pos": false
|
|
},
|
|
"acfix": {
|
|
"name": "WATER ISLAND CREDIT OPPORTUNITIES FUND",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.502974290249242,
|
|
"corr_port": 0.22496487253591757,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03581470677436838,
|
|
"2023 rate shock": 0.006898839350736985,
|
|
"2024 vol spike": 0.004962657541301541,
|
|
"2025 tariff crash": 0.00296147782271472,
|
|
"2026 Q1 drawdown": 0.004291001926678417
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.03581470677436838,
|
|
"max_ret": 0.006898839350736985,
|
|
"all_pos": false
|
|
},
|
|
"acfox": {
|
|
"name": "FOCUSED DYNAMIC GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7808548043123928,
|
|
"corr_port": 0.08701402961885216,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36636859427559554,
|
|
"2023 rate shock": -0.13251976665077336,
|
|
"2024 vol spike": -0.10133912085497232,
|
|
"2025 tariff crash": -0.23694322140871615,
|
|
"2026 Q1 drawdown": -0.14952675876183175
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36636859427559554,
|
|
"max_ret": -0.10133912085497232,
|
|
"all_pos": false
|
|
},
|
|
"acgix": {
|
|
"name": "INVESCO GROWTH AND INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2548270651375415,
|
|
"corr_port": 0.39272227887903005,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17293952271224422,
|
|
"2023 rate shock": -0.09765030897792182,
|
|
"2024 vol spike": -0.05759842998805076,
|
|
"2025 tariff crash": -0.1701363828010477,
|
|
"2026 Q1 drawdown": -0.057689259247403646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17293952271224422,
|
|
"max_ret": -0.05759842998805076,
|
|
"all_pos": false
|
|
},
|
|
"acgyx": {
|
|
"name": "AB Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7417097649540517,
|
|
"corr_port": 0.002540290229037345,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17544082990468735,
|
|
"2023 rate shock": -0.04720009454974683,
|
|
"2024 vol spike": 0.021522103575359663,
|
|
"2025 tariff crash": 0.00511670647414042,
|
|
"2026 Q1 drawdown": -0.010781577408835896
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17544082990468735,
|
|
"max_ret": 0.021522103575359663,
|
|
"all_pos": false
|
|
},
|
|
"acisx": {
|
|
"name": "AB CORPORATE INCOME SHARES",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5012865435917933,
|
|
"corr_port": 0.004849794332158025,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18718313781023055,
|
|
"2023 rate shock": -0.048381935587720304,
|
|
"2024 vol spike": 0.016791104462754447,
|
|
"2025 tariff crash": -0.00410091780824029,
|
|
"2026 Q1 drawdown": -0.009225417632784949
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18718313781023055,
|
|
"max_ret": 0.016791104462754447,
|
|
"all_pos": false
|
|
},
|
|
"acitx": {
|
|
"name": "INFLATION-ADJUSTED BOND FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.40734472142200806,
|
|
"corr_port": -0.05468024132525759,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12757962838500359,
|
|
"2023 rate shock": -0.029523765838380678,
|
|
"2024 vol spike": 0.011342241946161957,
|
|
"2025 tariff crash": 0.008539083946693449,
|
|
"2026 Q1 drawdown": -0.0028221143610341892
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12757962838500359,
|
|
"max_ret": 0.011342241946161957,
|
|
"all_pos": false
|
|
},
|
|
"acmvx": {
|
|
"name": "MID CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8064875892352571,
|
|
"corr_port": 0.4004733859466182,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13729494882795223,
|
|
"2023 rate shock": -0.11482069645984694,
|
|
"2024 vol spike": -0.023794980343577077,
|
|
"2025 tariff crash": -0.12024242438116417,
|
|
"2026 Q1 drawdown": -0.03157575393731504
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13729494882795223,
|
|
"max_ret": -0.023794980343577077,
|
|
"all_pos": false
|
|
},
|
|
"acpsx": {
|
|
"name": "INVESCO CORE PLUS BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8408338519655899,
|
|
"corr_port": -0.0031779568278420254,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17382578078744082,
|
|
"2023 rate shock": -0.04572813288841515,
|
|
"2024 vol spike": 0.01803998631915693,
|
|
"2025 tariff crash": -0.0011728794050039903,
|
|
"2026 Q1 drawdown": -0.010257918415741751
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17382578078744082,
|
|
"max_ret": 0.01803998631915693,
|
|
"all_pos": false
|
|
},
|
|
"acskx": {
|
|
"name": "SHORT DURATION FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.689202577517013,
|
|
"corr_port": 0.006655594855112344,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05791421506263772,
|
|
"2023 rate shock": 0.001356113119848068,
|
|
"2024 vol spike": 0.010266566600261484,
|
|
"2025 tariff crash": 0.003058264273904987,
|
|
"2026 Q1 drawdown": -0.003572874784147362
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05791421506263772,
|
|
"max_ret": 0.010266566600261484,
|
|
"all_pos": false
|
|
},
|
|
"acstx": {
|
|
"name": "INVESCO COMSTOCK FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.461223286763136,
|
|
"corr_port": 0.41239224423839316,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1295074198884213,
|
|
"2023 rate shock": -0.10403909954991852,
|
|
"2024 vol spike": -0.05666556014756852,
|
|
"2025 tariff crash": -0.15443191089949682,
|
|
"2026 Q1 drawdown": -0.04964983157482705
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15443191089949682,
|
|
"max_ret": -0.04964983157482705,
|
|
"all_pos": false
|
|
},
|
|
"acthx": {
|
|
"name": "INVESCO HIGH YIELD MUNICIPAL FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2470526577032131,
|
|
"corr_port": 0.06132266704760994,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15899234907842918,
|
|
"2023 rate shock": -0.08698357756588027,
|
|
"2024 vol spike": 0.02176685686659008,
|
|
"2025 tariff crash": -0.03728830564022556,
|
|
"2026 Q1 drawdown": -0.005668535366658456
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15899234907842918,
|
|
"max_ret": 0.02176685686659008,
|
|
"all_pos": false
|
|
},
|
|
"adfix": {
|
|
"name": "DIVERSIFIED BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17598017094866295,
|
|
"corr_port": -0.09528491798711869,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15096472906412595,
|
|
"2023 rate shock": -0.044974224616340375,
|
|
"2024 vol spike": 0.022323271278872348,
|
|
"2025 tariff crash": 0.005015874597026793,
|
|
"2026 Q1 drawdown": -0.006678883979960304
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15096472906412595,
|
|
"max_ret": 0.022323271278872348,
|
|
"all_pos": false
|
|
},
|
|
"adgax": {
|
|
"name": "AB CORE OPPORTUNITIES FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9734279606341592,
|
|
"corr_port": 0.2868417845433602,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22707978231633197,
|
|
"2023 rate shock": -0.07699843420188623,
|
|
"2024 vol spike": -0.06076890776214838,
|
|
"2025 tariff crash": -0.173660228099498,
|
|
"2026 Q1 drawdown": -0.10521849809079342
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22707978231633197,
|
|
"max_ret": -0.06076890776214838,
|
|
"all_pos": false
|
|
},
|
|
"adjex": {
|
|
"name": "Azzad Ethical Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.5860218330239606,
|
|
"corr_port": 0.14264849899505036,
|
|
"rets": {
|
|
"2022 bear mkt": -0.313472814034493,
|
|
"2023 rate shock": -0.18344254542564342,
|
|
"2024 vol spike": -0.08917204663131084,
|
|
"2025 tariff crash": -0.20221266133988935,
|
|
"2026 Q1 drawdown": -0.10193003618817842
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.313472814034493,
|
|
"max_ret": -0.08917204663131084,
|
|
"all_pos": false
|
|
},
|
|
"adsix": {
|
|
"name": "DISCIPLINED GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1174382841845683,
|
|
"corr_port": 0.17008974404883306,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3213262763706841,
|
|
"2023 rate shock": -0.0815046908628484,
|
|
"2024 vol spike": -0.09359947949171488,
|
|
"2025 tariff crash": -0.23223573111282447,
|
|
"2026 Q1 drawdown": -0.1261538901098901
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3213262763706841,
|
|
"max_ret": -0.0815046908628484,
|
|
"all_pos": false
|
|
},
|
|
"advdx": {
|
|
"name": "abrdn Dynamic Dividend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7764366319756454,
|
|
"corr_port": 0.3605177978215865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24216269163119075,
|
|
"2023 rate shock": -0.10741774329293252,
|
|
"2024 vol spike": -0.05878488243257318,
|
|
"2025 tariff crash": -0.13055901850992413,
|
|
"2026 Q1 drawdown": -0.0515652259508953
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24216269163119075,
|
|
"max_ret": -0.0515652259508953,
|
|
"all_pos": false
|
|
},
|
|
"aedax": {
|
|
"name": "Invesco International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8865767196041369,
|
|
"corr_port": 0.34830500182759616,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3616919867317311,
|
|
"2023 rate shock": -0.10768311930270658,
|
|
"2024 vol spike": -0.05716526334840655,
|
|
"2025 tariff crash": -0.11641619972517858,
|
|
"2026 Q1 drawdown": -0.060972239393088046
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3616919867317311,
|
|
"max_ret": -0.05716526334840655,
|
|
"all_pos": false
|
|
},
|
|
"aepgx": {
|
|
"name": "EUPAC FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0738600679292496,
|
|
"corr_port": 0.32092192361207794,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3163361155718222,
|
|
"2023 rate shock": -0.12064341692578717,
|
|
"2024 vol spike": -0.07739516721016904,
|
|
"2025 tariff crash": -0.14767431223663174,
|
|
"2026 Q1 drawdown": -0.11842712195203531
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3163361155718222,
|
|
"max_ret": -0.07739516721016904,
|
|
"all_pos": false
|
|
},
|
|
"afcnx": {
|
|
"name": "FOCUSED INTERNATIONAL GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.02169590400589,
|
|
"corr_port": 0.23890279616090604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36552071085325766,
|
|
"2023 rate shock": -0.15476192123486998,
|
|
"2024 vol spike": -0.07242995268035413,
|
|
"2025 tariff crash": -0.15229884842734054,
|
|
"2026 Q1 drawdown": -0.13380638621388752
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36552071085325766,
|
|
"max_ret": -0.07242995268035413,
|
|
"all_pos": false
|
|
},
|
|
"affcx": {
|
|
"name": "Yorktown Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6501521128607248,
|
|
"corr_port": 0.2480636274253497,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15221326822031478,
|
|
"2023 rate shock": -0.02507378974347607,
|
|
"2024 vol spike": 0.008840569342091431,
|
|
"2025 tariff crash": -0.006548861258922289,
|
|
"2026 Q1 drawdown": -0.010551370403121707
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15221326822031478,
|
|
"max_ret": 0.008840569342091431,
|
|
"all_pos": false
|
|
},
|
|
"afjax": {
|
|
"name": "Virtus NFJ International Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3064309357423667,
|
|
"corr_port": 0.344992365183501,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3451525925589223,
|
|
"2023 rate shock": -0.18413565039790247,
|
|
"2024 vol spike": -0.07002093928011643,
|
|
"2025 tariff crash": -0.10973189220365731,
|
|
"2026 Q1 drawdown": -0.0871776373781975
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3451525925589223,
|
|
"max_ret": -0.07002093928011643,
|
|
"all_pos": false
|
|
},
|
|
"aflix": {
|
|
"name": "Anfield Universal Fixed Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.8539355078269995,
|
|
"corr_port": 0.18201572446066663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07533023836247188,
|
|
"2023 rate shock": 0.013418701268984812,
|
|
"2024 vol spike": 0.004809579071090475,
|
|
"2025 tariff crash": -0.0037334712248833224,
|
|
"2026 Q1 drawdown": -0.005939532350480947
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07533023836247188,
|
|
"max_ret": 0.013418701268984812,
|
|
"all_pos": false
|
|
},
|
|
"afocx": {
|
|
"name": "Archer Focus Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5213715186735557,
|
|
"corr_port": 0.3165979720060332,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16288417762108576,
|
|
"2023 rate shock": -0.09643724313047297,
|
|
"2024 vol spike": -0.03608440387947931,
|
|
"2025 tariff crash": -0.159618585261028,
|
|
"2026 Q1 drawdown": -0.08515923583467389
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16288417762108576,
|
|
"max_ret": -0.03608440387947931,
|
|
"all_pos": false
|
|
},
|
|
"aftex": {
|
|
"name": "TAX EXEMPT BOND FUND OF AMERICA",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.40957080308730176,
|
|
"corr_port": 0.03480702450937875,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11412440996840367,
|
|
"2023 rate shock": -0.04722645985026164,
|
|
"2024 vol spike": 0.014415100758367938,
|
|
"2025 tariff crash": -0.025899491020209053,
|
|
"2026 Q1 drawdown": -0.009662065083310134
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11412440996840367,
|
|
"max_ret": 0.014415100758367938,
|
|
"all_pos": false
|
|
},
|
|
"agbvx": {
|
|
"name": "GLOBAL BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2729927092840646,
|
|
"corr_port": -0.023905696684440016,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13855326048167516,
|
|
"2023 rate shock": -0.029466698883188203,
|
|
"2024 vol spike": 0.01736113280922913,
|
|
"2025 tariff crash": -0.005905176058110473,
|
|
"2026 Q1 drawdown": -0.01244525920799533
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13855326048167516,
|
|
"max_ret": 0.01736113280922913,
|
|
"all_pos": false
|
|
},
|
|
"agdax": {
|
|
"name": "AB HIGH INCOME FUND INC",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.130491918258311,
|
|
"corr_port": 0.3160413307227273,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1569090730977981,
|
|
"2023 rate shock": -0.021800598196574206,
|
|
"2024 vol spike": -0.0024522702855825917,
|
|
"2025 tariff crash": -0.03409801762974418,
|
|
"2026 Q1 drawdown": -0.01959228524543688
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1569090730977981,
|
|
"max_ret": -0.0024522702855825917,
|
|
"all_pos": false
|
|
},
|
|
"aglox": {
|
|
"name": "Ariel Global Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4323830809871365,
|
|
"corr_port": 0.36092956352207095,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15043778769344074,
|
|
"2023 rate shock": -0.09090924337796513,
|
|
"2024 vol spike": -0.07949784192941878,
|
|
"2025 tariff crash": -0.12260810256456878,
|
|
"2026 Q1 drawdown": -0.07234042553191489
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15043778769344074,
|
|
"max_ret": -0.07234042553191489,
|
|
"all_pos": false
|
|
},
|
|
"agovx": {
|
|
"name": "INVESCO Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.7988258224850684,
|
|
"corr_port": 0.1044420954607835,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09850443432031486,
|
|
"2023 rate shock": -0.020144441396431012,
|
|
"2024 vol spike": 0.014999282330988795,
|
|
"2025 tariff crash": 0.008614422345088357,
|
|
"2026 Q1 drawdown": -0.004628393582346235
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09850443432031486,
|
|
"max_ret": 0.014999282330988795,
|
|
"all_pos": false
|
|
},
|
|
"agrfx": {
|
|
"name": "AB Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5819847280082704,
|
|
"corr_port": 0.15590929207971896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33053730414677684,
|
|
"2023 rate shock": -0.0900369842646912,
|
|
"2024 vol spike": -0.08283243580445587,
|
|
"2025 tariff crash": -0.20128163840297697,
|
|
"2026 Q1 drawdown": -0.13481017139477902
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33053730414677684,
|
|
"max_ret": -0.08283243580445587,
|
|
"all_pos": false
|
|
},
|
|
"agthx": {
|
|
"name": "GROWTH FUND OF AMERICA",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6019253092726873,
|
|
"corr_port": 0.1864873494906047,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3274444266224311,
|
|
"2023 rate shock": -0.10400505041309949,
|
|
"2024 vol spike": -0.07684040182502327,
|
|
"2025 tariff crash": -0.2075063490785104,
|
|
"2026 Q1 drawdown": -0.12847729536941543
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3274444266224311,
|
|
"max_ret": -0.07684040182502327,
|
|
"all_pos": false
|
|
},
|
|
"aguax": {
|
|
"name": "American Beacon Developing World Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.7094764842587873,
|
|
"corr_port": 0.24493035248834089,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1844674750168499,
|
|
"2023 rate shock": -0.029178540736852998,
|
|
"2024 vol spike": -0.007778918534359747,
|
|
"2025 tariff crash": -0.0354290809273855,
|
|
"2026 Q1 drawdown": -0.010619569778626214
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1844674750168499,
|
|
"max_ret": -0.007778918534359747,
|
|
"all_pos": false
|
|
},
|
|
"ahitx": {
|
|
"name": "AMERICAN HIGH INCOME TRUST",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5389352573338086,
|
|
"corr_port": 0.32480057286639274,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12272471761926074,
|
|
"2023 rate shock": -0.02736216317705764,
|
|
"2024 vol spike": -0.002902638524356016,
|
|
"2025 tariff crash": -0.033084821224229066,
|
|
"2026 Q1 drawdown": -0.012451709375276843
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12272471761926074,
|
|
"max_ret": -0.002902638524356016,
|
|
"all_pos": false
|
|
},
|
|
"aibax": {
|
|
"name": "INTERMEDIATE BOND FUND OF AMERICA",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0149050872108714,
|
|
"corr_port": -0.10927922415149495,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08746265263261399,
|
|
"2023 rate shock": -0.013556160786846627,
|
|
"2024 vol spike": 0.01879810118329872,
|
|
"2025 tariff crash": 0.018692212901073146,
|
|
"2026 Q1 drawdown": -0.004370689817880469
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08746265263261399,
|
|
"max_ret": 0.01879810118329872,
|
|
"all_pos": false
|
|
},
|
|
"aidax": {
|
|
"name": "Diversified Municipal Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.0996473325400635,
|
|
"corr_port": 0.04471183762781839,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07779405431704034,
|
|
"2023 rate shock": -0.024193220191367493,
|
|
"2024 vol spike": 0.011729026489203598,
|
|
"2025 tariff crash": -0.017226389053856872,
|
|
"2026 Q1 drawdown": -0.007285521608932699
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07779405431704034,
|
|
"max_ret": 0.011729026489203598,
|
|
"all_pos": false
|
|
},
|
|
"aiemx": {
|
|
"name": "Alger Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2822689454682537,
|
|
"corr_port": 0.23388171601651556,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35280375219391125,
|
|
"2023 rate shock": -0.13294231364323617,
|
|
"2024 vol spike": -0.0698096002573304,
|
|
"2025 tariff crash": -0.1336945918232152,
|
|
"2026 Q1 drawdown": -0.12079615648593
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35280375219391125,
|
|
"max_ret": -0.0698096002573304,
|
|
"all_pos": false
|
|
},
|
|
"aifrx": {
|
|
"name": "abrdn Global Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.09192537823827,
|
|
"corr_port": 0.3673030447747285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.196135680590932,
|
|
"2023 rate shock": -0.1332985603149569,
|
|
"2024 vol spike": -0.02623780965219813,
|
|
"2025 tariff crash": -0.031974862623634914,
|
|
"2026 Q1 drawdown": 0.029473310007188225
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.196135680590932,
|
|
"max_ret": 0.029473310007188225,
|
|
"all_pos": false
|
|
},
|
|
"aigox": {
|
|
"name": "Alger Growth & Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4800767400844559,
|
|
"corr_port": 0.3000463484489237,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2330025334340824,
|
|
"2023 rate shock": -0.08620049610457603,
|
|
"2024 vol spike": -0.06947037166200898,
|
|
"2025 tariff crash": -0.17854774552824204,
|
|
"2026 Q1 drawdown": -0.07318350781514427
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2330025334340824,
|
|
"max_ret": -0.06947037166200898,
|
|
"all_pos": false
|
|
},
|
|
"aigyx": {
|
|
"name": "abrdn Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3133445724781931,
|
|
"corr_port": 0.2473995553544873,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3013572777244208,
|
|
"2023 rate shock": -0.13716020742119628,
|
|
"2024 vol spike": -0.02103411641659525,
|
|
"2025 tariff crash": -0.13758536807977872,
|
|
"2026 Q1 drawdown": 0.020536529960455185
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.3013572777244208,
|
|
"max_ret": 0.020536529960455185,
|
|
"all_pos": false
|
|
},
|
|
"aiiex": {
|
|
"name": "Invesco EQV International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7325603050783553,
|
|
"corr_port": 0.3015194079932693,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29262919046802527,
|
|
"2023 rate shock": -0.1090258543824012,
|
|
"2024 vol spike": -0.06708062537153148,
|
|
"2025 tariff crash": -0.1466724595378318,
|
|
"2026 Q1 drawdown": -0.10831805796700444
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29262919046802527,
|
|
"max_ret": -0.06708062537153148,
|
|
"all_pos": false
|
|
},
|
|
"aioax": {
|
|
"name": "Columbia Income Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3269125361488289,
|
|
"corr_port": 0.3032787747663254,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1319123676232956,
|
|
"2023 rate shock": -0.02453967592520212,
|
|
"2024 vol spike": -0.002400675076471015,
|
|
"2025 tariff crash": -0.023786671884828303,
|
|
"2026 Q1 drawdown": -0.012719731370792964
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1319123676232956,
|
|
"max_ret": -0.002400675076471015,
|
|
"all_pos": false
|
|
},
|
|
"aivsx": {
|
|
"name": "INVESTMENT CO OF AMERICA",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0360752485609144,
|
|
"corr_port": 0.2939735093619342,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23773046057929537,
|
|
"2023 rate shock": -0.08750263467794961,
|
|
"2024 vol spike": -0.05430483988869794,
|
|
"2025 tariff crash": -0.16720089976229824,
|
|
"2026 Q1 drawdown": -0.09770917142929192
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23773046057929537,
|
|
"max_ret": -0.05430483988869794,
|
|
"all_pos": false
|
|
},
|
|
"aiwex": {
|
|
"name": "World Energy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5402195535518125,
|
|
"corr_port": 0.387117054054713,
|
|
"rets": {
|
|
"2022 bear mkt": 0.1806070004144733,
|
|
"2023 rate shock": -0.002039117612184449,
|
|
"2024 vol spike": -0.10497230791358081,
|
|
"2025 tariff crash": -0.17235857021288048,
|
|
"2026 Q1 drawdown": 0.12986367450005787
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17235857021288048,
|
|
"max_ret": 0.1806070004144733,
|
|
"all_pos": false
|
|
},
|
|
"alaax": {
|
|
"name": "INVESCO Income Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.290629225694115,
|
|
"corr_port": 0.3579231397245978,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16772960233664946,
|
|
"2023 rate shock": -0.05938166242403431,
|
|
"2024 vol spike": -0.016222233601905445,
|
|
"2025 tariff crash": -0.06077126838861202,
|
|
"2026 Q1 drawdown": -0.02834579446932073
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16772960233664946,
|
|
"max_ret": -0.016222233601905445,
|
|
"all_pos": false
|
|
},
|
|
"alarx": {
|
|
"name": "Alger Capital Appreciation Institutional Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.025993163607729595,
|
|
"corr_port": 0.12711835339626396,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36501705666908624,
|
|
"2023 rate shock": -0.09538093882938703,
|
|
"2024 vol spike": -0.09609902341860999,
|
|
"2025 tariff crash": -0.2625721839207228,
|
|
"2026 Q1 drawdown": -0.1483728470007878
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36501705666908624,
|
|
"max_ret": -0.09538093882938703,
|
|
"all_pos": false
|
|
},
|
|
"alcax": {
|
|
"name": "AB California Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6170302471119591,
|
|
"corr_port": 0.058405807885503286,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1124300715242127,
|
|
"2023 rate shock": -0.04537232666941915,
|
|
"2024 vol spike": 0.01582740541223493,
|
|
"2025 tariff crash": -0.023658997692739048,
|
|
"2026 Q1 drawdown": -0.009655762306656435
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1124300715242127,
|
|
"max_ret": 0.01582740541223493,
|
|
"all_pos": false
|
|
},
|
|
"aldax": {
|
|
"name": "Columbia Select Short Corporate Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.931757468196734,
|
|
"corr_port": 0.033685404136673806,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08323260157069057,
|
|
"2023 rate shock": -0.0042191571753664725,
|
|
"2024 vol spike": 0.011186738427082288,
|
|
"2025 tariff crash": 0.006308187484608707,
|
|
"2026 Q1 drawdown": -0.0037389638916524026
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08323260157069057,
|
|
"max_ret": 0.011186738427082288,
|
|
"all_pos": false
|
|
},
|
|
"alfyx": {
|
|
"name": "Lord Abbett Alpha Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8495880657986785,
|
|
"corr_port": 0.28519837927188874,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28932306154658505,
|
|
"2023 rate shock": -0.16368937626643365,
|
|
"2024 vol spike": -0.06646751806698803,
|
|
"2025 tariff crash": -0.1967635411575679,
|
|
"2026 Q1 drawdown": -0.08630456514495166
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28932306154658505,
|
|
"max_ret": -0.06646751806698803,
|
|
"all_pos": false
|
|
},
|
|
"algrx": {
|
|
"name": "Alger Focus Equity Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5179605879424757,
|
|
"corr_port": 0.13211359935486136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3554652613990381,
|
|
"2023 rate shock": -0.10466529484550358,
|
|
"2024 vol spike": -0.09130429577166266,
|
|
"2025 tariff crash": -0.25482130039719597,
|
|
"2026 Q1 drawdown": -0.14385933392003325
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3554652613990381,
|
|
"max_ret": -0.09130429577166266,
|
|
"all_pos": false
|
|
},
|
|
"almrx": {
|
|
"name": "Alger Mid Cap Growth Institutional Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.20458901081443276,
|
|
"corr_port": 0.07288999695315412,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34655877139438174,
|
|
"2023 rate shock": -0.15388480431655105,
|
|
"2024 vol spike": -0.0681198910081744,
|
|
"2025 tariff crash": -0.24274103755323262,
|
|
"2026 Q1 drawdown": -0.1294240111034004
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34655877139438174,
|
|
"max_ret": -0.0681198910081744,
|
|
"all_pos": false
|
|
},
|
|
"alnyx": {
|
|
"name": "AB New York Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.35139302720545784,
|
|
"corr_port": 0.04394515093498472,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12139661304695426,
|
|
"2023 rate shock": -0.05449435620750176,
|
|
"2024 vol spike": 0.015351085963361433,
|
|
"2025 tariff crash": -0.02327531247577619,
|
|
"2026 Q1 drawdown": -0.005339754392094442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12139661304695426,
|
|
"max_ret": 0.015351085963361433,
|
|
"all_pos": false
|
|
},
|
|
"alsmx": {
|
|
"name": "Archer Multi Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.04531453033815411,
|
|
"corr_port": 0.21085104541635438,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23059360439975274,
|
|
"2023 rate shock": -0.0937392000167564,
|
|
"2024 vol spike": -0.06115358936658133,
|
|
"2025 tariff crash": -0.17510257143984487,
|
|
"2026 Q1 drawdown": -0.03836477987421394
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23059360439975274,
|
|
"max_ret": -0.03836477987421394,
|
|
"all_pos": false
|
|
},
|
|
"alsrx": {
|
|
"name": "Alger Small Cap Growth Institutional Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3000564981770253,
|
|
"corr_port": 0.08018478971838412,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3688969714901007,
|
|
"2023 rate shock": -0.16888043311848955,
|
|
"2024 vol spike": -0.07078043014387647,
|
|
"2025 tariff crash": -0.26372310051240444,
|
|
"2026 Q1 drawdown": -0.17311946902654862
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3688969714901007,
|
|
"max_ret": -0.07078043014387647,
|
|
"all_pos": false
|
|
},
|
|
"altfx": {
|
|
"name": "AB SUSTAINABLE GLOBAL THEMATIC FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.217404164282936,
|
|
"corr_port": 0.24484433097144093,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34087413146942713,
|
|
"2023 rate shock": -0.1281331147137763,
|
|
"2024 vol spike": -0.04420905714420165,
|
|
"2025 tariff crash": -0.1905506388817868,
|
|
"2026 Q1 drawdown": -0.1218956889685957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34087413146942713,
|
|
"max_ret": -0.04420905714420165,
|
|
"all_pos": false
|
|
},
|
|
"althx": {
|
|
"name": "AB National Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4433498788983616,
|
|
"corr_port": 0.044021528621635574,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1163588240636122,
|
|
"2023 rate shock": -0.04870590035189104,
|
|
"2024 vol spike": 0.016095366889411267,
|
|
"2025 tariff crash": -0.026005095595995842,
|
|
"2026 Q1 drawdown": -0.007609910111150087
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1163588240636122,
|
|
"max_ret": 0.016095366889411267,
|
|
"all_pos": false
|
|
},
|
|
"alvix": {
|
|
"name": "FOCUSED LARGE CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2268582259490155,
|
|
"corr_port": 0.39707812592441855,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11112287520489506,
|
|
"2023 rate shock": -0.08853654501521768,
|
|
"2024 vol spike": -0.021475256127853504,
|
|
"2025 tariff crash": -0.10942454562916115,
|
|
"2026 Q1 drawdown": -0.0347507333701178
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11112287520489506,
|
|
"max_ret": -0.021475256127853504,
|
|
"all_pos": false
|
|
},
|
|
"alvox": {
|
|
"name": "Alger Capital Appreciation Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.16432087275489304,
|
|
"corr_port": 0.13882340354905015,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3638113014456307,
|
|
"2023 rate shock": -0.09367257881708513,
|
|
"2024 vol spike": -0.09550779579133273,
|
|
"2025 tariff crash": -0.25949671049443535,
|
|
"2026 Q1 drawdown": -0.14621688636147634
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3638113014456307,
|
|
"max_ret": -0.09367257881708513,
|
|
"all_pos": false
|
|
},
|
|
"amaax": {
|
|
"name": "AB Massachusetts Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.1081567760737241,
|
|
"corr_port": 0.036922280866619944,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11553912457113535,
|
|
"2023 rate shock": -0.05162115392364075,
|
|
"2024 vol spike": 0.015927293802328935,
|
|
"2025 tariff crash": -0.025187455425123906,
|
|
"2026 Q1 drawdown": -0.00723397726441799
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11553912457113535,
|
|
"max_ret": 0.015927293802328935,
|
|
"all_pos": false
|
|
},
|
|
"amcpx": {
|
|
"name": "AMCAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8894123510514136,
|
|
"corr_port": 0.19284055498145847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31787300974438015,
|
|
"2023 rate shock": -0.11288568586212633,
|
|
"2024 vol spike": -0.062060987516629695,
|
|
"2025 tariff crash": -0.19173787296930256,
|
|
"2026 Q1 drawdown": -0.1298756773115668
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31787300974438015,
|
|
"max_ret": -0.062060987516629695,
|
|
"all_pos": false
|
|
},
|
|
"amczx": {
|
|
"name": "Alger Mid Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.43663623726863937,
|
|
"corr_port": 0.0766143279687423,
|
|
"rets": {
|
|
"2022 bear mkt": -0.344159900062461,
|
|
"2023 rate shock": -0.15260736196319002,
|
|
"2024 vol spike": -0.06791406791406795,
|
|
"2025 tariff crash": -0.24117647058823533,
|
|
"2026 Q1 drawdown": -0.13027421573176245
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.344159900062461,
|
|
"max_ret": -0.06791406791406795,
|
|
"all_pos": false
|
|
},
|
|
"amecx": {
|
|
"name": "INCOME FUND OF AMERICA",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.731164632069177,
|
|
"corr_port": 0.419776246363064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15360526963239896,
|
|
"2023 rate shock": -0.07509776519393907,
|
|
"2024 vol spike": -0.027655362624626756,
|
|
"2025 tariff crash": -0.08509229095188586,
|
|
"2026 Q1 drawdown": -0.025475183461979523
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15360526963239896,
|
|
"max_ret": -0.025475183461979523,
|
|
"all_pos": false
|
|
},
|
|
"amfex": {
|
|
"name": "AAMA Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05323724244002856,
|
|
"corr_port": 0.26721415882565996,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20802709653003715,
|
|
"2023 rate shock": -0.08952501852565631,
|
|
"2024 vol spike": -0.061449574815328534,
|
|
"2025 tariff crash": -0.14915069704388628,
|
|
"2026 Q1 drawdown": -0.04065045731707306
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20802709653003715,
|
|
"max_ret": -0.04065045731707306,
|
|
"all_pos": false
|
|
},
|
|
"amgox": {
|
|
"name": "Alger Mid Cap Growth Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.304074440512436,
|
|
"corr_port": 0.0826431750203498,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3556485522817524,
|
|
"2023 rate shock": -0.15412407259939354,
|
|
"2024 vol spike": -0.0685155012787112,
|
|
"2025 tariff crash": -0.24861874993640654,
|
|
"2026 Q1 drawdown": -0.1309573199733659
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3556485522817524,
|
|
"max_ret": -0.0685155012787112,
|
|
"all_pos": false
|
|
},
|
|
"amhix": {
|
|
"name": "AMERICAN HIGH-INCOME MUNICIPAL BOND FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.178178838491646,
|
|
"corr_port": 0.05273182089925123,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13981995110695755,
|
|
"2023 rate shock": -0.05654413657307111,
|
|
"2024 vol spike": 0.020113954290134073,
|
|
"2025 tariff crash": -0.03304335558751437,
|
|
"2026 Q1 drawdown": -0.007644305658039863
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13981995110695755,
|
|
"max_ret": 0.020113954290134073,
|
|
"all_pos": false
|
|
},
|
|
"amhyx": {
|
|
"name": "INVESCO High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6606357477152149,
|
|
"corr_port": 0.3059228398230599,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13419283102148138,
|
|
"2023 rate shock": -0.02736033715626285,
|
|
"2024 vol spike": -0.005949189524180665,
|
|
"2025 tariff crash": -0.03176848807351529,
|
|
"2026 Q1 drawdown": -0.01756707620663922
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13419283102148138,
|
|
"max_ret": -0.005949189524180665,
|
|
"all_pos": false
|
|
},
|
|
"amlpx": {
|
|
"name": "MainGate MLP Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8963657570065027,
|
|
"corr_port": 0.28840987901622145,
|
|
"rets": {
|
|
"2022 bear mkt": 0.18116454232413526,
|
|
"2023 rate shock": 0.02330734360775355,
|
|
"2024 vol spike": -0.048919170770590825,
|
|
"2025 tariff crash": -0.1390792902665462,
|
|
"2026 Q1 drawdown": 0.1229838941355812
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.1390792902665462,
|
|
"max_ret": 0.18116454232413526,
|
|
"all_pos": false
|
|
},
|
|
"amrgx": {
|
|
"name": "AMERICAN GROWTH FUND Series One",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9212417485985278,
|
|
"corr_port": 0.22758334358504806,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2892158104330813,
|
|
"2023 rate shock": -0.07659591726050308,
|
|
"2024 vol spike": -0.07125321379598648,
|
|
"2025 tariff crash": -0.15055248618784522,
|
|
"2026 Q1 drawdown": -0.05972222222222234
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2892158104330813,
|
|
"max_ret": -0.05972222222222234,
|
|
"all_pos": false
|
|
},
|
|
"amrmx": {
|
|
"name": "AMERICAN MUTUAL FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9318154825800707,
|
|
"corr_port": 0.37119657069970646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14255816148697298,
|
|
"2023 rate shock": -0.08543446285589418,
|
|
"2024 vol spike": -0.03075541870287457,
|
|
"2025 tariff crash": -0.12870401448280733,
|
|
"2026 Q1 drawdown": -0.05087007675600397
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14255816148697298,
|
|
"max_ret": -0.03075541870287457,
|
|
"all_pos": false
|
|
},
|
|
"amtax": {
|
|
"name": "AB All Market Real Return Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.02329100370754931,
|
|
"corr_port": 0.36040625403460225,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11414125970395228,
|
|
"2023 rate shock": -0.08296464064082132,
|
|
"2024 vol spike": -0.055016015034483834,
|
|
"2025 tariff crash": -0.11678836256997105,
|
|
"2026 Q1 drawdown": 0.0
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11678836256997105,
|
|
"max_ret": 0.0,
|
|
"all_pos": false
|
|
},
|
|
"amusx": {
|
|
"name": "U.S. Government Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.16439862436021924,
|
|
"corr_port": -0.15991398197880557,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12036010116555618,
|
|
"2023 rate shock": -0.039076446928866915,
|
|
"2024 vol spike": 0.025318434810179147,
|
|
"2025 tariff crash": 0.023859401708940187,
|
|
"2026 Q1 drawdown": -0.006425527818451848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12036010116555618,
|
|
"max_ret": 0.025318434810179147,
|
|
"all_pos": false
|
|
},
|
|
"anagx": {
|
|
"name": "AB GLOBAL BOND FUND, INC.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.18903521277056506,
|
|
"corr_port": -0.028683816633699556,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13656982159267483,
|
|
"2023 rate shock": -0.025664598996091414,
|
|
"2024 vol spike": 0.016108491949244907,
|
|
"2025 tariff crash": 0.005506854718316356,
|
|
"2026 Q1 drawdown": -0.011841196348225558
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13656982159267483,
|
|
"max_ret": 0.016108491949244907,
|
|
"all_pos": false
|
|
},
|
|
"ancfx": {
|
|
"name": "AMERICAN FUNDS FUNDAMENTAL INVESTORS",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6978179582165551,
|
|
"corr_port": 0.2941062647402171,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24086670740180094,
|
|
"2023 rate shock": -0.09451832146869199,
|
|
"2024 vol spike": -0.06357909134446815,
|
|
"2025 tariff crash": -0.1742272936783822,
|
|
"2026 Q1 drawdown": -0.10664626463807969
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24086670740180094,
|
|
"max_ret": -0.06357909134446815,
|
|
"all_pos": false
|
|
},
|
|
"anefx": {
|
|
"name": "NEW ECONOMY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6082130800652039,
|
|
"corr_port": 0.18842591426708236,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3251231832919733,
|
|
"2023 rate shock": -0.09646976958316877,
|
|
"2024 vol spike": -0.07847179069658816,
|
|
"2025 tariff crash": -0.2005885123974125,
|
|
"2026 Q1 drawdown": -0.12835970086638404
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3251231832919733,
|
|
"max_ret": -0.07847179069658816,
|
|
"all_pos": false
|
|
},
|
|
"angl": {
|
|
"name": "VanEck Fallen Angel High Yield Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8719850529405583,
|
|
"corr_port": 0.20483498703200104,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1754921682110605,
|
|
"2023 rate shock": -0.03200889800013096,
|
|
"2024 vol spike": -0.006776234765862754,
|
|
"2025 tariff crash": -0.048681782856722755,
|
|
"2026 Q1 drawdown": -0.029406264777183
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1754921682110605,
|
|
"max_ret": -0.006776234765862754,
|
|
"all_pos": false
|
|
},
|
|
"anglx": {
|
|
"name": "Angel Oak Multi-Strategy Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.353689236783684,
|
|
"corr_port": 0.07045150084116057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10217690991423822,
|
|
"2023 rate shock": -0.006939778424385423,
|
|
"2024 vol spike": 0.015564467642263713,
|
|
"2025 tariff crash": 0.014525798651407573,
|
|
"2026 Q1 drawdown": 0.0017973292709798638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.10217690991423822,
|
|
"max_ret": 0.015564467642263713,
|
|
"all_pos": false
|
|
},
|
|
"annpx": {
|
|
"name": "Virtus Convertible Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4037662178210554,
|
|
"corr_port": 0.1565869339053387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1968078282603779,
|
|
"2023 rate shock": -0.09880256932281029,
|
|
"2024 vol spike": -0.03863571719533565,
|
|
"2025 tariff crash": -0.11179855550185747,
|
|
"2026 Q1 drawdown": -0.060627622461184805
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1968078282603779,
|
|
"max_ret": -0.03863571719533565,
|
|
"all_pos": false
|
|
},
|
|
"anwpx": {
|
|
"name": "NEW PERSPECTIVE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0070427321883746,
|
|
"corr_port": 0.25897191693061106,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3257382143669121,
|
|
"2023 rate shock": -0.10856536923614213,
|
|
"2024 vol spike": -0.06665610708457903,
|
|
"2025 tariff crash": -0.1733312492888296,
|
|
"2026 Q1 drawdown": -0.11369225198141586
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3257382143669121,
|
|
"max_ret": -0.06665610708457903,
|
|
"all_pos": false
|
|
},
|
|
"aotax": {
|
|
"name": "Virtus Emerging Markets Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3138226402136864,
|
|
"corr_port": 0.3274305623100404,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2710951788266125,
|
|
"2023 rate shock": -0.11002784926196296,
|
|
"2024 vol spike": -0.08610120000658172,
|
|
"2025 tariff crash": -0.13331038556687547,
|
|
"2026 Q1 drawdown": -0.10261469899815734
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2710951788266125,
|
|
"max_ret": -0.08610120000658172,
|
|
"all_pos": false
|
|
},
|
|
"apfdx": {
|
|
"name": "Artisan Global Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0147610068533752,
|
|
"corr_port": 0.12110403488665698,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3452935548920305,
|
|
"2023 rate shock": -0.13359636645685002,
|
|
"2024 vol spike": -0.05906319288082007,
|
|
"2025 tariff crash": -0.19928822440650995,
|
|
"2026 Q1 drawdown": -0.11938825851011337
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3452935548920305,
|
|
"max_ret": -0.05906319288082007,
|
|
"all_pos": false
|
|
},
|
|
"apgax": {
|
|
"name": "AB LARGE CAP GROWTH FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8982608295754166,
|
|
"corr_port": 0.15590970757624298,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3191561922266153,
|
|
"2023 rate shock": -0.08242531386694607,
|
|
"2024 vol spike": -0.08286205368538635,
|
|
"2025 tariff crash": -0.1968020887367563,
|
|
"2026 Q1 drawdown": -0.12990473179075157
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3191561922266153,
|
|
"max_ret": -0.08242531386694607,
|
|
"all_pos": false
|
|
},
|
|
"aphmx": {
|
|
"name": "Artisan Mid Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.0781096611431513,
|
|
"corr_port": 0.10549465872117479,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34115341630120255,
|
|
"2023 rate shock": -0.13566363491253475,
|
|
"2024 vol spike": -0.08480400217907735,
|
|
"2025 tariff crash": -0.22401277190743796,
|
|
"2026 Q1 drawdown": -0.11779866234663561
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34115341630120255,
|
|
"max_ret": -0.08480400217907735,
|
|
"all_pos": false
|
|
},
|
|
"apoix": {
|
|
"name": "SHORT DURATION INFLATION PROTECTION BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.1523576618177547,
|
|
"corr_port": 0.034343896411683,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04483017539279355,
|
|
"2023 rate shock": 0.003006095363325745,
|
|
"2024 vol spike": 0.006822585222022948,
|
|
"2025 tariff crash": 0.01545898872419249,
|
|
"2026 Q1 drawdown": 0.0028762589787756365
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04483017539279355,
|
|
"max_ret": 0.01545898872419249,
|
|
"all_pos": false
|
|
},
|
|
"aqeax": {
|
|
"name": "Columbia Disciplined Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6332442088967201,
|
|
"corr_port": 0.30186867669294265,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23691470503155054,
|
|
"2023 rate shock": -0.1055429132009249,
|
|
"2024 vol spike": -0.06921087839692741,
|
|
"2025 tariff crash": -0.19418765335296873,
|
|
"2026 Q1 drawdown": -0.08595800524934383
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23691470503155054,
|
|
"max_ret": -0.06921087839692741,
|
|
"all_pos": false
|
|
},
|
|
"aqeix": {
|
|
"name": "LKCM Aquinas Catholic Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.523902796100778,
|
|
"corr_port": 0.2942622468332189,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2190378603631049,
|
|
"2023 rate shock": -0.10754603511739935,
|
|
"2024 vol spike": -0.07887763093016731,
|
|
"2025 tariff crash": -0.1752747361797573,
|
|
"2026 Q1 drawdown": -0.06139386061946883
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2190378603631049,
|
|
"max_ret": -0.06139386061946883,
|
|
"all_pos": false
|
|
},
|
|
"arbfx": {
|
|
"name": "ARBITRAGE FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.197474942533492,
|
|
"corr_port": 0.17090871277717415,
|
|
"rets": {
|
|
"2022 bear mkt": -0.014901959288830757,
|
|
"2023 rate shock": 0.007299225272606735,
|
|
"2024 vol spike": -0.0038941170865626207,
|
|
"2025 tariff crash": -0.01217665383852784,
|
|
"2026 Q1 drawdown": 0.0029695619896064063
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.014901959288830757,
|
|
"max_ret": 0.007299225272606735,
|
|
"all_pos": false
|
|
},
|
|
"archx": {
|
|
"name": "Archer Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.327906436297196,
|
|
"corr_port": 0.3218546440899444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18000226186491097,
|
|
"2023 rate shock": -0.07919897803176357,
|
|
"2024 vol spike": -0.03626068722609099,
|
|
"2025 tariff crash": -0.11023428506836386,
|
|
"2026 Q1 drawdown": -0.03850111331787198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18000226186491097,
|
|
"max_ret": -0.03626068722609099,
|
|
"all_pos": false
|
|
},
|
|
"arcvx": {
|
|
"name": "ONE CHOICE 2030 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7054195553328397,
|
|
"corr_port": 0.314931550060772,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19809236525420304,
|
|
"2023 rate shock": -0.06890751738326162,
|
|
"2024 vol spike": -0.025781173069399865,
|
|
"2025 tariff crash": -0.08163266569318073,
|
|
"2026 Q1 drawdown": -0.04173354735152501
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19809236525420304,
|
|
"max_ret": -0.025781173069399865,
|
|
"all_pos": false
|
|
},
|
|
"ardex": {
|
|
"name": "AMG River Road Dividend All Cap Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.16184780897704795,
|
|
"corr_port": 0.3907568414482263,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13191434081606335,
|
|
"2023 rate shock": -0.10678537979487712,
|
|
"2024 vol spike": -0.03804858948425405,
|
|
"2025 tariff crash": -0.12384962136935396,
|
|
"2026 Q1 drawdown": -0.017264866226284092
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13191434081606335,
|
|
"max_ret": -0.017264866226284092,
|
|
"all_pos": false
|
|
},
|
|
"ardgx": {
|
|
"name": "Archer Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6540747583769206,
|
|
"corr_port": 0.3986965461826544,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11895524307157357,
|
|
"2023 rate shock": -0.10608559984995314,
|
|
"2024 vol spike": -0.01752810155415241,
|
|
"2025 tariff crash": -0.10339170503799988,
|
|
"2026 Q1 drawdown": 0.015476314614851994
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11895524307157357,
|
|
"max_ret": 0.015476314614851994,
|
|
"all_pos": false
|
|
},
|
|
"ardsx": {
|
|
"name": "ONE CHOICE 2040 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.2153881034243312,
|
|
"corr_port": 0.3158098469784318,
|
|
"rets": {
|
|
"2022 bear mkt": -0.220558320563067,
|
|
"2023 rate shock": -0.08339886925124429,
|
|
"2024 vol spike": -0.03460709524681538,
|
|
"2025 tariff crash": -0.10174413691444695,
|
|
"2026 Q1 drawdown": -0.05212922173274592
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.220558320563067,
|
|
"max_ret": -0.03460709524681538,
|
|
"all_pos": false
|
|
},
|
|
"arevx": {
|
|
"name": "ONE CHOICE 2055 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0258172394571576,
|
|
"corr_port": 0.316315045732053,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24379239503626982,
|
|
"2023 rate shock": -0.10174990937687856,
|
|
"2024 vol spike": -0.0493325936150355,
|
|
"2025 tariff crash": -0.1329149966943145,
|
|
"2026 Q1 drawdown": -0.0677582759886095
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24379239503626982,
|
|
"max_ret": -0.0493325936150355,
|
|
"all_pos": false
|
|
},
|
|
"arfvx": {
|
|
"name": "ONE CHOICE 2050 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.564748320125105,
|
|
"corr_port": 0.314738518616855,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23878711229367833,
|
|
"2023 rate shock": -0.09729331554390397,
|
|
"2024 vol spike": -0.04431217104654106,
|
|
"2025 tariff crash": -0.12294545306154658,
|
|
"2026 Q1 drawdown": -0.06353408338848443
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23878711229367833,
|
|
"max_ret": -0.04431217104654106,
|
|
"all_pos": false
|
|
},
|
|
"argvx": {
|
|
"name": "ONE CHOICE 2060 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0365487351831497,
|
|
"corr_port": 0.2888538897463655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2461538473367454,
|
|
"2023 rate shock": -0.103645390663747,
|
|
"2024 vol spike": -0.051118292103357166,
|
|
"2025 tariff crash": -0.13752333154666407,
|
|
"2026 Q1 drawdown": -0.07082833133253297
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2461538473367454,
|
|
"max_ret": -0.051118292103357166,
|
|
"all_pos": false
|
|
},
|
|
"arhfx": {
|
|
"name": "One Choice 2065 Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.68520083404096,
|
|
"corr_port": 0.12832723543030577,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2509835141289347,
|
|
"2023 rate shock": -0.10647752597016968,
|
|
"2024 vol spike": -0.053090394915814354,
|
|
"2025 tariff crash": -0.14209325529664696,
|
|
"2026 Q1 drawdown": -0.07323943661971821
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2509835141289347,
|
|
"max_ret": -0.053090394915814354,
|
|
"all_pos": false
|
|
},
|
|
"ariix": {
|
|
"name": "AB Global Real Estate Investment Fund II",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9490576800432892,
|
|
"corr_port": 0.3015486347106098,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3309843349994739,
|
|
"2023 rate shock": -0.140724012929605,
|
|
"2024 vol spike": -0.027397220073658968,
|
|
"2025 tariff crash": -0.11691276114432148,
|
|
"2026 Q1 drawdown": -0.04177161457245837
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3309843349994739,
|
|
"max_ret": -0.027397220073658968,
|
|
"all_pos": false
|
|
},
|
|
"arinx": {
|
|
"name": "Archer Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.6498770365825726,
|
|
"corr_port": 0.0847722756188009,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07981713412071367,
|
|
"2023 rate shock": -0.0009824246579478446,
|
|
"2024 vol spike": 0.00694823034876535,
|
|
"2025 tariff crash": 0.0020834112907477387,
|
|
"2026 Q1 drawdown": -0.005255389490155138
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07981713412071367,
|
|
"max_ret": 0.00694823034876535,
|
|
"all_pos": false
|
|
},
|
|
"aroix": {
|
|
"name": "ONE CHOICE 2045 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.5636535731879415,
|
|
"corr_port": 0.3164812810302356,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23158468694492818,
|
|
"2023 rate shock": -0.09157508376744616,
|
|
"2024 vol spike": -0.0394882088160009,
|
|
"2025 tariff crash": -0.11314479944345612,
|
|
"2026 Q1 drawdown": -0.05837004405286339
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23158468694492818,
|
|
"max_ret": -0.0394882088160009,
|
|
"all_pos": false
|
|
},
|
|
"arskx": {
|
|
"name": "Archer Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9444574421168712,
|
|
"corr_port": 0.2500632859169881,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27465087556132917,
|
|
"2023 rate shock": -0.09712015162277687,
|
|
"2024 vol spike": -0.052150620843465556,
|
|
"2025 tariff crash": -0.16695037556318415,
|
|
"2026 Q1 drawdown": -0.09216066112627563
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27465087556132917,
|
|
"max_ret": -0.052150620843465556,
|
|
"all_pos": false
|
|
},
|
|
"artox": {
|
|
"name": "ONE CHOICE IN RETIREMENT PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1637947179693156,
|
|
"corr_port": 0.30206301935869606,
|
|
"rets": {
|
|
"2022 bear mkt": -0.179287577576409,
|
|
"2023 rate shock": -0.060215130515541504,
|
|
"2024 vol spike": -0.021462652667028626,
|
|
"2025 tariff crash": -0.07218203875468787,
|
|
"2026 Q1 drawdown": -0.038207584344238654
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.179287577576409,
|
|
"max_ret": -0.021462652667028626,
|
|
"all_pos": false
|
|
},
|
|
"artrx": {
|
|
"name": "Artisan Global Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.967434265008641,
|
|
"corr_port": 0.21222457135615286,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3416302464166605,
|
|
"2023 rate shock": -0.11856526203232154,
|
|
"2024 vol spike": -0.07765046456457125,
|
|
"2025 tariff crash": -0.18552039916752638,
|
|
"2026 Q1 drawdown": -0.1030179658449788
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3416302464166605,
|
|
"max_ret": -0.07765046456457125,
|
|
"all_pos": false
|
|
},
|
|
"artsx": {
|
|
"name": "Artisan Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.741348538600345,
|
|
"corr_port": 0.07322123486962524,
|
|
"rets": {
|
|
"2022 bear mkt": -0.324040150374028,
|
|
"2023 rate shock": -0.20216930256638066,
|
|
"2024 vol spike": -0.09106427026801522,
|
|
"2025 tariff crash": -0.2299199476557059,
|
|
"2026 Q1 drawdown": -0.12956534948362308
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.324040150374028,
|
|
"max_ret": -0.09106427026801522,
|
|
"all_pos": false
|
|
},
|
|
"aryix": {
|
|
"name": "ONE CHOICE 2035 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1548500686075283,
|
|
"corr_port": 0.3178996694847194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2104658067935664,
|
|
"2023 rate shock": -0.07636610302044156,
|
|
"2024 vol spike": -0.03043219570173772,
|
|
"2025 tariff crash": -0.09074305629267232,
|
|
"2026 Q1 drawdown": -0.04689403166869677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2104658067935664,
|
|
"max_ret": -0.03043219570173772,
|
|
"all_pos": false
|
|
},
|
|
"asbax": {
|
|
"name": "Short-Term Bond Fund of America",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.1946124792424224,
|
|
"corr_port": -0.10194378494399323,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04506751107506801,
|
|
"2023 rate shock": 0.004922697040273372,
|
|
"2024 vol spike": 0.01298866638839069,
|
|
"2025 tariff crash": 0.01293952045838731,
|
|
"2026 Q1 drawdown": -0.001474992339425829
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04506751107506801,
|
|
"max_ret": 0.01298866638839069,
|
|
"all_pos": false
|
|
},
|
|
"ascgx": {
|
|
"name": "Lisanti Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6232528694370119,
|
|
"corr_port": 0.1590243482586561,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35694821329919657,
|
|
"2023 rate shock": -0.196376433579451,
|
|
"2024 vol spike": -0.09578737102378487,
|
|
"2025 tariff crash": -0.22662158801818189,
|
|
"2026 Q1 drawdown": -0.11199664429530198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35694821329919657,
|
|
"max_ret": -0.09578737102378487,
|
|
"all_pos": false
|
|
},
|
|
"asdvx": {
|
|
"name": "SHORT DURATION STRATEGIC INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 3.48714189139368,
|
|
"corr_port": 0.11317382167081359,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06979204174318121,
|
|
"2023 rate shock": 0.002866550991646344,
|
|
"2024 vol spike": 0.009988259876116512,
|
|
"2025 tariff crash": 0.003674422144613221,
|
|
"2026 Q1 drawdown": -0.004243114431031869
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.06979204174318121,
|
|
"max_ret": 0.009988259876116512,
|
|
"all_pos": false
|
|
},
|
|
"asfcx": {
|
|
"name": "Virtus AlphaSimplex Managed Futures Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0719592828469746,
|
|
"corr_port": 0.2109754219397301,
|
|
"rets": {
|
|
"2022 bear mkt": 0.44514733075595125,
|
|
"2023 rate shock": 0.01472254672627904,
|
|
"2024 vol spike": -0.10960449118804427,
|
|
"2025 tariff crash": -0.16182037699427942,
|
|
"2026 Q1 drawdown": -0.008021390374331583
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16182037699427942,
|
|
"max_ret": 0.44514733075595125,
|
|
"all_pos": false
|
|
},
|
|
"asiax": {
|
|
"name": "Invesco Asia Pacific Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2548568123228088,
|
|
"corr_port": 0.25857046103270287,
|
|
"rets": {
|
|
"2022 bear mkt": -0.227027019662997,
|
|
"2023 rate shock": -0.11122590144939848,
|
|
"2024 vol spike": -0.060731520773924075,
|
|
"2025 tariff crash": -0.1356910995704067,
|
|
"2026 Q1 drawdown": -0.09715796430931922
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.227027019662997,
|
|
"max_ret": -0.060731520773924075,
|
|
"all_pos": false
|
|
},
|
|
"asihx": {
|
|
"name": "MULTISECTOR INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.24040995086239672,
|
|
"corr_port": 0.15481990395473977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1271649381876645,
|
|
"2023 rate shock": -0.027070682887300968,
|
|
"2024 vol spike": 0.01203180700244677,
|
|
"2025 tariff crash": -0.012241103236423023,
|
|
"2026 Q1 drawdown": -0.013166431303044512
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1271649381876645,
|
|
"max_ret": 0.01203180700244677,
|
|
"all_pos": false
|
|
},
|
|
"asmmx": {
|
|
"name": "INVESCO SUMMIT FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7620455426028334,
|
|
"corr_port": 0.15544116019908738,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3372757940600898,
|
|
"2023 rate shock": -0.11913873995055313,
|
|
"2024 vol spike": -0.09757010123032728,
|
|
"2025 tariff crash": -0.25264953419947767,
|
|
"2026 Q1 drawdown": -0.14414414414414412
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3372757940600898,
|
|
"max_ret": -0.09757010123032728,
|
|
"all_pos": false
|
|
},
|
|
"asqix": {
|
|
"name": "SMALL COMPANY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1920809589627283,
|
|
"corr_port": 0.29289480334142154,
|
|
"rets": {
|
|
"2022 bear mkt": -0.258293273469253,
|
|
"2023 rate shock": -0.12951888841697523,
|
|
"2024 vol spike": -0.06936074562327521,
|
|
"2025 tariff crash": -0.19856335048721818,
|
|
"2026 Q1 drawdown": -0.07340420603213849
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.258293273469253,
|
|
"max_ret": -0.06936074562327521,
|
|
"all_pos": false
|
|
},
|
|
"asrax": {
|
|
"name": "Invesco Global Real Estate Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1038671132184634,
|
|
"corr_port": 0.278166413578444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2572462093852955,
|
|
"2023 rate shock": -0.09724821135995176,
|
|
"2024 vol spike": -0.0180072916410825,
|
|
"2025 tariff crash": -0.10622660280407381,
|
|
"2026 Q1 drawdown": -0.030170927813091497
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2572462093852955,
|
|
"max_ret": -0.0180072916410825,
|
|
"all_pos": false
|
|
},
|
|
"astex": {
|
|
"name": "AMERICAN FUNDS SHORT-TERM TAX-EXEMPT BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.9377373640958462,
|
|
"corr_port": 0.037701686976375604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04362370938455784,
|
|
"2023 rate shock": -0.012463509619636715,
|
|
"2024 vol spike": 0.008276155359239201,
|
|
"2025 tariff crash": -0.004440985721968604,
|
|
"2026 Q1 drawdown": -0.003686408475216507
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04362370938455784,
|
|
"max_ret": 0.008276155359239201,
|
|
"all_pos": false
|
|
},
|
|
"asvix": {
|
|
"name": "SMALL CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5408782132612334,
|
|
"corr_port": 0.3409741560710824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22751616784572481,
|
|
"2023 rate shock": -0.16777002458183832,
|
|
"2024 vol spike": -0.08660728567128151,
|
|
"2025 tariff crash": -0.21956093426182655,
|
|
"2026 Q1 drawdown": -0.03640256959314769
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22751616784572481,
|
|
"max_ret": -0.03640256959314769,
|
|
"all_pos": false
|
|
},
|
|
"asylx": {
|
|
"name": "AB Select US Long/Short Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3672424657343596,
|
|
"corr_port": 0.3100471337195512,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11901510426427064,
|
|
"2023 rate shock": -0.0466515453037909,
|
|
"2024 vol spike": -0.044502566330567594,
|
|
"2025 tariff crash": -0.07558132478721835,
|
|
"2026 Q1 drawdown": -0.03429355281207136
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11901510426427064,
|
|
"max_ret": -0.03429355281207136,
|
|
"all_pos": false
|
|
},
|
|
"atfax": {
|
|
"name": "Invesco Limited Term Municipal Income",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.8294952371974633,
|
|
"corr_port": 0.05986052684904451,
|
|
"rets": {
|
|
"2022 bear mkt": -0.045850505304433575,
|
|
"2023 rate shock": -0.022127524731426207,
|
|
"2024 vol spike": 0.00921017692013626,
|
|
"2025 tariff crash": -0.009904930432139136,
|
|
"2026 Q1 drawdown": -0.004399389856597047
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.045850505304433575,
|
|
"max_ret": 0.00921017692013626,
|
|
"all_pos": false
|
|
},
|
|
"atoax": {
|
|
"name": "abrdn Ultra Short Municipal Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 6.326736305398161,
|
|
"corr_port": 0.055915486085780564,
|
|
"rets": {
|
|
"2022 bear mkt": 0.0011001882236265637,
|
|
"2023 rate shock": 0.00518468468713329,
|
|
"2024 vol spike": 0.00268334652004687,
|
|
"2025 tariff crash": 0.004674513398207569,
|
|
"2026 Q1 drawdown": 0.003178975007084528
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0011001882236265637,
|
|
"max_ret": 0.00518468468713329,
|
|
"all_pos": true
|
|
},
|
|
"attyx": {
|
|
"name": "AB Tax-Aware Fixed Income Opportunities Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1499103022459904,
|
|
"corr_port": 0.11754577576422559,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11838175304497567,
|
|
"2023 rate shock": -0.053267167091551215,
|
|
"2024 vol spike": 0.016393474255735452,
|
|
"2025 tariff crash": -0.025137418177446857,
|
|
"2026 Q1 drawdown": -0.01153691226940412
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11838175304497567,
|
|
"max_ret": 0.016393474255735452,
|
|
"all_pos": false
|
|
},
|
|
"atwax": {
|
|
"name": "AB Tax-Managed Wealth Appreciation Strategy",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2287173075228492,
|
|
"corr_port": 0.3293266908696463,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2616554958808973,
|
|
"2023 rate shock": -0.10289396214256796,
|
|
"2024 vol spike": -0.0778928166877435,
|
|
"2025 tariff crash": -0.17198278338766804,
|
|
"2026 Q1 drawdown": -0.08720060206589086
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2616554958808973,
|
|
"max_ret": -0.0778928166877435,
|
|
"all_pos": false
|
|
},
|
|
"augax": {
|
|
"name": "Columbia Quality Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1203725242670417,
|
|
"corr_port": -0.09675380342003924,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18434076597659343,
|
|
"2023 rate shock": -0.05920600019320743,
|
|
"2024 vol spike": 0.0394166868540855,
|
|
"2025 tariff crash": 0.025294560195754823,
|
|
"2026 Q1 drawdown": -0.0017553249220368938
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18434076597659343,
|
|
"max_ret": 0.0394166868540855,
|
|
"all_pos": false
|
|
},
|
|
"auiax": {
|
|
"name": "AB EQUITY INCOME FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.253769831337443,
|
|
"corr_port": 0.35236252731601975,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19687424229171713,
|
|
"2023 rate shock": -0.09315929947260881,
|
|
"2024 vol spike": -0.06753631754145584,
|
|
"2025 tariff crash": -0.17134647857637286,
|
|
"2026 Q1 drawdown": -0.07469855040607076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19687424229171713,
|
|
"max_ret": -0.06753631754145584,
|
|
"all_pos": false
|
|
},
|
|
"aunax": {
|
|
"name": "AB Municipal Bond Inflation Strategy",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7368087556445448,
|
|
"corr_port": 0.1758125403949235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07042186620929125,
|
|
"2023 rate shock": -0.024738874022456336,
|
|
"2024 vol spike": -0.0009259262893976938,
|
|
"2025 tariff crash": -0.025318754764206863,
|
|
"2026 Q1 drawdown": -0.0075244684171020815
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.07042186620929125,
|
|
"max_ret": -0.0009259262893976938,
|
|
"all_pos": false
|
|
},
|
|
"auuyx": {
|
|
"name": "AB Select US Equity Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6033232155277348,
|
|
"corr_port": 0.29845235513004115,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2060426266787575,
|
|
"2023 rate shock": -0.08450703596343401,
|
|
"2024 vol spike": -0.06507310612980433,
|
|
"2025 tariff crash": -0.16983576207083229,
|
|
"2026 Q1 drawdown": -0.08004782636209373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2060426266787575,
|
|
"max_ret": -0.06507310612980433,
|
|
"all_pos": false
|
|
},
|
|
"avaax": {
|
|
"name": "AB Virginia Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2476461713979967,
|
|
"corr_port": 0.03299234887675384,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1125757189249218,
|
|
"2023 rate shock": -0.0519618683990527,
|
|
"2024 vol spike": 0.014801999211599526,
|
|
"2025 tariff crash": -0.024148742003376467,
|
|
"2026 Q1 drawdown": -0.01111434437649017
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1125757189249218,
|
|
"max_ret": 0.014801999211599526,
|
|
"all_pos": false
|
|
},
|
|
"avalx": {
|
|
"name": "Aegis Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.2367544136698854,
|
|
"corr_port": 0.2789848556191489,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06854418548786889,
|
|
"2023 rate shock": -0.029470756185629887,
|
|
"2024 vol spike": -0.06930696341821874,
|
|
"2025 tariff crash": -0.11049580352285648,
|
|
"2026 Q1 drawdown": 0.0010543756748662148
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11049580352285648,
|
|
"max_ret": 0.0010543756748662148,
|
|
"all_pos": false
|
|
},
|
|
"aveax": {
|
|
"name": "Ave Maria Growth Focused Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1015903973556103,
|
|
"corr_port": 0.13312533902393495,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4324146981627296,
|
|
"2023 rate shock": -0.12181528662420393,
|
|
"2024 vol spike": -0.08516886930983836,
|
|
"2025 tariff crash": -0.19912335629304956,
|
|
"2026 Q1 drawdown": -0.044378698224852076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4324146981627296,
|
|
"max_ret": -0.044378698224852076,
|
|
"all_pos": false
|
|
},
|
|
"avedx": {
|
|
"name": "Ave Maria Rising Dividend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1776141460109129,
|
|
"corr_port": 0.34685219473983747,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1443332267283568,
|
|
"2023 rate shock": -0.08498272816471364,
|
|
"2024 vol spike": -0.037942727802717124,
|
|
"2025 tariff crash": -0.11738031115861036,
|
|
"2026 Q1 drawdown": -0.05955554106243188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1443332267283568,
|
|
"max_ret": -0.037942727802717124,
|
|
"all_pos": false
|
|
},
|
|
"avefx": {
|
|
"name": "Ave Maria Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.909616565691396,
|
|
"corr_port": 0.2994274311223647,
|
|
"rets": {
|
|
"2022 bear mkt": -0.060471547143804205,
|
|
"2023 rate shock": -0.017513246396178128,
|
|
"2024 vol spike": 0.0023924866830404845,
|
|
"2025 tariff crash": -0.013156927625451287,
|
|
"2026 Q1 drawdown": -0.005894717911379521
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.060471547143804205,
|
|
"max_ret": 0.0023924866830404845,
|
|
"all_pos": false
|
|
},
|
|
"avegx": {
|
|
"name": "Ave Maria Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9229431150817636,
|
|
"corr_port": 0.252497779481658,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29772884065730154,
|
|
"2023 rate shock": -0.09715356816066723,
|
|
"2024 vol spike": -0.05583966112622185,
|
|
"2025 tariff crash": -0.17103423800152395,
|
|
"2026 Q1 drawdown": -0.10491160687970114
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29772884065730154,
|
|
"max_ret": -0.05583966112622185,
|
|
"all_pos": false
|
|
},
|
|
"avemx": {
|
|
"name": "Ave Maria Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.29691313430305594,
|
|
"corr_port": 0.3595137175867439,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0704285300403259,
|
|
"2023 rate shock": -0.034821819133121545,
|
|
"2024 vol spike": -0.056421697948712435,
|
|
"2025 tariff crash": -0.14587669496473576,
|
|
"2026 Q1 drawdown": -0.01874797392875871
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14587669496473576,
|
|
"max_ret": -0.01874797392875871,
|
|
"all_pos": false
|
|
},
|
|
"averx": {
|
|
"name": "Ave Maria Value Focused Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.9519606566885082,
|
|
"corr_port": 0.3276225907177993,
|
|
"rets": {
|
|
"2022 bear mkt": 0.05583095373927405,
|
|
"2023 rate shock": -0.014816425645466036,
|
|
"2024 vol spike": -0.06585134650698798,
|
|
"2025 tariff crash": -0.15843938419999537,
|
|
"2026 Q1 drawdown": 0.043567871412672154
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15843938419999537,
|
|
"max_ret": 0.05583095373927405,
|
|
"all_pos": false
|
|
},
|
|
"avewx": {
|
|
"name": "Ave Maria World Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2187830794885848,
|
|
"corr_port": 0.34308242411368894,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25038886611127353,
|
|
"2023 rate shock": -0.13443148419005524,
|
|
"2024 vol spike": -0.06176479642170363,
|
|
"2025 tariff crash": -0.15726005182519165,
|
|
"2026 Q1 drawdown": -0.08037304618117225
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25038886611127353,
|
|
"max_ret": -0.06176479642170363,
|
|
"all_pos": false
|
|
},
|
|
"awaax": {
|
|
"name": "AB Wealth Appreciation Strategy",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9814429580821334,
|
|
"corr_port": 0.32516917759619807,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26159732996117346,
|
|
"2023 rate shock": -0.10267611817661215,
|
|
"2024 vol spike": -0.07692292472852236,
|
|
"2025 tariff crash": -0.172335561793601,
|
|
"2026 Q1 drawdown": -0.08718572587185724
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26159732996117346,
|
|
"max_ret": -0.07692292472852236,
|
|
"all_pos": false
|
|
},
|
|
"awgix": {
|
|
"name": "CIBC ATLAS ALL CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4781614047006648,
|
|
"corr_port": 0.19909059202363766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3079505184248069,
|
|
"2023 rate shock": -0.10360080672338234,
|
|
"2024 vol spike": -0.05465428392784599,
|
|
"2025 tariff crash": -0.18878838308244517,
|
|
"2026 Q1 drawdown": -0.12532366973909048
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3079505184248069,
|
|
"max_ret": -0.05465428392784599,
|
|
"all_pos": false
|
|
},
|
|
"awpax": {
|
|
"name": "AB SUSTAINABLE INTERNATIONAL THEMATIC FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.433103401264237,
|
|
"corr_port": 0.27969258458992424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36288209856142606,
|
|
"2023 rate shock": -0.13638809360582715,
|
|
"2024 vol spike": -0.03450015395738992,
|
|
"2025 tariff crash": -0.13895906321581286,
|
|
"2026 Q1 drawdown": -0.1274989338071969
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36288209856142606,
|
|
"max_ret": -0.03450015395738992,
|
|
"all_pos": false
|
|
},
|
|
"awsax": {
|
|
"name": "INVESCO Global Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3632914754456238,
|
|
"corr_port": 0.30179109639654944,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30187500277837986,
|
|
"2023 rate shock": -0.09475956940310903,
|
|
"2024 vol spike": -0.05467796803463243,
|
|
"2025 tariff crash": -0.15582820356470117,
|
|
"2026 Q1 drawdown": -0.09096313912009524
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30187500277837986,
|
|
"max_ret": -0.05467796803463243,
|
|
"all_pos": false
|
|
},
|
|
"awshx": {
|
|
"name": "WASHINGTON MUTUAL INVESTORS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.889412026113081,
|
|
"corr_port": 0.3470041192963953,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18318955711980933,
|
|
"2023 rate shock": -0.07802178785632663,
|
|
"2024 vol spike": -0.048194806430551185,
|
|
"2025 tariff crash": -0.14394085944585677,
|
|
"2026 Q1 drawdown": -0.07382744483248138
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18318955711980933,
|
|
"max_ret": -0.048194806430551185,
|
|
"all_pos": false
|
|
},
|
|
"axbax": {
|
|
"name": "Columbia Capital Allocation Aggressive Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3023491617228282,
|
|
"corr_port": 0.3052500649008229,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2527607467957107,
|
|
"2023 rate shock": -0.08505172976302566,
|
|
"2024 vol spike": -0.06726468466364377,
|
|
"2025 tariff crash": -0.14981553929599856,
|
|
"2026 Q1 drawdown": -0.07330563017543479
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2527607467957107,
|
|
"max_ret": -0.06726468466364377,
|
|
"all_pos": false
|
|
},
|
|
"azbax": {
|
|
"name": "Virtus Small-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.22674270773168687,
|
|
"corr_port": 0.2897213963708376,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25190230371327216,
|
|
"2023 rate shock": -0.12634038052395902,
|
|
"2024 vol spike": -0.05811030073701362,
|
|
"2025 tariff crash": -0.18394786898599502,
|
|
"2026 Q1 drawdown": -0.06287306258945735
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25190230371327216,
|
|
"max_ret": -0.05811030073701362,
|
|
"all_pos": false
|
|
},
|
|
"aznax": {
|
|
"name": "Virtus Income & Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.714581966014987,
|
|
"corr_port": 0.23295714683976038,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22852879887714506,
|
|
"2023 rate shock": -0.07132087014789268,
|
|
"2024 vol spike": -0.0387037124132924,
|
|
"2025 tariff crash": -0.10312341189585339,
|
|
"2026 Q1 drawdown": -0.059862100013967745
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22852879887714506,
|
|
"max_ret": -0.0387037124132924,
|
|
"all_pos": false
|
|
},
|
|
"bacix": {
|
|
"name": "BLACKROCK ENERGY OPPORTUNITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.716535161534573,
|
|
"corr_port": 0.3953517693774375,
|
|
"rets": {
|
|
"2022 bear mkt": 0.2504176924369548,
|
|
"2023 rate shock": 0.015837040420962012,
|
|
"2024 vol spike": -0.06202408187304009,
|
|
"2025 tariff crash": -0.14922212874239693,
|
|
"2026 Q1 drawdown": 0.21410890093206136
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.14922212874239693,
|
|
"max_ret": 0.2504176924369548,
|
|
"all_pos": false
|
|
},
|
|
"batex": {
|
|
"name": "BATS: High Income Municipal Series",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.97603005295404,
|
|
"corr_port": 0.06968535813486498,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15454061453337276,
|
|
"2023 rate shock": -0.06585618033565932,
|
|
"2024 vol spike": 0.024244336101235664,
|
|
"2025 tariff crash": -0.03144102655606307,
|
|
"2026 Q1 drawdown": -0.011840808551566884
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15454061453337276,
|
|
"max_ret": 0.024244336101235664,
|
|
"all_pos": false
|
|
},
|
|
"batpx": {
|
|
"name": "BATS: Interest Rate Hedge Series",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.3780698647973217,
|
|
"corr_port": 0.20521104552674088,
|
|
"rets": {
|
|
"2022 bear mkt": 0.18117640273811753,
|
|
"2023 rate shock": 0.06873190456370315,
|
|
"2024 vol spike": -0.024809085764479044,
|
|
"2025 tariff crash": -0.02071560252132465,
|
|
"2026 Q1 drawdown": 0.012409513960703222
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.024809085764479044,
|
|
"max_ret": 0.18117640273811753,
|
|
"all_pos": false
|
|
},
|
|
"bbcpx": {
|
|
"name": "Bridge Builder Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2496155181288413,
|
|
"corr_port": -0.046217446928404425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1462207904951176,
|
|
"2023 rate shock": -0.04209602326521844,
|
|
"2024 vol spike": 0.02252072394380078,
|
|
"2025 tariff crash": 0.006019178589754537,
|
|
"2026 Q1 drawdown": -0.008804945901058736
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1462207904951176,
|
|
"max_ret": 0.02252072394380078,
|
|
"all_pos": false
|
|
},
|
|
"bbhlx": {
|
|
"name": "BBH Partner Fund - International Equity",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3997738814321992,
|
|
"corr_port": 0.2553591554424498,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3498350583494083,
|
|
"2023 rate shock": -0.15389564378765308,
|
|
"2024 vol spike": -0.057260874554608265,
|
|
"2025 tariff crash": -0.10272077015706893,
|
|
"2026 Q1 drawdown": -0.10538537115202551
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3498350583494083,
|
|
"max_ret": -0.057260874554608265,
|
|
"all_pos": false
|
|
},
|
|
"bchyx": {
|
|
"name": "CALIFORNIA HIGH-YIELD MUNICIPAL FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3249807535590938,
|
|
"corr_port": 0.03932388200017143,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1430605460679416,
|
|
"2023 rate shock": -0.0698378540540231,
|
|
"2024 vol spike": 0.01639994173414938,
|
|
"2025 tariff crash": -0.03304097465441125,
|
|
"2026 Q1 drawdown": -0.009010010663669021
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1430605460679416,
|
|
"max_ret": 0.01639994173414938,
|
|
"all_pos": false
|
|
},
|
|
"bciix": {
|
|
"name": "The Brown Capital Management International All Company Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.1667919230229225,
|
|
"corr_port": 0.12488389324425411,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3778015102035065,
|
|
"2023 rate shock": -0.13285806869734273,
|
|
"2024 vol spike": -0.02027809965237548,
|
|
"2025 tariff crash": -0.17766776677667773,
|
|
"2026 Q1 drawdown": -0.1714456391875746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3778015102035065,
|
|
"max_ret": -0.02027809965237548,
|
|
"all_pos": false
|
|
},
|
|
"bcitx": {
|
|
"name": "CALIFORNIA INTERMEDIATE-TERM TAX-FREE BOND FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6310169450615271,
|
|
"corr_port": 0.039737974046262066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08930602931322107,
|
|
"2023 rate shock": -0.03670917537438134,
|
|
"2024 vol spike": 0.012252941856650379,
|
|
"2025 tariff crash": -0.021311311145236544,
|
|
"2026 Q1 drawdown": -0.010939521811910158
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08930602931322107,
|
|
"max_ret": 0.012252941856650379,
|
|
"all_pos": false
|
|
},
|
|
"bcoix": {
|
|
"name": "Baird Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.285096046384829,
|
|
"corr_port": -0.08115410658612981,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14776748678013996,
|
|
"2023 rate shock": -0.03640335223433633,
|
|
"2024 vol spike": 0.019182423367792856,
|
|
"2025 tariff crash": 0.004820973097966252,
|
|
"2026 Q1 drawdown": -0.005670144913621611
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14776748678013996,
|
|
"max_ret": 0.019182423367792856,
|
|
"all_pos": false
|
|
},
|
|
"bdsix": {
|
|
"name": "BlackRock Advantage Small Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.18404610188820072,
|
|
"corr_port": 0.263315077489379,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24954385455986028,
|
|
"2023 rate shock": -0.16135079451127932,
|
|
"2024 vol spike": -0.08331505248244409,
|
|
"2025 tariff crash": -0.21903239147628906,
|
|
"2026 Q1 drawdown": -0.07590754799774146
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24954385455986028,
|
|
"max_ret": -0.07590754799774146,
|
|
"all_pos": false
|
|
},
|
|
"bearx": {
|
|
"name": "Federated Hermes Prudent Bear Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.302098853013213,
|
|
"corr_port": -0.24280372831359748,
|
|
"rets": {
|
|
"2022 bear mkt": 0.2763156459128413,
|
|
"2023 rate shock": 0.11160706671960274,
|
|
"2024 vol spike": 0.07869475308857976,
|
|
"2025 tariff crash": 0.20177371101812058,
|
|
"2026 Q1 drawdown": 0.09600000000000009
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.07869475308857976,
|
|
"max_ret": 0.2763156459128413,
|
|
"all_pos": true
|
|
},
|
|
"bfiax": {
|
|
"name": "AMERICAN FUNDS INFLATION LINKED BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.05228184356795351,
|
|
"corr_port": -0.08284191240370377,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12534563205897675,
|
|
"2023 rate shock": -0.019999853965805836,
|
|
"2024 vol spike": 0.015086268455736906,
|
|
"2025 tariff crash": 0.018318888024795088,
|
|
"2026 Q1 drawdown": -0.004232804232804144
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12534563205897675,
|
|
"max_ret": 0.018318888024795088,
|
|
"all_pos": false
|
|
},
|
|
"bflax": {
|
|
"name": "Lord Abbett Multi-Asset Balanced Opportunity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8796166397835283,
|
|
"corr_port": 0.3206688120952309,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20498903830981596,
|
|
"2023 rate shock": -0.0711952803778102,
|
|
"2024 vol spike": -0.02860708496979225,
|
|
"2025 tariff crash": -0.1000334239858236,
|
|
"2026 Q1 drawdown": -0.051976980242525506
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20498903830981596,
|
|
"max_ret": -0.02860708496979225,
|
|
"all_pos": false
|
|
},
|
|
"bgatx": {
|
|
"name": "Baillie Gifford Global Alpha Equities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.740415817767659,
|
|
"corr_port": 0.16192565986093974,
|
|
"rets": {
|
|
"2022 bear mkt": -0.357507576882211,
|
|
"2023 rate shock": -0.15924764034622985,
|
|
"2024 vol spike": -0.06829812888431941,
|
|
"2025 tariff crash": -0.20092112368206505,
|
|
"2026 Q1 drawdown": -0.13255644573925707
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.357507576882211,
|
|
"max_ret": -0.06829812888431941,
|
|
"all_pos": false
|
|
},
|
|
"bgcbx": {
|
|
"name": "Baillie Gifford China Equities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2444994762006572,
|
|
"corr_port": -0.031437816100062695,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37174721819521783,
|
|
"2023 rate shock": -0.15724382310480722,
|
|
"2024 vol spike": -0.043383946002438445,
|
|
"2025 tariff crash": -0.16020228312048357,
|
|
"2026 Q1 drawdown": -0.12225274725274737
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37174721819521783,
|
|
"max_ret": -0.043383946002438445,
|
|
"all_pos": false
|
|
},
|
|
"bgehx": {
|
|
"name": "Baillie Gifford Emerging Markets Equities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9700320285402007,
|
|
"corr_port": 0.252456398797194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3394458397137944,
|
|
"2023 rate shock": -0.12543911666282537,
|
|
"2024 vol spike": -0.08635497713386131,
|
|
"2025 tariff crash": -0.16761907389912323,
|
|
"2026 Q1 drawdown": -0.11518152195318554
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3394458397137944,
|
|
"max_ret": -0.08635497713386131,
|
|
"all_pos": false
|
|
},
|
|
"bgeix": {
|
|
"name": "GLOBAL GOLD FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6773255583458617,
|
|
"corr_port": 0.04873713833195247,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2733536246862569,
|
|
"2023 rate shock": -0.040776746210483106,
|
|
"2024 vol spike": -0.07715358338532774,
|
|
"2025 tariff crash": -0.003984103703551178,
|
|
"2026 Q1 drawdown": -0.20963177670989785
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2733536246862569,
|
|
"max_ret": -0.003984103703551178,
|
|
"all_pos": false
|
|
},
|
|
"bgetx": {
|
|
"name": "Baillie Gifford International Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.9312510546328383,
|
|
"corr_port": 0.12008002762196797,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4261603363921165,
|
|
"2023 rate shock": -0.19969384451548633,
|
|
"2024 vol spike": -0.06615973572280309,
|
|
"2025 tariff crash": -0.21775892727263146,
|
|
"2026 Q1 drawdown": -0.15010141987829606
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4261603363921165,
|
|
"max_ret": -0.06615973572280309,
|
|
"all_pos": false
|
|
},
|
|
"bggsx": {
|
|
"name": "Baillie Gifford U.S. Equity Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8749569530247525,
|
|
"corr_port": -0.0662094455318813,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5274924181628509,
|
|
"2023 rate shock": -0.22477068171403247,
|
|
"2024 vol spike": -0.11096132075471699,
|
|
"2025 tariff crash": -0.28176228545893833,
|
|
"2026 Q1 drawdown": -0.16713486657303367
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5274924181628509,
|
|
"max_ret": -0.11096132075471699,
|
|
"all_pos": false
|
|
},
|
|
"bgitx": {
|
|
"name": "Baillie Gifford International Alpha Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6455051008876422,
|
|
"corr_port": 0.2308245524504255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38950095312347,
|
|
"2023 rate shock": -0.15974436476365772,
|
|
"2024 vol spike": -0.05830251834421729,
|
|
"2025 tariff crash": -0.12868441742835257,
|
|
"2026 Q1 drawdown": -0.12341325811001413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38950095312347,
|
|
"max_ret": -0.05830251834421729,
|
|
"all_pos": false
|
|
},
|
|
"bglax": {
|
|
"name": "Brookfield Global Listed Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.20792395293311752,
|
|
"corr_port": 0.3164957100599383,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15818679966735982,
|
|
"2023 rate shock": -0.10964977096321926,
|
|
"2024 vol spike": -0.004683875019309336,
|
|
"2025 tariff crash": -0.04874322413341503,
|
|
"2026 Q1 drawdown": 0.036298734280591605
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15818679966735982,
|
|
"max_ret": 0.036298734280591605,
|
|
"all_pos": false
|
|
},
|
|
"bgnmx": {
|
|
"name": "GINNIE MAE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8417957141142065,
|
|
"corr_port": -0.08003202145349621,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1339316899718107,
|
|
"2023 rate shock": -0.05443427877322582,
|
|
"2024 vol spike": 0.02336893387435368,
|
|
"2025 tariff crash": 0.00961298126371557,
|
|
"2026 Q1 drawdown": -0.004573213751055016
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1339316899718107,
|
|
"max_ret": 0.02336893387435368,
|
|
"all_pos": false
|
|
},
|
|
"bgsix": {
|
|
"name": "BlackRock Technology Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.356056637662196,
|
|
"corr_port": 0.09273757751124205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.43050846706873,
|
|
"2023 rate shock": -0.12371533860975437,
|
|
"2024 vol spike": -0.10996710434350765,
|
|
"2025 tariff crash": -0.2672212146001688,
|
|
"2026 Q1 drawdown": -0.14127353274067322
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.43050846706873,
|
|
"max_ret": -0.10996710434350765,
|
|
"all_pos": false
|
|
},
|
|
"bhiax": {
|
|
"name": "HAWAII MUNICIPAL BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.18402570448331848,
|
|
"corr_port": 0.03698338436401536,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09066490574172448,
|
|
"2023 rate shock": -0.052415724524569884,
|
|
"2024 vol spike": 0.009926774279501505,
|
|
"2025 tariff crash": -0.022894251907392915,
|
|
"2026 Q1 drawdown": -0.012151808354772475
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09066490574172448,
|
|
"max_ret": 0.009926774279501505,
|
|
"all_pos": false
|
|
},
|
|
"biiex": {
|
|
"name": "BRANDES INTERNATIONAL EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.8030804082608425,
|
|
"corr_port": 0.41967649547512753,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2615953154302044,
|
|
"2023 rate shock": -0.07482339251602843,
|
|
"2024 vol spike": -0.04522598764658414,
|
|
"2025 tariff crash": -0.09507328170860374,
|
|
"2026 Q1 drawdown": -0.05219501305035079
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2615953154302044,
|
|
"max_ret": -0.04522598764658414,
|
|
"all_pos": false
|
|
},
|
|
"bils": {
|
|
"name": "State Street(R) SPDR(R) Bloomberg 3-12 Month T-Bill ETF",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 4.493785270023088,
|
|
"corr_port": -0.1470531268014389,
|
|
"rets": {
|
|
"2022 bear mkt": 0.0013723980232720479,
|
|
"2023 rate shock": 0.012778268274688198,
|
|
"2024 vol spike": 0.0039075555846792565,
|
|
"2025 tariff crash": 0.005898014568920695,
|
|
"2026 Q1 drawdown": 0.005492298698325904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0013723980232720479,
|
|
"max_ret": 0.012778268274688198,
|
|
"all_pos": true
|
|
},
|
|
"bimix": {
|
|
"name": "Baird Intermediate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09060081301934617,
|
|
"corr_port": -0.1133116230887575,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09967605103949129,
|
|
"2023 rate shock": -0.010436568677793634,
|
|
"2024 vol spike": 0.01590747575419993,
|
|
"2025 tariff crash": 0.013388362628032002,
|
|
"2026 Q1 drawdown": -0.0029647571715091248
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09967605103949129,
|
|
"max_ret": 0.01590747575419993,
|
|
"all_pos": false
|
|
},
|
|
"bizd": {
|
|
"name": "VanEck BDC Income ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.17477672174683068,
|
|
"corr_port": 0.2982373368361338,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16567955864070505,
|
|
"2023 rate shock": -0.04307547613449325,
|
|
"2024 vol spike": -0.08120923815713244,
|
|
"2025 tariff crash": -0.1914449992501095,
|
|
"2026 Q1 drawdown": -0.11527578463765031
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1914449992501095,
|
|
"max_ret": -0.04307547613449325,
|
|
"all_pos": false
|
|
},
|
|
"blpax": {
|
|
"name": "American Funds Moderate Growth and Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4717302093949635,
|
|
"corr_port": 0.33121390379354715,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20539169813122304,
|
|
"2023 rate shock": -0.07624810308596852,
|
|
"2024 vol spike": -0.03469157597301098,
|
|
"2025 tariff crash": -0.10210632806060815,
|
|
"2026 Q1 drawdown": -0.05845889635613288
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20539169813122304,
|
|
"max_ret": -0.03469157597301098,
|
|
"all_pos": false
|
|
},
|
|
"bmbix": {
|
|
"name": "Baird Quality Intermediate Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8500482213948424,
|
|
"corr_port": 0.023989768251854015,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0777142852777154,
|
|
"2023 rate shock": -0.027370994135606952,
|
|
"2024 vol spike": 0.012336953990137234,
|
|
"2025 tariff crash": -0.016288170331506535,
|
|
"2026 Q1 drawdown": -0.007986674057870902
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0777142852777154,
|
|
"max_ret": 0.012336953990137234,
|
|
"all_pos": false
|
|
},
|
|
"bmcix": {
|
|
"name": "BLACKROCK HIGH EQUITY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.39690596630415587,
|
|
"corr_port": 0.41865444924064255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13807706784788365,
|
|
"2023 rate shock": -0.09930420369613491,
|
|
"2024 vol spike": -0.03336422598679756,
|
|
"2025 tariff crash": -0.13199550681157435,
|
|
"2026 Q1 drawdown": -0.07800661986556034
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13807706784788365,
|
|
"max_ret": -0.03336422598679756,
|
|
"all_pos": false
|
|
},
|
|
"bmnix": {
|
|
"name": "Baird Core Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.507885402619887,
|
|
"corr_port": 0.032155090280701557,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0843585303560177,
|
|
"2023 rate shock": -0.029779364242888295,
|
|
"2024 vol spike": 0.011585777006510645,
|
|
"2025 tariff crash": -0.016231952118599402,
|
|
"2026 Q1 drawdown": -0.008496436592168255
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0843585303560177,
|
|
"max_ret": 0.011585777006510645,
|
|
"all_pos": false
|
|
},
|
|
"bmqix": {
|
|
"name": "Baird Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3218966349736605,
|
|
"corr_port": 0.05860880915842941,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1049764022367421,
|
|
"2023 rate shock": -0.043112783098116836,
|
|
"2024 vol spike": 0.014161142385232361,
|
|
"2025 tariff crash": -0.021847930088664924,
|
|
"2026 Q1 drawdown": -0.008606403906149307
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1049764022367421,
|
|
"max_ret": 0.014161142385232361,
|
|
"all_pos": false
|
|
},
|
|
"bmsfx": {
|
|
"name": "MFS Blended Research Mid Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7994655815621613,
|
|
"corr_port": 0.32053787077144313,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19340647643310505,
|
|
"2023 rate shock": -0.13186822755944505,
|
|
"2024 vol spike": -0.05660382970097877,
|
|
"2025 tariff crash": -0.18156990633480308,
|
|
"2026 Q1 drawdown": -0.06007751937984496
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19340647643310505,
|
|
"max_ret": -0.05660382970097877,
|
|
"all_pos": false
|
|
},
|
|
"bndw": {
|
|
"name": "Vanguard Total World Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.11674093613362044,
|
|
"corr_port": -0.1030686112694082,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14003294229243268,
|
|
"2023 rate shock": -0.024046261461490248,
|
|
"2024 vol spike": 0.017834938915757492,
|
|
"2025 tariff crash": 0.0057023212664606415,
|
|
"2026 Q1 drawdown": -0.008594494285973253
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14003294229243268,
|
|
"max_ret": 0.017834938915757492,
|
|
"all_pos": false
|
|
},
|
|
"bnglx": {
|
|
"name": "UBS GLOBAL ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1542498702367867,
|
|
"corr_port": 0.341106470754438,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2136616333405934,
|
|
"2023 rate shock": -0.08687455961434276,
|
|
"2024 vol spike": -0.04833045491224175,
|
|
"2025 tariff crash": -0.10702052041626586,
|
|
"2026 Q1 drawdown": -0.07838827838827844
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2136616333405934,
|
|
"max_ret": -0.04833045491224175,
|
|
"all_pos": false
|
|
},
|
|
"bniex": {
|
|
"name": "UBS International Sustainable Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4743550653461687,
|
|
"corr_port": 0.3821962016536943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2704401373715698,
|
|
"2023 rate shock": -0.11727743734742524,
|
|
"2024 vol spike": -0.06358375408840655,
|
|
"2025 tariff crash": -0.15032075413916057,
|
|
"2026 Q1 drawdown": -0.07568807339449546
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2704401373715698,
|
|
"max_ret": -0.06358375408840655,
|
|
"all_pos": false
|
|
},
|
|
"bogsx": {
|
|
"name": "BLACK OAK EMERGING TECHNOLOGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.22788023451768583,
|
|
"corr_port": 0.16068901313405165,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3261364667601855,
|
|
"2023 rate shock": -0.1968084697168404,
|
|
"2024 vol spike": -0.10178132116933847,
|
|
"2025 tariff crash": -0.2225096501356143,
|
|
"2026 Q1 drawdown": -0.0989876265466817
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3261364667601855,
|
|
"max_ret": -0.0989876265466817,
|
|
"all_pos": false
|
|
},
|
|
"bosox": {
|
|
"name": "Boston Trust Walden Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.10211344947624645,
|
|
"corr_port": 0.312103700162483,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1700001066902045,
|
|
"2023 rate shock": -0.12090532297300394,
|
|
"2024 vol spike": -0.04538080632225083,
|
|
"2025 tariff crash": -0.16403266549074536,
|
|
"2026 Q1 drawdown": -0.0793283149971048
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1700001066902045,
|
|
"max_ret": -0.04538080632225083,
|
|
"all_pos": false
|
|
},
|
|
"bracx": {
|
|
"name": "BATS: Corporate Credit Total Return Series",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3693211512192196,
|
|
"corr_port": -0.012112931604058548,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17677306035279805,
|
|
"2023 rate shock": -0.04341776897519811,
|
|
"2024 vol spike": 0.014615451962728843,
|
|
"2025 tariff crash": -0.008079452932116649,
|
|
"2026 Q1 drawdown": -0.011542296001997188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17677306035279805,
|
|
"max_ret": 0.014615451962728843,
|
|
"all_pos": false
|
|
},
|
|
"bramx": {
|
|
"name": "BATS: Mortgage Total Return Series",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.12691559876718883,
|
|
"corr_port": -0.07427194300288935,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1405995704577272,
|
|
"2023 rate shock": -0.05087403751409025,
|
|
"2024 vol spike": 0.02493428361592276,
|
|
"2025 tariff crash": 0.010722437887246805,
|
|
"2026 Q1 drawdown": -0.004622845902548134
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1405995704577272,
|
|
"max_ret": 0.02493428361592276,
|
|
"all_pos": false
|
|
},
|
|
"brasx": {
|
|
"name": "BATS: Short Duration Taxable Total Return Series",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.031659063229256,
|
|
"corr_port": 0.0727174556951187,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0553795193181259,
|
|
"2023 rate shock": 0.0016799684334058984,
|
|
"2024 vol spike": 0.01163054435785682,
|
|
"2025 tariff crash": 0.010803387460405212,
|
|
"2026 Q1 drawdown": -0.0014245825469875184
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0553795193181259,
|
|
"max_ret": 0.01163054435785682,
|
|
"all_pos": false
|
|
},
|
|
"brcax": {
|
|
"name": "Invesco Balanced-Risk Commodity Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.22245161126787477,
|
|
"corr_port": 0.2570221795261163,
|
|
"rets": {
|
|
"2022 bear mkt": 0.04707558621578678,
|
|
"2023 rate shock": 0.0074075274205920305,
|
|
"2024 vol spike": -0.05505958531867927,
|
|
"2025 tariff crash": -0.08579888207162034,
|
|
"2026 Q1 drawdown": 0.10408432147562596
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.08579888207162034,
|
|
"max_ret": 0.10408432147562596,
|
|
"all_pos": false
|
|
},
|
|
"brkax": {
|
|
"name": "MFS Blended Research Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.953615012820109,
|
|
"corr_port": 0.30827940684020216,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2786774629882981,
|
|
"2023 rate shock": -0.10896452134167245,
|
|
"2024 vol spike": -0.07968984884423758,
|
|
"2025 tariff crash": -0.1346684533062471,
|
|
"2026 Q1 drawdown": -0.08936599653689481
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2786774629882981,
|
|
"max_ret": -0.07968984884423758,
|
|
"all_pos": false
|
|
},
|
|
"brsdx": {
|
|
"name": "MFS Blended Research Small Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.673233000614297,
|
|
"corr_port": 0.28325466994555876,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23333339835956168,
|
|
"2023 rate shock": -0.15096952831693333,
|
|
"2024 vol spike": -0.07528225111385634,
|
|
"2025 tariff crash": -0.2320702935249792,
|
|
"2026 Q1 drawdown": -0.07637540453074432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23333339835956168,
|
|
"max_ret": -0.07528225111385634,
|
|
"all_pos": false
|
|
},
|
|
"brudx": {
|
|
"name": "MFS Blended Research Value Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7124305747116306,
|
|
"corr_port": 0.3869012727262534,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14760379331634899,
|
|
"2023 rate shock": -0.0983166428772192,
|
|
"2024 vol spike": -0.052538439586332086,
|
|
"2025 tariff crash": -0.13810106836694058,
|
|
"2026 Q1 drawdown": -0.04781829049611486
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14760379331634899,
|
|
"max_ret": -0.04781829049611486,
|
|
"all_pos": false
|
|
},
|
|
"brwax": {
|
|
"name": "MFS Blended Research Growth Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1518059107159384,
|
|
"corr_port": 0.1514470927055474,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3016031787110698,
|
|
"2023 rate shock": -0.0907078710199879,
|
|
"2024 vol spike": -0.0907939206466375,
|
|
"2025 tariff crash": -0.23047029521601303,
|
|
"2026 Q1 drawdown": -0.12253832968636036
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3016031787110698,
|
|
"max_ret": -0.0907078710199879,
|
|
"all_pos": false
|
|
},
|
|
"brxax": {
|
|
"name": "MFS Blended Research International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.0415586597490436,
|
|
"corr_port": 0.3908893793034419,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2577710799685343,
|
|
"2023 rate shock": -0.10097719514376835,
|
|
"2024 vol spike": -0.0666184356591556,
|
|
"2025 tariff crash": -0.10597441471809577,
|
|
"2026 Q1 drawdown": -0.0842549236440231
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2577710799685343,
|
|
"max_ret": -0.0666184356591556,
|
|
"all_pos": false
|
|
},
|
|
"bsnix": {
|
|
"name": "Baird Strategic Municipal Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.350948338078365,
|
|
"corr_port": 0.06293023209942626,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07918868544548296,
|
|
"2023 rate shock": -0.02737357556107267,
|
|
"2024 vol spike": 0.011704571555029464,
|
|
"2025 tariff crash": -0.015128722991791022,
|
|
"2026 Q1 drawdown": -0.005404024501443838
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07918868544548296,
|
|
"max_ret": 0.011704571555029464,
|
|
"all_pos": false
|
|
},
|
|
"btbfx": {
|
|
"name": "Boston Trust Asset Management Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9068286733378899,
|
|
"corr_port": 0.29031676763168085,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20396691952917556,
|
|
"2023 rate shock": -0.07533904605463071,
|
|
"2024 vol spike": -0.0430495403106399,
|
|
"2025 tariff crash": -0.11295681527579227,
|
|
"2026 Q1 drawdown": -0.05677069722442318
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20396691952917556,
|
|
"max_ret": -0.0430495403106399,
|
|
"all_pos": false
|
|
},
|
|
"btefx": {
|
|
"name": "Boston Trust Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.617575519147931,
|
|
"corr_port": 0.3102134274820844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22251489774403632,
|
|
"2023 rate shock": -0.09290585831813991,
|
|
"2024 vol spike": -0.05833147389384219,
|
|
"2025 tariff crash": -0.15740122449046423,
|
|
"2026 Q1 drawdown": -0.07513059996213411
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22251489774403632,
|
|
"max_ret": -0.05833147389384219,
|
|
"all_pos": false
|
|
},
|
|
"btiix": {
|
|
"name": "DWS Equity 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2552698234559087,
|
|
"corr_port": 0.28282764728644855,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24555616553134463,
|
|
"2023 rate shock": -0.09740524652878457,
|
|
"2024 vol spike": -0.07169348708479584,
|
|
"2025 tariff crash": -0.1842382339733024,
|
|
"2026 Q1 drawdown": -0.08801259011892171
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24555616553134463,
|
|
"max_ret": -0.07169348708479584,
|
|
"all_pos": false
|
|
},
|
|
"btmfx": {
|
|
"name": "Boston Trust Midcap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.568189032512805,
|
|
"corr_port": 0.3319391498863168,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20457282264963395,
|
|
"2023 rate shock": -0.1113020835275339,
|
|
"2024 vol spike": -0.03765183302251662,
|
|
"2025 tariff crash": -0.13772213852339887,
|
|
"2026 Q1 drawdown": -0.06032285215281008
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20457282264963395,
|
|
"max_ret": -0.03765183302251662,
|
|
"all_pos": false
|
|
},
|
|
"btmix": {
|
|
"name": "Baird Short-Term Municipal Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.83207932835309,
|
|
"corr_port": 0.04877994949248887,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05291194319642578,
|
|
"2023 rate shock": -0.011092439493446071,
|
|
"2024 vol spike": 0.00873833505948518,
|
|
"2025 tariff crash": -0.005124043008381762,
|
|
"2026 Q1 drawdown": -0.005145704359953762
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05291194319642578,
|
|
"max_ret": 0.00873833505948518,
|
|
"all_pos": false
|
|
},
|
|
"btsmx": {
|
|
"name": "Boston Trust SMID Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.09084950059165557,
|
|
"corr_port": 0.3068438211099643,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20016482120895807,
|
|
"2023 rate shock": -0.11005436320479922,
|
|
"2024 vol spike": -0.03675288533743104,
|
|
"2025 tariff crash": -0.1502958564639839,
|
|
"2026 Q1 drawdown": -0.06598182797241525
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20016482120895807,
|
|
"max_ret": -0.03675288533743104,
|
|
"all_pos": false
|
|
},
|
|
"bubsx": {
|
|
"name": "Baird Ultra Short Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.422586799408942,
|
|
"corr_port": 0.039249728754247065,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0018792173407342627,
|
|
"2023 rate shock": 0.011855696128832083,
|
|
"2024 vol spike": 0.003948552371614289,
|
|
"2025 tariff crash": 0.006125873026294526,
|
|
"2026 Q1 drawdown": 0.004241277174523939
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0018792173407342627,
|
|
"max_ret": 0.011855696128832083,
|
|
"all_pos": false
|
|
},
|
|
"bufgx": {
|
|
"name": "Buffalo Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.505208242390493,
|
|
"corr_port": 0.1629044849287588,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3315571128014424,
|
|
"2023 rate shock": -0.11845996454787333,
|
|
"2024 vol spike": -0.08105022220760127,
|
|
"2025 tariff crash": -0.21257651822321277,
|
|
"2026 Q1 drawdown": -0.15061861215707373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3315571128014424,
|
|
"max_ret": -0.08105022220760127,
|
|
"all_pos": false
|
|
},
|
|
"bufmx": {
|
|
"name": "Buffalo Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.0618019561227587,
|
|
"corr_port": 0.1832470852859033,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3206967392120491,
|
|
"2023 rate shock": -0.14224392393638285,
|
|
"2024 vol spike": -0.038020508069822045,
|
|
"2025 tariff crash": -0.17758116651637001,
|
|
"2026 Q1 drawdown": -0.11049723756906071
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3206967392120491,
|
|
"max_ret": -0.038020508069822045,
|
|
"all_pos": false
|
|
},
|
|
"buftx": {
|
|
"name": "Buffalo Mid Cap Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.436881105810133,
|
|
"corr_port": 0.16452743835989508,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3225351976471341,
|
|
"2023 rate shock": -0.15330404410244003,
|
|
"2024 vol spike": -0.06874237708822406,
|
|
"2025 tariff crash": -0.19908757243330766,
|
|
"2026 Q1 drawdown": -0.13453385246471683
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3225351976471341,
|
|
"max_ret": -0.06874237708822406,
|
|
"all_pos": false
|
|
},
|
|
"bxfcx": {
|
|
"name": "MML Barings Global Floating Rate Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 3.4359065119621763,
|
|
"corr_port": 0.3176191729169925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08079410772875761,
|
|
"2023 rate shock": 0.007352418531845872,
|
|
"2024 vol spike": -0.0029797119218499812,
|
|
"2025 tariff crash": -0.022808231565372705,
|
|
"2026 Q1 drawdown": -0.005998046249491074
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08079410772875761,
|
|
"max_ret": 0.007352418531845872,
|
|
"all_pos": false
|
|
},
|
|
"bxitx": {
|
|
"name": "MML Barings Unconstrained Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.28238628976364794,
|
|
"corr_port": 0.31098166796243903,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1262630166439771,
|
|
"2023 rate shock": -0.005312801152780766,
|
|
"2024 vol spike": 0.0014405028250019658,
|
|
"2025 tariff crash": -0.02221034022952506,
|
|
"2026 Q1 drawdown": -0.014458216425432768
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1262630166439771,
|
|
"max_ret": 0.0014405028250019658,
|
|
"all_pos": false
|
|
},
|
|
"cabdx": {
|
|
"name": "AB RELATIVE VALUE FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.92785161175982,
|
|
"corr_port": 0.4020338058839423,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15052176137537443,
|
|
"2023 rate shock": -0.0830669651914443,
|
|
"2024 vol spike": -0.056439893909986716,
|
|
"2025 tariff crash": -0.14893603656204069,
|
|
"2026 Q1 drawdown": -0.032786885245901565
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15052176137537443,
|
|
"max_ret": -0.032786885245901565,
|
|
"all_pos": false
|
|
},
|
|
"cabix": {
|
|
"name": "AB GLOBAL RISK ALLOCATION FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1012090629895647,
|
|
"corr_port": 0.30433399548201784,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13184472308457706,
|
|
"2023 rate shock": -0.06851845159042391,
|
|
"2024 vol spike": -0.022491362597491182,
|
|
"2025 tariff crash": -0.06406148474146023,
|
|
"2026 Q1 drawdown": -0.04297120669298915
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13184472308457706,
|
|
"max_ret": -0.022491362597491182,
|
|
"all_pos": false
|
|
},
|
|
"caeax": {
|
|
"name": "Columbia Acorn European Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.823156884632709,
|
|
"corr_port": 0.23604839174006473,
|
|
"rets": {
|
|
"2022 bear mkt": -0.48382178984372104,
|
|
"2023 rate shock": -0.20371903440123917,
|
|
"2024 vol spike": -0.0516982009130974,
|
|
"2025 tariff crash": -0.13757853920487928,
|
|
"2026 Q1 drawdown": -0.14061301995325814
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.48382178984372104,
|
|
"max_ret": -0.0516982009130974,
|
|
"all_pos": false
|
|
},
|
|
"caibx": {
|
|
"name": "CAPITAL INCOME BUILDER",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.1284474731510885,
|
|
"corr_port": 0.40862954797602363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17166767246178727,
|
|
"2023 rate shock": -0.07926571334932175,
|
|
"2024 vol spike": -0.02381964927142821,
|
|
"2025 tariff crash": -0.08354432802045542,
|
|
"2026 Q1 drawdown": -0.03227146417605775
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17166767246178727,
|
|
"max_ret": -0.02381964927142821,
|
|
"all_pos": false
|
|
},
|
|
"canax": {
|
|
"name": "American Funds Strategic Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.157864930449631,
|
|
"corr_port": -0.13472484858628656,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14428343892876616,
|
|
"2023 rate shock": -0.04088532478334006,
|
|
"2024 vol spike": 0.02957263087729811,
|
|
"2025 tariff crash": 0.024240498260270193,
|
|
"2026 Q1 drawdown": -0.013437209712719889
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14428343892876616,
|
|
"max_ret": 0.02957263087729811,
|
|
"all_pos": false
|
|
},
|
|
"capax": {
|
|
"name": "Federated Hermes Capital Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.38418848003812034,
|
|
"corr_port": 0.3398230925944674,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17516902678923674,
|
|
"2023 rate shock": -0.06019232297544308,
|
|
"2024 vol spike": -0.022185618560478182,
|
|
"2025 tariff crash": -0.08414926771777897,
|
|
"2026 Q1 drawdown": -0.03833793737204494
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17516902678923674,
|
|
"max_ret": -0.022185618560478182,
|
|
"all_pos": false
|
|
},
|
|
"cavax": {
|
|
"name": "Catholic Values Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7992118954654537,
|
|
"corr_port": 0.3277824326129511,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2638436591386657,
|
|
"2023 rate shock": -0.11342428668729865,
|
|
"2024 vol spike": -0.06447611249032315,
|
|
"2025 tariff crash": -0.17500002116395086,
|
|
"2026 Q1 drawdown": -0.0769672601952901
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2638436591386657,
|
|
"max_ret": -0.06447611249032315,
|
|
"all_pos": false
|
|
},
|
|
"cbhcx": {
|
|
"name": "Victory Market Neutral Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.427362028982236,
|
|
"corr_port": 0.10648062246387816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.053930289744613,
|
|
"2023 rate shock": 0.03127891134024119,
|
|
"2024 vol spike": 0.00786733730170508,
|
|
"2025 tariff crash": 0.017873506102005665,
|
|
"2026 Q1 drawdown": 0.04523157010776857
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.053930289744613,
|
|
"max_ret": 0.04523157010776857,
|
|
"all_pos": false
|
|
},
|
|
"cblax": {
|
|
"name": "Columbia Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7667399798703909,
|
|
"corr_port": 0.25242536057339715,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2091504331816344,
|
|
"2023 rate shock": -0.07016190321756532,
|
|
"2024 vol spike": -0.03723118099667477,
|
|
"2025 tariff crash": -0.11973205657594899,
|
|
"2026 Q1 drawdown": -0.06095478450319525
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2091504331816344,
|
|
"max_ret": -0.03723118099667477,
|
|
"all_pos": false
|
|
},
|
|
"cbon": {
|
|
"name": "VanEck China Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.2659539573610057,
|
|
"corr_port": 0.06769148971140691,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09773123854318433,
|
|
"2023 rate shock": -0.01877201090296543,
|
|
"2024 vol spike": 0.02719561699832518,
|
|
"2025 tariff crash": -0.020255967086445836,
|
|
"2026 Q1 drawdown": 0.01410958370359161
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09773123854318433,
|
|
"max_ret": 0.02719561699832518,
|
|
"all_pos": false
|
|
},
|
|
"cbsax": {
|
|
"name": "Columbia Select Mid Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7763539101916733,
|
|
"corr_port": 0.11799380942141321,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32404752085356603,
|
|
"2023 rate shock": -0.15900565352324514,
|
|
"2024 vol spike": -0.08042541797678826,
|
|
"2025 tariff crash": -0.2352465808583467,
|
|
"2026 Q1 drawdown": -0.11733871440881916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32404752085356603,
|
|
"max_ret": -0.08042541797678826,
|
|
"all_pos": false
|
|
},
|
|
"ccasx": {
|
|
"name": "Conestoga Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.161870060224454,
|
|
"corr_port": 0.1597854724044828,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31404856840978235,
|
|
"2023 rate shock": -0.1527974475990439,
|
|
"2024 vol spike": -0.05627940815610011,
|
|
"2025 tariff crash": -0.19916355193964308,
|
|
"2026 Q1 drawdown": -0.10806000706278718
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31404856840978235,
|
|
"max_ret": -0.05627940815610011,
|
|
"all_pos": false
|
|
},
|
|
"cccmx": {
|
|
"name": "Capital Group California Core Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1707228748521585,
|
|
"corr_port": 0.016158922618857183,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05862628714521989,
|
|
"2023 rate shock": -0.02514581118288528,
|
|
"2024 vol spike": 0.010784114441726,
|
|
"2025 tariff crash": -0.014493150509866326,
|
|
"2026 Q1 drawdown": -0.013033876172756087
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05862628714521989,
|
|
"max_ret": 0.010784114441726,
|
|
"all_pos": false
|
|
},
|
|
"ccfax": {
|
|
"name": "American Funds College 2036 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1000603420767707,
|
|
"corr_port": 0.2444390401318746,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2396240776748746,
|
|
"2023 rate shock": -0.08230073819329486,
|
|
"2024 vol spike": -0.03953484200038759,
|
|
"2025 tariff crash": -0.10831420054689378,
|
|
"2026 Q1 drawdown": -0.05836298932384343
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2396240776748746,
|
|
"max_ret": -0.03953484200038759,
|
|
"all_pos": false
|
|
},
|
|
"ccrsx": {
|
|
"name": "Cantor Fitzgerald Commodity Return Strategy Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7867228692498865,
|
|
"corr_port": 0.21529015826697542,
|
|
"rets": {
|
|
"2022 bear mkt": 0.15073487992503232,
|
|
"2023 rate shock": -0.0037453219540687366,
|
|
"2024 vol spike": -0.05011247956501752,
|
|
"2025 tariff crash": -0.09154221873819257,
|
|
"2026 Q1 drawdown": 0.07994045450517318
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09154221873819257,
|
|
"max_ret": 0.15073487992503232,
|
|
"all_pos": false
|
|
},
|
|
"ccsax": {
|
|
"name": "Columbia Commodity Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0992298809752896,
|
|
"corr_port": 0.2259886693211108,
|
|
"rets": {
|
|
"2022 bear mkt": 0.16160394267097988,
|
|
"2023 rate shock": -0.00530798973815183,
|
|
"2024 vol spike": -0.05128212181085534,
|
|
"2025 tariff crash": -0.10503288704599012,
|
|
"2026 Q1 drawdown": 0.0891181988742964
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10503288704599012,
|
|
"max_ret": 0.16160394267097988,
|
|
"all_pos": false
|
|
},
|
|
"ccsmx": {
|
|
"name": "Conestoga SMid Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.2611728571239285,
|
|
"corr_port": 0.16673439861064654,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3190495437003318,
|
|
"2023 rate shock": -0.1408450390312722,
|
|
"2024 vol spike": -0.040799682704113605,
|
|
"2025 tariff crash": -0.15914394439301804,
|
|
"2026 Q1 drawdown": -0.13322161151145318
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3190495437003318,
|
|
"max_ret": -0.040799682704113605,
|
|
"all_pos": false
|
|
},
|
|
"cdazx": {
|
|
"name": "Multi-Manager Directional Alternative Strategies Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.2291065782162365,
|
|
"corr_port": 0.4579231297920752,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06504068086828318,
|
|
"2023 rate shock": -0.030303080878243294,
|
|
"2024 vol spike": -0.03378385431785347,
|
|
"2025 tariff crash": -0.06973693979465223,
|
|
"2026 Q1 drawdown": -0.06301369863013695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.06973693979465223,
|
|
"max_ret": -0.030303080878243294,
|
|
"all_pos": false
|
|
},
|
|
"cdcdx": {
|
|
"name": "THE COMMUNITY DEVELOPMENT FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.9568285532426999,
|
|
"corr_port": -0.1136834692366959,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07629805881715968,
|
|
"2023 rate shock": -0.022887482070007015,
|
|
"2024 vol spike": 0.015893129140597484,
|
|
"2025 tariff crash": 0.013214691153029756,
|
|
"2026 Q1 drawdown": -0.001143232720231535
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07629805881715968,
|
|
"max_ret": 0.015893129140597484,
|
|
"all_pos": false
|
|
},
|
|
"cdgrx": {
|
|
"name": "Copeland Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5647863153740516,
|
|
"corr_port": 0.2969700835023504,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2175794090043509,
|
|
"2023 rate shock": -0.12725839797411553,
|
|
"2024 vol spike": -0.061151051232779974,
|
|
"2025 tariff crash": -0.1523501557637923,
|
|
"2026 Q1 drawdown": -0.07430830039525682
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2175794090043509,
|
|
"max_ret": -0.061151051232779974,
|
|
"all_pos": false
|
|
},
|
|
"cdhax": {
|
|
"name": "Calvert International Responsible Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.32292659269961743,
|
|
"corr_port": 0.33924694881077827,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31554980387694376,
|
|
"2023 rate shock": -0.11701373461011466,
|
|
"2024 vol spike": -0.07050865176439558,
|
|
"2025 tariff crash": -0.1208439767385544,
|
|
"2026 Q1 drawdown": -0.0814536300023243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31554980387694376,
|
|
"max_ret": -0.07050865176439558,
|
|
"all_pos": false
|
|
},
|
|
"cefix": {
|
|
"name": "Calvert Emerging Markets Advancement Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9145839012673592,
|
|
"corr_port": 0.2552762342686834,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1930977082152716,
|
|
"2023 rate shock": -0.12976404237393357,
|
|
"2024 vol spike": -0.0763422394313581,
|
|
"2025 tariff crash": -0.10491798894535564,
|
|
"2026 Q1 drawdown": -0.11380699675372608
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1930977082152716,
|
|
"max_ret": -0.0763422394313581,
|
|
"all_pos": false
|
|
},
|
|
"cemgx": {
|
|
"name": "Cullen Emerging Markets High Dividend Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1559340414473251,
|
|
"corr_port": 0.38024233708245986,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22764597724398727,
|
|
"2023 rate shock": -0.08760580506548732,
|
|
"2024 vol spike": -0.1026234274793758,
|
|
"2025 tariff crash": -0.11155397143841217,
|
|
"2026 Q1 drawdown": -0.0657407565915974
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22764597724398727,
|
|
"max_ret": -0.0657407565915974,
|
|
"all_pos": false
|
|
},
|
|
"cemvx": {
|
|
"name": "Causeway Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6807332072690758,
|
|
"corr_port": 0.31132981988565955,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29084966394322975,
|
|
"2023 rate shock": -0.0907317812207693,
|
|
"2024 vol spike": -0.08121832501620174,
|
|
"2025 tariff crash": -0.1394943749656531,
|
|
"2026 Q1 drawdown": -0.08780487804878034
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29084966394322975,
|
|
"max_ret": -0.08121832501620174,
|
|
"all_pos": false
|
|
},
|
|
"cenax": {
|
|
"name": "American Funds College Enrollment Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.392714385719712,
|
|
"corr_port": -0.08282129629361833,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08779006379032583,
|
|
"2023 rate shock": -0.017467283938837674,
|
|
"2024 vol spike": 0.008519711316247847,
|
|
"2025 tariff crash": -0.003201678350458703,
|
|
"2026 Q1 drawdown": -0.01039501039501034
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08779006379032583,
|
|
"max_ret": 0.008519711316247847,
|
|
"all_pos": false
|
|
},
|
|
"cetfx": {
|
|
"name": "Morningstar Conservative ETF Asset Allocation Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1334088904760729,
|
|
"corr_port": 0.203258708962709,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1490300737444621,
|
|
"2023 rate shock": -0.04137236689775714,
|
|
"2024 vol spike": -0.002912510351370745,
|
|
"2025 tariff crash": -0.032786877129197256,
|
|
"2026 Q1 drawdown": -0.022914757103574712
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1490300737444621,
|
|
"max_ret": -0.002912510351370745,
|
|
"all_pos": false
|
|
},
|
|
"cfagx": {
|
|
"name": "The MidCap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.248082990299521,
|
|
"corr_port": 0.23760368722835007,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25340006268489434,
|
|
"2023 rate shock": -0.10751491502394162,
|
|
"2024 vol spike": -0.06197549609559627,
|
|
"2025 tariff crash": -0.18721358555142775,
|
|
"2026 Q1 drawdown": -0.0719423926934809
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25340006268489434,
|
|
"max_ret": -0.06197549609559627,
|
|
"all_pos": false
|
|
},
|
|
"cfbnx": {
|
|
"name": "The Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.247011200709692,
|
|
"corr_port": -0.07413933997885729,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1390865611444132,
|
|
"2023 rate shock": -0.037110307027236056,
|
|
"2024 vol spike": 0.020306225691421487,
|
|
"2025 tariff crash": 0.006055802645306585,
|
|
"2026 Q1 drawdown": -0.00682537850878373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1390865611444132,
|
|
"max_ret": 0.020306225691421487,
|
|
"all_pos": false
|
|
},
|
|
"cfgrx": {
|
|
"name": "The Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.819466874596007,
|
|
"corr_port": 0.19465803678240173,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28192812172185056,
|
|
"2023 rate shock": -0.08154516562121117,
|
|
"2024 vol spike": -0.08415739178785675,
|
|
"2025 tariff crash": -0.20206664173838695,
|
|
"2026 Q1 drawdown": -0.10817609836108821
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28192812172185056,
|
|
"max_ret": -0.08154516562121117,
|
|
"all_pos": false
|
|
},
|
|
"cfiax": {
|
|
"name": "Columbia Flexible Capital Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5686247611124834,
|
|
"corr_port": 0.39431784807985487,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16555915442403102,
|
|
"2023 rate shock": -0.0855790450316638,
|
|
"2024 vol spike": -0.023460354475775658,
|
|
"2025 tariff crash": -0.10661098207161157,
|
|
"2026 Q1 drawdown": -0.027326666530746446
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16555915442403102,
|
|
"max_ret": -0.023460354475775658,
|
|
"all_pos": false
|
|
},
|
|
"cficx": {
|
|
"name": "Calvert Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5609147770996412,
|
|
"corr_port": 0.015888564198465346,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17680009933712582,
|
|
"2023 rate shock": -0.04302545444791006,
|
|
"2024 vol spike": 0.01718475982908685,
|
|
"2025 tariff crash": -0.0018750988687519232,
|
|
"2026 Q1 drawdown": -0.011186071840332712
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17680009933712582,
|
|
"max_ret": 0.01718475982908685,
|
|
"all_pos": false
|
|
},
|
|
"cfimx": {
|
|
"name": "Clipper Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0097494551582928,
|
|
"corr_port": 0.17530675769053233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3075559542057559,
|
|
"2023 rate shock": -0.10262089555732434,
|
|
"2024 vol spike": -0.09342277151608824,
|
|
"2025 tariff crash": -0.16095216778936827,
|
|
"2026 Q1 drawdown": -0.06999392712784469
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3075559542057559,
|
|
"max_ret": -0.06999392712784469,
|
|
"all_pos": false
|
|
},
|
|
"cfipx": {
|
|
"name": "Franklin Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2746976430082784,
|
|
"corr_port": 0.36428903528165235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23836651692386057,
|
|
"2023 rate shock": -0.08041246786348177,
|
|
"2024 vol spike": -0.0741200867963826,
|
|
"2025 tariff crash": -0.16744734969930142,
|
|
"2026 Q1 drawdown": -0.08124789166952351
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23836651692386057,
|
|
"max_ret": -0.0741200867963826,
|
|
"all_pos": false
|
|
},
|
|
"cfmox": {
|
|
"name": "The Missouri Tax-Free Intermediate Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.044312819725945994,
|
|
"corr_port": 0.022439878603947822,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09572479687089919,
|
|
"2023 rate shock": -0.05248637674226497,
|
|
"2024 vol spike": 0.01222886263102363,
|
|
"2025 tariff crash": -0.02600328805150387,
|
|
"2026 Q1 drawdown": -0.014400781151310715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09572479687089919,
|
|
"max_ret": 0.01222886263102363,
|
|
"all_pos": false
|
|
},
|
|
"cfnlx": {
|
|
"name": "The National Tax-Free Intermediate Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.38090361349644447,
|
|
"corr_port": 0.01832507354325999,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09652121285487536,
|
|
"2023 rate shock": -0.0485104147714267,
|
|
"2024 vol spike": 0.012788215607962616,
|
|
"2025 tariff crash": -0.02063333488337815,
|
|
"2026 Q1 drawdown": -0.014818280954798535
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09652121285487536,
|
|
"max_ret": 0.012788215607962616,
|
|
"all_pos": false
|
|
},
|
|
"cfrax": {
|
|
"name": "Catalyst/CIFC Senior Secured Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.010224065892803,
|
|
"corr_port": 0.29318873586765865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04671634358015364,
|
|
"2023 rate shock": 0.011106806854627171,
|
|
"2024 vol spike": -0.0009606404036808236,
|
|
"2025 tariff crash": -0.018313680773625607,
|
|
"2026 Q1 drawdown": -0.009328925689542689
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04671634358015364,
|
|
"max_ret": 0.011106806854627171,
|
|
"all_pos": false
|
|
},
|
|
"cfsix": {
|
|
"name": "TOUCHSTONE SANDS CAPITAL SELECT GROWTH FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.45599202585367,
|
|
"corr_port": 0.03687364903187224,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4934924435932795,
|
|
"2023 rate shock": -0.1646616188320026,
|
|
"2024 vol spike": -0.11931119645903365,
|
|
"2025 tariff crash": -0.26117886028268644,
|
|
"2026 Q1 drawdown": -0.15976330573159236
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4934924435932795,
|
|
"max_ret": -0.11931119645903365,
|
|
"all_pos": false
|
|
},
|
|
"cfvax": {
|
|
"name": "Catholic Values Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9840439936916265,
|
|
"corr_port": -0.06568406127744893,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16646161521522052,
|
|
"2023 rate shock": -0.049938808048509364,
|
|
"2024 vol spike": 0.022704531993434474,
|
|
"2025 tariff crash": 0.010261456283384929,
|
|
"2026 Q1 drawdown": -0.007029119407282458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16646161521522052,
|
|
"max_ret": 0.022704531993434474,
|
|
"all_pos": false
|
|
},
|
|
"cfvlx": {
|
|
"name": "The Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05220817997351251,
|
|
"corr_port": 0.412172699754171,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15007009030381602,
|
|
"2023 rate shock": -0.1096386025039503,
|
|
"2024 vol spike": -0.048845360530429094,
|
|
"2025 tariff crash": -0.13228232726823475,
|
|
"2026 Q1 drawdown": -0.0374664034347405
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15007009030381602,
|
|
"max_ret": -0.0374664034347405,
|
|
"all_pos": false
|
|
},
|
|
"cgafx": {
|
|
"name": "Calvert Green Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4230337648879898,
|
|
"corr_port": -0.07830314053756096,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14511477977682807,
|
|
"2023 rate shock": -0.03217869326537237,
|
|
"2024 vol spike": 0.02059807742394071,
|
|
"2025 tariff crash": 0.007063245902960924,
|
|
"2026 Q1 drawdown": -0.008353686504756541
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14511477977682807,
|
|
"max_ret": 0.02059807742394071,
|
|
"all_pos": false
|
|
},
|
|
"cgoax": {
|
|
"name": "Columbia Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8077086681957764,
|
|
"corr_port": 0.11465669828547256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3773066282786558,
|
|
"2023 rate shock": -0.14090025542958728,
|
|
"2024 vol spike": -0.08541667022261457,
|
|
"2025 tariff crash": -0.24498290112361198,
|
|
"2026 Q1 drawdown": -0.1552794982832454
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3773066282786558,
|
|
"max_ret": -0.08541667022261457,
|
|
"all_pos": false
|
|
},
|
|
"cgvyx": {
|
|
"name": "American Funds Global Insight Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.148885700017561,
|
|
"corr_port": 0.26356185895058504,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2527223324258774,
|
|
"2023 rate shock": -0.09716221355284826,
|
|
"2024 vol spike": -0.04875953668378619,
|
|
"2025 tariff crash": -0.13832380034980118,
|
|
"2026 Q1 drawdown": -0.09476568593910373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2527223324258774,
|
|
"max_ret": -0.04875953668378619,
|
|
"all_pos": false
|
|
},
|
|
"chcgx": {
|
|
"name": "The Chesapeake Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.7581041299638005,
|
|
"corr_port": 0.21006977881343883,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29593346142433974,
|
|
"2023 rate shock": -0.08214686107647096,
|
|
"2024 vol spike": -0.07477349346208095,
|
|
"2025 tariff crash": -0.17574858928039194,
|
|
"2026 Q1 drawdown": -0.1188467278683768
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29593346142433974,
|
|
"max_ret": -0.07477349346208095,
|
|
"all_pos": false
|
|
},
|
|
"chclx": {
|
|
"name": "AB DISCOVERY GROWTH FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.160011913124591,
|
|
"corr_port": 0.1391082167024179,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3710546582210308,
|
|
"2023 rate shock": -0.16445343601597784,
|
|
"2024 vol spike": -0.07495418409191823,
|
|
"2025 tariff crash": -0.24811400779460024,
|
|
"2026 Q1 drawdown": -0.13506711409395966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3710546582210308,
|
|
"max_ret": -0.07495418409191823,
|
|
"all_pos": false
|
|
},
|
|
"chtrx": {
|
|
"name": "Invesco Charter Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6171710690422203,
|
|
"corr_port": 0.249148718749115,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2649794269336956,
|
|
"2023 rate shock": -0.10285726084799451,
|
|
"2024 vol spike": -0.07107101551402595,
|
|
"2025 tariff crash": -0.1798351229436692,
|
|
"2026 Q1 drawdown": -0.10189907364520612
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2649794269336956,
|
|
"max_ret": -0.07107101551402595,
|
|
"all_pos": false
|
|
},
|
|
"chusx": {
|
|
"name": "ALGER GLOBAL EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.1803330794864824,
|
|
"corr_port": 0.20284846945399435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3611371147033752,
|
|
"2023 rate shock": -0.13598165373029314,
|
|
"2024 vol spike": -0.08336003067772468,
|
|
"2025 tariff crash": -0.20000004552773643,
|
|
"2026 Q1 drawdown": -0.11894125128910271
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3611371147033752,
|
|
"max_ret": -0.08336003067772468,
|
|
"all_pos": false
|
|
},
|
|
"cibr": {
|
|
"name": "First Trust NASDAQ Cybersecurity ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.32727052779107013,
|
|
"corr_port": 0.0900177648008925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2674782246235744,
|
|
"2023 rate shock": -0.07931215921310586,
|
|
"2024 vol spike": -0.08852338180727748,
|
|
"2025 tariff crash": -0.18166470910392052,
|
|
"2026 Q1 drawdown": -0.12455847062215786
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2674782246235744,
|
|
"max_ret": -0.07931215921310586,
|
|
"all_pos": false
|
|
},
|
|
"cigyx": {
|
|
"name": "AB International Growth Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.766381162465042,
|
|
"corr_port": 0.23867671110891847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3969883345013355,
|
|
"2023 rate shock": -0.19873533745117655,
|
|
"2024 vol spike": -0.06124307432490261,
|
|
"2025 tariff crash": -0.118131849908238,
|
|
"2026 Q1 drawdown": -0.15517241379310331
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3969883345013355,
|
|
"max_ret": -0.06124307432490261,
|
|
"all_pos": false
|
|
},
|
|
"clazx": {
|
|
"name": "Columbia Multi Strategy Alternatives Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.7167110474117429,
|
|
"corr_port": 0.3536996714256518,
|
|
"rets": {
|
|
"2022 bear mkt": 0.009862798706049114,
|
|
"2023 rate shock": -0.01086587396224048,
|
|
"2024 vol spike": -0.02572673869768105,
|
|
"2025 tariff crash": -0.016549281692899487,
|
|
"2026 Q1 drawdown": 0.012618225986041898
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.02572673869768105,
|
|
"max_ret": 0.012618225986041898,
|
|
"all_pos": false
|
|
},
|
|
"cldax": {
|
|
"name": "Calvert Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09238760946103161,
|
|
"corr_port": -0.05912903549634408,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1438491778612575,
|
|
"2023 rate shock": -0.037904686773244545,
|
|
"2024 vol spike": 0.021630929559401046,
|
|
"2025 tariff crash": 0.008558261251079724,
|
|
"2026 Q1 drawdown": -0.008939919319529754
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1438491778612575,
|
|
"max_ret": 0.021630929559401046,
|
|
"all_pos": false
|
|
},
|
|
"clmax": {
|
|
"name": "Columbia Mortgage Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.2086129376246433,
|
|
"corr_port": -0.046601577797095305,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18030002212305019,
|
|
"2023 rate shock": -0.050417155574140504,
|
|
"2024 vol spike": 0.03615343650670577,
|
|
"2025 tariff crash": 0.023278560742258758,
|
|
"2026 Q1 drawdown": -0.0030744401094863205
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18030002212305019,
|
|
"max_ret": 0.03615343650670577,
|
|
"all_pos": false
|
|
},
|
|
"clmpx": {
|
|
"name": "Columbia Strategic California Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2603865214532447,
|
|
"corr_port": 0.034013605119420955,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1632682164325916,
|
|
"2023 rate shock": -0.07389327874953355,
|
|
"2024 vol spike": 0.019561205250564928,
|
|
"2025 tariff crash": -0.0378642815907031,
|
|
"2026 Q1 drawdown": -0.011290665235290986
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1632682164325916,
|
|
"max_ret": 0.019561205250564928,
|
|
"all_pos": false
|
|
},
|
|
"cmaix": {
|
|
"name": "Invesco Select Risk: Moderately Conservative Investor Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.42556848418350796,
|
|
"corr_port": 0.26013724291360324,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20178675623567632,
|
|
"2023 rate shock": -0.06680818335441052,
|
|
"2024 vol spike": -0.01691734908408271,
|
|
"2025 tariff crash": -0.0713609593587391,
|
|
"2026 Q1 drawdown": -0.03549087528544226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20178675623567632,
|
|
"max_ret": -0.01691734908408271,
|
|
"all_pos": false
|
|
},
|
|
"cmgix": {
|
|
"name": "BLACKROCK MID CAP GROWTH EQUITY PORTFOLIO",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.543800068551448,
|
|
"corr_port": 0.12572878999219636,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3903962479264935,
|
|
"2023 rate shock": -0.14199062185789624,
|
|
"2024 vol spike": -0.07935307632876898,
|
|
"2025 tariff crash": -0.25933337015942304,
|
|
"2026 Q1 drawdown": -0.11167920688569422
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3903962479264935,
|
|
"max_ret": -0.07935307632876898,
|
|
"all_pos": false
|
|
},
|
|
"cmgux": {
|
|
"name": "Columbia Ultra Short Term Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.967566252326398,
|
|
"corr_port": 0.08262610435958427,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0004166707794152069,
|
|
"2023 rate shock": 0.010170576611425508,
|
|
"2024 vol spike": 0.005320920712892807,
|
|
"2025 tariff crash": 0.006612171319172466,
|
|
"2026 Q1 drawdown": 0.0042192286632614096
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0004166707794152069,
|
|
"max_ret": 0.010170576611425508,
|
|
"all_pos": false
|
|
},
|
|
"cmiex": {
|
|
"name": "Multi-Manager International Equity Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17639529799774897,
|
|
"corr_port": 0.34449815461155114,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30157412500244085,
|
|
"2023 rate shock": -0.10590280450034617,
|
|
"2024 vol spike": -0.06509798576949877,
|
|
"2025 tariff crash": -0.11945120532555054,
|
|
"2026 Q1 drawdown": -0.10562414266117981
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30157412500244085,
|
|
"max_ret": -0.06509798576949877,
|
|
"all_pos": false
|
|
},
|
|
"cmvix": {
|
|
"name": "BLACKROCK ADVANTAGE LARGE CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1603571599314935,
|
|
"corr_port": 0.17005198642697925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32108567642124364,
|
|
"2023 rate shock": -0.09049150203823297,
|
|
"2024 vol spike": -0.09118994609109898,
|
|
"2025 tariff crash": -0.22548647428204427,
|
|
"2026 Q1 drawdown": -0.11493051434977741
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32108567642124364,
|
|
"max_ret": -0.09049150203823297,
|
|
"all_pos": false
|
|
},
|
|
"cnsax": {
|
|
"name": "INVESCO CONVERTIBLE SECURITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2557622389172072,
|
|
"corr_port": 0.16525270547191712,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1825072128092451,
|
|
"2023 rate shock": -0.07365286819623229,
|
|
"2024 vol spike": -0.03294326742596665,
|
|
"2025 tariff crash": -0.11803624550050595,
|
|
"2026 Q1 drawdown": -0.07479229572193791
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1825072128092451,
|
|
"max_ret": -0.03294326742596665,
|
|
"all_pos": false
|
|
},
|
|
"cnxt": {
|
|
"name": "VanEck ChiNext Innovators ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3927872413484875,
|
|
"corr_port": 0.0895312973950305,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3685058922896469,
|
|
"2023 rate shock": -0.1524259637406331,
|
|
"2024 vol spike": -0.0319221950937959,
|
|
"2025 tariff crash": -0.22707781042320818,
|
|
"2026 Q1 drawdown": -0.006138982544639626
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3685058922896469,
|
|
"max_ret": -0.006138982544639626,
|
|
"all_pos": false
|
|
},
|
|
"coeax": {
|
|
"name": "Columbia Oregon Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.06651501582449484,
|
|
"corr_port": 0.027366078343223875,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08898045224017903,
|
|
"2023 rate shock": -0.03402266723609648,
|
|
"2024 vol spike": 0.011333130215397613,
|
|
"2025 tariff crash": -0.019833020080691544,
|
|
"2026 Q1 drawdown": -0.010983497998338865
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08898045224017903,
|
|
"max_ret": 0.011333130215397613,
|
|
"all_pos": false
|
|
},
|
|
"coiax": {
|
|
"name": "SIMT Conservative Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 6.970407323093557,
|
|
"corr_port": 0.05713621484344017,
|
|
"rets": {
|
|
"2022 bear mkt": 0.006629600733365715,
|
|
"2023 rate shock": 0.008959970576569054,
|
|
"2024 vol spike": 0.0052219873634360425,
|
|
"2025 tariff crash": 0.007037024663842262,
|
|
"2026 Q1 drawdown": 0.005926273082737188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0052219873634360425,
|
|
"max_ret": 0.008959970576569054,
|
|
"all_pos": true
|
|
},
|
|
"colnx": {
|
|
"name": "Columbia Strategic New York Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.09235181439637621,
|
|
"corr_port": 0.0348745816334198,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16478729103456236,
|
|
"2023 rate shock": -0.07003911948593255,
|
|
"2024 vol spike": 0.019548491309664184,
|
|
"2025 tariff crash": -0.04483308856134327,
|
|
"2026 Q1 drawdown": -0.006944517835801967
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16478729103456236,
|
|
"max_ret": 0.019548491309664184,
|
|
"all_pos": false
|
|
},
|
|
"coltx": {
|
|
"name": "Columbia Total Return Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.24755892471027882,
|
|
"corr_port": 0.04415948336824439,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14282969335487206,
|
|
"2023 rate shock": -0.07244403214740847,
|
|
"2024 vol spike": 0.0178152412829109,
|
|
"2025 tariff crash": -0.04648819267277071,
|
|
"2026 Q1 drawdown": -0.009469966794992235
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14282969335487206,
|
|
"max_ret": 0.0178152412829109,
|
|
"all_pos": false
|
|
},
|
|
"comax": {
|
|
"name": "DWS Digital Horizons Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.613201315475665,
|
|
"corr_port": 0.15260101179665342,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3996970147668948,
|
|
"2023 rate shock": -0.08308385199665791,
|
|
"2024 vol spike": -0.0566667578881056,
|
|
"2025 tariff crash": -0.25346483973701694,
|
|
"2026 Q1 drawdown": -0.15566897668013757
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3996970147668948,
|
|
"max_ret": -0.0566667578881056,
|
|
"all_pos": false
|
|
},
|
|
"cosix": {
|
|
"name": "Columbia Strategic Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6544462573044783,
|
|
"corr_port": 0.14900065311998206,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13786443204808008,
|
|
"2023 rate shock": -0.02945980303412521,
|
|
"2024 vol spike": 0.012612396417294613,
|
|
"2025 tariff crash": -0.0008786094119296317,
|
|
"2026 Q1 drawdown": -0.008165541945801436
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13786443204808008,
|
|
"max_ret": 0.012612396417294613,
|
|
"all_pos": false
|
|
},
|
|
"cpoax": {
|
|
"name": "Morgan Stanley Insight Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.397145915923353,
|
|
"corr_port": -0.04783552231926079,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5399641932096853,
|
|
"2023 rate shock": -0.2236894878051814,
|
|
"2024 vol spike": -0.09417375501104386,
|
|
"2025 tariff crash": -0.2695219483919522,
|
|
"2026 Q1 drawdown": -0.13834175446633068
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5399641932096853,
|
|
"max_ret": -0.09417375501104386,
|
|
"all_pos": false
|
|
},
|
|
"cppcx": {
|
|
"name": "American Funds Preservation Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.6498085972737275,
|
|
"corr_port": -0.1178745243515308,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07453144468796757,
|
|
"2023 rate shock": -0.002375226921440432,
|
|
"2024 vol spike": 0.012810501164999266,
|
|
"2025 tariff crash": 0.012908273269262693,
|
|
"2026 Q1 drawdown": -0.00369096219610332
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07453144468796757,
|
|
"max_ret": 0.012908273269262693,
|
|
"all_pos": false
|
|
},
|
|
"cptnx": {
|
|
"name": "GOVERNMENT BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.07853384145182744,
|
|
"corr_port": -0.14367553545814413,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1316647975808659,
|
|
"2023 rate shock": -0.0480047709892667,
|
|
"2024 vol spike": 0.025918230839759193,
|
|
"2025 tariff crash": 0.01319733935826628,
|
|
"2026 Q1 drawdown": -0.004292901194891119
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1316647975808659,
|
|
"max_ret": 0.025918230839759193,
|
|
"all_pos": false
|
|
},
|
|
"cpxax": {
|
|
"name": "Cohen & Steers Preferred Securities & Income Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5822177224226556,
|
|
"corr_port": 0.297230736431155,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15052935294376002,
|
|
"2023 rate shock": -0.030193678277707137,
|
|
"2024 vol spike": -0.007105919886636891,
|
|
"2025 tariff crash": -0.027869455637824392,
|
|
"2026 Q1 drawdown": -0.021317140863856943
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15052935294376002,
|
|
"max_ret": -0.007105919886636891,
|
|
"all_pos": false
|
|
},
|
|
"cracx": {
|
|
"name": "Columbia Adaptive Risk Allocation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2687045057053054,
|
|
"corr_port": 0.22532847308145257,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1754212627717363,
|
|
"2023 rate shock": -0.0811138131581165,
|
|
"2024 vol spike": -0.03497261057504075,
|
|
"2025 tariff crash": -0.08737881927899727,
|
|
"2026 Q1 drawdown": -0.031853281853281845
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1754212627717363,
|
|
"max_ret": -0.031853281853281845,
|
|
"all_pos": false
|
|
},
|
|
"craix": {
|
|
"name": "CCM Community Impact Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.20881308811852053,
|
|
"corr_port": -0.12780976941594752,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10957094938740419,
|
|
"2023 rate shock": -0.029276413387385625,
|
|
"2024 vol spike": 0.0194276303248051,
|
|
"2025 tariff crash": 0.011472285336356247,
|
|
"2026 Q1 drawdown": -0.0032422183134305227
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10957094938740419,
|
|
"max_ret": 0.0194276303248051,
|
|
"all_pos": false
|
|
},
|
|
"crak": {
|
|
"name": "VanEck Oil Refiners ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6180015400103968,
|
|
"corr_port": 0.44154640834709485,
|
|
"rets": {
|
|
"2022 bear mkt": -0.002482240670268032,
|
|
"2023 rate shock": -0.011510488741903968,
|
|
"2024 vol spike": -0.061149378991071535,
|
|
"2025 tariff crash": -0.16378199222501677,
|
|
"2026 Q1 drawdown": 0.1595882919576077
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16378199222501677,
|
|
"max_ret": 0.1595882919576077,
|
|
"all_pos": false
|
|
},
|
|
"creax": {
|
|
"name": "Columbia Real Estate Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.249061664657635,
|
|
"corr_port": 0.23768212860082066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30205747579197373,
|
|
"2023 rate shock": -0.15174305303857083,
|
|
"2024 vol spike": -0.01947420745751094,
|
|
"2025 tariff crash": -0.1466798536743571,
|
|
"2026 Q1 drawdown": 0.00423280914379176
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.30205747579197373,
|
|
"max_ret": 0.00423280914379176,
|
|
"all_pos": false
|
|
},
|
|
"crihx": {
|
|
"name": "CRM LONG/SHORT OPPORTUNITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.23393840653966574,
|
|
"corr_port": 0.23881152028192626,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08774837821314485,
|
|
"2023 rate shock": -0.061475402039496085,
|
|
"2024 vol spike": -0.03487494841795136,
|
|
"2025 tariff crash": -0.09646302250803851,
|
|
"2026 Q1 drawdown": -0.05429864253393668
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09646302250803851,
|
|
"max_ret": -0.03487494841795136,
|
|
"all_pos": false
|
|
},
|
|
"crsox": {
|
|
"name": "Cantor Fitzgerald Commodity Return Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9528994793145646,
|
|
"corr_port": 0.21409020123230452,
|
|
"rets": {
|
|
"2022 bear mkt": 0.15662004154179354,
|
|
"2023 rate shock": -0.0040592382356220424,
|
|
"2024 vol spike": -0.049579654120925576,
|
|
"2025 tariff crash": -0.0912676256106979,
|
|
"2026 Q1 drawdown": 0.07827041553555247
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.0912676256106979,
|
|
"max_ret": 0.15662004154179354,
|
|
"all_pos": false
|
|
},
|
|
"csdax": {
|
|
"name": "Calvert Short Duration Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 4.475528981728228,
|
|
"corr_port": 0.05323246528588834,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06648542156504167,
|
|
"2023 rate shock": -0.000262400905125304,
|
|
"2024 vol spike": 0.01050874108139177,
|
|
"2025 tariff crash": 0.008648004784237884,
|
|
"2026 Q1 drawdown": -0.00426919098071965
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06648542156504167,
|
|
"max_ret": 0.01050874108139177,
|
|
"all_pos": false
|
|
},
|
|
"cseix": {
|
|
"name": "Cohen & Steers Real Estate Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7443075392476869,
|
|
"corr_port": 0.2359617245755928,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3221885266100235,
|
|
"2023 rate shock": -0.15074965960418696,
|
|
"2024 vol spike": -0.003687862172703449,
|
|
"2025 tariff crash": -0.11652369552100428,
|
|
"2026 Q1 drawdown": -0.0018349226697875753
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3221885266100235,
|
|
"max_ret": -0.0018349226697875753,
|
|
"all_pos": false
|
|
},
|
|
"csfax": {
|
|
"name": "Cohen & Steers Global Realty Shares, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3085042309041912,
|
|
"corr_port": 0.3050305362528093,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32332925806856383,
|
|
"2023 rate shock": -0.14711722988579867,
|
|
"2024 vol spike": -0.02551990823974004,
|
|
"2025 tariff crash": -0.11654346930530823,
|
|
"2026 Q1 drawdown": -0.03395895316894182
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32332925806856383,
|
|
"max_ret": -0.02551990823974004,
|
|
"all_pos": false
|
|
},
|
|
"cshix": {
|
|
"name": "Credit Suisse Floating Rate High Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.094230689665389,
|
|
"corr_port": 0.29103328055713173,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03374530900537809,
|
|
"2023 rate shock": 0.0109431829714155,
|
|
"2024 vol spike": 0.0012693919732638115,
|
|
"2025 tariff crash": -0.018125037663014543,
|
|
"2026 Q1 drawdown": 0.00017892386832363272
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.03374530900537809,
|
|
"max_ret": 0.0109431829714155,
|
|
"all_pos": false
|
|
},
|
|
"cshtx": {
|
|
"name": "AB Taxable Multi-Sector Income Shares",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9186764375211717,
|
|
"corr_port": 0.006816165978215763,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04168753431079497,
|
|
"2023 rate shock": 0.005902457283032847,
|
|
"2024 vol spike": 0.009986500908184981,
|
|
"2025 tariff crash": 0.007166600113810873,
|
|
"2026 Q1 drawdown": 8.58498190843271e-05
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04168753431079497,
|
|
"max_ret": 0.009986500908184981,
|
|
"all_pos": false
|
|
},
|
|
"csibx": {
|
|
"name": "Calvert Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6773431195414596,
|
|
"corr_port": -0.05935996297691614,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14016841571729777,
|
|
"2023 rate shock": -0.038956184680587924,
|
|
"2024 vol spike": 0.021185321426615777,
|
|
"2025 tariff crash": 0.006626225091049154,
|
|
"2026 Q1 drawdown": -0.008761688398486345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14016841571729777,
|
|
"max_ret": 0.021185321426615777,
|
|
"all_pos": false
|
|
},
|
|
"csmdx": {
|
|
"name": "Copeland SMID Cap Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2533088603439952,
|
|
"corr_port": 0.3022380150238775,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2018987384745381,
|
|
"2023 rate shock": -0.1395036845836236,
|
|
"2024 vol spike": -0.06475250341048033,
|
|
"2025 tariff crash": -0.1712813408724606,
|
|
"2026 Q1 drawdown": -0.04559457794208255
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2018987384745381,
|
|
"max_ret": -0.04559457794208255,
|
|
"all_pos": false
|
|
},
|
|
"csmix": {
|
|
"name": "Columbia Small Cap Value Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.9384719337367438,
|
|
"corr_port": 0.31437704867992783,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18955984389266523,
|
|
"2023 rate shock": -0.14209045703984002,
|
|
"2024 vol spike": -0.0873323588771937,
|
|
"2025 tariff crash": -0.21903910323786124,
|
|
"2026 Q1 drawdown": -0.07647305181117847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21903910323786124,
|
|
"max_ret": -0.07647305181117847,
|
|
"all_pos": false
|
|
},
|
|
"csoax": {
|
|
"name": "Credit Suisse Strategic Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.7381120230082334,
|
|
"corr_port": 0.3199550604966908,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09007987695668562,
|
|
"2023 rate shock": -0.009600318233166094,
|
|
"2024 vol spike": 6.781369495278966e-06,
|
|
"2025 tariff crash": -0.024110756222272656,
|
|
"2026 Q1 drawdown": -0.01743843977395243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09007987695668562,
|
|
"max_ret": 6.781369495278966e-06,
|
|
"all_pos": false
|
|
},
|
|
"csrix": {
|
|
"name": "Cohen & Steers Institutional Realty Shares",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1536637300779,
|
|
"corr_port": 0.23396974002922233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3045807094674934,
|
|
"2023 rate shock": -0.15060336351103254,
|
|
"2024 vol spike": -0.0026811113642499773,
|
|
"2025 tariff crash": -0.1148189157009405,
|
|
"2026 Q1 drawdown": -0.0014323554529436233
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3045807094674934,
|
|
"max_ret": -0.0014323554529436233,
|
|
"all_pos": false
|
|
},
|
|
"csrsx": {
|
|
"name": "Cohen & Steers Realty Shares",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1670064174343884,
|
|
"corr_port": 0.2338349034359993,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3073949432123525,
|
|
"2023 rate shock": -0.15200452266646247,
|
|
"2024 vol spike": -0.0030189290350803866,
|
|
"2025 tariff crash": -0.11399502051981081,
|
|
"2026 Q1 drawdown": -0.0020903997517141004
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3073949432123525,
|
|
"max_ret": -0.0020903997517141004,
|
|
"all_pos": false
|
|
},
|
|
"cstax": {
|
|
"name": "American Funds College 2027 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9947536420104309,
|
|
"corr_port": 0.29097203798924515,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13699693606874586,
|
|
"2023 rate shock": -0.04314062790731832,
|
|
"2024 vol spike": 0.003303015844534629,
|
|
"2025 tariff crash": -0.01654257615847965,
|
|
"2026 Q1 drawdown": -0.012944983818770184
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13699693606874586,
|
|
"max_ret": 0.003303015844534629,
|
|
"all_pos": false
|
|
},
|
|
"csuax": {
|
|
"name": "Cohen & Steers Global Infrastructure Fund Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.638359571449061,
|
|
"corr_port": 0.335281436257169,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1565400402458127,
|
|
"2023 rate shock": -0.11234401674761185,
|
|
"2024 vol spike": 0.00215871356168984,
|
|
"2025 tariff crash": -0.04198807933814941,
|
|
"2026 Q1 drawdown": 0.038446349715096195
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1565400402458127,
|
|
"max_ret": 0.038446349715096195,
|
|
"all_pos": false
|
|
},
|
|
"csvax": {
|
|
"name": "Columbia International Dividend Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5183489649872852,
|
|
"corr_port": 0.3811103660198612,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2832223862211488,
|
|
"2023 rate shock": -0.09175281053785422,
|
|
"2024 vol spike": -0.0753720726430479,
|
|
"2025 tariff crash": -0.1096686387017406,
|
|
"2026 Q1 drawdown": -0.058038849907764756
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2832223862211488,
|
|
"max_ret": -0.058038849907764756,
|
|
"all_pos": false
|
|
},
|
|
"ctagx": {
|
|
"name": "Calamos Timpani SMID Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.41928450524625405,
|
|
"corr_port": 0.08687582320090943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3251057782029171,
|
|
"2023 rate shock": -0.16104878284291457,
|
|
"2024 vol spike": -0.08230769783196945,
|
|
"2025 tariff crash": -0.22051972969462708,
|
|
"2026 Q1 drawdown": -0.06880739284361281
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3251057782029171,
|
|
"max_ret": -0.06880739284361281,
|
|
"all_pos": false
|
|
},
|
|
"ctcax": {
|
|
"name": "Columbia Global Technology Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.20227247140495355,
|
|
"corr_port": 0.1353958588519295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3754375930866882,
|
|
"2023 rate shock": -0.10830037565733952,
|
|
"2024 vol spike": -0.11380239061661779,
|
|
"2025 tariff crash": -0.2555964954452088,
|
|
"2026 Q1 drawdown": -0.1361165213138601
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3754375930866882,
|
|
"max_ret": -0.10830037565733952,
|
|
"all_pos": false
|
|
},
|
|
"ctfax": {
|
|
"name": "Columbia Thermostat Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.13072715476015,
|
|
"corr_port": 0.19533431960962236,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16365385534147858,
|
|
"2023 rate shock": -0.05897770421519477,
|
|
"2024 vol spike": -0.012851909151632368,
|
|
"2025 tariff crash": -0.061557002907201896,
|
|
"2026 Q1 drawdown": -0.03188561891914066
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16365385534147858,
|
|
"max_ret": -0.012851909151632368,
|
|
"all_pos": false
|
|
},
|
|
"cthax": {
|
|
"name": "American Funds College 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3031530020256977,
|
|
"corr_port": 0.3213946789819491,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16702512699759509,
|
|
"2023 rate shock": -0.05711990368275088,
|
|
"2024 vol spike": -0.00751307604776319,
|
|
"2025 tariff crash": -0.04253737180611705,
|
|
"2026 Q1 drawdown": -0.022955523672883782
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16702512699759509,
|
|
"max_ret": -0.00751307604776319,
|
|
"all_pos": false
|
|
},
|
|
"ctlax": {
|
|
"name": "American Funds College 2033 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.07276072307707751,
|
|
"corr_port": 0.2892663968944992,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20649661334433,
|
|
"2023 rate shock": -0.06748471232420328,
|
|
"2024 vol spike": -0.01985701918996785,
|
|
"2025 tariff crash": -0.06998444867980813,
|
|
"2026 Q1 drawdown": -0.03797468354430378
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20649661334433,
|
|
"max_ret": -0.01985701918996785,
|
|
"all_pos": false
|
|
},
|
|
"ctrzx": {
|
|
"name": "Multi-Manager Total Return Bond Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5646938678714031,
|
|
"corr_port": -0.09873744886889077,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15708630764391074,
|
|
"2023 rate shock": -0.044291905996065584,
|
|
"2024 vol spike": 0.02364941197073911,
|
|
"2025 tariff crash": 0.008608551973573908,
|
|
"2026 Q1 drawdown": -0.006485027809285948
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15708630764391074,
|
|
"max_ret": 0.02364941197073911,
|
|
"all_pos": false
|
|
},
|
|
"cusex": {
|
|
"name": "Capital Group U.S. Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.12328224910700027,
|
|
"corr_port": 0.27967211508772066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20184744549230038,
|
|
"2023 rate shock": -0.07633114013681597,
|
|
"2024 vol spike": -0.05362239807937552,
|
|
"2025 tariff crash": -0.1734545886244686,
|
|
"2026 Q1 drawdown": -0.09008853599575928
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20184744549230038,
|
|
"max_ret": -0.05362239807937552,
|
|
"all_pos": false
|
|
},
|
|
"cwbfx": {
|
|
"name": "CAPITAL WORLD BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1780183844859726,
|
|
"corr_port": 0.017548836695955257,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22541421911050386,
|
|
"2023 rate shock": -0.05151633350848772,
|
|
"2024 vol spike": 0.022896035126548586,
|
|
"2025 tariff crash": 0.008771926915906336,
|
|
"2026 Q1 drawdown": -0.03863826678191751
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.22541421911050386,
|
|
"max_ret": 0.022896035126548586,
|
|
"all_pos": false
|
|
},
|
|
"cwgix": {
|
|
"name": "CAPITAL WORLD GROWTH & INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4024377755412209,
|
|
"corr_port": 0.3455265621097431,
|
|
"rets": {
|
|
"2022 bear mkt": -0.270345684558449,
|
|
"2023 rate shock": -0.09515847874740568,
|
|
"2024 vol spike": -0.06984761585497579,
|
|
"2025 tariff crash": -0.15144860040676844,
|
|
"2026 Q1 drawdown": -0.09888672291912037
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.270345684558449,
|
|
"max_ret": -0.06984761585497579,
|
|
"all_pos": false
|
|
},
|
|
"cxhyx": {
|
|
"name": "Nomura National High-Yield Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.09001315641123613,
|
|
"corr_port": 0.05541654463553314,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16470542362901464,
|
|
"2023 rate shock": -0.08605119726558563,
|
|
"2024 vol spike": 0.018567689544606303,
|
|
"2025 tariff crash": -0.04687273683307269,
|
|
"2026 Q1 drawdown": -0.01083195635380263
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16470542362901464,
|
|
"max_ret": 0.018567689544606303,
|
|
"all_pos": false
|
|
},
|
|
"cybax": {
|
|
"name": "Calvert High Yield Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.41331100071632576,
|
|
"corr_port": 0.2903668700091865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13612296344213937,
|
|
"2023 rate shock": -0.027800159319948947,
|
|
"2024 vol spike": -0.0018646595332167948,
|
|
"2025 tariff crash": -0.0259304100270511,
|
|
"2026 Q1 drawdown": -0.018452478661970306
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13612296344213937,
|
|
"max_ret": -0.0018646595332167948,
|
|
"all_pos": false
|
|
},
|
|
"czmgx": {
|
|
"name": "Columbia Integrated Large Cap Growth Fund II",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6120388371330538,
|
|
"corr_port": 0.11409922483904655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32312713809748383,
|
|
"2023 rate shock": -0.10280929051833976,
|
|
"2024 vol spike": -0.08746807298675496,
|
|
"2025 tariff crash": -0.21877932529100375,
|
|
"2026 Q1 drawdown": -0.12511988853691813
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32312713809748383,
|
|
"max_ret": -0.08746807298675496,
|
|
"all_pos": false
|
|
},
|
|
"czmsx": {
|
|
"name": "Multi-Manager Small Cap Equity Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4827326889061718,
|
|
"corr_port": 0.2651823518503439,
|
|
"rets": {
|
|
"2022 bear mkt": -0.254184150727789,
|
|
"2023 rate shock": -0.167845631787915,
|
|
"2024 vol spike": -0.08095234797026407,
|
|
"2025 tariff crash": -0.22309074976955212,
|
|
"2026 Q1 drawdown": -0.07777783470507194
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.254184150727789,
|
|
"max_ret": -0.07777783470507194,
|
|
"all_pos": false
|
|
},
|
|
"czmvx": {
|
|
"name": "Multi-Manager Value Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.0004964458525896136,
|
|
"corr_port": 0.388798668971174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18476187215540096,
|
|
"2023 rate shock": -0.10552190258385352,
|
|
"2024 vol spike": -0.054556193561809185,
|
|
"2025 tariff crash": -0.13659187558130303,
|
|
"2026 Q1 drawdown": -0.033422630906095985
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18476187215540096,
|
|
"max_ret": -0.033422630906095985,
|
|
"all_pos": false
|
|
},
|
|
"dagvx": {
|
|
"name": "BNY Mellon Dynamic Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.106284973269072,
|
|
"corr_port": 0.3990619591523295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10277452421583622,
|
|
"2023 rate shock": -0.06886607344727558,
|
|
"2024 vol spike": -0.054331267324696175,
|
|
"2025 tariff crash": -0.14776849534073555,
|
|
"2026 Q1 drawdown": -0.046457193050946644
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14776849534073555,
|
|
"max_ret": -0.046457193050946644,
|
|
"all_pos": false
|
|
},
|
|
"davpx": {
|
|
"name": "Davenport Core Leaders Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2929862646875623,
|
|
"corr_port": 0.26715307721690285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25604617399574436,
|
|
"2023 rate shock": -0.07611790437997368,
|
|
"2024 vol spike": -0.05007069144511045,
|
|
"2025 tariff crash": -0.16884072019879093,
|
|
"2026 Q1 drawdown": -0.08589325933921765
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25604617399574436,
|
|
"max_ret": -0.05007069144511045,
|
|
"all_pos": false
|
|
},
|
|
"dbalx": {
|
|
"name": "Davenport Balanced Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.023451539120395437,
|
|
"corr_port": 0.3587815708726959,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15414862992189204,
|
|
"2023 rate shock": -0.07787411721406312,
|
|
"2024 vol spike": -0.015969573281870986,
|
|
"2025 tariff crash": -0.06353514157041251,
|
|
"2026 Q1 drawdown": -0.018166328445074154
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15414862992189204,
|
|
"max_ret": -0.015969573281870986,
|
|
"all_pos": false
|
|
},
|
|
"dbicx": {
|
|
"name": "DWS Global Macro Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.781548491843171,
|
|
"corr_port": 0.30334616811530735,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12645703184722912,
|
|
"2023 rate shock": -0.05079936129319895,
|
|
"2024 vol spike": -0.02620965222643723,
|
|
"2025 tariff crash": -0.04459156111619644,
|
|
"2026 Q1 drawdown": -0.05747076862909861
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12645703184722912,
|
|
"max_ret": -0.02620965222643723,
|
|
"all_pos": false
|
|
},
|
|
"dbmix": {
|
|
"name": "BNY Mellon Bond Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.21515100179507393,
|
|
"corr_port": -0.11772772706375804,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14814612912573644,
|
|
"2023 rate shock": -0.0409612039851982,
|
|
"2024 vol spike": 0.022955221718546914,
|
|
"2025 tariff crash": 0.008961402691819664,
|
|
"2026 Q1 drawdown": -0.005325396921284198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14814612912573644,
|
|
"max_ret": 0.022955221718546914,
|
|
"all_pos": false
|
|
},
|
|
"dboax": {
|
|
"name": "BNY Mellon Balanced Opportunity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1092097859328263,
|
|
"corr_port": 0.26024753055931127,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20900018265898213,
|
|
"2023 rate shock": -0.07478717025624682,
|
|
"2024 vol spike": -0.0438015355355329,
|
|
"2025 tariff crash": -0.12020595398123335,
|
|
"2026 Q1 drawdown": -0.059008833463237265
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20900018265898213,
|
|
"max_ret": -0.0438015355355329,
|
|
"all_pos": false
|
|
},
|
|
"dccax": {
|
|
"name": "Nomura Small Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5590415061198096,
|
|
"corr_port": 0.2797211782632119,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22351421570564955,
|
|
"2023 rate shock": -0.17085615301515267,
|
|
"2024 vol spike": -0.07958008912096326,
|
|
"2025 tariff crash": -0.2117765151219032,
|
|
"2026 Q1 drawdown": -0.07492701913720401
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22351421570564955,
|
|
"max_ret": -0.07492701913720401,
|
|
"all_pos": false
|
|
},
|
|
"dcpyx": {
|
|
"name": "BNY Mellon Core Plus Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8347756777268637,
|
|
"corr_port": -0.016272728918928288,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1557171086280803,
|
|
"2023 rate shock": -0.04332021083924775,
|
|
"2024 vol spike": 0.022111775100501108,
|
|
"2025 tariff crash": 0.001584321075306594,
|
|
"2026 Q1 drawdown": -0.009886915225371329
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1557171086280803,
|
|
"max_ret": 0.022111775100501108,
|
|
"all_pos": false
|
|
},
|
|
"dcsvx": {
|
|
"name": "Dunham Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9097294159148681,
|
|
"corr_port": 0.3618114563621494,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21257696529164227,
|
|
"2023 rate shock": -0.14622257476251166,
|
|
"2024 vol spike": -0.07014926780881103,
|
|
"2025 tariff crash": -0.2104802717936115,
|
|
"2026 Q1 drawdown": -0.04358353510895896
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21257696529164227,
|
|
"max_ret": -0.04358353510895896,
|
|
"all_pos": false
|
|
},
|
|
"dcuax": {
|
|
"name": "DWS CROCI U.S. Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5098007733705114,
|
|
"corr_port": 0.3561586474358129,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23275209612887537,
|
|
"2023 rate shock": -0.1021069368145392,
|
|
"2024 vol spike": -0.06901215490555501,
|
|
"2025 tariff crash": -0.1915473295641631,
|
|
"2026 Q1 drawdown": -0.051401869158878455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23275209612887537,
|
|
"max_ret": -0.051401869158878455,
|
|
"all_pos": false
|
|
},
|
|
"dddax": {
|
|
"name": "13D Activist Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5458671563309999,
|
|
"corr_port": 0.29151716718119575,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25000004721462066,
|
|
"2023 rate shock": -0.17172680689174624,
|
|
"2024 vol spike": -0.06093530768477762,
|
|
"2025 tariff crash": -0.22189774272832263,
|
|
"2026 Q1 drawdown": -0.06422018658716488
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25000004721462066,
|
|
"max_ret": -0.06093530768477762,
|
|
"all_pos": false
|
|
},
|
|
"ddfax": {
|
|
"name": "Nomura Floating Rate Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.099297100814656,
|
|
"corr_port": 0.2782139573064615,
|
|
"rets": {
|
|
"2022 bear mkt": -0.031833832921784655,
|
|
"2023 rate shock": 0.009777933078693346,
|
|
"2024 vol spike": -0.00011663917108040156,
|
|
"2025 tariff crash": -0.013899210323920386,
|
|
"2026 Q1 drawdown": -0.005232924499192326
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.031833832921784655,
|
|
"max_ret": 0.009777933078693346,
|
|
"all_pos": false
|
|
},
|
|
"ddiax": {
|
|
"name": "Nomura Wealth Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0996717470065709,
|
|
"corr_port": 0.3564902135728801,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15396341927508816,
|
|
"2023 rate shock": -0.07984118465445289,
|
|
"2024 vol spike": -0.03493339190021516,
|
|
"2025 tariff crash": -0.10670433716938332,
|
|
"2026 Q1 drawdown": -0.051010222642314695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15396341927508816,
|
|
"max_ret": -0.03493339190021516,
|
|
"all_pos": false
|
|
},
|
|
"ddvax": {
|
|
"name": "Nomura Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.166688796815623,
|
|
"corr_port": 0.3988104415560527,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1637494265517927,
|
|
"2023 rate shock": -0.10197874237592308,
|
|
"2024 vol spike": -0.037263728026407206,
|
|
"2025 tariff crash": -0.1368545755729622,
|
|
"2026 Q1 drawdown": -0.04170723254993047
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1637494265517927,
|
|
"max_ret": -0.037263728026407206,
|
|
"all_pos": false
|
|
},
|
|
"dedax": {
|
|
"name": "Nomura Emerging Markets Debt Corporate Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0358914482895578,
|
|
"corr_port": 0.2547809871673848,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1665858344971337,
|
|
"2023 rate shock": -0.027953831555917685,
|
|
"2024 vol spike": 0.005388379192327042,
|
|
"2025 tariff crash": -0.015253115688080299,
|
|
"2026 Q1 drawdown": -0.01800071855984875
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1665858344971337,
|
|
"max_ret": 0.005388379192327042,
|
|
"all_pos": false
|
|
},
|
|
"deeax": {
|
|
"name": "Nomura Extended Duration Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.165107729436209,
|
|
"corr_port": -0.03530938114328294,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28773892301120685,
|
|
"2023 rate shock": -0.09465082514788514,
|
|
"2024 vol spike": 0.01574528281461962,
|
|
"2025 tariff crash": -0.028371109256237537,
|
|
"2026 Q1 drawdown": -0.020631331478310977
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.28773892301120685,
|
|
"max_ret": 0.01574528281461962,
|
|
"all_pos": false
|
|
},
|
|
"deffx": {
|
|
"name": "Nomura Tax-Free Minnesota Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.12435193144419887,
|
|
"corr_port": 0.0347045108061029,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1180827638091132,
|
|
"2023 rate shock": -0.06609041924469117,
|
|
"2024 vol spike": 0.01528355151937566,
|
|
"2025 tariff crash": -0.04283018588338805,
|
|
"2026 Q1 drawdown": -0.014000154376481722
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1180827638091132,
|
|
"max_ret": 0.01528355151937566,
|
|
"all_pos": false
|
|
},
|
|
"deggx": {
|
|
"name": "Nomura Strategic Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 0.8164310865590094,
|
|
"corr_port": 0.16807549200539695,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1430407525287578,
|
|
"2023 rate shock": -0.030517253470180195,
|
|
"2024 vol spike": 0.005774096068428047,
|
|
"2025 tariff crash": -0.02354717543116913,
|
|
"2026 Q1 drawdown": -0.018081799369121576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1430407525287578,
|
|
"max_ret": 0.005774096068428047,
|
|
"all_pos": false
|
|
},
|
|
"delix": {
|
|
"name": "Nomura Tax-Free Pennsylvania Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3954484444107668,
|
|
"corr_port": 0.03155382856600083,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13759940261745907,
|
|
"2023 rate shock": -0.07841814210726628,
|
|
"2024 vol spike": 0.017964669891379126,
|
|
"2025 tariff crash": -0.04457413411886868,
|
|
"2026 Q1 drawdown": -0.00885966188097631
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13759940261745907,
|
|
"max_ret": 0.017964669891379126,
|
|
"all_pos": false
|
|
},
|
|
"demax": {
|
|
"name": "Nomura Emerging Markets Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.1549450738947462,
|
|
"corr_port": 0.24401351630599663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3552091372807369,
|
|
"2023 rate shock": -0.10140404418027504,
|
|
"2024 vol spike": -0.12516226631258864,
|
|
"2025 tariff crash": -0.1833184698104109,
|
|
"2026 Q1 drawdown": -0.08585467214143638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3552091372807369,
|
|
"max_ret": -0.08585467214143638,
|
|
"all_pos": false
|
|
},
|
|
"deopx": {
|
|
"name": "Davenport Equity Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.326209561373008,
|
|
"corr_port": 0.2572406006709522,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2746158270440495,
|
|
"2023 rate shock": -0.12266786849471978,
|
|
"2024 vol spike": -0.05046656645979419,
|
|
"2025 tariff crash": -0.1620133941134544,
|
|
"2026 Q1 drawdown": -0.0731293264587819
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2746158270440495,
|
|
"max_ret": -0.05046656645979419,
|
|
"all_pos": false
|
|
},
|
|
"deqax": {
|
|
"name": "BNY Mellon Global Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1953615691330124,
|
|
"corr_port": 0.4143968153077278,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17032270106389957,
|
|
"2023 rate shock": -0.10541686931999394,
|
|
"2024 vol spike": -0.038461337486231595,
|
|
"2025 tariff crash": -0.10653300945023059,
|
|
"2026 Q1 drawdown": -0.050471055613597327
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17032270106389957,
|
|
"max_ret": -0.038461337486231595,
|
|
"all_pos": false
|
|
},
|
|
"dessx": {
|
|
"name": "DWS Enhanced Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4212454409113935,
|
|
"corr_port": 0.26947614275456194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21357294044741082,
|
|
"2023 rate shock": -0.10056436945164393,
|
|
"2024 vol spike": -0.07103830527181398,
|
|
"2025 tariff crash": -0.19726146719483162,
|
|
"2026 Q1 drawdown": -0.08935353951914593
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21357294044741082,
|
|
"max_ret": -0.07103830527181398,
|
|
"all_pos": false
|
|
},
|
|
"devlx": {
|
|
"name": "Nomura Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5408365966590558,
|
|
"corr_port": 0.36246876752111673,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21708093069877687,
|
|
"2023 rate shock": -0.15118120048255546,
|
|
"2024 vol spike": -0.07573254901474435,
|
|
"2025 tariff crash": -0.1860536295102897,
|
|
"2026 Q1 drawdown": -0.034472148052956064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21708093069877687,
|
|
"max_ret": -0.034472148052956064,
|
|
"all_pos": false
|
|
},
|
|
"dfac": {
|
|
"name": "Dimensional U.S. Core Equity 2 ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3963931186837382,
|
|
"corr_port": 0.16747873728248439,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22249662768094314,
|
|
"2023 rate shock": -0.11160441999172532,
|
|
"2024 vol spike": -0.07202624563700522,
|
|
"2025 tariff crash": -0.18641740668077855,
|
|
"2026 Q1 drawdown": -0.07322247806877724
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22249662768094314,
|
|
"max_ret": -0.07202624563700522,
|
|
"all_pos": false
|
|
},
|
|
"dfas": {
|
|
"name": "Dimensional U.S. Small Cap ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0709699411325257,
|
|
"corr_port": 0.18879371269858014,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2091372854978426,
|
|
"2023 rate shock": -0.147818414120517,
|
|
"2024 vol spike": -0.0803158001838904,
|
|
"2025 tariff crash": -0.2071617109554963,
|
|
"2026 Q1 drawdown": -0.06382633068153143
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2091372854978426,
|
|
"max_ret": -0.06382633068153143,
|
|
"all_pos": false
|
|
},
|
|
"dfat": {
|
|
"name": "Dimensional U.S. Targeted Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4946678211217461,
|
|
"corr_port": 0.2707254645063862,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16214276597533928,
|
|
"2023 rate shock": -0.1358326763316995,
|
|
"2024 vol spike": -0.0800071563868916,
|
|
"2025 tariff crash": -0.205239427289453,
|
|
"2026 Q1 drawdown": -0.03461548551517546
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.205239427289453,
|
|
"max_ret": -0.03461548551517546,
|
|
"all_pos": false
|
|
},
|
|
"dfeox": {
|
|
"name": "U.S. CORE EQUITY 1 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8847892278798363,
|
|
"corr_port": 0.30463920703149805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22092294819484415,
|
|
"2023 rate shock": -0.10407558841186038,
|
|
"2024 vol spike": -0.07100029472379632,
|
|
"2025 tariff crash": -0.18467183593405734,
|
|
"2026 Q1 drawdown": -0.07170164804262169
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22092294819484415,
|
|
"max_ret": -0.07100029472379632,
|
|
"all_pos": false
|
|
},
|
|
"dffvx": {
|
|
"name": "U.S. Targeted Value Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.0191713750499916,
|
|
"corr_port": 0.3561392477750663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14655568157293797,
|
|
"2023 rate shock": -0.13764430636475344,
|
|
"2024 vol spike": -0.08122277429535452,
|
|
"2025 tariff crash": -0.20616202688091345,
|
|
"2026 Q1 drawdown": -0.035140649172283545
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20616202688091345,
|
|
"max_ret": -0.035140649172283545,
|
|
"all_pos": false
|
|
},
|
|
"dflax": {
|
|
"name": "BNY Mellon Floating Rate Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 3.624539313567535,
|
|
"corr_port": 0.31587241732489957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03826001189012884,
|
|
"2023 rate shock": 0.017665291255862137,
|
|
"2024 vol spike": -0.0017361361743366555,
|
|
"2025 tariff crash": -0.01647428879366386,
|
|
"2026 Q1 drawdown": -0.007373590988271617
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03826001189012884,
|
|
"max_ret": 0.017665291255862137,
|
|
"all_pos": false
|
|
},
|
|
"dflex": {
|
|
"name": "DoubleLine Flexible Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.4419309306895505,
|
|
"corr_port": 0.16057088019139903,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09634897813159848,
|
|
"2023 rate shock": 0.005691983224649144,
|
|
"2024 vol spike": 0.006481259109176518,
|
|
"2025 tariff crash": -0.0010857779490900388,
|
|
"2026 Q1 drawdown": -0.0034483105924877355
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09634897813159848,
|
|
"max_ret": 0.006481259109176518,
|
|
"all_pos": false
|
|
},
|
|
"dfqtx": {
|
|
"name": "U.S. CORE EQUITY 2 PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0036779907103788,
|
|
"corr_port": 0.31206193350712147,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21632927416329473,
|
|
"2023 rate shock": -0.10837863941641668,
|
|
"2024 vol spike": -0.07117979970899746,
|
|
"2025 tariff crash": -0.18591366291662137,
|
|
"2026 Q1 drawdown": -0.07044547251134381
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21632927416329473,
|
|
"max_ret": -0.07044547251134381,
|
|
"all_pos": false
|
|
},
|
|
"dfrex": {
|
|
"name": "DFA REAL ESTATE SECURITIES PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2617747845659293,
|
|
"corr_port": 0.22431609337800076,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3077122831834307,
|
|
"2023 rate shock": -0.14652032833150952,
|
|
"2024 vol spike": -0.012980493067988652,
|
|
"2025 tariff crash": -0.12459679131892898,
|
|
"2026 Q1 drawdown": -0.006158623907049909
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3077122831834307,
|
|
"max_ret": -0.006158623907049909,
|
|
"all_pos": false
|
|
},
|
|
"dfstx": {
|
|
"name": "U.S. SMALL CAP PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.588029621231152,
|
|
"corr_port": 0.30651412729276556,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20611987936013332,
|
|
"2023 rate shock": -0.1437690113151494,
|
|
"2024 vol spike": -0.077066232417773,
|
|
"2025 tariff crash": -0.20413864401198867,
|
|
"2026 Q1 drawdown": -0.06232381080042937
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20611987936013332,
|
|
"max_ret": -0.06232381080042937,
|
|
"all_pos": false
|
|
},
|
|
"dfsvx": {
|
|
"name": "U.S. SMALL CAP VALUE PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.127016196408087,
|
|
"corr_port": 0.3541278112011921,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13930242588021957,
|
|
"2023 rate shock": -0.1273004414375729,
|
|
"2024 vol spike": -0.08185714074894035,
|
|
"2025 tariff crash": -0.21331486413963496,
|
|
"2026 Q1 drawdown": -0.024961334820683412
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21331486413963496,
|
|
"max_ret": -0.024961334820683412,
|
|
"all_pos": false
|
|
},
|
|
"dfusx": {
|
|
"name": "U.S. LARGE COMPANY PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.19309930130657227,
|
|
"corr_port": 0.28268444464424947,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24536643134036562,
|
|
"2023 rate shock": -0.0966312425415351,
|
|
"2024 vol spike": -0.07173673936156433,
|
|
"2025 tariff crash": -0.1841934247316679,
|
|
"2026 Q1 drawdown": -0.08757800268988825
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24536643134036562,
|
|
"max_ret": -0.07173673936156433,
|
|
"all_pos": false
|
|
},
|
|
"dfvex": {
|
|
"name": "U.S. VECTOR EQUITY PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8234395540831263,
|
|
"corr_port": 0.34908907495294184,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18393206412287055,
|
|
"2023 rate shock": -0.12360531211993186,
|
|
"2024 vol spike": -0.07363332626840535,
|
|
"2025 tariff crash": -0.18719834852240258,
|
|
"2026 Q1 drawdown": -0.06680465385187517
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18719834852240258,
|
|
"max_ret": -0.06680465385187517,
|
|
"all_pos": false
|
|
},
|
|
"dgagx": {
|
|
"name": "BNY Mellon Appreciation Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.950849828450629,
|
|
"corr_port": 0.2534308050139968,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25574317496507915,
|
|
"2023 rate shock": -0.08261372402405764,
|
|
"2024 vol spike": -0.06627979168932241,
|
|
"2025 tariff crash": -0.16768983540850269,
|
|
"2026 Q1 drawdown": -0.10472216558516556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25574317496507915,
|
|
"max_ret": -0.06627979168932241,
|
|
"all_pos": false
|
|
},
|
|
"dgcax": {
|
|
"name": "Nomura Corporate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0878685994525508,
|
|
"corr_port": 0.02335937417244287,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19562720753056118,
|
|
"2023 rate shock": -0.04692055819098606,
|
|
"2024 vol spike": 0.012229494303003907,
|
|
"2025 tariff crash": -0.0107928834921448,
|
|
"2026 Q1 drawdown": -0.013549144950377512
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.19562720753056118,
|
|
"max_ret": 0.012229494303003907,
|
|
"all_pos": false
|
|
},
|
|
"dgeax": {
|
|
"name": "BNY Mellon Global Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.218227649391482,
|
|
"corr_port": 0.25101831558617815,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3000413332847468,
|
|
"2023 rate shock": -0.13623190285049147,
|
|
"2024 vol spike": -0.06073863532664037,
|
|
"2025 tariff crash": -0.1529690858541336,
|
|
"2026 Q1 drawdown": -0.07389524693650207
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3000413332847468,
|
|
"max_ret": -0.06073863532664037,
|
|
"all_pos": false
|
|
},
|
|
"dglax": {
|
|
"name": "BNY Mellon Global Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3044467472291634,
|
|
"corr_port": 0.26884547636106726,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28974613736839705,
|
|
"2023 rate shock": -0.10698869393606414,
|
|
"2024 vol spike": -0.06142731452632422,
|
|
"2025 tariff crash": -0.15440927905043922,
|
|
"2026 Q1 drawdown": -0.09480664901278468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28974613736839705,
|
|
"max_ret": -0.06142731452632422,
|
|
"all_pos": false
|
|
},
|
|
"dhgax": {
|
|
"name": "BNY Mellon Global Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0371038205763823,
|
|
"corr_port": 0.018443089889281766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12085275204900925,
|
|
"2023 rate shock": -0.025654691929554607,
|
|
"2024 vol spike": 0.01639353657292153,
|
|
"2025 tariff crash": 0.0020878670923225595,
|
|
"2026 Q1 drawdown": -0.012916012074939642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12085275204900925,
|
|
"max_ret": 0.01639353657292153,
|
|
"all_pos": false
|
|
},
|
|
"dhlax": {
|
|
"name": "Diamond Hill Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1067791286606328,
|
|
"corr_port": 0.37413884182690993,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22036734211612907,
|
|
"2023 rate shock": -0.11387561758553422,
|
|
"2024 vol spike": -0.058375560882175104,
|
|
"2025 tariff crash": -0.13321385014688936,
|
|
"2026 Q1 drawdown": -0.05245297747608757
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22036734211612907,
|
|
"max_ret": -0.05245297747608757,
|
|
"all_pos": false
|
|
},
|
|
"dhmbx": {
|
|
"name": "BNY Mellon High Yield Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.014529822769043283,
|
|
"corr_port": 0.06541736603955979,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1832662304038698,
|
|
"2023 rate shock": -0.08499343508109469,
|
|
"2024 vol spike": 0.019620703186691735,
|
|
"2025 tariff crash": -0.053724842530751604,
|
|
"2026 Q1 drawdown": -0.00763530868838147
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1832662304038698,
|
|
"max_ret": 0.019620703186691735,
|
|
"all_pos": false
|
|
},
|
|
"dhtax": {
|
|
"name": "Diamond Hill Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.29095139178166085,
|
|
"corr_port": 0.34241889613018117,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2179897145371542,
|
|
"2023 rate shock": -0.15171746435523248,
|
|
"2024 vol spike": -0.0874209863495371,
|
|
"2025 tariff crash": -0.1673640029202812,
|
|
"2026 Q1 drawdown": -0.03959999999999997
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2179897145371542,
|
|
"max_ret": -0.03959999999999997,
|
|
"all_pos": false
|
|
},
|
|
"dial": {
|
|
"name": "Columbia Diversified Fixed Income Allocation ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8118403516790604,
|
|
"corr_port": 0.051727050486643424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19364953508893734,
|
|
"2023 rate shock": -0.049698016704301184,
|
|
"2024 vol spike": 0.01029555513683511,
|
|
"2025 tariff crash": -0.011145414210532056,
|
|
"2026 Q1 drawdown": -0.02060304281520342
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.19364953508893734,
|
|
"max_ret": 0.01029555513683511,
|
|
"all_pos": false
|
|
},
|
|
"dibax": {
|
|
"name": "BNY Mellon International Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.255661127520654,
|
|
"corr_port": 0.06975656000439666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24525821590707486,
|
|
"2023 rate shock": -0.055326178016391614,
|
|
"2024 vol spike": 0.02889227438983455,
|
|
"2025 tariff crash": 0.012244880328406982,
|
|
"2026 Q1 drawdown": -0.05038757408454275
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.24525821590707486,
|
|
"max_ret": 0.02889227438983455,
|
|
"all_pos": false
|
|
},
|
|
"difax": {
|
|
"name": "MFS Diversified Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1032694900725035,
|
|
"corr_port": 0.33920779248964134,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18895953535471333,
|
|
"2023 rate shock": -0.06444646068358417,
|
|
"2024 vol spike": -0.0045747445490020855,
|
|
"2025 tariff crash": -0.043157434972988185,
|
|
"2026 Q1 drawdown": -0.013231157197164278
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18895953535471333,
|
|
"max_ret": -0.0045747445490020855,
|
|
"all_pos": false
|
|
},
|
|
"diisx": {
|
|
"name": "BNY Mellon International Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.08357917766730465,
|
|
"corr_port": 0.38436017062138594,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28353060904928085,
|
|
"2023 rate shock": -0.10738605064705808,
|
|
"2024 vol spike": -0.06840076015275165,
|
|
"2025 tariff crash": -0.10343163343750139,
|
|
"2026 Q1 drawdown": -0.06714342471195878
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28353060904928085,
|
|
"max_ret": -0.06714342471195878,
|
|
"all_pos": false
|
|
},
|
|
"disax": {
|
|
"name": "BNY Mellon International Stock Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.7885819935543625,
|
|
"corr_port": 0.2685181245126496,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33084951764681614,
|
|
"2023 rate shock": -0.12451872559585253,
|
|
"2024 vol spike": -0.05643254228713368,
|
|
"2025 tariff crash": -0.13956231998242297,
|
|
"2026 Q1 drawdown": -0.09935894050737426
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33084951764681614,
|
|
"max_ret": -0.05643254228713368,
|
|
"all_pos": false
|
|
},
|
|
"dissx": {
|
|
"name": "BNY Mellon Smallcap Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7084644466315528,
|
|
"corr_port": 0.30841779164833555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23065644132402974,
|
|
"2023 rate shock": -0.15988258398917643,
|
|
"2024 vol spike": -0.07372947527971474,
|
|
"2025 tariff crash": -0.2180698210924611,
|
|
"2026 Q1 drawdown": -0.054306279168434446
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23065644132402974,
|
|
"max_ret": -0.054306279168434446,
|
|
"all_pos": false
|
|
},
|
|
"ditex": {
|
|
"name": "BNY Mellon Intermediate Municipal Bond Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.32342359815370453,
|
|
"corr_port": 0.03340548286177864,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09529630234048925,
|
|
"2023 rate shock": -0.03922666886746884,
|
|
"2024 vol spike": 0.012482000130976445,
|
|
"2025 tariff crash": -0.0243160011399981,
|
|
"2026 Q1 drawdown": -0.015477313580627428
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09529630234048925,
|
|
"max_ret": 0.012482000130976445,
|
|
"all_pos": false
|
|
},
|
|
"divhx": {
|
|
"name": "Cutler Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2228921887764687,
|
|
"corr_port": 0.17297900516203735,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16046347021386598,
|
|
"2023 rate shock": -0.11152425502109431,
|
|
"2024 vol spike": -0.043058637095130914,
|
|
"2025 tariff crash": -0.12557429154406408,
|
|
"2026 Q1 drawdown": -0.02054339244387915
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16046347021386598,
|
|
"max_ret": -0.02054339244387915,
|
|
"all_pos": false
|
|
},
|
|
"dlhax": {
|
|
"name": "Nomura Healthcare Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3484929671630248,
|
|
"corr_port": 0.22129741856273794,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09778264863977748,
|
|
"2023 rate shock": -0.06677452890377256,
|
|
"2024 vol spike": -0.032860599203002216,
|
|
"2025 tariff crash": -0.1404000112151763,
|
|
"2026 Q1 drawdown": -0.06476194285714287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1404000112151763,
|
|
"max_ret": -0.032860599203002216,
|
|
"all_pos": false
|
|
},
|
|
"dlqax": {
|
|
"name": "BNY Mellon Large Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7040759825016787,
|
|
"corr_port": 0.2684712043554961,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30140825401647564,
|
|
"2023 rate shock": -0.09831763428187401,
|
|
"2024 vol spike": -0.07754846163544504,
|
|
"2025 tariff crash": -0.1899083581329759,
|
|
"2026 Q1 drawdown": -0.09180754716496164
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30140825401647564,
|
|
"max_ret": -0.07754846163544504,
|
|
"all_pos": false
|
|
},
|
|
"dltrx": {
|
|
"name": "Nomura Limited-Term Diversified Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.410119727303281,
|
|
"corr_port": -0.023842928935355934,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0584502825632679,
|
|
"2023 rate shock": 0.0001371446398990006,
|
|
"2024 vol spike": 0.009596837151174764,
|
|
"2025 tariff crash": 0.007513967644256159,
|
|
"2026 Q1 drawdown": -0.0019138727609127049
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0584502825632679,
|
|
"max_ret": 0.009596837151174764,
|
|
"all_pos": false
|
|
},
|
|
"dmcvx": {
|
|
"name": "BNY Mellon Midcap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1936643020759081,
|
|
"corr_port": 0.33320416418562776,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1695069239770438,
|
|
"2023 rate shock": -0.09776440131767306,
|
|
"2024 vol spike": -0.05835383456797816,
|
|
"2025 tariff crash": -0.17869634943900603,
|
|
"2026 Q1 drawdown": -0.0661401798664093
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17869634943900603,
|
|
"max_ret": -0.05835383456797816,
|
|
"all_pos": false
|
|
},
|
|
"dmszx": {
|
|
"name": "Destinations Multi Strategy Alternatives Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.4731356626798315,
|
|
"corr_port": 0.27114533278059666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04889834876163657,
|
|
"2023 rate shock": 0.012670003080466286,
|
|
"2024 vol spike": -0.0029410952139972135,
|
|
"2025 tariff crash": -0.033489198436259526,
|
|
"2026 Q1 drawdown": -0.01548283047126442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04889834876163657,
|
|
"max_ret": 0.012670003080466286,
|
|
"all_pos": false
|
|
},
|
|
"dmtfx": {
|
|
"name": "Nomura Tax-Free USA Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.07892471126759609,
|
|
"corr_port": 0.036736675334167974,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1801209650038177,
|
|
"2023 rate shock": -0.09847017449460194,
|
|
"2024 vol spike": 0.02219140859832458,
|
|
"2025 tariff crash": -0.0508514038459803,
|
|
"2026 Q1 drawdown": -0.012945036711906055
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1801209650038177,
|
|
"max_ret": 0.02219140859832458,
|
|
"all_pos": false
|
|
},
|
|
"dmuax": {
|
|
"name": "BNY Mellon AMT-Free Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.16780938679184762,
|
|
"corr_port": 0.03746674191228839,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11636453063137375,
|
|
"2023 rate shock": -0.05431264462036822,
|
|
"2024 vol spike": 0.013616398908144367,
|
|
"2025 tariff crash": -0.033762474457367686,
|
|
"2026 Q1 drawdown": -0.008917342129217132
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11636453063137375,
|
|
"max_ret": 0.013616398908144367,
|
|
"all_pos": false
|
|
},
|
|
"dmusx": {
|
|
"name": "Nomura Tax-Free USA Intermediate Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.15689089607979162,
|
|
"corr_port": 0.034201496748888525,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13775562703505084,
|
|
"2023 rate shock": -0.05904146265483945,
|
|
"2024 vol spike": 0.015627919333203177,
|
|
"2025 tariff crash": -0.037638604914731255,
|
|
"2026 Q1 drawdown": -0.013081357791982717
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13775562703505084,
|
|
"max_ret": 0.015627919333203177,
|
|
"all_pos": false
|
|
},
|
|
"dnlax": {
|
|
"name": "BNY Mellon Natural Resources Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.007367669204971283,
|
|
"corr_port": 0.40808297282880157,
|
|
"rets": {
|
|
"2022 bear mkt": 0.19740566233457835,
|
|
"2023 rate shock": -0.07031393000471431,
|
|
"2024 vol spike": -0.09934983836704259,
|
|
"2025 tariff crash": -0.2596837606849628,
|
|
"2026 Q1 drawdown": 0.05064441822472321
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2596837606849628,
|
|
"max_ret": 0.19740566233457835,
|
|
"all_pos": false
|
|
},
|
|
"dnldx": {
|
|
"name": "BNY Mellon Active MidCap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.16091812578034106,
|
|
"corr_port": 0.3173049122582174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21906776673713835,
|
|
"2023 rate shock": -0.13637170426836775,
|
|
"2024 vol spike": -0.0613557395857125,
|
|
"2025 tariff crash": -0.17704363085876573,
|
|
"2026 Q1 drawdown": -0.04928231191675425
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21906776673713835,
|
|
"max_ret": -0.04928231191675425,
|
|
"all_pos": false
|
|
},
|
|
"dnmzx": {
|
|
"name": "PGIM NATIONAL MUNI FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8960162241916837,
|
|
"corr_port": 0.06565112484460696,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09942530493622037,
|
|
"2023 rate shock": -0.030387948420735333,
|
|
"2024 vol spike": 0.012776325140355649,
|
|
"2025 tariff crash": -0.016861832432488844,
|
|
"2026 Q1 drawdown": -0.012164099711204468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09942530493622037,
|
|
"max_ret": 0.012776325140355649,
|
|
"all_pos": false
|
|
},
|
|
"dodwx": {
|
|
"name": "Dodge & Cox Global Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4709959061069844,
|
|
"corr_port": 0.40869798583939865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1784259443285514,
|
|
"2023 rate shock": -0.11073363746631071,
|
|
"2024 vol spike": -0.05575979852993607,
|
|
"2025 tariff crash": -0.12761650377610767,
|
|
"2026 Q1 drawdown": -0.06938527084601342
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1784259443285514,
|
|
"max_ret": -0.05575979852993607,
|
|
"all_pos": false
|
|
},
|
|
"domix": {
|
|
"name": "Domini Impact International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1073373807556698,
|
|
"corr_port": 0.38584491300828866,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32508839832642633,
|
|
"2023 rate shock": -0.10297775616251703,
|
|
"2024 vol spike": -0.07914440414653334,
|
|
"2025 tariff crash": -0.12945974241392255,
|
|
"2026 Q1 drawdown": -0.07313072737018689
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32508839832642633,
|
|
"max_ret": -0.07313072737018689,
|
|
"all_pos": false
|
|
},
|
|
"dpcfx": {
|
|
"name": "Nomura Diversified Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7573068717890346,
|
|
"corr_port": -0.009656929667627531,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1685996757975463,
|
|
"2023 rate shock": -0.049430125591319984,
|
|
"2024 vol spike": 0.019710968130740802,
|
|
"2025 tariff crash": -0.001248874520391352,
|
|
"2026 Q1 drawdown": -0.008968718839458822
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1685996757975463,
|
|
"max_ret": 0.019710968130740802,
|
|
"all_pos": false
|
|
},
|
|
"dpiax": {
|
|
"name": "Destra Flaherty & Crumrine Preferred and Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.7149326228966277,
|
|
"corr_port": 0.2620759028493733,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15265041895799392,
|
|
"2023 rate shock": -0.03828521049651956,
|
|
"2024 vol spike": -0.008507321335450957,
|
|
"2025 tariff crash": -0.022273661951053514,
|
|
"2026 Q1 drawdown": -0.0171721703045975
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15265041895799392,
|
|
"max_ret": -0.008507321335450957,
|
|
"all_pos": false
|
|
},
|
|
"dpltx": {
|
|
"name": "BNY Mellon High Yield Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4071015550497357,
|
|
"corr_port": 0.3045541105076022,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14844450041091162,
|
|
"2023 rate shock": -0.022520181129642047,
|
|
"2024 vol spike": -0.0016853765374429397,
|
|
"2025 tariff crash": -0.025041225798097644,
|
|
"2026 Q1 drawdown": -0.019325206738318612
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14844450041091162,
|
|
"max_ret": -0.0016853765374429397,
|
|
"all_pos": false
|
|
},
|
|
"dprex": {
|
|
"name": "Nomura Global Listed Real Assets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.28722101132743744,
|
|
"corr_port": 0.3218496306006807,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14101060364837803,
|
|
"2023 rate shock": -0.0810585787607856,
|
|
"2024 vol spike": -0.027642322098649807,
|
|
"2025 tariff crash": -0.07014499955950448,
|
|
"2026 Q1 drawdown": 0.005609256644619975
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14101060364837803,
|
|
"max_ret": 0.005609256644619975,
|
|
"all_pos": false
|
|
},
|
|
"dqiax": {
|
|
"name": "BNY Mellon Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4280882453151071,
|
|
"corr_port": 0.3479695908320923,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19177002522315967,
|
|
"2023 rate shock": -0.08340348597291236,
|
|
"2024 vol spike": -0.0694069306412951,
|
|
"2025 tariff crash": -0.17992385807588707,
|
|
"2026 Q1 drawdown": -0.04618629222434001
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19177002522315967,
|
|
"max_ret": -0.04618629222434001,
|
|
"all_pos": false
|
|
},
|
|
"drcax": {
|
|
"name": "BNY Mellon California AMT-Free Municipal Bond Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0599765686942929,
|
|
"corr_port": 0.034329131261950294,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12830164870558547,
|
|
"2023 rate shock": -0.054847743674271254,
|
|
"2024 vol spike": 0.014847939994041326,
|
|
"2025 tariff crash": -0.0296516185600334,
|
|
"2026 Q1 drawdown": -0.009308715126139733
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12830164870558547,
|
|
"max_ret": 0.014847939994041326,
|
|
"all_pos": false
|
|
},
|
|
"drcvx": {
|
|
"name": "COMSTOCK CAPITAL VALUE FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.111689500738219,
|
|
"corr_port": -0.15244119638974044,
|
|
"rets": {
|
|
"2022 bear mkt": 0.016528882209609463,
|
|
"2023 rate shock": -0.005154716575221707,
|
|
"2024 vol spike": -0.01237600090530333,
|
|
"2025 tariff crash": -0.03357305763286467,
|
|
"2026 Q1 drawdown": 0.006772009029345494
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.03357305763286467,
|
|
"max_ret": 0.016528882209609463,
|
|
"all_pos": false
|
|
},
|
|
"dregx": {
|
|
"name": "DRIEHAUS EMERGING MARKETS GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6693457064545,
|
|
"corr_port": 0.2924649406410685,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2565281347395648,
|
|
"2023 rate shock": -0.09908096274040701,
|
|
"2024 vol spike": -0.07956003291763247,
|
|
"2025 tariff crash": -0.1413639643542225,
|
|
"2026 Q1 drawdown": -0.09670660759007432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2565281347395648,
|
|
"max_ret": -0.07956003291763247,
|
|
"all_pos": false
|
|
},
|
|
"dreqx": {
|
|
"name": "BNY Mellon Research Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.055459709064311,
|
|
"corr_port": 0.12725585195737063,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3463728246470825,
|
|
"2023 rate shock": -0.12515257246906852,
|
|
"2024 vol spike": -0.11352432006028512,
|
|
"2025 tariff crash": -0.24941617277864436,
|
|
"2026 Q1 drawdown": -0.134385375028924
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3463728246470825,
|
|
"max_ret": -0.11352432006028512,
|
|
"all_pos": false
|
|
},
|
|
"drevx": {
|
|
"name": "BNY Mellon Large Cap Securities Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6738515964150399,
|
|
"corr_port": 0.2541088104083007,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23155964006773144,
|
|
"2023 rate shock": -0.07268254635596516,
|
|
"2024 vol spike": -0.09137332886548388,
|
|
"2025 tariff crash": -0.2064396557738165,
|
|
"2026 Q1 drawdown": -0.1104944726007987
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23155964006773144,
|
|
"max_ret": -0.07268254635596516,
|
|
"all_pos": false
|
|
},
|
|
"drlix": {
|
|
"name": "BNY Mellon Developed Markets Real Estate Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.404322052154902,
|
|
"corr_port": 0.29432039074532024,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3147059547422384,
|
|
"2023 rate shock": -0.14877097514104853,
|
|
"2024 vol spike": -0.020631101196694535,
|
|
"2025 tariff crash": -0.11432002818844578,
|
|
"2026 Q1 drawdown": -0.02947845804988658
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3147059547422384,
|
|
"max_ret": -0.020631101196694535,
|
|
"all_pos": false
|
|
},
|
|
"drnjx": {
|
|
"name": "BNY Mellon New Jersey Municipal Bond Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.05281205818877172,
|
|
"corr_port": 0.03351997154967943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11552508338433765,
|
|
"2023 rate shock": -0.05080187638906963,
|
|
"2024 vol spike": 0.014088835211662154,
|
|
"2025 tariff crash": -0.0367468106586879,
|
|
"2026 Q1 drawdown": -0.008781073589513633
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11552508338433765,
|
|
"max_ret": 0.014088835211662154,
|
|
"all_pos": false
|
|
},
|
|
"dscpx": {
|
|
"name": "Davenport Small Cap Focus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.010919908880988,
|
|
"corr_port": 0.2565656977420842,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21387604004112015,
|
|
"2023 rate shock": -0.12163135337876796,
|
|
"2024 vol spike": -0.06846241191259195,
|
|
"2025 tariff crash": -0.2029312086251227,
|
|
"2026 Q1 drawdown": -0.03255018382066299
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21387604004112015,
|
|
"max_ret": -0.03255018382066299,
|
|
"all_pos": false
|
|
},
|
|
"dsibx": {
|
|
"name": "BNY Mellon Short Term Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.730254601494266,
|
|
"corr_port": 0.042088645703269444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04884394881787435,
|
|
"2023 rate shock": -0.007538009073264296,
|
|
"2024 vol spike": 0.00780544088278412,
|
|
"2025 tariff crash": -0.00462278283248263,
|
|
"2026 Q1 drawdown": -0.004107571634134222
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04884394881787435,
|
|
"max_ret": 0.00780544088278412,
|
|
"all_pos": false
|
|
},
|
|
"dspix": {
|
|
"name": "BNY Mellon Institutional S&P 500 Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.04229688474301563,
|
|
"corr_port": 0.27933354213830136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24571444048388236,
|
|
"2023 rate shock": -0.09757647842316064,
|
|
"2024 vol spike": -0.07185631623954625,
|
|
"2025 tariff crash": -0.1847110178655248,
|
|
"2026 Q1 drawdown": -0.08796498405366782
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24571444048388236,
|
|
"max_ret": -0.07185631623954625,
|
|
"all_pos": false
|
|
},
|
|
"dstix": {
|
|
"name": "BNY Mellon Short Term Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.5859378471967895,
|
|
"corr_port": 0.06714814425872993,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07000736137219998,
|
|
"2023 rate shock": -0.002439561192708717,
|
|
"2024 vol spike": 0.009825548128099326,
|
|
"2025 tariff crash": 0.0030665091793147248,
|
|
"2026 Q1 drawdown": -0.005868790083615516
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07000736137219998,
|
|
"max_ret": 0.009825548128099326,
|
|
"all_pos": false
|
|
},
|
|
"dtcax": {
|
|
"name": "BNY Mellon Sustainable U.S. Equity Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9134557003312158,
|
|
"corr_port": 0.24616118011124877,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2704108003193273,
|
|
"2023 rate shock": -0.09576553576926872,
|
|
"2024 vol spike": -0.08704884618248676,
|
|
"2025 tariff crash": -0.19671271345341013,
|
|
"2026 Q1 drawdown": -0.1003102378490176
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2704108003193273,
|
|
"max_ret": -0.08704884618248676,
|
|
"all_pos": false
|
|
},
|
|
"dtgrx": {
|
|
"name": "BNY Mellon Technology Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.836577680453762,
|
|
"corr_port": 0.08230918368104896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.46541099642613715,
|
|
"2023 rate shock": -0.14087212098057666,
|
|
"2024 vol spike": -0.11708864660103246,
|
|
"2025 tariff crash": -0.2697618179325212,
|
|
"2026 Q1 drawdown": -0.16435939196525529
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.46541099642613715,
|
|
"max_ret": -0.11708864660103246,
|
|
"all_pos": false
|
|
},
|
|
"dtlgx": {
|
|
"name": "LARGE COMPANY GROWTH PORTFOLIO",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3713524370153765,
|
|
"corr_port": 0.155855961606925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33242518394870535,
|
|
"2023 rate shock": -0.09620025102742169,
|
|
"2024 vol spike": -0.09312497717109414,
|
|
"2025 tariff crash": -0.2305612214840842,
|
|
"2026 Q1 drawdown": -0.13646268393599403
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33242518394870535,
|
|
"max_ret": -0.09312497717109414,
|
|
"all_pos": false
|
|
},
|
|
"dultx": {
|
|
"name": "Nomura Ultrashort Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.9267646517808714,
|
|
"corr_port": 0.10322573220202592,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0023936716355718035,
|
|
"2023 rate shock": 0.008603027086622195,
|
|
"2024 vol spike": 0.005237600402015374,
|
|
"2025 tariff crash": 0.007166774426864864,
|
|
"2026 Q1 drawdown": 0.00524374875011957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0023936716355718035,
|
|
"max_ret": 0.008603027086622195,
|
|
"all_pos": false
|
|
},
|
|
"dura": {
|
|
"name": "VanEck Durable High Dividend ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3235541737822752,
|
|
"corr_port": 0.35947040355437215,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12475489141668683,
|
|
"2023 rate shock": -0.10847490338328558,
|
|
"2024 vol spike": -0.010667390238007113,
|
|
"2025 tariff crash": -0.11638595784680839,
|
|
"2026 Q1 drawdown": 0.04720430747490667
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12475489141668683,
|
|
"max_ret": 0.04720430747490667,
|
|
"all_pos": false
|
|
},
|
|
"durpx": {
|
|
"name": "U.S. High Relative Profitability Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.16230495688347746,
|
|
"corr_port": 0.23017095661758966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20849696883344426,
|
|
"2023 rate shock": -0.0887729912489782,
|
|
"2024 vol spike": -0.06677934543923791,
|
|
"2025 tariff crash": -0.18028358844837122,
|
|
"2026 Q1 drawdown": -0.07466820568536481
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20849696883344426,
|
|
"max_ret": -0.06677934543923791,
|
|
"all_pos": false
|
|
},
|
|
"dusa": {
|
|
"name": "Davis Select U.S. Equity ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.47986294139182184,
|
|
"corr_port": 0.3048620383627722,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27633453056754353,
|
|
"2023 rate shock": -0.10385284575068998,
|
|
"2024 vol spike": -0.09199811105725841,
|
|
"2025 tariff crash": -0.1625790842988447,
|
|
"2026 Q1 drawdown": -0.053381402989768345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27633453056754353,
|
|
"max_ret": -0.053381402989768345,
|
|
"all_pos": false
|
|
},
|
|
"dvipx": {
|
|
"name": "Davenport Value & Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7420935153460833,
|
|
"corr_port": 0.38346202984370553,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1997296076361732,
|
|
"2023 rate shock": -0.11703002966144349,
|
|
"2024 vol spike": -0.03469707161831048,
|
|
"2025 tariff crash": -0.11031473275486947,
|
|
"2026 Q1 drawdown": -0.03433153444848824
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1997296076361732,
|
|
"max_ret": -0.03433153444848824,
|
|
"all_pos": false
|
|
},
|
|
"dvmhx": {
|
|
"name": "Nomura Minnesota High-Yield Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.42247343589282477,
|
|
"corr_port": 0.049883532401377446,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1260931072707815,
|
|
"2023 rate shock": -0.0727820939886521,
|
|
"2024 vol spike": 0.016868188420434915,
|
|
"2025 tariff crash": -0.04605305870811649,
|
|
"2026 Q1 drawdown": -0.012046114987616763
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1260931072707815,
|
|
"max_ret": 0.016868188420434915,
|
|
"all_pos": false
|
|
},
|
|
"dvrkx": {
|
|
"name": "MFS Global Alternative Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.5601792923871005,
|
|
"corr_port": 0.28939483231244806,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08530391531737436,
|
|
"2023 rate shock": -0.01358236286848391,
|
|
"2024 vol spike": -0.02601389343542182,
|
|
"2025 tariff crash": -0.021497414321763664,
|
|
"2026 Q1 drawdown": -0.018595041322314043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.08530391531737436,
|
|
"max_ret": -0.01358236286848391,
|
|
"all_pos": false
|
|
},
|
|
"dvrux": {
|
|
"name": "UBS US Dividend Ruler Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.16725479836717647,
|
|
"corr_port": 0.19992630810397963,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1876812200863217,
|
|
"2023 rate shock": -0.09656173322447037,
|
|
"2024 vol spike": -0.05028638666512841,
|
|
"2025 tariff crash": -0.15217381540373665,
|
|
"2026 Q1 drawdown": -0.057603683317760224
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1876812200863217,
|
|
"max_ret": -0.05028638666512841,
|
|
"all_pos": false
|
|
},
|
|
"dvtax": {
|
|
"name": "Nomura Tax-Free California Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.11451389175285667,
|
|
"corr_port": 0.03034395265203771,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15153825728896264,
|
|
"2023 rate shock": -0.07686980580892622,
|
|
"2024 vol spike": 0.01894377383974044,
|
|
"2025 tariff crash": -0.045646028627903235,
|
|
"2026 Q1 drawdown": -0.012096744927153957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15153825728896264,
|
|
"max_ret": 0.01894377383974044,
|
|
"all_pos": false
|
|
},
|
|
"dwas": {
|
|
"name": "Invesco Dorsey Wright SmallCap Momentum ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3815967345769216,
|
|
"corr_port": 0.23412808528516077,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21945900585142053,
|
|
"2023 rate shock": -0.17018581862896176,
|
|
"2024 vol spike": -0.10078285415197097,
|
|
"2025 tariff crash": -0.2406112259119203,
|
|
"2026 Q1 drawdown": -0.07745925704438195
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2406112259119203,
|
|
"max_ret": -0.07745925704438195,
|
|
"all_pos": false
|
|
},
|
|
"dxhyx": {
|
|
"name": "DIREXION MONTHLY HIGH YIELD BULL 1.2X FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.5256993852942085,
|
|
"corr_port": 0.23914444356402656,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17027221617149169,
|
|
"2023 rate shock": -0.029251386682058067,
|
|
"2024 vol spike": -0.011008476330508832,
|
|
"2025 tariff crash": -0.05693758735822896,
|
|
"2026 Q1 drawdown": -0.02530116610305333
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17027221617149169,
|
|
"max_ret": -0.011008476330508832,
|
|
"all_pos": false
|
|
},
|
|
"dxklx": {
|
|
"name": "Direxion Monthly 7-10 Year Treasury Bull 1.75X Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -9.813571161137762,
|
|
"corr_port": -0.1957721594969771,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28958506588082333,
|
|
"2023 rate shock": -0.09483447688553293,
|
|
"2024 vol spike": 0.05020580273890318,
|
|
"2025 tariff crash": 0.03571428926836795,
|
|
"2026 Q1 drawdown": -0.013640686735653773
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.28958506588082333,
|
|
"max_ret": 0.05020580273890318,
|
|
"all_pos": false
|
|
},
|
|
"dxksx": {
|
|
"name": "Direxion Monthly 7-10 Year Treasury Bear 1.75X Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 6.975249604266987,
|
|
"corr_port": 0.1950823168815919,
|
|
"rets": {
|
|
"2022 bear mkt": 0.33958906645720344,
|
|
"2023 rate shock": 0.1157827103001321,
|
|
"2024 vol spike": -0.046735711045964745,
|
|
"2025 tariff crash": -0.03128253252076585,
|
|
"2026 Q1 drawdown": 0.013518886679920517
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.046735711045964745,
|
|
"max_ret": 0.33958906645720344,
|
|
"all_pos": false
|
|
},
|
|
"dxnlx": {
|
|
"name": "Direxion Monthly NASDAQ-100(R) Bull 1.25X Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.595293466647759,
|
|
"corr_port": 0.08683276086212995,
|
|
"rets": {
|
|
"2022 bear mkt": -0.41392226545370736,
|
|
"2023 rate shock": -0.12517042628161967,
|
|
"2024 vol spike": -0.12123588048774858,
|
|
"2025 tariff crash": -0.27890018183003606,
|
|
"2026 Q1 drawdown": -0.14367109425794766
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.41392226545370736,
|
|
"max_ret": -0.12123588048774858,
|
|
"all_pos": false
|
|
},
|
|
"eaalx": {
|
|
"name": "Eaton Vance Atlanta Capital Focused Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1317929490686065,
|
|
"corr_port": 0.2230849197328193,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2586473182764957,
|
|
"2023 rate shock": -0.09830693676676827,
|
|
"2024 vol spike": -0.03642234664708155,
|
|
"2025 tariff crash": -0.1264527844494553,
|
|
"2026 Q1 drawdown": -0.10928957323842892
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2586473182764957,
|
|
"max_ret": -0.03642234664708155,
|
|
"all_pos": false
|
|
},
|
|
"eaamx": {
|
|
"name": "Eaton Vance Multi-Asset Credit Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5432281809740749,
|
|
"corr_port": 0.3597123650486147,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09351971505282641,
|
|
"2023 rate shock": -0.006595197980189482,
|
|
"2024 vol spike": -0.0010122458477558327,
|
|
"2025 tariff crash": -0.023600240738427702,
|
|
"2026 Q1 drawdown": -0.010325769595642575
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09351971505282641,
|
|
"max_ret": -0.0010122458477558327,
|
|
"all_pos": false
|
|
},
|
|
"eaasx": {
|
|
"name": "Eaton Vance Atlanta Capital SMID-Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.693280447363873,
|
|
"corr_port": 0.3177014082475925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16713570687042822,
|
|
"2023 rate shock": -0.10509554550157407,
|
|
"2024 vol spike": -0.035997758051374396,
|
|
"2025 tariff crash": -0.13096983852655109,
|
|
"2026 Q1 drawdown": -0.08072913674248505
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16713570687042822,
|
|
"max_ret": -0.035997758051374396,
|
|
"all_pos": false
|
|
},
|
|
"eablx": {
|
|
"name": "Eaton Vance Floating-Rate Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.903486115664523,
|
|
"corr_port": 0.2986668557019146,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04846093007527719,
|
|
"2023 rate shock": 0.005610613781994456,
|
|
"2024 vol spike": -0.00023218963249127533,
|
|
"2025 tariff crash": -0.02078892387775555,
|
|
"2026 Q1 drawdown": -0.010017145165145847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04846093007527719,
|
|
"max_ret": 0.005610613781994456,
|
|
"all_pos": false
|
|
},
|
|
"eacax": {
|
|
"name": "Eaton Vance California Municipal Opportunities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6429912764094885,
|
|
"corr_port": 0.007281130014724794,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09932485194453755,
|
|
"2023 rate shock": -0.04353404421218188,
|
|
"2024 vol spike": 0.013633734885670101,
|
|
"2025 tariff crash": -0.03214753090948641,
|
|
"2026 Q1 drawdown": -0.008203399492787145
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09932485194453755,
|
|
"max_ret": 0.013633734885670101,
|
|
"all_pos": false
|
|
},
|
|
"eacox": {
|
|
"name": "Eaton Vance Emerging and Frontier Countries Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.280845478431211,
|
|
"corr_port": 0.3503994721720836,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20983879099350877,
|
|
"2023 rate shock": -0.11033413621110644,
|
|
"2024 vol spike": -0.08030200873055082,
|
|
"2025 tariff crash": -0.1102095372595725,
|
|
"2026 Q1 drawdown": -0.10673880964092464
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20983879099350877,
|
|
"max_ret": -0.08030200873055082,
|
|
"all_pos": false
|
|
},
|
|
"eacpx": {
|
|
"name": "Eaton Vance Tax-Managed Multi-Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.615630195744913,
|
|
"corr_port": 0.16248589674323227,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3107729182156995,
|
|
"2023 rate shock": -0.0896686680194494,
|
|
"2024 vol spike": -0.07929818828768731,
|
|
"2025 tariff crash": -0.19532021024208845,
|
|
"2026 Q1 drawdown": -0.13601498673990065
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3107729182156995,
|
|
"max_ret": -0.07929818828768731,
|
|
"all_pos": false
|
|
},
|
|
"eadix": {
|
|
"name": "Eaton Vance Global Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1849582220873642,
|
|
"corr_port": 0.3245131044438337,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2757138257174928,
|
|
"2023 rate shock": -0.09821712706980423,
|
|
"2024 vol spike": -0.07514394969853633,
|
|
"2025 tariff crash": -0.16029433644415747,
|
|
"2026 Q1 drawdown": -0.1082715239010903
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2757138257174928,
|
|
"max_ret": -0.07514394969853633,
|
|
"all_pos": false
|
|
},
|
|
"eaeax": {
|
|
"name": "Eaton Vance Tax-Managed Equity Asset Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.869367173259894,
|
|
"corr_port": 0.30164070103259244,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24557517783797556,
|
|
"2023 rate shock": -0.1031450211209195,
|
|
"2024 vol spike": -0.0629450367085278,
|
|
"2025 tariff crash": -0.17152795369302998,
|
|
"2026 Q1 drawdown": -0.09235032247859465
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24557517783797556,
|
|
"max_ret": -0.0629450367085278,
|
|
"all_pos": false
|
|
},
|
|
"eaemx": {
|
|
"name": "Parametric Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8467740713036904,
|
|
"corr_port": 0.3687978123369471,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20568788763617085,
|
|
"2023 rate shock": -0.10084621012989414,
|
|
"2024 vol spike": -0.05346133936739328,
|
|
"2025 tariff crash": -0.10149866446729261,
|
|
"2026 Q1 drawdown": -0.07761361786622911
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20568788763617085,
|
|
"max_ret": -0.05346133936739328,
|
|
"all_pos": false
|
|
},
|
|
"eaerx": {
|
|
"name": "Eaton Vance Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1406610081977264,
|
|
"corr_port": 0.2602336920205062,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2239237871040487,
|
|
"2023 rate shock": -0.08695651236918989,
|
|
"2024 vol spike": -0.06524645441614085,
|
|
"2025 tariff crash": -0.18626998326887068,
|
|
"2026 Q1 drawdown": -0.10274902646466755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2239237871040487,
|
|
"max_ret": -0.06524645441614085,
|
|
"all_pos": false
|
|
},
|
|
"eafgx": {
|
|
"name": "Eaton Vance Focused Growth Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.498387320233103,
|
|
"corr_port": 0.16805590928470746,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35046413305183755,
|
|
"2023 rate shock": -0.09289878229460136,
|
|
"2024 vol spike": -0.08803617121855223,
|
|
"2025 tariff crash": -0.21262938482377558,
|
|
"2026 Q1 drawdown": -0.11977030844012759
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35046413305183755,
|
|
"max_ret": -0.08803617121855223,
|
|
"all_pos": false
|
|
},
|
|
"eafhx": {
|
|
"name": "Eaton Vance Floating-Rate & High Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.089675868581449,
|
|
"corr_port": 0.3144001347038375,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05898477249288192,
|
|
"2023 rate shock": -0.0002919801133129951,
|
|
"2024 vol spike": -0.0005983475759621104,
|
|
"2025 tariff crash": -0.022427804499678294,
|
|
"2026 Q1 drawdown": -0.009928848248952904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.05898477249288192,
|
|
"max_ret": -0.0002919801133129951,
|
|
"all_pos": false
|
|
},
|
|
"eafvx": {
|
|
"name": "Eaton Vance Focused Value Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.31944396697242333,
|
|
"corr_port": 0.39404311760646044,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13404687307599528,
|
|
"2023 rate shock": -0.13109598397534605,
|
|
"2024 vol spike": -0.04154431174237605,
|
|
"2025 tariff crash": -0.13924681259629512,
|
|
"2026 Q1 drawdown": -0.0674364434180138
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13924681259629512,
|
|
"max_ret": -0.04154431174237605,
|
|
"all_pos": false
|
|
},
|
|
"eagmx": {
|
|
"name": "Eaton Vance Global Macro Absolute Return Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.2379756386224,
|
|
"corr_port": 0.23667567422802827,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0510310985289234,
|
|
"2023 rate shock": -0.0017008447937019167,
|
|
"2024 vol spike": -0.006179621886971187,
|
|
"2025 tariff crash": 0.0018283214731245057,
|
|
"2026 Q1 drawdown": -0.00271623581233571
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0510310985289234,
|
|
"max_ret": 0.0018283214731245057,
|
|
"all_pos": false
|
|
},
|
|
"eaiix": {
|
|
"name": "Eaton Vance Diversified Currency Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0942973407945327,
|
|
"corr_port": 0.09900715819469041,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19265072994811971,
|
|
"2023 rate shock": -0.05056728808465494,
|
|
"2024 vol spike": 0.029628070864495815,
|
|
"2025 tariff crash": 0.029696973563093643,
|
|
"2026 Q1 drawdown": -0.013184189688064119
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.19265072994811971,
|
|
"max_ret": 0.029696973563093643,
|
|
"all_pos": false
|
|
},
|
|
"eaisx": {
|
|
"name": "Parametric International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05854423647203432,
|
|
"corr_port": 0.37272659803094654,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29700450176618387,
|
|
"2023 rate shock": -0.1051883064429997,
|
|
"2024 vol spike": -0.04730183113224573,
|
|
"2025 tariff crash": -0.07098968799810323,
|
|
"2026 Q1 drawdown": -0.05292307692307685
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29700450176618387,
|
|
"max_ret": -0.04730183113224573,
|
|
"all_pos": false
|
|
},
|
|
"ealbx": {
|
|
"name": "Parametric TABS 1-to-10 Year Laddered Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.5133680517434664,
|
|
"corr_port": 0.03614008240448274,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0692576699149886,
|
|
"2023 rate shock": -0.034739095243224605,
|
|
"2024 vol spike": 0.01519120104791516,
|
|
"2025 tariff crash": -0.01680607765081643,
|
|
"2026 Q1 drawdown": -0.008529705107402807
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0692576699149886,
|
|
"max_ret": 0.01519120104791516,
|
|
"all_pos": false
|
|
},
|
|
"ealcx": {
|
|
"name": "Eaton Vance Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.514865665162581,
|
|
"corr_port": 0.17175278684910453,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3263344910806544,
|
|
"2023 rate shock": -0.09466938674596082,
|
|
"2024 vol spike": -0.09073173690947989,
|
|
"2025 tariff crash": -0.20816711045885905,
|
|
"2026 Q1 drawdown": -0.12004835168848549
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3263344910806544,
|
|
"max_ret": -0.09073173690947989,
|
|
"all_pos": false
|
|
},
|
|
"ealdx": {
|
|
"name": "Eaton Vance Short Duration Government Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4222162086730405,
|
|
"corr_port": 0.0013074657175294587,
|
|
"rets": {
|
|
"2022 bear mkt": -0.02895961628292021,
|
|
"2023 rate shock": -0.01975131645386996,
|
|
"2024 vol spike": 0.013392375519151845,
|
|
"2025 tariff crash": 0.015950463232015988,
|
|
"2026 Q1 drawdown": 0.0028631310023075063
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.02895961628292021,
|
|
"max_ret": 0.015950463232015988,
|
|
"all_pos": false
|
|
},
|
|
"ealtx": {
|
|
"name": "Parametric TABS 5-to-15 Year Laddered Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5483158158357734,
|
|
"corr_port": 0.016455493216809204,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10471708620639963,
|
|
"2023 rate shock": -0.061301861583293205,
|
|
"2024 vol spike": 0.01724447444479682,
|
|
"2025 tariff crash": -0.028138999464812908,
|
|
"2026 Q1 drawdown": -0.01836605049479345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10471708620639963,
|
|
"max_ret": 0.01724447444479682,
|
|
"all_pos": false
|
|
},
|
|
"eanax": {
|
|
"name": "Eaton Vance National Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.08776968078723449,
|
|
"corr_port": 0.029268195799753982,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12322677491885026,
|
|
"2023 rate shock": -0.06254091515857085,
|
|
"2024 vol spike": 0.014967690596695116,
|
|
"2025 tariff crash": -0.03643138150094749,
|
|
"2026 Q1 drawdown": -0.007002107884312325
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12322677491885026,
|
|
"max_ret": 0.014967690596695116,
|
|
"all_pos": false
|
|
},
|
|
"earax": {
|
|
"name": "Eaton Vance All Asset Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1806946354379628,
|
|
"corr_port": 0.2861148464460332,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19277889180045205,
|
|
"2023 rate shock": -0.07613461857813397,
|
|
"2024 vol spike": -0.02139403670304696,
|
|
"2025 tariff crash": -0.07597537721276282,
|
|
"2026 Q1 drawdown": -0.06621287128712872
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19277889180045205,
|
|
"max_ret": -0.02139403670304696,
|
|
"all_pos": false
|
|
},
|
|
"earrx": {
|
|
"name": "Eaton Vance Short Duration Inflation-Protected Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.7597180620853816,
|
|
"corr_port": 0.1740512995312191,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04261308552660881,
|
|
"2023 rate shock": 0.008247675852913083,
|
|
"2024 vol spike": 0.002018375817663065,
|
|
"2025 tariff crash": 0.007701353758824636,
|
|
"2026 Q1 drawdown": -0.0011796448822792849
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04261308552660881,
|
|
"max_ret": 0.008247675852913083,
|
|
"all_pos": false
|
|
},
|
|
"eascx": {
|
|
"name": "Eaton Vance South Carolina Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5436783216466674,
|
|
"corr_port": 0.026128940466246968,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09407113172869808,
|
|
"2023 rate shock": -0.048490537308841564,
|
|
"2024 vol spike": 0.0144290591674332,
|
|
"2025 tariff crash": -0.03505622806634945,
|
|
"2026 Q1 drawdown": -0.007156744840068008
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09407113172869808,
|
|
"max_ret": 0.0144290591674332,
|
|
"all_pos": false
|
|
},
|
|
"eatvx": {
|
|
"name": "Eaton Vance Tax-Managed Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.0068626052592791476,
|
|
"corr_port": 0.38241232550792503,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20065795687685295,
|
|
"2023 rate shock": -0.11129335577474653,
|
|
"2024 vol spike": -0.051598817669798125,
|
|
"2025 tariff crash": -0.1586504117261105,
|
|
"2026 Q1 drawdown": -0.060718192367395285
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20065795687685295,
|
|
"max_ret": -0.051598817669798125,
|
|
"all_pos": false
|
|
},
|
|
"ebabx": {
|
|
"name": "Eaton Vance Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.3075119215063,
|
|
"corr_port": 0.0437455195288118,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14378432954726972,
|
|
"2023 rate shock": -0.036474056013247824,
|
|
"2024 vol spike": 0.019953642524141335,
|
|
"2025 tariff crash": 0.007144638043831586,
|
|
"2026 Q1 drawdown": -0.010298310640516894
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14378432954726972,
|
|
"max_ret": 0.019953642524141335,
|
|
"all_pos": false
|
|
},
|
|
"ebnd": {
|
|
"name": "State Street(R) SPDR(R) Bloomberg Emerging Markets Local Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6195190836004978,
|
|
"corr_port": 0.18737519696763094,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1945221231294133,
|
|
"2023 rate shock": -0.06471435806372694,
|
|
"2024 vol spike": 0.005895018066716329,
|
|
"2025 tariff crash": -0.02314254365652768,
|
|
"2026 Q1 drawdown": -0.05887533053391392
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1945221231294133,
|
|
"max_ret": 0.005895018066716329,
|
|
"all_pos": false
|
|
},
|
|
"ebsax": {
|
|
"name": "Campbell Systematic Macro Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.0743387241177764,
|
|
"corr_port": 0.16552819228588075,
|
|
"rets": {
|
|
"2022 bear mkt": 0.35922342690884723,
|
|
"2023 rate shock": 0.02132188345568875,
|
|
"2024 vol spike": -0.04054067853614651,
|
|
"2025 tariff crash": -0.02702697968739287,
|
|
"2026 Q1 drawdown": 0.04952581664910438
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04054067853614651,
|
|
"max_ret": 0.35922342690884723,
|
|
"all_pos": false
|
|
},
|
|
"ecbsx": {
|
|
"name": "Parametric TABS Short-Term Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2786047999944473,
|
|
"corr_port": 0.0065621686361041825,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07653656914060347,
|
|
"2023 rate shock": -0.03388843798460661,
|
|
"2024 vol spike": 0.014999785292426626,
|
|
"2025 tariff crash": -0.014833469571966296,
|
|
"2026 Q1 drawdown": -0.009114530638045903
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07653656914060347,
|
|
"max_ret": 0.014999785292426626,
|
|
"all_pos": false
|
|
},
|
|
"ecctx": {
|
|
"name": "Eaton Vance Connecticut Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.028708177406360898,
|
|
"corr_port": 0.031128764697784188,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10718931250408292,
|
|
"2023 rate shock": -0.0547243205497564,
|
|
"2024 vol spike": 0.012512259900792744,
|
|
"2025 tariff crash": -0.037884222840491866,
|
|
"2026 Q1 drawdown": -0.012034527654253613
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10718931250408292,
|
|
"max_ret": 0.012512259900792744,
|
|
"all_pos": false
|
|
},
|
|
"ediax": {
|
|
"name": "Eaton Vance Global Income Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.904878630380159,
|
|
"corr_port": 0.34682943452982234,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2345342105907805,
|
|
"2023 rate shock": -0.07068551601173623,
|
|
"2024 vol spike": -0.04942285442611727,
|
|
"2025 tariff crash": -0.10057854278831169,
|
|
"2026 Q1 drawdown": -0.08225505028775848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2345342105907805,
|
|
"max_ret": -0.04942285442611727,
|
|
"all_pos": false
|
|
},
|
|
"ediv": {
|
|
"name": "State Street(R) SPDR(R) S&P Emerging Markets Dividend ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.2383704244566265,
|
|
"corr_port": 0.3199748749556711,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2352817189639409,
|
|
"2023 rate shock": -0.0419926244765938,
|
|
"2024 vol spike": -0.06533220231663073,
|
|
"2025 tariff crash": -0.099016619077405,
|
|
"2026 Q1 drawdown": -0.06661198352271802
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2352817189639409,
|
|
"max_ret": -0.0419926244765938,
|
|
"all_pos": false
|
|
},
|
|
"eeiax": {
|
|
"name": "Eaton Vance Emerging Markets Local Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8128307803618916,
|
|
"corr_port": 0.25244039499299076,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20744595807526056,
|
|
"2023 rate shock": -0.0738605703413755,
|
|
"2024 vol spike": -0.00016873143543327807,
|
|
"2025 tariff crash": -0.01010045448116137,
|
|
"2026 Q1 drawdown": -0.05712070501911004
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20744595807526056,
|
|
"max_ret": -0.00016873143543327807,
|
|
"all_pos": false
|
|
},
|
|
"eeldx": {
|
|
"name": "Eaton Vance Emerging Markets Debt Opportunities Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.9865967321618315,
|
|
"corr_port": 0.33522567386556074,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13417267321047321,
|
|
"2023 rate shock": -0.018263035622232193,
|
|
"2024 vol spike": -0.009355390474279135,
|
|
"2025 tariff crash": -0.024452122508950458,
|
|
"2026 Q1 drawdown": -0.01742249087854597
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13417267321047321,
|
|
"max_ret": -0.009355390474279135,
|
|
"all_pos": false
|
|
},
|
|
"eelv": {
|
|
"name": "Invesco S&P Emerging Markets Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.7573118720073726,
|
|
"corr_port": 0.32022259847507667,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12276899699773547,
|
|
"2023 rate shock": -0.0880933243583808,
|
|
"2024 vol spike": -0.033661706552250314,
|
|
"2025 tariff crash": -0.07362657949200568,
|
|
"2026 Q1 drawdown": -0.05179701375534351
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12276899699773547,
|
|
"max_ret": -0.033661706552250314,
|
|
"all_pos": false
|
|
},
|
|
"eemgx": {
|
|
"name": "MFS Emerging Markets Equity Research Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.1824548418491616,
|
|
"corr_port": 0.15473111892155827,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3120258781195676,
|
|
"2023 rate shock": -0.10831246710193099,
|
|
"2024 vol spike": -0.07701707578927153,
|
|
"2025 tariff crash": -0.12711862209607894,
|
|
"2026 Q1 drawdown": -0.0888689407540395
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3120258781195676,
|
|
"max_ret": -0.07701707578927153,
|
|
"all_pos": false
|
|
},
|
|
"eemx": {
|
|
"name": "State Street(R) SPDR(R) MSCI Emerging Markets Fossil Fuel Reserves Free ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.01072777250461181,
|
|
"corr_port": 0.21010918539523793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.279534316245344,
|
|
"2023 rate shock": -0.11879850019495386,
|
|
"2024 vol spike": -0.06576283259073956,
|
|
"2025 tariff crash": -0.14902192152544014,
|
|
"2026 Q1 drawdown": -0.09672220414183352
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.279534316245344,
|
|
"max_ret": -0.06576283259073956,
|
|
"all_pos": false
|
|
},
|
|
"efax": {
|
|
"name": "State Street(R) SPDR(R) MSCI EAFE Fossil Fuel Reserves Free ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3659424422707617,
|
|
"corr_port": 0.3158306247120682,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30349115879811683,
|
|
"2023 rate shock": -0.11627794655760981,
|
|
"2024 vol spike": -0.06939006489160326,
|
|
"2025 tariff crash": -0.10896623377884429,
|
|
"2026 Q1 drawdown": -0.09200149066889185
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30349115879811683,
|
|
"max_ret": -0.06939006489160326,
|
|
"all_pos": false
|
|
},
|
|
"egrix": {
|
|
"name": "Eaton Vance Global Macro Absolute Return Advantage Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.921025818208902,
|
|
"corr_port": 0.22290815991893495,
|
|
"rets": {
|
|
"2022 bear mkt": -0.062439224580987274,
|
|
"2023 rate shock": -0.012720117038028111,
|
|
"2024 vol spike": -0.013047358895481476,
|
|
"2025 tariff crash": 0.0018655520915795698,
|
|
"2026 Q1 drawdown": -0.010620915032679812
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.062439224580987274,
|
|
"max_ret": 0.0018655520915795698,
|
|
"all_pos": false
|
|
},
|
|
"ehstx": {
|
|
"name": "Eaton Vance Large-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4340116532914415,
|
|
"corr_port": 0.39669004664227214,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1336148945292921,
|
|
"2023 rate shock": -0.1181175033354599,
|
|
"2024 vol spike": -0.0357560435002342,
|
|
"2025 tariff crash": -0.13618655437017124,
|
|
"2026 Q1 drawdown": -0.06198549292580413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13618655437017124,
|
|
"max_ret": -0.0357560435002342,
|
|
"all_pos": false
|
|
},
|
|
"eigix": {
|
|
"name": "Eaton Vance Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3766161981089806,
|
|
"corr_port": -0.054562728902114596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1452363039629132,
|
|
"2023 rate shock": -0.04005808484882778,
|
|
"2024 vol spike": 0.021370961456243398,
|
|
"2025 tariff crash": 0.009498262030528837,
|
|
"2026 Q1 drawdown": -0.008116484510876765
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1452363039629132,
|
|
"max_ret": 0.021370961456243398,
|
|
"all_pos": false
|
|
},
|
|
"eimgx": {
|
|
"name": "Eaton Vance Tax-Managed Small-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3309178742032255,
|
|
"corr_port": 0.28163695375428943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22933638889870045,
|
|
"2023 rate shock": -0.17292267672948347,
|
|
"2024 vol spike": -0.05035965112826013,
|
|
"2025 tariff crash": -0.1674583492191749,
|
|
"2026 Q1 drawdown": -0.08065045073516264
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22933638889870045,
|
|
"max_ret": -0.05035965112826013,
|
|
"all_pos": false
|
|
},
|
|
"einc": {
|
|
"name": "VanEck Energy Income ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.1200395642009715,
|
|
"corr_port": 0.2785385639464503,
|
|
"rets": {
|
|
"2022 bear mkt": 0.08428783851413302,
|
|
"2023 rate shock": -0.020268217982500114,
|
|
"2024 vol spike": -0.040724611906554964,
|
|
"2025 tariff crash": -0.1166903594314922,
|
|
"2026 Q1 drawdown": 0.1597317344064919
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1166903594314922,
|
|
"max_ret": 0.1597317344064919,
|
|
"all_pos": false
|
|
},
|
|
"eipcx": {
|
|
"name": "Parametric Commodity Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.71754108209293,
|
|
"corr_port": 0.2448952420816305,
|
|
"rets": {
|
|
"2022 bear mkt": 0.11285261517173106,
|
|
"2023 rate shock": -0.02157161499989646,
|
|
"2024 vol spike": -0.05443225979446431,
|
|
"2025 tariff crash": -0.09009007472223951,
|
|
"2026 Q1 drawdown": 0.037634408602150504
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09009007472223951,
|
|
"max_ret": 0.11285261517173106,
|
|
"all_pos": false
|
|
},
|
|
"eipix": {
|
|
"name": "EIP Growth and Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4681532229734653,
|
|
"corr_port": 0.3782233394782601,
|
|
"rets": {
|
|
"2022 bear mkt": 0.03635708117203085,
|
|
"2023 rate shock": -0.03861186836641495,
|
|
"2024 vol spike": -0.021114318453106073,
|
|
"2025 tariff crash": -0.111861540740811,
|
|
"2026 Q1 drawdown": 0.10435712518988538
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.111861540740811,
|
|
"max_ret": 0.10435712518988538,
|
|
"all_pos": false
|
|
},
|
|
"eitax": {
|
|
"name": "Parametric TABS Intermediate-Term Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.554725257873979,
|
|
"corr_port": 0.006865553426098434,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09503698239193781,
|
|
"2023 rate shock": -0.06385458529382282,
|
|
"2024 vol spike": 0.018463982405792834,
|
|
"2025 tariff crash": -0.02577959996123136,
|
|
"2026 Q1 drawdown": -0.011312179197145111
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09503698239193781,
|
|
"max_ret": 0.018463982405792834,
|
|
"all_pos": false
|
|
},
|
|
"eitex": {
|
|
"name": "Parametric Tax-Managed Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.952281494856256,
|
|
"corr_port": 0.36553572604288354,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21121142177421426,
|
|
"2023 rate shock": -0.1017150033551264,
|
|
"2024 vol spike": -0.05653198399612158,
|
|
"2025 tariff crash": -0.10086677286760104,
|
|
"2026 Q1 drawdown": -0.07760242244264515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21121142177421426,
|
|
"max_ret": -0.05653198399612158,
|
|
"all_pos": false
|
|
},
|
|
"eivpx": {
|
|
"name": "Parametric Volatility Risk Premium - Defensive Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8605041575573236,
|
|
"corr_port": 0.26024034281045877,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1373361317206505,
|
|
"2023 rate shock": -0.04450831173241454,
|
|
"2024 vol spike": -0.045695408108812785,
|
|
"2025 tariff crash": -0.12657432331653873,
|
|
"2026 Q1 drawdown": -0.033038464127524314
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1373361317206505,
|
|
"max_ret": -0.033038464127524314,
|
|
"all_pos": false
|
|
},
|
|
"emaax": {
|
|
"name": "Enterprise Mergers and Acquisitions Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5322555665152933,
|
|
"corr_port": 0.34458663331372796,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15288716189892992,
|
|
"2023 rate shock": -0.07816898469379818,
|
|
"2024 vol spike": -0.038696572090209935,
|
|
"2025 tariff crash": -0.09683792554068671,
|
|
"2026 Q1 drawdown": -0.011428628571428567
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15288716189892992,
|
|
"max_ret": -0.011428628571428567,
|
|
"all_pos": false
|
|
},
|
|
"emdax": {
|
|
"name": "PGIM Emerging Markets Debt Local Currency Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.285039334604484,
|
|
"corr_port": 0.2678043713363414,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1665243914931479,
|
|
"2023 rate shock": -0.05542441431024425,
|
|
"2024 vol spike": -0.0014536350627599726,
|
|
"2025 tariff crash": -0.01114660169790238,
|
|
"2026 Q1 drawdown": -0.07216760513118403
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1665243914931479,
|
|
"max_ret": -0.0014536350627599726,
|
|
"all_pos": false
|
|
},
|
|
"emlax": {
|
|
"name": "MFS Emerging Markets Debt Local Currency Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.03584511499729168,
|
|
"corr_port": 0.2618804776583188,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1699128120577441,
|
|
"2023 rate shock": -0.07351656281533436,
|
|
"2024 vol spike": 0.006487608641589704,
|
|
"2025 tariff crash": -0.0003862160969521078,
|
|
"2026 Q1 drawdown": -0.05865666133106262
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1699128120577441,
|
|
"max_ret": 0.006487608641589704,
|
|
"all_pos": false
|
|
},
|
|
"emlc": {
|
|
"name": "VanEck J.P. Morgan EM Local Currency Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.17023374393637064,
|
|
"corr_port": 0.2163830133430265,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1672095154259865,
|
|
"2023 rate shock": -0.061280439995977876,
|
|
"2024 vol spike": -0.002430202331110687,
|
|
"2025 tariff crash": -0.016379977000165247,
|
|
"2026 Q1 drawdown": -0.05513384756330442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1672095154259865,
|
|
"max_ret": -0.002430202331110687,
|
|
"all_pos": false
|
|
},
|
|
"emoax": {
|
|
"name": "Eaton Vance Municipal Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7821269894679228,
|
|
"corr_port": 0.04257153587133872,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11711798217687219,
|
|
"2023 rate shock": -0.05151683750556324,
|
|
"2024 vol spike": 0.015917443050489366,
|
|
"2025 tariff crash": -0.03266434557527442,
|
|
"2026 Q1 drawdown": -0.009571358792539009
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11711798217687219,
|
|
"max_ret": 0.015917443050489366,
|
|
"all_pos": false
|
|
},
|
|
"emptx": {
|
|
"name": "UBS Emerging Markets Equity Opportunity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.07073542107104075,
|
|
"corr_port": 0.25462655692431463,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31863725072498406,
|
|
"2023 rate shock": -0.11068202721340392,
|
|
"2024 vol spike": -0.0938271826604199,
|
|
"2025 tariff crash": -0.13258973852817624,
|
|
"2026 Q1 drawdown": -0.1063829787234043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31863725072498406,
|
|
"max_ret": -0.0938271826604199,
|
|
"all_pos": false
|
|
},
|
|
"emrgx": {
|
|
"name": "EMERGING MARKETS EQUITIES FUND, INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5131632922050484,
|
|
"corr_port": 0.2577044950509996,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33173072965333816,
|
|
"2023 rate shock": -0.12714288187876255,
|
|
"2024 vol spike": -0.06861312990771096,
|
|
"2025 tariff crash": -0.11881191323719675,
|
|
"2026 Q1 drawdown": -0.09694989106753815
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33173072965333816,
|
|
"max_ret": -0.06861312990771096,
|
|
"all_pos": false
|
|
},
|
|
"emsqx": {
|
|
"name": "Shelton Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4845373019592554,
|
|
"corr_port": 0.30110318777288325,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24498986033854486,
|
|
"2023 rate shock": -0.09744891498912,
|
|
"2024 vol spike": -0.09336209370440052,
|
|
"2025 tariff crash": -0.1320224339225109,
|
|
"2026 Q1 drawdown": -0.09274000000000016
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24498986033854486,
|
|
"max_ret": -0.09274000000000016,
|
|
"all_pos": false
|
|
},
|
|
"eniax": {
|
|
"name": "SIIT Opportunistic Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 10.103110023066812,
|
|
"corr_port": 0.2370003414548006,
|
|
"rets": {
|
|
"2022 bear mkt": -0.022441585341719694,
|
|
"2023 rate shock": 0.015034020284609095,
|
|
"2024 vol spike": 0.003764102971555827,
|
|
"2025 tariff crash": -0.0030447001322032596,
|
|
"2026 Q1 drawdown": 0.0012484608657172824
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.022441585341719694,
|
|
"max_ret": 0.015034020284609095,
|
|
"all_pos": false
|
|
},
|
|
"epgax": {
|
|
"name": "Fidelity Advisor Equity Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.703668125551102,
|
|
"corr_port": 0.1763822494321909,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2665495599861355,
|
|
"2023 rate shock": -0.09221179075492336,
|
|
"2024 vol spike": -0.09009442129390333,
|
|
"2025 tariff crash": -0.21481116813376944,
|
|
"2026 Q1 drawdown": -0.11188807307203119
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2665495599861355,
|
|
"max_ret": -0.09009442129390333,
|
|
"all_pos": false
|
|
},
|
|
"eqal": {
|
|
"name": "Invesco Russell 1000 Equal Weight ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9140270476755283,
|
|
"corr_port": 0.3124760080274654,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20827229919478807,
|
|
"2023 rate shock": -0.13414291379952237,
|
|
"2024 vol spike": -0.05115123126133014,
|
|
"2025 tariff crash": -0.17274296346089546,
|
|
"2026 Q1 drawdown": -0.014194806264232862
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20827229919478807,
|
|
"max_ret": -0.014194806264232862,
|
|
"all_pos": false
|
|
},
|
|
"eqnax": {
|
|
"name": "MFS Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3271190724995938,
|
|
"corr_port": 0.3802058118675553,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17474567891512127,
|
|
"2023 rate shock": -0.09988126352404647,
|
|
"2024 vol spike": -0.06825329098796562,
|
|
"2025 tariff crash": -0.15920541254121334,
|
|
"2026 Q1 drawdown": -0.04856288653494467
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17474567891512127,
|
|
"max_ret": -0.04856288653494467,
|
|
"all_pos": false
|
|
},
|
|
"eqwl": {
|
|
"name": "Invesco S&P 100 Equal Weight ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3853205774025836,
|
|
"corr_port": 0.347663110238882,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22770833520274947,
|
|
"2023 rate shock": -0.10653061259298957,
|
|
"2024 vol spike": -0.053397125074691854,
|
|
"2025 tariff crash": -0.14777421783719646,
|
|
"2026 Q1 drawdown": -0.05916861721499389
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22770833520274947,
|
|
"max_ret": -0.053397125074691854,
|
|
"all_pos": false
|
|
},
|
|
"erbax": {
|
|
"name": "Eaton Vance Equity Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8060861208545296,
|
|
"corr_port": 0.34034623966180805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24372748276288647,
|
|
"2023 rate shock": -0.10445215141709352,
|
|
"2024 vol spike": -0.0702412525305035,
|
|
"2025 tariff crash": -0.16072380522250151,
|
|
"2026 Q1 drawdown": -0.09480927408947437
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24372748276288647,
|
|
"max_ret": -0.0702412525305035,
|
|
"all_pos": false
|
|
},
|
|
"ergox": {
|
|
"name": "Eaton Vance Government Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.510655388230874,
|
|
"corr_port": -0.04604971440369462,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06293365534847717,
|
|
"2023 rate shock": -0.025270283337310517,
|
|
"2024 vol spike": 0.029078829005621865,
|
|
"2025 tariff crash": 0.037635664858460816,
|
|
"2026 Q1 drawdown": -0.004730270690629923
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06293365534847717,
|
|
"max_ret": 0.037635664858460816,
|
|
"all_pos": false
|
|
},
|
|
"erth": {
|
|
"name": "Invesco MSCI Sustainable Future ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.6646433591735543,
|
|
"corr_port": 0.1735398376660114,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2994020081295188,
|
|
"2023 rate shock": -0.2513743479497772,
|
|
"2024 vol spike": -0.051617539568741266,
|
|
"2025 tariff crash": -0.1733785679958615,
|
|
"2026 Q1 drawdown": -0.052443398284573006
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2994020081295188,
|
|
"max_ret": -0.051617539568741266,
|
|
"all_pos": false
|
|
},
|
|
"eseax": {
|
|
"name": "Eaton Vance Atlanta Capital Select Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5637947974743793,
|
|
"corr_port": 0.2896752147122143,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20856433270696617,
|
|
"2023 rate shock": -0.09250650945464989,
|
|
"2024 vol spike": -0.034924387766287035,
|
|
"2025 tariff crash": -0.1395282535496043,
|
|
"2026 Q1 drawdown": -0.09247706422018342
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20856433270696617,
|
|
"max_ret": -0.034924387766287035,
|
|
"all_pos": false
|
|
},
|
|
"esge": {
|
|
"name": "iShares ESG Aware MSCI EM ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7058560834378983,
|
|
"corr_port": 0.22484781397822062,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3055179256605105,
|
|
"2023 rate shock": -0.11814338986035988,
|
|
"2024 vol spike": -0.0672488406712598,
|
|
"2025 tariff crash": -0.14723758750436722,
|
|
"2026 Q1 drawdown": -0.09746543839067834
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3055179256605105,
|
|
"max_ret": -0.0672488406712598,
|
|
"all_pos": false
|
|
},
|
|
"esgv": {
|
|
"name": "Vanguard ESG U.S. Stock ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3937400110362672,
|
|
"corr_port": 0.1946332394520856,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2835918437316237,
|
|
"2023 rate shock": -0.10712886844908187,
|
|
"2024 vol spike": -0.07762958129304776,
|
|
"2025 tariff crash": -0.19974167285289535,
|
|
"2026 Q1 drawdown": -0.10945385397695717
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2835918437316237,
|
|
"max_ret": -0.07762958129304776,
|
|
"all_pos": false
|
|
},
|
|
"eshix": {
|
|
"name": "Eaton Vance Short Duration High Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.305284772445875,
|
|
"corr_port": 0.3054489927412481,
|
|
"rets": {
|
|
"2022 bear mkt": -0.056626003864800434,
|
|
"2023 rate shock": -0.0037752762667317974,
|
|
"2024 vol spike": 0.00011840965165710315,
|
|
"2025 tariff crash": -0.01717793054572092,
|
|
"2026 Q1 drawdown": -0.009546141928648777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.056626003864800434,
|
|
"max_ret": 0.00011840965165710315,
|
|
"all_pos": false
|
|
},
|
|
"esmax": {
|
|
"name": "Invesco Global Small Cap Equity Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.5657566647394408,
|
|
"corr_port": 0.32131001661634234,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3238667731969015,
|
|
"2023 rate shock": -0.1379770569390818,
|
|
"2024 vol spike": -0.057549680625373356,
|
|
"2025 tariff crash": -0.0766643732034259,
|
|
"2026 Q1 drawdown": -0.11020710059171601
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3238667731969015,
|
|
"max_ret": -0.057549680625373356,
|
|
"all_pos": false
|
|
},
|
|
"espo": {
|
|
"name": "VanEck Video Gaming and eSports ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.04153006271483071,
|
|
"corr_port": 0.0034314772185579626,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3897704647625603,
|
|
"2023 rate shock": -0.15214033047442488,
|
|
"2024 vol spike": -0.09682063416174314,
|
|
"2025 tariff crash": -0.17071400135748027,
|
|
"2026 Q1 drawdown": -0.16719092871257546
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3897704647625603,
|
|
"max_ret": -0.09682063416174314,
|
|
"all_pos": false
|
|
},
|
|
"etazx": {
|
|
"name": "Eaton Vance Arizona Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5227020842651265,
|
|
"corr_port": 0.0397228141965349,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1000596553439449,
|
|
"2023 rate shock": -0.04927835508430445,
|
|
"2024 vol spike": 0.013884431023486687,
|
|
"2025 tariff crash": -0.03281575848455531,
|
|
"2026 Q1 drawdown": -0.010264189550810543
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1000596553439449,
|
|
"max_ret": 0.013884431023486687,
|
|
"all_pos": false
|
|
},
|
|
"etegx": {
|
|
"name": "Eaton Vance Small-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2692195187659159,
|
|
"corr_port": 0.2833109800903885,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22321427521948,
|
|
"2023 rate shock": -0.17132865166740407,
|
|
"2024 vol spike": -0.04941471119188878,
|
|
"2025 tariff crash": -0.16613619551530978,
|
|
"2026 Q1 drawdown": -0.08063354931605482
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22321427521948,
|
|
"max_ret": -0.04941471119188878,
|
|
"all_pos": false
|
|
},
|
|
"etgax": {
|
|
"name": "Eaton Vance Georgia Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4745989615406837,
|
|
"corr_port": 0.03367015698722151,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10112393980140666,
|
|
"2023 rate shock": -0.051613287214466785,
|
|
"2024 vol spike": 0.01233657029155788,
|
|
"2025 tariff crash": -0.032268586530555976,
|
|
"2026 Q1 drawdown": -0.009306552016052128
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10112393980140666,
|
|
"max_ret": 0.01233657029155788,
|
|
"all_pos": false
|
|
},
|
|
"etgix": {
|
|
"name": "Eaton Vance Greater India Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.07614137389662627,
|
|
"corr_port": 0.2646519871673826,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23365083811192866,
|
|
"2023 rate shock": -0.021848260725802704,
|
|
"2024 vol spike": -0.02581393966590184,
|
|
"2025 tariff crash": -0.0427188809721355,
|
|
"2026 Q1 drawdown": -0.1324482597236265
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23365083811192866,
|
|
"max_ret": -0.021848260725802704,
|
|
"all_pos": false
|
|
},
|
|
"ethix": {
|
|
"name": "Eaton Vance High Income Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.5134395571960655,
|
|
"corr_port": 0.3110437519252008,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10707333412835929,
|
|
"2023 rate shock": -0.02681651885210834,
|
|
"2024 vol spike": -0.004285862196581447,
|
|
"2025 tariff crash": -0.029978928102437075,
|
|
"2026 Q1 drawdown": -0.015838387184576308
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.10707333412835929,
|
|
"max_ret": -0.004285862196581447,
|
|
"all_pos": false
|
|
},
|
|
"ethsx": {
|
|
"name": "Eaton Vance Worldwide Health Sciences Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16380326557739866,
|
|
"corr_port": 0.240725263562113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16502808893907694,
|
|
"2023 rate shock": -0.0958173957090539,
|
|
"2024 vol spike": -0.019594564098946443,
|
|
"2025 tariff crash": -0.12020273895764799,
|
|
"2026 Q1 drawdown": -0.07912584777694043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16502808893907694,
|
|
"max_ret": -0.019594564098946443,
|
|
"all_pos": false
|
|
},
|
|
"ethyx": {
|
|
"name": "Eaton Vance High Yield Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.7573710660419589,
|
|
"corr_port": 0.048929629904924776,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1415569585502171,
|
|
"2023 rate shock": -0.06951011196781531,
|
|
"2024 vol spike": 0.018208334442894714,
|
|
"2025 tariff crash": -0.04315710937083872,
|
|
"2026 Q1 drawdown": -0.006166776810340724
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1415569585502171,
|
|
"max_ret": 0.018208334442894714,
|
|
"all_pos": false
|
|
},
|
|
"etmax": {
|
|
"name": "Eaton Vance Massachusetts Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2802900055849041,
|
|
"corr_port": 0.011349907894668686,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12058108340823837,
|
|
"2023 rate shock": -0.05296631535694174,
|
|
"2024 vol spike": 0.015403627804860376,
|
|
"2025 tariff crash": -0.0377875038008767,
|
|
"2026 Q1 drawdown": -0.009911372026084386
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12058108340823837,
|
|
"max_ret": 0.015403627804860376,
|
|
"all_pos": false
|
|
},
|
|
"etmbx": {
|
|
"name": "Eaton Vance AMT-Free Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.21649224336033776,
|
|
"corr_port": 0.033233419229256184,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1375118464919065,
|
|
"2023 rate shock": -0.06730488406607871,
|
|
"2024 vol spike": 0.016623152955370868,
|
|
"2025 tariff crash": -0.038542758378733555,
|
|
"2026 Q1 drawdown": -0.006374086423603709
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1375118464919065,
|
|
"max_ret": 0.016623152955370868,
|
|
"all_pos": false
|
|
},
|
|
"etmdx": {
|
|
"name": "Eaton Vance Maryland Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5038230251150895,
|
|
"corr_port": 0.024676631096766644,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11339174101901262,
|
|
"2023 rate shock": -0.054215685776692335,
|
|
"2024 vol spike": 0.013300999196327767,
|
|
"2025 tariff crash": -0.035974756636345195,
|
|
"2026 Q1 drawdown": -0.01148186645702376
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11339174101901262,
|
|
"max_ret": 0.013300999196327767,
|
|
"all_pos": false
|
|
},
|
|
"etmnx": {
|
|
"name": "Eaton Vance Minnesota Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.33371966428029803,
|
|
"corr_port": 0.02873546839697446,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08412515482995697,
|
|
"2023 rate shock": -0.055659658405398105,
|
|
"2024 vol spike": 0.01253533048286637,
|
|
"2025 tariff crash": -0.03853987854602969,
|
|
"2026 Q1 drawdown": -0.010325885363666965
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08412515482995697,
|
|
"max_ret": 0.01253533048286637,
|
|
"all_pos": false
|
|
},
|
|
"etmox": {
|
|
"name": "Eaton Vance Missouri Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2109758263924169,
|
|
"corr_port": 0.033733671206616675,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11089324293410052,
|
|
"2023 rate shock": -0.05498116176574064,
|
|
"2024 vol spike": 0.014416005833268741,
|
|
"2025 tariff crash": -0.029265151969335657,
|
|
"2026 Q1 drawdown": -0.008466685750170178
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11089324293410052,
|
|
"max_ret": 0.014416005833268741,
|
|
"all_pos": false
|
|
},
|
|
"etncx": {
|
|
"name": "Eaton Vance North Carolina Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.35811503711706405,
|
|
"corr_port": 0.031616235356986246,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09802888164052492,
|
|
"2023 rate shock": -0.048134411413353395,
|
|
"2024 vol spike": 0.013260893643715299,
|
|
"2025 tariff crash": -0.03532089057622334,
|
|
"2026 Q1 drawdown": -0.011544394044993855
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09802888164052492,
|
|
"max_ret": 0.013260893643715299,
|
|
"all_pos": false
|
|
},
|
|
"etnjx": {
|
|
"name": "Eaton Vance New Jersey Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.08457026383604997,
|
|
"corr_port": 0.04070918578125772,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12142091162075797,
|
|
"2023 rate shock": -0.0431521594021238,
|
|
"2024 vol spike": 0.013116378944078022,
|
|
"2025 tariff crash": -0.03676634342635554,
|
|
"2026 Q1 drawdown": -0.008321406626603745
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12142091162075797,
|
|
"max_ret": 0.013116378944078022,
|
|
"all_pos": false
|
|
},
|
|
"etnyx": {
|
|
"name": "Eaton Vance New York Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.10899026851639633,
|
|
"corr_port": 0.02932107808342956,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1281157222901259,
|
|
"2023 rate shock": -0.06831588153192492,
|
|
"2024 vol spike": 0.015717353913140997,
|
|
"2025 tariff crash": -0.04366436254503747,
|
|
"2026 Q1 drawdown": -0.009117938003477821
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1281157222901259,
|
|
"max_ret": 0.015717353913140997,
|
|
"all_pos": false
|
|
},
|
|
"etohx": {
|
|
"name": "Eaton Vance Ohio Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16798818291259462,
|
|
"corr_port": 0.04482242614897429,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10720471414573352,
|
|
"2023 rate shock": -0.05543050946432704,
|
|
"2024 vol spike": 0.01369520804073776,
|
|
"2025 tariff crash": -0.02960741595699956,
|
|
"2026 Q1 drawdown": -0.010024890798509656
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10720471414573352,
|
|
"max_ret": 0.01369520804073776,
|
|
"all_pos": false
|
|
},
|
|
"etorx": {
|
|
"name": "Eaton Vance Oregon Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.04543410619205843,
|
|
"corr_port": 0.02885830268350444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10968489166676298,
|
|
"2023 rate shock": -0.051317129824654195,
|
|
"2024 vol spike": 0.014024243489801691,
|
|
"2025 tariff crash": -0.023821385195534228,
|
|
"2026 Q1 drawdown": -0.008436574450452317
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10968489166676298,
|
|
"max_ret": 0.014024243489801691,
|
|
"all_pos": false
|
|
},
|
|
"etpax": {
|
|
"name": "Eaton Vance Pennsylvania Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4654975232597695,
|
|
"corr_port": 0.025046369879028064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11908622848250938,
|
|
"2023 rate shock": -0.05658247912985348,
|
|
"2024 vol spike": 0.014664560841073149,
|
|
"2025 tariff crash": -0.0367004127039563,
|
|
"2026 Q1 drawdown": -0.008292115236087416
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11908622848250938,
|
|
"max_ret": 0.014664560841073149,
|
|
"all_pos": false
|
|
},
|
|
"etsix": {
|
|
"name": "Eaton Vance Strategic Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.111542447931916,
|
|
"corr_port": 0.16987947446299345,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0537900172469693,
|
|
"2023 rate shock": -0.014410028842938405,
|
|
"2024 vol spike": 0.0057124158095509525,
|
|
"2025 tariff crash": 0.003827461156780787,
|
|
"2026 Q1 drawdown": -0.010324429092081866
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.0537900172469693,
|
|
"max_ret": 0.0057124158095509525,
|
|
"all_pos": false
|
|
},
|
|
"ettgx": {
|
|
"name": "Eaton Vance Tax-Managed Growth Fund 1.1",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4286504520550778,
|
|
"corr_port": 0.2604757771360321,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2578316587765763,
|
|
"2023 rate shock": -0.0895850934582938,
|
|
"2024 vol spike": -0.07319458712255211,
|
|
"2025 tariff crash": -0.1857481767044844,
|
|
"2026 Q1 drawdown": -0.1048333342514911
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2578316587765763,
|
|
"max_ret": -0.07319458712255211,
|
|
"all_pos": false
|
|
},
|
|
"etvax": {
|
|
"name": "Eaton Vance Virginia Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2689160715097323,
|
|
"corr_port": 0.04799583417715261,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11224865078883928,
|
|
"2023 rate shock": -0.05807299364254537,
|
|
"2024 vol spike": 0.012807702531893117,
|
|
"2025 tariff crash": -0.03670276819079743,
|
|
"2026 Q1 drawdown": -0.008755455148845459
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11224865078883928,
|
|
"max_ret": 0.012807702531893117,
|
|
"all_pos": false
|
|
},
|
|
"evcgx": {
|
|
"name": "Eaton Vance China Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3170692497148546,
|
|
"corr_port": 0.17268411749891205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34156550159500354,
|
|
"2023 rate shock": -0.12023798727572066,
|
|
"2024 vol spike": -0.050075914967359636,
|
|
"2025 tariff crash": -0.12901236495053914,
|
|
"2026 Q1 drawdown": -0.1420212841500682
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34156550159500354,
|
|
"max_ret": -0.050075914967359636,
|
|
"all_pos": false
|
|
},
|
|
"evfax": {
|
|
"name": "Eaton Vance Floating-Rate Advantage Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.021323907165813,
|
|
"corr_port": 0.29869390204325696,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05904037738560686,
|
|
"2023 rate shock": 0.007319862047568293,
|
|
"2024 vol spike": -0.001600979951269066,
|
|
"2025 tariff crash": -0.02771076691511598,
|
|
"2026 Q1 drawdown": -0.013113967821765216
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05904037738560686,
|
|
"max_ret": 0.007319862047568293,
|
|
"all_pos": false
|
|
},
|
|
"evibx": {
|
|
"name": "Eaton Vance Income Fund of Boston",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.8364764047987797,
|
|
"corr_port": 0.3100889943584041,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11541547221754722,
|
|
"2023 rate shock": -0.026383640032469624,
|
|
"2024 vol spike": -0.002894330405734724,
|
|
"2025 tariff crash": -0.02860238794061254,
|
|
"2026 Q1 drawdown": -0.014747049883502727
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11541547221754722,
|
|
"max_ret": -0.002894330405734724,
|
|
"all_pos": false
|
|
},
|
|
"evifx": {
|
|
"name": "Eaton Vance Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.22579595976413142,
|
|
"corr_port": 0.23962413445236072,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19310793928937775,
|
|
"2023 rate shock": -0.06715107953025978,
|
|
"2024 vol spike": -0.03553307088459412,
|
|
"2025 tariff crash": -0.11496774675503973,
|
|
"2026 Q1 drawdown": -0.06959576645707344
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19310793928937775,
|
|
"max_ret": -0.03553307088459412,
|
|
"all_pos": false
|
|
},
|
|
"evtmx": {
|
|
"name": "Eaton Vance Dividend Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.928088791612065,
|
|
"corr_port": 0.34464828061221303,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2039358446423657,
|
|
"2023 rate shock": -0.09111793795486045,
|
|
"2024 vol spike": -0.04942047692244533,
|
|
"2025 tariff crash": -0.14162841155343697,
|
|
"2026 Q1 drawdown": -0.04408466150537815
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2039358446423657,
|
|
"max_ret": -0.04408466150537815,
|
|
"all_pos": false
|
|
},
|
|
"evvcx": {
|
|
"name": "The E-Valuator Very Conservative (0%-15%) RMS Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5817712388657545,
|
|
"corr_port": 0.17121927716575955,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0842581958136075,
|
|
"2023 rate shock": -0.0326660287171171,
|
|
"2024 vol spike": 0.004983860850291455,
|
|
"2025 tariff crash": -0.02736833465978017,
|
|
"2026 Q1 drawdown": -0.02697302364025367
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0842581958136075,
|
|
"max_ret": 0.004983860850291455,
|
|
"all_pos": false
|
|
},
|
|
"exflx": {
|
|
"name": "Eaton Vance National Ultra-Short Municipal Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 4.953805480702568,
|
|
"corr_port": 0.08600758975449137,
|
|
"rets": {
|
|
"2022 bear mkt": -0.006706054826379315,
|
|
"2023 rate shock": 0.003411964098382958,
|
|
"2024 vol spike": 0.004833855611610094,
|
|
"2025 tariff crash": 0.0009214812870472766,
|
|
"2026 Q1 drawdown": 0.0010213319265388598
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.006706054826379315,
|
|
"max_ret": 0.004833855611610094,
|
|
"all_pos": false
|
|
},
|
|
"exmax": {
|
|
"name": "Eaton Vance Short Duration Municipal Opportunities Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.0078256435615387,
|
|
"corr_port": 0.04408312634635546,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0634888995407421,
|
|
"2023 rate shock": -0.01806157678090692,
|
|
"2024 vol spike": 0.011658271655627273,
|
|
"2025 tariff crash": -0.014353558445261316,
|
|
"2026 Q1 drawdown": -0.00813268685364954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0634888995407421,
|
|
"max_ret": 0.011658271655627273,
|
|
"all_pos": false
|
|
},
|
|
"exnax": {
|
|
"name": "Eaton Vance National Limited Maturity Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.5828657425668524,
|
|
"corr_port": 0.04265226594998753,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05430975793900328,
|
|
"2023 rate shock": -0.017659311534507505,
|
|
"2024 vol spike": 0.009253497555702594,
|
|
"2025 tariff crash": -0.01539774474616884,
|
|
"2026 Q1 drawdown": -0.007813135614783917
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05430975793900328,
|
|
"max_ret": 0.009253497555702594,
|
|
"all_pos": false
|
|
},
|
|
"extgx": {
|
|
"name": "Eaton Vance Tax-Managed Growth Fund 1.2",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5763801846977499,
|
|
"corr_port": 0.2608453934673268,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2585596394991182,
|
|
"2023 rate shock": -0.09006128871321062,
|
|
"2024 vol spike": -0.07314673336697641,
|
|
"2025 tariff crash": -0.18581513950382833,
|
|
"2026 Q1 drawdown": -0.10510850334584632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2585596394991182,
|
|
"max_ret": -0.07314673336697641,
|
|
"all_pos": false
|
|
},
|
|
"facdx": {
|
|
"name": "Fidelity Advisor Health Care Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.12352847767670486,
|
|
"corr_port": 0.1584172014378725,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16430331115621488,
|
|
"2023 rate shock": -0.12577983111766822,
|
|
"2024 vol spike": -0.04464281287687255,
|
|
"2025 tariff crash": -0.13074809910645835,
|
|
"2026 Q1 drawdown": -0.10303997514881669
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16430331115621488,
|
|
"max_ret": -0.04464281287687255,
|
|
"all_pos": false
|
|
},
|
|
"facfx": {
|
|
"name": "Fidelity Advisor Freedom 2010 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.020830883067252587,
|
|
"corr_port": 0.2772893596403795,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16930225500294305,
|
|
"2023 rate shock": -0.05063293072568775,
|
|
"2024 vol spike": -0.007379941047539917,
|
|
"2025 tariff crash": -0.03771829834033791,
|
|
"2026 Q1 drawdown": -0.02541642508074049
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16930225500294305,
|
|
"max_ret": -0.007379941047539917,
|
|
"all_pos": false
|
|
},
|
|
"facnx": {
|
|
"name": "Fidelity Canada Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5945367718164201,
|
|
"corr_port": 0.34299985498483593,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14312411088061883,
|
|
"2023 rate shock": -0.09960712558118867,
|
|
"2024 vol spike": -0.05314842078803306,
|
|
"2025 tariff crash": -0.11030369333649825,
|
|
"2026 Q1 drawdown": -0.031997942403495294
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14312411088061883,
|
|
"max_ret": -0.031997942403495294,
|
|
"all_pos": false
|
|
},
|
|
"fafdx": {
|
|
"name": "Fidelity Advisor Financials Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0737943162215335,
|
|
"corr_port": 0.40501621686762496,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19854402710239327,
|
|
"2023 rate shock": -0.11533985006494885,
|
|
"2024 vol spike": -0.07614369287036471,
|
|
"2025 tariff crash": -0.17475464708607358,
|
|
"2026 Q1 drawdown": -0.09841262165112752
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19854402710239327,
|
|
"max_ret": -0.07614369287036471,
|
|
"all_pos": false
|
|
},
|
|
"fafrx": {
|
|
"name": "FRANKLIN FLOATING RATE DAILY ACCESS FUND",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.5389934068951625,
|
|
"corr_port": 0.25034999241740596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04127355382259257,
|
|
"2023 rate shock": 0.020113576458184124,
|
|
"2024 vol spike": -0.004285309393767145,
|
|
"2025 tariff crash": -0.022112150091468386,
|
|
"2026 Q1 drawdown": -0.008351784231308557
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04127355382259257,
|
|
"max_ret": 0.020113576458184124,
|
|
"all_pos": false
|
|
},
|
|
"fagax": {
|
|
"name": "Fidelity Advisor Growth Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.300921143322413,
|
|
"corr_port": 0.12142345178805553,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3760767911890389,
|
|
"2023 rate shock": -0.1300139980979822,
|
|
"2024 vol spike": -0.1008832487374961,
|
|
"2025 tariff crash": -0.2539110364832924,
|
|
"2026 Q1 drawdown": -0.143094629968604
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3760767911890389,
|
|
"max_ret": -0.1008832487374961,
|
|
"all_pos": false
|
|
},
|
|
"fagix": {
|
|
"name": "Fidelity Capital & Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6139189979082451,
|
|
"corr_port": 0.33808986339702785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1372448886101275,
|
|
"2023 rate shock": -0.03427061490880223,
|
|
"2024 vol spike": -0.023060708225536852,
|
|
"2025 tariff crash": -0.0686332181288738,
|
|
"2026 Q1 drawdown": -0.027285158092604456
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1372448886101275,
|
|
"max_ret": -0.023060708225536852,
|
|
"all_pos": false
|
|
},
|
|
"fairx": {
|
|
"name": "The Fairholme Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.03779422667013526,
|
|
"corr_port": 0.1644405866652513,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33559740156716766,
|
|
"2023 rate shock": -0.2194926545703818,
|
|
"2024 vol spike": -0.07794287165967273,
|
|
"2025 tariff crash": -0.1151748072113794,
|
|
"2026 Q1 drawdown": -0.05525509182353838
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33559740156716766,
|
|
"max_ret": -0.05525509182353838,
|
|
"all_pos": false
|
|
},
|
|
"famex": {
|
|
"name": "FAM Dividend Focus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0725734989839286,
|
|
"corr_port": 0.2888610222554051,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2104337610447481,
|
|
"2023 rate shock": -0.07874114988190917,
|
|
"2024 vol spike": -0.05368315805224344,
|
|
"2025 tariff crash": -0.11490063988818477,
|
|
"2026 Q1 drawdown": -0.09424707574773439
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2104337610447481,
|
|
"max_ret": -0.05368315805224344,
|
|
"all_pos": false
|
|
},
|
|
"fascx": {
|
|
"name": "Franklin Alternative Strategies Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4418028564177769,
|
|
"corr_port": 0.28780292636448235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09326434889629764,
|
|
"2023 rate shock": -0.018026463213111188,
|
|
"2024 vol spike": -0.018600573468259385,
|
|
"2025 tariff crash": -0.0337709431194696,
|
|
"2026 Q1 drawdown": -0.00551977920883151
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09326434889629764,
|
|
"max_ret": -0.00551977920883151,
|
|
"all_pos": false
|
|
},
|
|
"faztx": {
|
|
"name": "Nuveen Arizona Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.20215800369260412,
|
|
"corr_port": 0.034841296493306466,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12779110346665912,
|
|
"2023 rate shock": -0.056522698494096746,
|
|
"2024 vol spike": 0.012399340854247987,
|
|
"2025 tariff crash": -0.032782361398138615,
|
|
"2026 Q1 drawdown": -0.0065948059484741695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12779110346665912,
|
|
"max_ret": 0.012399340854247987,
|
|
"all_pos": false
|
|
},
|
|
"fbdix": {
|
|
"name": "FRANKLIN BIOTECHNOLOGY DISCOVERY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6378709521421704,
|
|
"corr_port": 0.0907339134154907,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17092825343423057,
|
|
"2023 rate shock": -0.1072823840536522,
|
|
"2024 vol spike": -0.06220671982448911,
|
|
"2025 tariff crash": -0.19945175647541713,
|
|
"2026 Q1 drawdown": -0.04492913648847596
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19945175647541713,
|
|
"max_ret": -0.04492913648847596,
|
|
"all_pos": false
|
|
},
|
|
"fblax": {
|
|
"name": "Franklin Managed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5465376619531439,
|
|
"corr_port": 0.35209473883124703,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15365129713750414,
|
|
"2023 rate shock": -0.07400594559548068,
|
|
"2024 vol spike": -0.0064298675781431225,
|
|
"2025 tariff crash": -0.06249347095342084,
|
|
"2026 Q1 drawdown": -0.004750660590522204
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15365129713750414,
|
|
"max_ret": -0.004750660590522204,
|
|
"all_pos": false
|
|
},
|
|
"fbnd": {
|
|
"name": "Fidelity Total Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6911705083305129,
|
|
"corr_port": -0.0009964047501210768,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14167719396264333,
|
|
"2023 rate shock": -0.03381092877256464,
|
|
"2024 vol spike": 0.019000754098140504,
|
|
"2025 tariff crash": 0.0020567796068897692,
|
|
"2026 Q1 drawdown": -0.00527163366167871
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14167719396264333,
|
|
"max_ret": 0.019000754098140504,
|
|
"all_pos": false
|
|
},
|
|
"fbtax": {
|
|
"name": "Fidelity Advisor Biotechnology Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.161535393224567,
|
|
"corr_port": 0.0938475100637796,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13190068044244785,
|
|
"2023 rate shock": -0.13012320154062929,
|
|
"2024 vol spike": -0.03715263955791215,
|
|
"2025 tariff crash": -0.20397113565441405,
|
|
"2026 Q1 drawdown": -0.048576676715155975
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20397113565441405,
|
|
"max_ret": -0.03715263955791215,
|
|
"all_pos": false
|
|
},
|
|
"fcamx": {
|
|
"name": "FRANKLIN CALIFORNIA HIGH YIELD MUNICIPAL FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3431254237551467,
|
|
"corr_port": 0.03850827738175056,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14528642637551725,
|
|
"2023 rate shock": -0.06550982082087764,
|
|
"2024 vol spike": 0.0166094079376069,
|
|
"2025 tariff crash": -0.033399146243794475,
|
|
"2026 Q1 drawdown": -0.0064825038103171195
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14528642637551725,
|
|
"max_ret": 0.0166094079376069,
|
|
"all_pos": false
|
|
},
|
|
"fceex": {
|
|
"name": "Franklin Emerging Market Core Equity (IU) Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6359052858455618,
|
|
"corr_port": 0.23480754616219335,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2527584175085965,
|
|
"2023 rate shock": -0.09042815785535285,
|
|
"2024 vol spike": -0.07365959454572168,
|
|
"2025 tariff crash": -0.12987023197465675,
|
|
"2026 Q1 drawdown": -0.08150693975100032
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2527584175085965,
|
|
"max_ret": -0.07365959454572168,
|
|
"all_pos": false
|
|
},
|
|
"fcenx": {
|
|
"name": "Franklin International Core Equity (IU) Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0273563921740823,
|
|
"corr_port": 0.3619692691169246,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30020760374944966,
|
|
"2023 rate shock": -0.08617620617255217,
|
|
"2024 vol spike": -0.07959555808546137,
|
|
"2025 tariff crash": -0.10857588232812121,
|
|
"2026 Q1 drawdown": -0.07083329195989863
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30020760374944966,
|
|
"max_ret": -0.07083329195989863,
|
|
"all_pos": false
|
|
},
|
|
"fceux": {
|
|
"name": "Franklin U.S. Core Equity (IU) Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1653403664295883,
|
|
"corr_port": 0.24597417432940427,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22188299459948901,
|
|
"2023 rate shock": -0.08228755868682813,
|
|
"2024 vol spike": -0.07291632132599268,
|
|
"2025 tariff crash": -0.1840490761750102,
|
|
"2026 Q1 drawdown": -0.0834582340468275
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22188299459948901,
|
|
"max_ret": -0.07291632132599268,
|
|
"all_pos": false
|
|
},
|
|
"fcfgx": {
|
|
"name": "American Funds College 2039 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3392576445283824,
|
|
"corr_port": 0.08664456042409864,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26502735763364194,
|
|
"2023 rate shock": -0.09687193891533474,
|
|
"2024 vol spike": -0.05492599007155963,
|
|
"2025 tariff crash": -0.14011674909960659,
|
|
"2026 Q1 drawdown": -0.07912584777694043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26502735763364194,
|
|
"max_ret": -0.05492599007155963,
|
|
"all_pos": false
|
|
},
|
|
"fcfix": {
|
|
"name": "FROST CREDIT FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 5.709904215588121,
|
|
"corr_port": 0.16484050675681672,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09907725783759946,
|
|
"2023 rate shock": -0.0037517420093964304,
|
|
"2024 vol spike": 0.006698289031340288,
|
|
"2025 tariff crash": -0.014728971355337572,
|
|
"2026 Q1 drawdown": -0.007320470349093111
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09907725783759946,
|
|
"max_ret": 0.006698289031340288,
|
|
"all_pos": false
|
|
},
|
|
"fclax": {
|
|
"name": "Fidelity Advisor Industrials Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.419115772241196,
|
|
"corr_port": 0.3309650341145926,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22120976316953478,
|
|
"2023 rate shock": -0.14942810835299547,
|
|
"2024 vol spike": -0.06508610143926119,
|
|
"2025 tariff crash": -0.1777778294472807,
|
|
"2026 Q1 drawdown": -0.053565427509293606
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22120976316953478,
|
|
"max_ret": -0.053565427509293606,
|
|
"all_pos": false
|
|
},
|
|
"fcntx": {
|
|
"name": "Fidelity Contrafund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0646247299258211,
|
|
"corr_port": 0.20170175767252355,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3056208516253184,
|
|
"2023 rate shock": -0.06439162687778244,
|
|
"2024 vol spike": -0.07341252849006297,
|
|
"2025 tariff crash": -0.18598377422534584,
|
|
"2026 Q1 drawdown": -0.11303015093643498
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3056208516253184,
|
|
"max_ret": -0.06439162687778244,
|
|
"all_pos": false
|
|
},
|
|
"fcotx": {
|
|
"name": "Nuveen Colorado Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.08354136864138398,
|
|
"corr_port": 0.03413350893354209,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1257185943655711,
|
|
"2023 rate shock": -0.059578538434468364,
|
|
"2024 vol spike": 0.012735954284202045,
|
|
"2025 tariff crash": -0.03217028626294305,
|
|
"2026 Q1 drawdown": -0.006090500697671253
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1257185943655711,
|
|
"max_ret": 0.012735954284202045,
|
|
"all_pos": false
|
|
},
|
|
"fcspx": {
|
|
"name": "Federated Hermes Corporate Bond Strategy Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.26424316260291236,
|
|
"corr_port": 0.0036003250864469847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18260686718957386,
|
|
"2023 rate shock": -0.04277077830966591,
|
|
"2024 vol spike": 0.014557593069897345,
|
|
"2025 tariff crash": -0.006506520564957596,
|
|
"2026 Q1 drawdown": -0.011628588685952734
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18260686718957386,
|
|
"max_ret": 0.014557593069897345,
|
|
"all_pos": false
|
|
},
|
|
"fcssx": {
|
|
"name": "Fidelity Series Commodity Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9722264248101525,
|
|
"corr_port": 0.023052033980061434,
|
|
"rets": {
|
|
"2023 rate shock": 0.002935914318940469,
|
|
"2024 vol spike": -0.048488051698073464,
|
|
"2025 tariff crash": -0.09389232215660137,
|
|
"2026 Q1 drawdown": 0.03506517284624233
|
|
},
|
|
"n_avail": 4,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09389232215660137,
|
|
"max_ret": 0.03506517284624233,
|
|
"all_pos": false
|
|
},
|
|
"fcstx": {
|
|
"name": "Fidelity California Limited Term Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.116434516817574,
|
|
"corr_port": 0.050262834855465253,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06049157807470429,
|
|
"2023 rate shock": -0.01578173944770056,
|
|
"2024 vol spike": 0.010434194870924562,
|
|
"2025 tariff crash": -0.00824201811352121,
|
|
"2026 Q1 drawdown": -0.011363224641577796
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.06049157807470429,
|
|
"max_ret": 0.010434194870924562,
|
|
"all_pos": false
|
|
},
|
|
"fcttx": {
|
|
"name": "Nuveen Connecticut Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.014766631971219062,
|
|
"corr_port": 0.035952118268702454,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13834188110893197,
|
|
"2023 rate shock": -0.05566831052940202,
|
|
"2024 vol spike": 0.01392272773689296,
|
|
"2025 tariff crash": -0.034570603612966155,
|
|
"2026 Q1 drawdown": -0.007149545282981062
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13834188110893197,
|
|
"max_ret": 0.01392272773689296,
|
|
"all_pos": false
|
|
},
|
|
"fcvsx": {
|
|
"name": "Fidelity Convertible Securities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6113138971935916,
|
|
"corr_port": 0.1885307532130471,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18255804843948675,
|
|
"2023 rate shock": -0.07001123136675935,
|
|
"2024 vol spike": -0.04177762487035075,
|
|
"2025 tariff crash": -0.12742194936499796,
|
|
"2026 Q1 drawdown": -0.050346724665099596
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18255804843948675,
|
|
"max_ret": -0.04177762487035075,
|
|
"all_pos": false
|
|
},
|
|
"fdbax": {
|
|
"name": "Federated Hermes Corporate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3188154262228635,
|
|
"corr_port": 0.026181063107477583,
|
|
"rets": {
|
|
"2022 bear mkt": -0.169865095859716,
|
|
"2023 rate shock": -0.03429498233456052,
|
|
"2024 vol spike": 0.011481198123571401,
|
|
"2025 tariff crash": -0.004902044738283706,
|
|
"2026 Q1 drawdown": -0.011639546408368173
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.169865095859716,
|
|
"max_ret": 0.011481198123571401,
|
|
"all_pos": false
|
|
},
|
|
"fdcax": {
|
|
"name": "Fidelity Capital Appreciation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.13329282467570044,
|
|
"corr_port": 0.2251570152370107,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2504564771059905,
|
|
"2023 rate shock": -0.10567010029847779,
|
|
"2024 vol spike": -0.0788425894162581,
|
|
"2025 tariff crash": -0.1891091286322759,
|
|
"2026 Q1 drawdown": -0.10917299404884051
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2504564771059905,
|
|
"max_ret": -0.0788425894162581,
|
|
"all_pos": false
|
|
},
|
|
"fdegx": {
|
|
"name": "Fidelity Growth Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1876978302048784,
|
|
"corr_port": 0.1862629218995779,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2893624587487771,
|
|
"2023 rate shock": -0.13623134353794508,
|
|
"2024 vol spike": -0.07927985182067021,
|
|
"2025 tariff crash": -0.22530202322441428,
|
|
"2026 Q1 drawdown": -0.09593148768316262
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2893624587487771,
|
|
"max_ret": -0.07927985182067021,
|
|
"all_pos": false
|
|
},
|
|
"fdetx": {
|
|
"name": "Fidelity Advisor Capital Development Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6686885539725782,
|
|
"corr_port": 0.3605439910561396,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19038274558670343,
|
|
"2023 rate shock": -0.0950756321023416,
|
|
"2024 vol spike": -0.06965368824853013,
|
|
"2025 tariff crash": -0.18203401764683325,
|
|
"2026 Q1 drawdown": -0.08347883630732933
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19038274558670343,
|
|
"max_ret": -0.06965368824853013,
|
|
"all_pos": false
|
|
},
|
|
"fdgfx": {
|
|
"name": "Fidelity Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5371015939268406,
|
|
"corr_port": 0.33917921494523523,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19995133918677,
|
|
"2023 rate shock": -0.08140750877640279,
|
|
"2024 vol spike": -0.07520127980418989,
|
|
"2025 tariff crash": -0.18849225068770592,
|
|
"2026 Q1 drawdown": -0.08908048947655545
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19995133918677,
|
|
"max_ret": -0.07520127980418989,
|
|
"all_pos": false
|
|
},
|
|
"fdgrx": {
|
|
"name": "Fidelity Growth Company Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5962783041068337,
|
|
"corr_port": 0.12394418778043025,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3470345008474921,
|
|
"2023 rate shock": -0.11734700763957995,
|
|
"2024 vol spike": -0.10280598651624095,
|
|
"2025 tariff crash": -0.24588974011205444,
|
|
"2026 Q1 drawdown": -0.09764991698440206
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3470345008474921,
|
|
"max_ret": -0.09764991698440206,
|
|
"all_pos": false
|
|
},
|
|
"fdiax": {
|
|
"name": "Fidelity Advisor Limited Term Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.563859760600212,
|
|
"corr_port": -0.018102776527452603,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07572930873283412,
|
|
"2023 rate shock": -0.0008264897050906939,
|
|
"2024 vol spike": 0.011553326560444166,
|
|
"2025 tariff crash": 0.0072994403223454185,
|
|
"2026 Q1 drawdown": -0.003571118495516279
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07572930873283412,
|
|
"max_ret": 0.011553326560444166,
|
|
"all_pos": false
|
|
},
|
|
"fdivx": {
|
|
"name": "Fidelity Diversified International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4291140728813316,
|
|
"corr_port": 0.3275521002238399,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3410821304959045,
|
|
"2023 rate shock": -0.11370678966585546,
|
|
"2024 vol spike": -0.07353902970054249,
|
|
"2025 tariff crash": -0.1286781132269763,
|
|
"2026 Q1 drawdown": -0.0945292866808427
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3410821304959045,
|
|
"max_ret": -0.07353902970054249,
|
|
"all_pos": false
|
|
},
|
|
"fdmmx": {
|
|
"name": "Fidelity Massachusetts Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.08107606656545503,
|
|
"corr_port": 0.025630498160248337,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10941860485979149,
|
|
"2023 rate shock": -0.04559676909751609,
|
|
"2024 vol spike": 0.013705475362963071,
|
|
"2025 tariff crash": -0.02579715619776557,
|
|
"2026 Q1 drawdown": -0.01055902776004447
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10941860485979149,
|
|
"max_ret": 0.013705475362963071,
|
|
"all_pos": false
|
|
},
|
|
"fdvax": {
|
|
"name": "Fidelity Advisor Diversified International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.555130416443453,
|
|
"corr_port": 0.32879646650734784,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33975650366128396,
|
|
"2023 rate shock": -0.11352840960431754,
|
|
"2024 vol spike": -0.07625271891212693,
|
|
"2025 tariff crash": -0.12957430700757044,
|
|
"2026 Q1 drawdown": -0.09653297076818501
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33975650366128396,
|
|
"max_ret": -0.07625271891212693,
|
|
"all_pos": false
|
|
},
|
|
"fedax": {
|
|
"name": "Fidelity Emerging Markets Discovery Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1889598921443567,
|
|
"corr_port": 0.34162157917271996,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21200749798234786,
|
|
"2023 rate shock": -0.09248923838781709,
|
|
"2024 vol spike": -0.07886993697037592,
|
|
"2025 tariff crash": -0.10920630665379749,
|
|
"2026 Q1 drawdown": -0.049424232245681265
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21200749798234786,
|
|
"max_ret": -0.049424232245681265,
|
|
"all_pos": false
|
|
},
|
|
"felax": {
|
|
"name": "Fidelity Advisor Semiconductors Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.9887979935359148,
|
|
"corr_port": 0.12357542132193626,
|
|
"rets": {
|
|
"2022 bear mkt": -0.44131941213176296,
|
|
"2023 rate shock": -0.17514127512765987,
|
|
"2024 vol spike": -0.15355372295974712,
|
|
"2025 tariff crash": -0.34219350340099686,
|
|
"2026 Q1 drawdown": -0.12769612478662185
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.44131941213176296,
|
|
"max_ret": -0.12769612478662185,
|
|
"all_pos": false
|
|
},
|
|
"femdx": {
|
|
"name": "Franklin Emerging Market Debt Opportunities Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.003233030193939,
|
|
"corr_port": 0.2779203240903428,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16045093197047744,
|
|
"2023 rate shock": -0.023054811063782266,
|
|
"2024 vol spike": -0.006060601966003887,
|
|
"2025 tariff crash": -0.04131526329877522,
|
|
"2026 Q1 drawdown": -0.021823850350740415
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16045093197047744,
|
|
"max_ret": -0.006060601966003887,
|
|
"all_pos": false
|
|
},
|
|
"femgx": {
|
|
"name": "Templeton Sustainable Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5224178601366307,
|
|
"corr_port": 0.21856443755349889,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1803279967691197,
|
|
"2023 rate shock": -0.06000869175445955,
|
|
"2024 vol spike": -0.003999793917217276,
|
|
"2025 tariff crash": -0.02688541941076794,
|
|
"2026 Q1 drawdown": -0.06711982595113242
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1803279967691197,
|
|
"max_ret": -0.003999793917217276,
|
|
"all_pos": false
|
|
},
|
|
"feqmx": {
|
|
"name": "Fidelity Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5536252360507568,
|
|
"corr_port": 0.041991760606344894,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35156254015206445,
|
|
"2023 rate shock": -0.12074223754829894,
|
|
"2024 vol spike": -0.07909886505084629,
|
|
"2025 tariff crash": -0.15493310232316182,
|
|
"2026 Q1 drawdown": -0.10255453845693574
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35156254015206445,
|
|
"max_ret": -0.07909886505084629,
|
|
"all_pos": false
|
|
},
|
|
"feqtx": {
|
|
"name": "Fidelity Equity Dividend Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7950942192958894,
|
|
"corr_port": 0.42123668014508014,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1311434603025441,
|
|
"2023 rate shock": -0.09389339699444021,
|
|
"2024 vol spike": -0.03036423997248816,
|
|
"2025 tariff crash": -0.10853850169273171,
|
|
"2026 Q1 drawdown": -0.027018127585343277
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1311434603025441,
|
|
"max_ret": -0.027018127585343277,
|
|
"all_pos": false
|
|
},
|
|
"feugx": {
|
|
"name": "FEDERATED HERMES ADJUSTABLE RATE FUND",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.5490239366084984,
|
|
"corr_port": 0.0260029236951217,
|
|
"rets": {
|
|
"2022 bear mkt": -0.017744722777071065,
|
|
"2023 rate shock": 0.0008841755100896798,
|
|
"2024 vol spike": 0.007760438225406174,
|
|
"2025 tariff crash": 0.008712919672316577,
|
|
"2026 Q1 drawdown": 0.00586973517334366
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.017744722777071065,
|
|
"max_ret": 0.008712919672316577,
|
|
"all_pos": false
|
|
},
|
|
"ffalx": {
|
|
"name": "FRANKLIN GLOBAL ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.33607982381196627,
|
|
"corr_port": 0.3270600187158144,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18239243132971705,
|
|
"2023 rate shock": -0.07317081064880582,
|
|
"2024 vol spike": -0.04023362680859566,
|
|
"2025 tariff crash": -0.10721158323139368,
|
|
"2026 Q1 drawdown": -0.06183244206937377
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18239243132971705,
|
|
"max_ret": -0.04023362680859566,
|
|
"all_pos": false
|
|
},
|
|
"ffrsx": {
|
|
"name": "Federated Hermes Floating Rate Strategic Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.216442875460218,
|
|
"corr_port": 0.29407866487899664,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05920217009597395,
|
|
"2023 rate shock": 0.014583640389476349,
|
|
"2024 vol spike": 0.0005869390518553619,
|
|
"2025 tariff crash": -0.009128089426518105,
|
|
"2026 Q1 drawdown": -0.002582295261910783
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.05920217009597395,
|
|
"max_ret": 0.014583640389476349,
|
|
"all_pos": false
|
|
},
|
|
"ffsax": {
|
|
"name": "Touchstone Flexible Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.4873137341836657,
|
|
"corr_port": 0.18088247837182012,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09249657606607231,
|
|
"2023 rate shock": -0.012185530424362545,
|
|
"2024 vol spike": 0.00814881049625149,
|
|
"2025 tariff crash": -0.004444463004655841,
|
|
"2026 Q1 drawdown": -0.009586581869537647
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09249657606607231,
|
|
"max_ret": 0.00814881049625149,
|
|
"all_pos": false
|
|
},
|
|
"fftfx": {
|
|
"name": "FRANKLIN FEDERAL LIMITED-TERM TAX-FREE INCOME FUND",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.019708951855292,
|
|
"corr_port": 0.05755949120148044,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05216292408303591,
|
|
"2023 rate shock": -0.013795233222061443,
|
|
"2024 vol spike": 0.00909113650887372,
|
|
"2025 tariff crash": -0.008282861007820497,
|
|
"2026 Q1 drawdown": -0.004339579460445719
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05216292408303591,
|
|
"max_ret": 0.00909113650887372,
|
|
"all_pos": false
|
|
},
|
|
"ffxsx": {
|
|
"name": "Fidelity Limited Term Government Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.166289403326394,
|
|
"corr_port": -0.16616767517191267,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06866070961545512,
|
|
"2023 rate shock": -0.0027813949485864242,
|
|
"2024 vol spike": 0.014869859328088486,
|
|
"2025 tariff crash": 0.01779228736442895,
|
|
"2026 Q1 drawdown": -1.91371908611071e-05
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06866070961545512,
|
|
"max_ret": 0.01779228736442895,
|
|
"all_pos": false
|
|
},
|
|
"fgatx": {
|
|
"name": "Nuveen Georgia Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.3060557233894188,
|
|
"corr_port": 0.032318706815332124,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1400714621401855,
|
|
"2023 rate shock": -0.05316257889494891,
|
|
"2024 vol spike": 0.012660811632147606,
|
|
"2025 tariff crash": -0.032029853301950295,
|
|
"2026 Q1 drawdown": -0.009170268479666843
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1400714621401855,
|
|
"max_ret": 0.012660811632147606,
|
|
"all_pos": false
|
|
},
|
|
"fgcsx": {
|
|
"name": "Federated Hermes Short-Intermediate Total Return Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.9405638717131206,
|
|
"corr_port": -0.04608286499029638,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06826796892902443,
|
|
"2023 rate shock": -0.005088913244802429,
|
|
"2024 vol spike": 0.013071928557337964,
|
|
"2025 tariff crash": 0.010451696760989337,
|
|
"2026 Q1 drawdown": -0.001695759948337927
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06826796892902443,
|
|
"max_ret": 0.013071928557337964,
|
|
"all_pos": false
|
|
},
|
|
"fgfax": {
|
|
"name": "Federated Hermes International Leaders Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8654925164729547,
|
|
"corr_port": 0.3805931616410568,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26223885992235685,
|
|
"2023 rate shock": -0.1206662716901653,
|
|
"2024 vol spike": -0.07501899766973752,
|
|
"2025 tariff crash": -0.08823528335155639,
|
|
"2026 Q1 drawdown": -0.10110925552241345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26223885992235685,
|
|
"max_ret": -0.07501899766973752,
|
|
"all_pos": false
|
|
},
|
|
"fgiax": {
|
|
"name": "Nuveen Global Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8272499313320312,
|
|
"corr_port": 0.3381279296996438,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1715266028741419,
|
|
"2023 rate shock": -0.10386014755896877,
|
|
"2024 vol spike": -0.017391171289298013,
|
|
"2025 tariff crash": -0.051738702956171445,
|
|
"2026 Q1 drawdown": 0.0401257768711043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1715266028741419,
|
|
"max_ret": 0.0401257768711043,
|
|
"all_pos": false
|
|
},
|
|
"fgilx": {
|
|
"name": "Fidelity Global Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7909767810854346,
|
|
"corr_port": 0.37670632423538847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20934253617175858,
|
|
"2023 rate shock": -0.09790459753903769,
|
|
"2024 vol spike": -0.05711482951908109,
|
|
"2025 tariff crash": -0.12001898544449263,
|
|
"2026 Q1 drawdown": -0.056470620875427646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20934253617175858,
|
|
"max_ret": -0.056470620875427646,
|
|
"all_pos": false
|
|
},
|
|
"fginx": {
|
|
"name": "Nomura Growth and Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.498384689219362,
|
|
"corr_port": 0.4225712991117054,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10643174718949044,
|
|
"2023 rate shock": -0.0790549950752033,
|
|
"2024 vol spike": -0.06561523147047454,
|
|
"2025 tariff crash": -0.13115705703160463,
|
|
"2026 Q1 drawdown": -0.039474246569334404
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13115705703160463,
|
|
"max_ret": -0.039474246569334404,
|
|
"all_pos": false
|
|
},
|
|
"fgrax": {
|
|
"name": "FRANKLIN GROWTH OPPORTUNITIES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.5192398426211176,
|
|
"corr_port": 0.11181137587730096,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3715499485145697,
|
|
"2023 rate shock": -0.10847401576866744,
|
|
"2024 vol spike": -0.07843530211712502,
|
|
"2025 tariff crash": -0.2190910751697811,
|
|
"2026 Q1 drawdown": -0.12278708300528629
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3715499485145697,
|
|
"max_ret": -0.07843530211712502,
|
|
"all_pos": false
|
|
},
|
|
"fgrix": {
|
|
"name": "Fidelity Growth & Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4751420639307793,
|
|
"corr_port": 0.383795104572071,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1681723353426774,
|
|
"2023 rate shock": -0.0947561929670292,
|
|
"2024 vol spike": -0.0614091769427112,
|
|
"2025 tariff crash": -0.16063478514779983,
|
|
"2026 Q1 drawdown": -0.05940026076886218
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1681723353426774,
|
|
"max_ret": -0.05940026076886218,
|
|
"all_pos": false
|
|
},
|
|
"fgsax": {
|
|
"name": "Federated Hermes MDT Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4655192311620683,
|
|
"corr_port": 0.17710111824068858,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2722603428286078,
|
|
"2023 rate shock": -0.1267010552483826,
|
|
"2024 vol spike": -0.07069312301585706,
|
|
"2025 tariff crash": -0.21901784023566284,
|
|
"2026 Q1 drawdown": -0.08692763913284074
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2722603428286078,
|
|
"max_ret": -0.07069312301585706,
|
|
"all_pos": false
|
|
},
|
|
"fgtax": {
|
|
"name": "Fidelity Mega Cap Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9601653970333451,
|
|
"corr_port": 0.35468380919499554,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20913031485498934,
|
|
"2023 rate shock": -0.08656739479759856,
|
|
"2024 vol spike": -0.07006107440185616,
|
|
"2025 tariff crash": -0.18123821779571814,
|
|
"2026 Q1 drawdown": -0.08236039500282755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20913031485498934,
|
|
"max_ret": -0.07006107440185616,
|
|
"all_pos": false
|
|
},
|
|
"fgtix": {
|
|
"name": "Franklin Templeton SMACS: Series I",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.594691379496108,
|
|
"corr_port": 0.28342589693421244,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23038127689989585,
|
|
"2023 rate shock": -0.0848678287801542,
|
|
"2024 vol spike": -0.05383844899737922,
|
|
"2025 tariff crash": -0.1393295945758991,
|
|
"2026 Q1 drawdown": -0.0729633513553648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23038127689989585,
|
|
"max_ret": -0.05383844899737922,
|
|
"all_pos": false
|
|
},
|
|
"fgtzx": {
|
|
"name": "FRANKLIN GROWTH ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6313203101845805,
|
|
"corr_port": 0.2826435217565014,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22901275803634036,
|
|
"2023 rate shock": -0.08425481284026626,
|
|
"2024 vol spike": -0.0544015747982044,
|
|
"2025 tariff crash": -0.1403674407896337,
|
|
"2026 Q1 drawdown": -0.07234794694938385
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22901275803634036,
|
|
"max_ret": -0.0544015747982044,
|
|
"all_pos": false
|
|
},
|
|
"fguax": {
|
|
"name": "Federated Hermes Government Ultrashort Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.265617698160602,
|
|
"corr_port": 0.06311740463444661,
|
|
"rets": {
|
|
"2022 bear mkt": -0.004146606848870027,
|
|
"2023 rate shock": 0.0040343437168870455,
|
|
"2024 vol spike": 0.005655567059661859,
|
|
"2025 tariff crash": 0.007513883638001095,
|
|
"2026 Q1 drawdown": 0.00450525675913771
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.004146606848870027,
|
|
"max_ret": 0.007513883638001095,
|
|
"all_pos": false
|
|
},
|
|
"fhaix": {
|
|
"name": "FRANKLIN HIGH INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.9282756435189641,
|
|
"corr_port": 0.24284850322206605,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12914234370593358,
|
|
"2023 rate shock": -0.019452853827053418,
|
|
"2024 vol spike": -0.006317971785763654,
|
|
"2025 tariff crash": -0.02984814507111755,
|
|
"2026 Q1 drawdown": -0.017605811460421728
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12914234370593358,
|
|
"max_ret": -0.006317971785763654,
|
|
"all_pos": false
|
|
},
|
|
"fhcox": {
|
|
"name": "Federated Hermes Conservative Microshort Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 6.325241623664833,
|
|
"corr_port": 0.05353899990294209,
|
|
"rets": {
|
|
"2022 bear mkt": 0.0032377808607242375,
|
|
"2023 rate shock": 0.009287133590377472,
|
|
"2024 vol spike": 0.005625951038032984,
|
|
"2025 tariff crash": 0.007729179698867661,
|
|
"2026 Q1 drawdown": 0.005812938563857228
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0032377808607242375,
|
|
"max_ret": 0.009287133590377472,
|
|
"all_pos": true
|
|
},
|
|
"fhesx": {
|
|
"name": "Federated Hermes SDG Engagement Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.999890817143131,
|
|
"corr_port": 0.33825517474865674,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2726638232511842,
|
|
"2023 rate shock": -0.14814798935144036,
|
|
"2024 vol spike": -0.062240604905823504,
|
|
"2025 tariff crash": -0.16789944329488782,
|
|
"2026 Q1 drawdown": -0.07347795661301604
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2726638232511842,
|
|
"max_ret": -0.062240604905823504,
|
|
"all_pos": false
|
|
},
|
|
"fhhix": {
|
|
"name": "Federated Hermes SDG Engagement High Yield Credit Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6359536680094938,
|
|
"corr_port": 0.3280656346818803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16590827655446438,
|
|
"2023 rate shock": -0.02460132960592054,
|
|
"2024 vol spike": -0.0027029183345040897,
|
|
"2025 tariff crash": -0.028986007237003508,
|
|
"2026 Q1 drawdown": -0.02212917223602673
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16590827655446438,
|
|
"max_ret": -0.0027029183345040897,
|
|
"all_pos": false
|
|
},
|
|
"fhiix": {
|
|
"name": "Federated Hermes Sustainable High Yield Bond Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.1272429466381134,
|
|
"corr_port": 0.3041317619362033,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1452251285976366,
|
|
"2023 rate shock": -0.02795141934613954,
|
|
"2024 vol spike": -0.004437927641164796,
|
|
"2025 tariff crash": -0.024180029986605067,
|
|
"2026 Q1 drawdown": -0.018228248885986287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1452251285976366,
|
|
"max_ret": -0.004437927641164796,
|
|
"all_pos": false
|
|
},
|
|
"fhjux": {
|
|
"name": "Fidelity Europe Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6787004485434458,
|
|
"corr_port": 0.3446897917774869,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3420245127675494,
|
|
"2023 rate shock": -0.11377068835252546,
|
|
"2024 vol spike": -0.0478709872708627,
|
|
"2025 tariff crash": -0.09489238356851559,
|
|
"2026 Q1 drawdown": -0.10792099149010392
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3420245127675494,
|
|
"max_ret": -0.0478709872708627,
|
|
"all_pos": false
|
|
},
|
|
"fhkax": {
|
|
"name": "Fidelity China Region Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7649860780553333,
|
|
"corr_port": 0.19096113445151713,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35876428921246295,
|
|
"2023 rate shock": -0.10458656376870734,
|
|
"2024 vol spike": -0.07966504902516669,
|
|
"2025 tariff crash": -0.19109946042468318,
|
|
"2026 Q1 drawdown": -0.06647969426723344
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35876428921246295,
|
|
"max_ret": -0.06647969426723344,
|
|
"all_pos": false
|
|
},
|
|
"fhmix": {
|
|
"name": "Federated Hermes Conservative Municipal Microshort Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.415110420122883,
|
|
"corr_port": 0.05644161193443383,
|
|
"rets": {
|
|
"2022 bear mkt": 0.006782235967553785,
|
|
"2023 rate shock": 0.006351249831922701,
|
|
"2024 vol spike": 0.0038954898968095453,
|
|
"2025 tariff crash": 0.005094230189871984,
|
|
"2026 Q1 drawdown": 0.007440737188760371
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0038954898968095453,
|
|
"max_ret": 0.007440737188760371,
|
|
"all_pos": true
|
|
},
|
|
"fhumx": {
|
|
"name": "Federated Hermes U.S. SMID Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2401284580521577,
|
|
"corr_port": 0.1377873513577305,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2401337577880609,
|
|
"2023 rate shock": -0.1620690074345571,
|
|
"2024 vol spike": -0.06441524245453145,
|
|
"2025 tariff crash": -0.19830944453882626,
|
|
"2026 Q1 drawdown": -0.07384823848238486
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2401337577880609,
|
|
"max_ret": -0.06441524245453145,
|
|
"all_pos": false
|
|
},
|
|
"fhysx": {
|
|
"name": "Federated Hermes High Yield Strategy Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.32505467316514874,
|
|
"corr_port": 0.2995364946115635,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14699905606629737,
|
|
"2023 rate shock": -0.02677743501475771,
|
|
"2024 vol spike": -0.0019042716991730657,
|
|
"2025 tariff crash": -0.024929718678121437,
|
|
"2026 Q1 drawdown": -0.014293763636276435
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14699905606629737,
|
|
"max_ret": -0.0019042716991730657,
|
|
"all_pos": false
|
|
},
|
|
"fhytx": {
|
|
"name": "Federated Hermes Opportunistic High Yield Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.14445362905732362,
|
|
"corr_port": 0.3433367839410697,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15010468412408617,
|
|
"2023 rate shock": -0.0331967597262407,
|
|
"2024 vol spike": -0.006826638911630267,
|
|
"2025 tariff crash": -0.03879395865810942,
|
|
"2026 Q1 drawdown": -0.019382511997356522
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15010468412408617,
|
|
"max_ret": -0.006826638911630267,
|
|
"all_pos": false
|
|
},
|
|
"fhyvx": {
|
|
"name": "FRANKLIN HIGH YIELD TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3086200500298932,
|
|
"corr_port": 0.04266392680069761,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1587530312363592,
|
|
"2023 rate shock": -0.06679629009654875,
|
|
"2024 vol spike": 0.019498197967103392,
|
|
"2025 tariff crash": -0.03850139624019322,
|
|
"2026 Q1 drawdown": -0.007276671311056915
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1587530312363592,
|
|
"max_ret": 0.019498197967103392,
|
|
"all_pos": false
|
|
},
|
|
"fiasx": {
|
|
"name": "Fidelity International Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5258833358919294,
|
|
"corr_port": 0.3993664161988218,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29328728649774005,
|
|
"2023 rate shock": -0.10722700123441331,
|
|
"2024 vol spike": -0.06684974526427123,
|
|
"2025 tariff crash": -0.08043404447844127,
|
|
"2026 Q1 drawdown": -0.07714589257503945
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29328728649774005,
|
|
"max_ret": -0.06684974526427123,
|
|
"all_pos": false
|
|
},
|
|
"fibpx": {
|
|
"name": "Federated Hermes International Bond Strategy Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.36635508300542796,
|
|
"corr_port": 0.11262855631457803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2432815142150221,
|
|
"2023 rate shock": -0.04624268243836438,
|
|
"2024 vol spike": 0.018429517011434804,
|
|
"2025 tariff crash": -0.001624761144379816,
|
|
"2026 Q1 drawdown": -0.041634541249036316
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.2432815142150221,
|
|
"max_ret": 0.018429517011434804,
|
|
"all_pos": false
|
|
},
|
|
"ficgx": {
|
|
"name": "Cantor Fitzgerald Large Cap Focused Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4124781900794763,
|
|
"corr_port": 0.2560173242722527,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3012912787841635,
|
|
"2023 rate shock": -0.07959187849031657,
|
|
"2024 vol spike": -0.07161559236596526,
|
|
"2025 tariff crash": -0.19668239394416065,
|
|
"2026 Q1 drawdown": -0.09477351916376298
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3012912787841635,
|
|
"max_ret": -0.07161559236596526,
|
|
"all_pos": false
|
|
},
|
|
"ficmx": {
|
|
"name": "Federated Hermes Government Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0204570292781108,
|
|
"corr_port": -0.07929210277190167,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1356845387043787,
|
|
"2023 rate shock": -0.06101002022377344,
|
|
"2024 vol spike": 0.024368299674150107,
|
|
"2025 tariff crash": 0.010756031375691144,
|
|
"2026 Q1 drawdown": -0.005189677253271241
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1356845387043787,
|
|
"max_ret": 0.024368299674150107,
|
|
"all_pos": false
|
|
},
|
|
"ficnx": {
|
|
"name": "Fidelity Connecticut Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.532385128143136,
|
|
"corr_port": 0.023796426796007783,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1081041972530461,
|
|
"2023 rate shock": -0.044000220088452946,
|
|
"2024 vol spike": 0.015172251870887887,
|
|
"2025 tariff crash": -0.02435185541300644,
|
|
"2026 Q1 drawdown": -0.014041554816658586
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1081041972530461,
|
|
"max_ret": 0.015172251870887887,
|
|
"all_pos": false
|
|
},
|
|
"fidpx": {
|
|
"name": "Federated Hermes International Dividend Strategy Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.6908875813076545,
|
|
"corr_port": 0.3663726768624107,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20636352665161029,
|
|
"2023 rate shock": -0.09698025878142247,
|
|
"2024 vol spike": -0.021355676677943025,
|
|
"2025 tariff crash": 0.012402066987907245,
|
|
"2026 Q1 drawdown": -0.007976788228627685
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.20636352665161029,
|
|
"max_ret": 0.012402066987907245,
|
|
"all_pos": false
|
|
},
|
|
"fidsx": {
|
|
"name": "Financials Portfolio",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.3550324627800368,
|
|
"corr_port": 0.4069709771975497,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19373155576166434,
|
|
"2023 rate shock": -0.11566469792138367,
|
|
"2024 vol spike": -0.07620413023333383,
|
|
"2025 tariff crash": -0.1742472819100921,
|
|
"2026 Q1 drawdown": -0.09850382159293969
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19373155576166434,
|
|
"max_ret": -0.07620413023333383,
|
|
"all_pos": false
|
|
},
|
|
"fifnx": {
|
|
"name": "Fidelity Founders Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9128962482462726,
|
|
"corr_port": 0.12245495183918613,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2729448774690806,
|
|
"2023 rate shock": -0.12672814677413957,
|
|
"2024 vol spike": -0.08785646582042239,
|
|
"2025 tariff crash": -0.22298664466963858,
|
|
"2026 Q1 drawdown": -0.1178214406862621
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2729448774690806,
|
|
"max_ret": -0.08785646582042239,
|
|
"all_pos": false
|
|
},
|
|
"figfx": {
|
|
"name": "Fidelity International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1660647908682615,
|
|
"corr_port": 0.2852863714783406,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3390232123713065,
|
|
"2023 rate shock": -0.11919082154026261,
|
|
"2024 vol spike": -0.06608772873195068,
|
|
"2025 tariff crash": -0.15626445380539888,
|
|
"2026 Q1 drawdown": -0.12037797863599009
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3390232123713065,
|
|
"max_ret": -0.06608772873195068,
|
|
"all_pos": false
|
|
},
|
|
"figkx": {
|
|
"name": "Federated Hermes Short-Intermediate Government Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.986972595807857,
|
|
"corr_port": -0.12543125832710775,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10030649312549855,
|
|
"2023 rate shock": -0.01359522519804135,
|
|
"2024 vol spike": 0.019455121943492637,
|
|
"2025 tariff crash": 0.01991738576084745,
|
|
"2026 Q1 drawdown": -0.004946919636486746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10030649312549855,
|
|
"max_ret": 0.01991738576084745,
|
|
"all_pos": false
|
|
},
|
|
"figrx": {
|
|
"name": "Fidelity International Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5306334152203849,
|
|
"corr_port": 0.35153408594535474,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34353868365010964,
|
|
"2023 rate shock": -0.11972937455102173,
|
|
"2024 vol spike": -0.07880898196121244,
|
|
"2025 tariff crash": -0.1353864238324204,
|
|
"2026 Q1 drawdown": -0.11900502744285579
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34353868365010964,
|
|
"max_ret": -0.07880898196121244,
|
|
"all_pos": false
|
|
},
|
|
"fihbx": {
|
|
"name": "Federated Hermes Institutional High Yield Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1903301000460603,
|
|
"corr_port": 0.30685938918527705,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14433480221475503,
|
|
"2023 rate shock": -0.028912947046783488,
|
|
"2024 vol spike": -0.003063833771519975,
|
|
"2025 tariff crash": -0.024425276397080697,
|
|
"2026 Q1 drawdown": -0.015506961681272746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14433480221475503,
|
|
"max_ret": -0.003063833771519975,
|
|
"all_pos": false
|
|
},
|
|
"fiiax": {
|
|
"name": "Fidelity Advisor Mid Cap II Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2118403928098918,
|
|
"corr_port": 0.3228179825299242,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22130065178571967,
|
|
"2023 rate shock": -0.12948962878156745,
|
|
"2024 vol spike": -0.07408980381222585,
|
|
"2025 tariff crash": -0.2159336991106119,
|
|
"2026 Q1 drawdown": -0.05103327239819133
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22130065178571967,
|
|
"max_ret": -0.05103327239819133,
|
|
"all_pos": false
|
|
},
|
|
"fiifx": {
|
|
"name": "Federated Hermes Intermediate Corporate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5597147484332314,
|
|
"corr_port": -0.012525883937382793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11470965904599362,
|
|
"2023 rate shock": -0.022195310057719353,
|
|
"2024 vol spike": 0.015224246678089859,
|
|
"2025 tariff crash": 0.007046327095888261,
|
|
"2026 Q1 drawdown": -0.006739932933916837
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11470965904599362,
|
|
"max_ret": 0.015224246678089859,
|
|
"all_pos": false
|
|
},
|
|
"filfx": {
|
|
"name": "Strategic Advisers International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09200917112158744,
|
|
"corr_port": 0.3712526955683894,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30011774415083736,
|
|
"2023 rate shock": -0.10202291096407756,
|
|
"2024 vol spike": -0.0677830861763562,
|
|
"2025 tariff crash": -0.11039995700449079,
|
|
"2026 Q1 drawdown": -0.07914145475267609
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30011774415083736,
|
|
"max_ret": -0.0677830861763562,
|
|
"all_pos": false
|
|
},
|
|
"fimyx": {
|
|
"name": "Federated Hermes Intermediate Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7156227094946127,
|
|
"corr_port": 0.04143770092798555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09621348894597048,
|
|
"2023 rate shock": -0.03902731302061224,
|
|
"2024 vol spike": 0.012987271484229623,
|
|
"2025 tariff crash": -0.021642443040646997,
|
|
"2026 Q1 drawdown": -0.013066963242369112
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09621348894597048,
|
|
"max_ret": 0.012987271484229623,
|
|
"all_pos": false
|
|
},
|
|
"fisax": {
|
|
"name": "FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 0.4751633686029479,
|
|
"corr_port": -0.02163686881330993,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03410515859014096,
|
|
"2023 rate shock": 0.008125055674593984,
|
|
"2024 vol spike": 0.00810725295625625,
|
|
"2025 tariff crash": 0.01172585319342323,
|
|
"2026 Q1 drawdown": 0.0017193293694293121
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.03410515859014096,
|
|
"max_ret": 0.01172585319342323,
|
|
"all_pos": false
|
|
},
|
|
"fiscx": {
|
|
"name": "FRANKLIN CONVERTIBLE SECURITIES FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8327327286364533,
|
|
"corr_port": 0.16063466343929783,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18483977799535845,
|
|
"2023 rate shock": -0.08456372104975518,
|
|
"2024 vol spike": -0.032628552739093375,
|
|
"2025 tariff crash": -0.11515209034992424,
|
|
"2026 Q1 drawdown": -0.060313182524420084
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18483977799535845,
|
|
"max_ret": -0.032628552739093375,
|
|
"all_pos": false
|
|
},
|
|
"fisex": {
|
|
"name": "FRANKLIN EQUITY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7941070855590396,
|
|
"corr_port": 0.37683528230834645,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18184697031420372,
|
|
"2023 rate shock": -0.11066040134224786,
|
|
"2024 vol spike": -0.043859667529537294,
|
|
"2025 tariff crash": -0.14207374493878955,
|
|
"2026 Q1 drawdown": -0.04463986304981982
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18184697031420372,
|
|
"max_ret": -0.043859667529537294,
|
|
"all_pos": false
|
|
},
|
|
"fite": {
|
|
"name": "State Street(R) SPDR(R) S&P Kensho Future Security ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9419899905551398,
|
|
"corr_port": 0.1781322555124147,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20944659197508086,
|
|
"2023 rate shock": -0.10040467533427055,
|
|
"2024 vol spike": -0.06199955064968632,
|
|
"2025 tariff crash": -0.18259629930588706,
|
|
"2026 Q1 drawdown": -0.12765528183402886
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20944659197508086,
|
|
"max_ret": -0.06199955064968632,
|
|
"all_pos": false
|
|
},
|
|
"fiusx": {
|
|
"name": "Nomura Opportunity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3263964985064765,
|
|
"corr_port": 0.3756084047144957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18796986308329944,
|
|
"2023 rate shock": -0.1249200299010188,
|
|
"2024 vol spike": -0.04620272084346533,
|
|
"2025 tariff crash": -0.16849812613841586,
|
|
"2026 Q1 drawdown": -0.0008700406032481345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18796986308329944,
|
|
"max_ret": -0.0008700406032481345,
|
|
"all_pos": false
|
|
},
|
|
"fivlx": {
|
|
"name": "Fidelity International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5148706316154246,
|
|
"corr_port": 0.4537226698844224,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24947366322214348,
|
|
"2023 rate shock": -0.07505279634558948,
|
|
"2024 vol spike": -0.08181825748554372,
|
|
"2025 tariff crash": -0.07887582500938672,
|
|
"2026 Q1 drawdown": -0.06961178045515393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24947366322214348,
|
|
"max_ret": -0.06961178045515393,
|
|
"all_pos": false
|
|
},
|
|
"fkasx": {
|
|
"name": "Federated Hermes Kaufmann Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.727684215833071,
|
|
"corr_port": 0.12008726721656038,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33824802446630964,
|
|
"2023 rate shock": -0.18379190576326265,
|
|
"2024 vol spike": -0.08282830077448833,
|
|
"2025 tariff crash": -0.22906759439524993,
|
|
"2026 Q1 drawdown": -0.11186900864029103
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33824802446630964,
|
|
"max_ret": -0.08282830077448833,
|
|
"all_pos": false
|
|
},
|
|
"fkbax": {
|
|
"name": "FRANKLIN TOTAL RETURN FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3140963711550095,
|
|
"corr_port": -0.021287601943781445,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16715694823524518,
|
|
"2023 rate shock": -0.03955675758054311,
|
|
"2024 vol spike": 0.020264729230708323,
|
|
"2025 tariff crash": 0.00151573305809527,
|
|
"2026 Q1 drawdown": -0.00864965450973576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16715694823524518,
|
|
"max_ret": 0.020264729230708323,
|
|
"all_pos": false
|
|
},
|
|
"fkcix": {
|
|
"name": "FRANKLIN CALIFORNIA INTERMEDIATE-TERM TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4481610491032213,
|
|
"corr_port": 0.02355173155235927,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09444325916657448,
|
|
"2023 rate shock": -0.031756045162743884,
|
|
"2024 vol spike": 0.011739310164609273,
|
|
"2025 tariff crash": -0.01787101458781326,
|
|
"2026 Q1 drawdown": -0.009869936952852432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09444325916657448,
|
|
"max_ret": 0.011739310164609273,
|
|
"all_pos": false
|
|
},
|
|
"fkdnx": {
|
|
"name": "FRANKLIN DYNATECH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1651995772821513,
|
|
"corr_port": 0.08533869616333321,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39722721822419227,
|
|
"2023 rate shock": -0.1280874357850984,
|
|
"2024 vol spike": -0.095879268346312,
|
|
"2025 tariff crash": -0.2434119162178423,
|
|
"2026 Q1 drawdown": -0.16019577363693704
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39722721822419227,
|
|
"max_ret": -0.095879268346312,
|
|
"all_pos": false
|
|
},
|
|
"fkgrx": {
|
|
"name": "FRANKLIN GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.542798583769595,
|
|
"corr_port": 0.1931121147672275,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2957405278792514,
|
|
"2023 rate shock": -0.11020440404420273,
|
|
"2024 vol spike": -0.06545218439737466,
|
|
"2025 tariff crash": -0.18057575221363054,
|
|
"2026 Q1 drawdown": -0.10455132857248295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2957405278792514,
|
|
"max_ret": -0.06545218439737466,
|
|
"all_pos": false
|
|
},
|
|
"fkinx": {
|
|
"name": "FRANKLIN INCOME FUND",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.9315834468192531,
|
|
"corr_port": 0.37506785017261673,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12181678504796933,
|
|
"2023 rate shock": -0.06911796259201886,
|
|
"2024 vol spike": -0.008058516180681985,
|
|
"2025 tariff crash": -0.07033485250013183,
|
|
"2026 Q1 drawdown": -0.0032832148670952632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12181678504796933,
|
|
"max_ret": -0.0032832148670952632,
|
|
"all_pos": false
|
|
},
|
|
"fkitx": {
|
|
"name": "FRANKLIN FEDERAL INTERMEDIATE-TERM TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.530774033933179,
|
|
"corr_port": 0.02674321420755038,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10414207944554366,
|
|
"2023 rate shock": -0.04133656848343037,
|
|
"2024 vol spike": 0.013190547398145958,
|
|
"2025 tariff crash": -0.02272587832608919,
|
|
"2026 Q1 drawdown": -0.009355794926271477
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10414207944554366,
|
|
"max_ret": 0.013190547398145958,
|
|
"all_pos": false
|
|
},
|
|
"fklax": {
|
|
"name": "FRANKLIN LOUISIANA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.1583019948741872,
|
|
"corr_port": 0.02606327662481822,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1305238854559162,
|
|
"2023 rate shock": -0.06709397829110975,
|
|
"2024 vol spike": 0.013231342560738435,
|
|
"2025 tariff crash": -0.033739147859588425,
|
|
"2026 Q1 drawdown": -0.008676428639345812
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1305238854559162,
|
|
"max_ret": 0.013231342560738435,
|
|
"all_pos": false
|
|
},
|
|
"fknix": {
|
|
"name": "FRANKLIN NEW YORK INTERMEDIATE-TERM TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.15666255690366332,
|
|
"corr_port": 0.023549153086327893,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10254630624621064,
|
|
"2023 rate shock": -0.041974374046239715,
|
|
"2024 vol spike": 0.01332045179538821,
|
|
"2025 tariff crash": -0.021075472752869473,
|
|
"2026 Q1 drawdown": -0.010206391060224362
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10254630624621064,
|
|
"max_ret": 0.01332045179538821,
|
|
"all_pos": false
|
|
},
|
|
"fkrcx": {
|
|
"name": "FRANKLIN GOLD & PRECIOUS METALS FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7247427714761386,
|
|
"corr_port": 0.08327335667154538,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35926772204259405,
|
|
"2023 rate shock": -0.09380525346497637,
|
|
"2024 vol spike": -0.08067639491243972,
|
|
"2025 tariff crash": -0.024556566190656715,
|
|
"2026 Q1 drawdown": -0.20897618848218458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35926772204259405,
|
|
"max_ret": -0.024556566190656715,
|
|
"all_pos": false
|
|
},
|
|
"fkstx": {
|
|
"name": "Nuveen Kansas Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.41382822500056105,
|
|
"corr_port": 0.04525520716702755,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09450305273851922,
|
|
"2023 rate shock": -0.05434689745788224,
|
|
"2024 vol spike": 0.01101710731733152,
|
|
"2025 tariff crash": -0.023791217201189152,
|
|
"2026 Q1 drawdown": -0.007985589507413127
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09450305273851922,
|
|
"max_ret": 0.01101710731733152,
|
|
"all_pos": false
|
|
},
|
|
"fktfx": {
|
|
"name": "FRANKLIN CALIFORNIA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.14589966312438302,
|
|
"corr_port": 0.022989600764578136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13251751948632462,
|
|
"2023 rate shock": -0.05756530281135874,
|
|
"2024 vol spike": 0.014691522699828985,
|
|
"2025 tariff crash": -0.03408879403841436,
|
|
"2026 Q1 drawdown": -0.010139773702018906
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13251751948632462,
|
|
"max_ret": 0.014691522699828985,
|
|
"all_pos": false
|
|
},
|
|
"fktix": {
|
|
"name": "FRANKLIN FEDERAL TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.39452825519949974,
|
|
"corr_port": 0.013271103082671484,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1394356218322098,
|
|
"2023 rate shock": -0.06284314827532012,
|
|
"2024 vol spike": 0.01603403651848878,
|
|
"2025 tariff crash": -0.03607380207717392,
|
|
"2026 Q1 drawdown": -0.008722986649898457
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1394356218322098,
|
|
"max_ret": 0.01603403651848878,
|
|
"all_pos": false
|
|
},
|
|
"fkusx": {
|
|
"name": "FRANKLIN U.S. GOVERNMENT SECURITIES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.549957589467208,
|
|
"corr_port": -0.09173085737296217,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12254677628704547,
|
|
"2023 rate shock": -0.04585460381887485,
|
|
"2024 vol spike": 0.020539860652452502,
|
|
"2025 tariff crash": 0.0077501389227221384,
|
|
"2026 Q1 drawdown": -0.003907938309111292
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12254677628704547,
|
|
"max_ret": 0.020539860652452502,
|
|
"all_pos": false
|
|
},
|
|
"fkutx": {
|
|
"name": "FRANKLIN UTILITIES FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.582196410430751,
|
|
"corr_port": 0.24849461315670016,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10592933167706509,
|
|
"2023 rate shock": -0.10296415999741926,
|
|
"2024 vol spike": 0.025830159600022995,
|
|
"2025 tariff crash": -0.06885993963922776,
|
|
"2026 Q1 drawdown": 0.06546882204458515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10592933167706509,
|
|
"max_ret": 0.06546882204458515,
|
|
"all_pos": false
|
|
},
|
|
"fkytx": {
|
|
"name": "Nuveen Kentucky Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0020650200448625493,
|
|
"corr_port": 0.028148757960405855,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12747394065405193,
|
|
"2023 rate shock": -0.06402400293645827,
|
|
"2024 vol spike": 0.014293049912956768,
|
|
"2025 tariff crash": -0.03882916879619813,
|
|
"2026 Q1 drawdown": -0.012802694598871955
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12747394065405193,
|
|
"max_ret": 0.014293049912956768,
|
|
"all_pos": false
|
|
},
|
|
"flaax": {
|
|
"name": "Nuveen All-American Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.631726912386671,
|
|
"corr_port": 0.047378915544202524,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17963919181731247,
|
|
"2023 rate shock": -0.05378550595783149,
|
|
"2024 vol spike": 0.013913266543176928,
|
|
"2025 tariff crash": -0.030850555608870844,
|
|
"2026 Q1 drawdown": -0.010948582042789257
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17963919181731247,
|
|
"max_ret": 0.013913266543176928,
|
|
"all_pos": false
|
|
},
|
|
"fldax": {
|
|
"name": "FRANKLIN LOW DURATION TOTAL RETURN FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.323939575322524,
|
|
"corr_port": 0.09648299329217484,
|
|
"rets": {
|
|
"2022 bear mkt": -0.058643937658863554,
|
|
"2023 rate shock": 0.005851192174260111,
|
|
"2024 vol spike": 0.00933967126346702,
|
|
"2025 tariff crash": 0.007727343369932083,
|
|
"2026 Q1 drawdown": -0.0022468437843682354
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.058643937658863554,
|
|
"max_ret": 0.00933967126346702,
|
|
"all_pos": false
|
|
},
|
|
"flerx": {
|
|
"name": "Franklin LifeSmart 2030 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.49587567981669656,
|
|
"corr_port": 0.2547448057012771,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2104869310501537,
|
|
"2023 rate shock": -0.07592969304983599,
|
|
"2024 vol spike": -0.03897936107030775,
|
|
"2025 tariff crash": -0.10375414039231357,
|
|
"2026 Q1 drawdown": -0.056532673803130096
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2104869310501537,
|
|
"max_ret": -0.03897936107030775,
|
|
"all_pos": false
|
|
},
|
|
"fljsx": {
|
|
"name": "Franklin LifeSmart 2060 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6104855819543005,
|
|
"corr_port": 0.14943359245391985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24809261123564452,
|
|
"2023 rate shock": -0.09230128131460535,
|
|
"2024 vol spike": -0.06734002121384319,
|
|
"2025 tariff crash": -0.15495197046752007,
|
|
"2026 Q1 drawdown": -0.08345025030779452
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24809261123564452,
|
|
"max_ret": -0.06734002121384319,
|
|
"all_pos": false
|
|
},
|
|
"flncx": {
|
|
"name": "Nuveen North Carolina Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.31772952509755736,
|
|
"corr_port": 0.028965735782885728,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13354204839925077,
|
|
"2023 rate shock": -0.054070976319622543,
|
|
"2024 vol spike": 0.013202594153230551,
|
|
"2025 tariff crash": -0.035341634507625064,
|
|
"2026 Q1 drawdown": -0.013619127314891899
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13354204839925077,
|
|
"max_ret": 0.013202594153230551,
|
|
"all_pos": false
|
|
},
|
|
"flpsx": {
|
|
"name": "Fidelity Low-Priced Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9499322562256793,
|
|
"corr_port": 0.4301521797881466,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16536205622724043,
|
|
"2023 rate shock": -0.08131286913648816,
|
|
"2024 vol spike": -0.07008586935235506,
|
|
"2025 tariff crash": -0.15142854891165847,
|
|
"2026 Q1 drawdown": -0.058823509057601364
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16536205622724043,
|
|
"max_ret": -0.058823509057601364,
|
|
"all_pos": false
|
|
},
|
|
"flrex": {
|
|
"name": "Franklin LifeSmart 2040 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7169010552576391,
|
|
"corr_port": 0.2674140587662955,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23537618639420466,
|
|
"2023 rate shock": -0.08556375950712147,
|
|
"2024 vol spike": -0.054310706152419175,
|
|
"2025 tariff crash": -0.13063368404282216,
|
|
"2026 Q1 drawdown": -0.06880190579216439
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23537618639420466,
|
|
"max_ret": -0.054310706152419175,
|
|
"all_pos": false
|
|
},
|
|
"flrn": {
|
|
"name": "State Street(R) SPDR(R) Bloomberg Investment Grade Floating Rate ETF",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.5100003678534595,
|
|
"corr_port": 0.15087752136975396,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0023050551922286777,
|
|
"2023 rate shock": 0.014827308855968946,
|
|
"2024 vol spike": -0.002459045923083103,
|
|
"2025 tariff crash": -0.007379607396258647,
|
|
"2026 Q1 drawdown": 0.003154041515535777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.007379607396258647,
|
|
"max_ret": 0.014827308855968946,
|
|
"all_pos": false
|
|
},
|
|
"fltdx": {
|
|
"name": "Nuveen Limited Term Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.2265406396060219,
|
|
"corr_port": 0.060791547953353404,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06097229849541075,
|
|
"2023 rate shock": -0.02060647105449931,
|
|
"2024 vol spike": 0.007533913677307158,
|
|
"2025 tariff crash": -0.011956324729414436,
|
|
"2026 Q1 drawdown": -0.009091432959146828
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.06097229849541075,
|
|
"max_ret": 0.007533913677307158,
|
|
"all_pos": false
|
|
},
|
|
"fltfx": {
|
|
"name": "Franklin LifeSmart 2055 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8776284362618966,
|
|
"corr_port": 0.2611843841923876,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24851962789310833,
|
|
"2023 rate shock": -0.09457639570808074,
|
|
"2024 vol spike": -0.06791903946722622,
|
|
"2025 tariff crash": -0.15590671060600447,
|
|
"2026 Q1 drawdown": -0.08399268902665247
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24851962789310833,
|
|
"max_ret": -0.06791903946722622,
|
|
"all_pos": false
|
|
},
|
|
"fltmx": {
|
|
"name": "Fidelity Intermediate Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6452039530266694,
|
|
"corr_port": 0.04456910784556028,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08525261512720028,
|
|
"2023 rate shock": -0.034933686705189704,
|
|
"2024 vol spike": 0.01319828612025109,
|
|
"2025 tariff crash": -0.020376979603063283,
|
|
"2026 Q1 drawdown": -0.01490494115348473
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08525261512720028,
|
|
"max_ret": 0.01319828612025109,
|
|
"all_pos": false
|
|
},
|
|
"fltr": {
|
|
"name": "VanEck IG Floating Rate ETF",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.540223385953635,
|
|
"corr_port": 0.145253641889904,
|
|
"rets": {
|
|
"2022 bear mkt": -0.007282815425162736,
|
|
"2023 rate shock": 0.011523906798547978,
|
|
"2024 vol spike": -0.004675615722742776,
|
|
"2025 tariff crash": -0.010670559527473422,
|
|
"2026 Q1 drawdown": 0.001991457582142031
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.010670559527473422,
|
|
"max_ret": 0.011523906798547978,
|
|
"all_pos": false
|
|
},
|
|
"flvcx": {
|
|
"name": "Fidelity Leveraged Company Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3869548301846794,
|
|
"corr_port": 0.25392523031296393,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26286264418012883,
|
|
"2023 rate shock": -0.1190550275185045,
|
|
"2024 vol spike": -0.09226997757903366,
|
|
"2025 tariff crash": -0.25415734098659204,
|
|
"2026 Q1 drawdown": -0.11920668504433474
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26286264418012883,
|
|
"max_ret": -0.09226997757903366,
|
|
"all_pos": false
|
|
},
|
|
"fmagx": {
|
|
"name": "Fidelity Magellan Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.859796989804183,
|
|
"corr_port": 0.18824281846246044,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3084197002735889,
|
|
"2023 rate shock": -0.08189680527563192,
|
|
"2024 vol spike": -0.06981517640240031,
|
|
"2025 tariff crash": -0.18240613769537972,
|
|
"2026 Q1 drawdown": -0.11857708759323704
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3084197002735889,
|
|
"max_ret": -0.06981517640240031,
|
|
"all_pos": false
|
|
},
|
|
"fmbpx": {
|
|
"name": "Federated Hermes Mortgage Strategy Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.26969305467022353,
|
|
"corr_port": -0.08957037751888076,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13457719075856855,
|
|
"2023 rate shock": -0.054024053338790456,
|
|
"2024 vol spike": 0.025584798883547588,
|
|
"2025 tariff crash": 0.010194788748350225,
|
|
"2026 Q1 drawdown": -0.004057039729885581
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13457719075856855,
|
|
"max_ret": 0.025584798883547588,
|
|
"all_pos": false
|
|
},
|
|
"fmcdx": {
|
|
"name": "Fidelity Advisor Stock Selector Mid Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3306310208545764,
|
|
"corr_port": 0.32542519278364684,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21510139356760893,
|
|
"2023 rate shock": -0.14372837789547754,
|
|
"2024 vol spike": -0.06939826165247553,
|
|
"2025 tariff crash": -0.19347431465163611,
|
|
"2026 Q1 drawdown": -0.043381556320766235
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21510139356760893,
|
|
"max_ret": -0.043381556320766235,
|
|
"all_pos": false
|
|
},
|
|
"fmdcx": {
|
|
"name": "Federated Hermes Mid-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5414987424092137,
|
|
"corr_port": 0.32200303333575997,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20930359465038917,
|
|
"2023 rate shock": -0.14186182038923223,
|
|
"2024 vol spike": -0.06535571379366989,
|
|
"2025 tariff crash": -0.19190258591110365,
|
|
"2026 Q1 drawdown": -0.050863549644583395
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20930359465038917,
|
|
"max_ret": -0.050863549644583395,
|
|
"all_pos": false
|
|
},
|
|
"fmdtx": {
|
|
"name": "FRANKLIN MARYLAND TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.23632821350333302,
|
|
"corr_port": 0.010469103382880162,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12406584336342352,
|
|
"2023 rate shock": -0.06464357090173034,
|
|
"2024 vol spike": 0.014921838656465347,
|
|
"2025 tariff crash": -0.034533973643479876,
|
|
"2026 Q1 drawdown": -0.008665510903667517
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12406584336342352,
|
|
"max_ret": 0.014921838656465347,
|
|
"all_pos": false
|
|
},
|
|
"fmgix": {
|
|
"name": "MFG Core Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.2324301518384633,
|
|
"corr_port": 0.3165625489670571,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2036744523177514,
|
|
"2023 rate shock": -0.11883158063029908,
|
|
"2024 vol spike": 0.008720678041000962,
|
|
"2025 tariff crash": -0.008319843266173632,
|
|
"2026 Q1 drawdown": 0.024878591790178817
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2036744523177514,
|
|
"max_ret": 0.024878591790178817,
|
|
"all_pos": false
|
|
},
|
|
"fmiex": {
|
|
"name": "Wasatch Global Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.5925854968173603,
|
|
"corr_port": 0.4639314939358499,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16287225052927634,
|
|
"2023 rate shock": -0.07448601955689182,
|
|
"2024 vol spike": -0.02623298805119001,
|
|
"2025 tariff crash": -0.0723319500799382,
|
|
"2026 Q1 drawdown": 0.00943396226415083
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16287225052927634,
|
|
"max_ret": 0.00943396226415083,
|
|
"all_pos": false
|
|
},
|
|
"fmifx": {
|
|
"name": "International Fund II - Currency Unhedged",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8652108183334749,
|
|
"corr_port": 0.3520698319121028,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31939336241365623,
|
|
"2023 rate shock": -0.1099274528067633,
|
|
"2024 vol spike": -0.05234903069524144,
|
|
"2025 tariff crash": -0.1369427466093569,
|
|
"2026 Q1 drawdown": -0.12410601598653759
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31939336241365623,
|
|
"max_ret": -0.05234903069524144,
|
|
"all_pos": false
|
|
},
|
|
"fmihx": {
|
|
"name": "Large Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7909990034960893,
|
|
"corr_port": 0.33790912839241377,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24510291559847108,
|
|
"2023 rate shock": -0.11506676926086046,
|
|
"2024 vol spike": -0.05402169615138808,
|
|
"2025 tariff crash": -0.11788082394920674,
|
|
"2026 Q1 drawdown": -0.09144111192392101
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24510291559847108,
|
|
"max_ret": -0.05402169615138808,
|
|
"all_pos": false
|
|
},
|
|
"fmijx": {
|
|
"name": "International Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16372012084621249,
|
|
"corr_port": 0.3844702799740413,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21351426587123534,
|
|
"2023 rate shock": -0.0745856906697383,
|
|
"2024 vol spike": -0.05496308408971462,
|
|
"2025 tariff crash": -0.1505462550792971,
|
|
"2026 Q1 drawdown": -0.09309389245596977
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21351426587123534,
|
|
"max_ret": -0.05496308408971462,
|
|
"all_pos": false
|
|
},
|
|
"fmilx": {
|
|
"name": "Fidelity New Millennium Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8261120695313129,
|
|
"corr_port": 0.36359325775396745,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12621146855845833,
|
|
"2023 rate shock": -0.09195157472675719,
|
|
"2024 vol spike": -0.08091177098384728,
|
|
"2025 tariff crash": -0.19278082094586713,
|
|
"2026 Q1 drawdown": -0.08884059420289858
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19278082094586713,
|
|
"max_ret": -0.08091177098384728,
|
|
"all_pos": false
|
|
},
|
|
"fmimx": {
|
|
"name": "Common Stock Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.2434138866566704,
|
|
"corr_port": 0.3423535539078506,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16002475794029958,
|
|
"2023 rate shock": -0.1028606655546701,
|
|
"2024 vol spike": -0.07495374685388423,
|
|
"2025 tariff crash": -0.17486909505073478,
|
|
"2026 Q1 drawdown": -0.07542924501630288
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17486909505073478,
|
|
"max_ret": -0.07495374685388423,
|
|
"all_pos": false
|
|
},
|
|
"fminx": {
|
|
"name": "FRANKLIN MINNESOTA TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16306897618838473,
|
|
"corr_port": 0.01846919801948847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13556375232327145,
|
|
"2023 rate shock": -0.0667294233745761,
|
|
"2024 vol spike": 0.016923686594635168,
|
|
"2025 tariff crash": -0.03368620577017756,
|
|
"2026 Q1 drawdown": -0.013567359114252553
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13556375232327145,
|
|
"max_ret": 0.016923686594635168,
|
|
"all_pos": false
|
|
},
|
|
"fmisx": {
|
|
"name": "FRANKLIN MASSACHUSETTS TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.38530158691243255,
|
|
"corr_port": 0.01835786638762618,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13351639704669072,
|
|
"2023 rate shock": -0.05665175904163855,
|
|
"2024 vol spike": 0.014702116707776547,
|
|
"2025 tariff crash": -0.03355392408239599,
|
|
"2026 Q1 drawdown": -0.008251328611147746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13351639704669072,
|
|
"max_ret": 0.014702116707776547,
|
|
"all_pos": false
|
|
},
|
|
"fmitx": {
|
|
"name": "Nuveen Michigan Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4654979854755627,
|
|
"corr_port": 0.026617862478606993,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12884151043006942,
|
|
"2023 rate shock": -0.05607511552718358,
|
|
"2024 vol spike": 0.011820309218553149,
|
|
"2025 tariff crash": -0.031982579762258156,
|
|
"2026 Q1 drawdown": -0.009776071258125962
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12884151043006942,
|
|
"max_ret": 0.011820309218553149,
|
|
"all_pos": false
|
|
},
|
|
"fmndx": {
|
|
"name": "Fidelity Conservative Income Municipal Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.515726341256112,
|
|
"corr_port": 0.08500633852659215,
|
|
"rets": {
|
|
"2022 bear mkt": -0.005279195894192346,
|
|
"2023 rate shock": 0.0032181865809184362,
|
|
"2024 vol spike": 0.003691700811062848,
|
|
"2025 tariff crash": 0.0017946474313550453,
|
|
"2026 Q1 drawdown": 0.002085696151479244
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.005279195894192346,
|
|
"max_ret": 0.003691700811062848,
|
|
"all_pos": false
|
|
},
|
|
"fmoax": {
|
|
"name": "Federated Hermes Municipal High Yield Advantage Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.7022398726892968,
|
|
"corr_port": 0.0526328399721355,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1480969089047055,
|
|
"2023 rate shock": -0.06526583885925841,
|
|
"2024 vol spike": 0.013463556589042414,
|
|
"2025 tariff crash": -0.03804775509059033,
|
|
"2026 Q1 drawdown": -0.006776039443155635
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1480969089047055,
|
|
"max_ret": 0.013463556589042414,
|
|
"all_pos": false
|
|
},
|
|
"fmotx": {
|
|
"name": "Nuveen Missouri Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.40929422682465366,
|
|
"corr_port": 0.03343037479825059,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11685286931186367,
|
|
"2023 rate shock": -0.056203567432100865,
|
|
"2024 vol spike": 0.014236934171105942,
|
|
"2025 tariff crash": -0.03167563150605779,
|
|
"2026 Q1 drawdown": -0.0056256863276681335
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11685286931186367,
|
|
"max_ret": 0.014236934171105942,
|
|
"all_pos": false
|
|
},
|
|
"fmsfx": {
|
|
"name": "Fidelity Advisor Mortgage Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6281793967976285,
|
|
"corr_port": -0.0775404460516527,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14439416042123832,
|
|
"2023 rate shock": -0.056536244416123815,
|
|
"2024 vol spike": 0.02470236390831393,
|
|
"2025 tariff crash": 0.010696971268665534,
|
|
"2026 Q1 drawdown": -0.0029469740084954177
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14439416042123832,
|
|
"max_ret": 0.02470236390831393,
|
|
"all_pos": false
|
|
},
|
|
"fmsgx": {
|
|
"name": "MFG Global Sustainable Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5891521700621833,
|
|
"corr_port": 0.1401038635006115,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27417937690707295,
|
|
"2023 rate shock": -0.08132057136677773,
|
|
"2024 vol spike": -0.048128362394758595,
|
|
"2025 tariff crash": -0.09031420421385528,
|
|
"2026 Q1 drawdown": -0.10558252427184467
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27417937690707295,
|
|
"max_ret": -0.048128362394758595,
|
|
"all_pos": false
|
|
},
|
|
"fmtzx": {
|
|
"name": "FRANKLIN MODERATE ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6590491522085455,
|
|
"corr_port": 0.2693530060667577,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20832624129776178,
|
|
"2023 rate shock": -0.07210910517268654,
|
|
"2024 vol spike": -0.03635198322138666,
|
|
"2025 tariff crash": -0.10698224860261252,
|
|
"2026 Q1 drawdown": -0.05712603151886231
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20832624129776178,
|
|
"max_ret": -0.03635198322138666,
|
|
"all_pos": false
|
|
},
|
|
"fmuax": {
|
|
"name": "Federated Hermes Muni and Stock Advantage Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.029956609516620367,
|
|
"corr_port": 0.33167864174946327,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15315199457457063,
|
|
"2023 rate shock": -0.07112341371066166,
|
|
"2024 vol spike": -0.02140569237893808,
|
|
"2025 tariff crash": -0.09523988002664396,
|
|
"2026 Q1 drawdown": -0.03903074007642826
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15315199457457063,
|
|
"max_ret": -0.02140569237893808,
|
|
"all_pos": false
|
|
},
|
|
"fmuux": {
|
|
"name": "Federated Hermes Municipal Ultrashort Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.093402162003762,
|
|
"corr_port": 0.08618921106084068,
|
|
"rets": {
|
|
"2022 bear mkt": -0.013064855221167737,
|
|
"2023 rate shock": 0.00213122680299227,
|
|
"2024 vol spike": 0.004611830031857611,
|
|
"2025 tariff crash": 0.0019017173791302522,
|
|
"2026 Q1 drawdown": 0.000993060196318618
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.013064855221167737,
|
|
"max_ret": 0.004611830031857611,
|
|
"all_pos": false
|
|
},
|
|
"fncrx": {
|
|
"name": "FRANKLIN NATURAL RESOURCES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4242867602258283,
|
|
"corr_port": 0.3451815721552762,
|
|
"rets": {
|
|
"2022 bear mkt": 0.10487061294800104,
|
|
"2023 rate shock": -0.062052530860494115,
|
|
"2024 vol spike": -0.07664709632360056,
|
|
"2025 tariff crash": -0.1717340647239498,
|
|
"2026 Q1 drawdown": 0.042189006750241065
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1717340647239498,
|
|
"max_ret": 0.10487061294800104,
|
|
"all_pos": false
|
|
},
|
|
"fndb": {
|
|
"name": "Schwab Fundamental U.S. Broad Market ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.1358946487295283,
|
|
"corr_port": 0.3821786390854278,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1810919703472047,
|
|
"2023 rate shock": -0.10245867293576205,
|
|
"2024 vol spike": -0.06334837775850444,
|
|
"2025 tariff crash": -0.16206896899432088,
|
|
"2026 Q1 drawdown": -0.03590774237602701
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1810919703472047,
|
|
"max_ret": -0.03590774237602701,
|
|
"all_pos": false
|
|
},
|
|
"fngax": {
|
|
"name": "Franklin International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.221972932663869,
|
|
"corr_port": 0.20234693660973874,
|
|
"rets": {
|
|
"2022 bear mkt": -0.41421798177887426,
|
|
"2023 rate shock": -0.20751239568566726,
|
|
"2024 vol spike": -0.06076397902971864,
|
|
"2025 tariff crash": -0.18527668235774197,
|
|
"2026 Q1 drawdown": -0.15371711312001746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.41421798177887426,
|
|
"max_ret": -0.06076397902971864,
|
|
"all_pos": false
|
|
},
|
|
"fniax": {
|
|
"name": "Fidelity Advisor New Insights Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2575919490615838,
|
|
"corr_port": 0.20887756832081222,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30295491471075775,
|
|
"2023 rate shock": -0.07042685176033392,
|
|
"2024 vol spike": -0.07480127649248125,
|
|
"2025 tariff crash": -0.19122407387025642,
|
|
"2026 Q1 drawdown": -0.10410307489434367
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30295491471075775,
|
|
"max_ret": -0.07042685176033392,
|
|
"all_pos": false
|
|
},
|
|
"fnmtx": {
|
|
"name": "Nuveen New Mexico Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.37746700295312824,
|
|
"corr_port": 0.028888207157064895,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1129920755182926,
|
|
"2023 rate shock": -0.054008147012738816,
|
|
"2024 vol spike": 0.01397062622436196,
|
|
"2025 tariff crash": -0.033414953354539256,
|
|
"2026 Q1 drawdown": -0.009356220634851864
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1129920755182926,
|
|
"max_ret": 0.01397062622436196,
|
|
"all_pos": false
|
|
},
|
|
"fnytx": {
|
|
"name": "FRANKLIN NEW YORK TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.03742521709805376,
|
|
"corr_port": 0.02265458870353566,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14503230818461355,
|
|
"2023 rate shock": -0.06473999524490959,
|
|
"2024 vol spike": 0.01480299909205507,
|
|
"2025 tariff crash": -0.03928364965597575,
|
|
"2026 Q1 drawdown": -0.008513299232895455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14503230818461355,
|
|
"max_ret": 0.01480299909205507,
|
|
"all_pos": false
|
|
},
|
|
"fobax": {
|
|
"name": "Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6372881007687224,
|
|
"corr_port": 0.2624359453635759,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19451709464871558,
|
|
"2023 rate shock": -0.06764242894436978,
|
|
"2024 vol spike": -0.04007810841587012,
|
|
"2025 tariff crash": -0.10974958683647695,
|
|
"2026 Q1 drawdown": -0.055014161086702096
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19451709464871558,
|
|
"max_ret": -0.04007810841587012,
|
|
"all_pos": false
|
|
},
|
|
"focpx": {
|
|
"name": "Fidelity OTC Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5185876552166047,
|
|
"corr_port": 0.13344952105134059,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3376946417848744,
|
|
"2023 rate shock": -0.09512755093596259,
|
|
"2024 vol spike": -0.09239614118891426,
|
|
"2025 tariff crash": -0.23702031966158243,
|
|
"2026 Q1 drawdown": -0.10761263451574332
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3376946417848744,
|
|
"max_ret": -0.09239614118891426,
|
|
"all_pos": false
|
|
},
|
|
"fohtx": {
|
|
"name": "Nuveen Ohio Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.1448689747349866,
|
|
"corr_port": 0.038222900934000284,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1006964942012093,
|
|
"2023 rate shock": -0.05116394114899425,
|
|
"2024 vol spike": 0.008589708516917982,
|
|
"2025 tariff crash": -0.030373908646796677,
|
|
"2026 Q1 drawdown": -0.009208953024274158
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1006964942012093,
|
|
"max_ret": 0.008589708516917982,
|
|
"all_pos": false
|
|
},
|
|
"fopax": {
|
|
"name": "Fidelity International Small Cap Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2248190445522262,
|
|
"corr_port": 0.2970551253249762,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3827160587575069,
|
|
"2023 rate shock": -0.13018367750551185,
|
|
"2024 vol spike": -0.06849981607187017,
|
|
"2025 tariff crash": -0.10761675994410469,
|
|
"2026 Q1 drawdown": -0.09025594970812745
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3827160587575069,
|
|
"max_ret": -0.06849981607187017,
|
|
"all_pos": false
|
|
},
|
|
"fosfx": {
|
|
"name": "Fidelity Overseas Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5247695798243122,
|
|
"corr_port": 0.31631858762168347,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3584515875426705,
|
|
"2023 rate shock": -0.11885960747919733,
|
|
"2024 vol spike": -0.06783959829109887,
|
|
"2025 tariff crash": -0.11654181791742002,
|
|
"2026 Q1 drawdown": -0.09789837722798633
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3584515875426705,
|
|
"max_ret": -0.06783959829109887,
|
|
"all_pos": false
|
|
},
|
|
"fpjax": {
|
|
"name": "Fidelity Japan Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.0693921967987651,
|
|
"corr_port": 0.2918063617588965,
|
|
"rets": {
|
|
"2022 bear mkt": -0.306616455456313,
|
|
"2023 rate shock": -0.11872706758181917,
|
|
"2024 vol spike": -0.11876761914400658,
|
|
"2025 tariff crash": -0.13665683340406687,
|
|
"2026 Q1 drawdown": -0.05275548751766368
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.306616455456313,
|
|
"max_ret": -0.05275548751766368,
|
|
"all_pos": false
|
|
},
|
|
"fpntx": {
|
|
"name": "Nuveen Pennsylvania Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.00021598839268387163,
|
|
"corr_port": 0.03476890870543112,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1297617830935348,
|
|
"2023 rate shock": -0.059815572985417176,
|
|
"2024 vol spike": 0.014135568915253804,
|
|
"2025 tariff crash": -0.03608956436513033,
|
|
"2026 Q1 drawdown": -0.012971417588862777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1297617830935348,
|
|
"max_ret": 0.014135568915253804,
|
|
"all_pos": false
|
|
},
|
|
"fqchx": {
|
|
"name": "Franklin Templeton SMACS: Series CH",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5107227524029464,
|
|
"corr_port": 0.059486636779894575,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1711629704825579,
|
|
"2023 rate shock": -0.07993727606814516,
|
|
"2024 vol spike": 0.019110441209992057,
|
|
"2025 tariff crash": -0.031317217851256296,
|
|
"2026 Q1 drawdown": -0.003921305958082155
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1711629704825579,
|
|
"max_ret": 0.019110441209992057,
|
|
"all_pos": false
|
|
},
|
|
"fqtex": {
|
|
"name": "Franklin Templeton SMACS: Series E",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.46869126986524,
|
|
"corr_port": 0.349300001073663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12981569191467812,
|
|
"2023 rate shock": -0.0894323487331059,
|
|
"2024 vol spike": -0.03707729980764485,
|
|
"2025 tariff crash": -0.1437860915548772,
|
|
"2026 Q1 drawdown": -0.044553914127284266
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1437860915548772,
|
|
"max_ret": -0.03707729980764485,
|
|
"all_pos": false
|
|
},
|
|
"fralx": {
|
|
"name": "FRANKLIN ALABAMA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.20345949961894352,
|
|
"corr_port": -0.0006074508923780442,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13020855198686332,
|
|
"2023 rate shock": -0.06667071517256451,
|
|
"2024 vol spike": 0.017065778281973643,
|
|
"2025 tariff crash": -0.032171465475029914,
|
|
"2026 Q1 drawdown": -0.008948846460104298
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13020855198686332,
|
|
"max_ret": 0.017065778281973643,
|
|
"all_pos": false
|
|
},
|
|
"frbsx": {
|
|
"name": "FRANKLIN MUTUAL U.S. MID CAP VALUE FUND",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.13352034715673206,
|
|
"corr_port": 0.3784842737986856,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19466375270404723,
|
|
"2023 rate shock": -0.1329412508251524,
|
|
"2024 vol spike": -0.03831307118064631,
|
|
"2025 tariff crash": -0.15618100319027606,
|
|
"2026 Q1 drawdown": -0.060391651816738556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19466375270404723,
|
|
"max_ret": -0.03831307118064631,
|
|
"all_pos": false
|
|
},
|
|
"frcox": {
|
|
"name": "FRANKLIN COLORADO TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.17324121995105482,
|
|
"corr_port": 0.029873471012108455,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1296091869940731,
|
|
"2023 rate shock": -0.059853149310136966,
|
|
"2024 vol spike": 0.014015292501112775,
|
|
"2025 tariff crash": -0.034048671004291986,
|
|
"2026 Q1 drawdown": -0.008047842484746659
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1296091869940731,
|
|
"max_ret": 0.014015292501112775,
|
|
"all_pos": false
|
|
},
|
|
"frdax": {
|
|
"name": "FRANKLIN RISING DIVIDENDS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8607201066818404,
|
|
"corr_port": 0.3141703046979336,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19742356869372202,
|
|
"2023 rate shock": -0.09373064342929727,
|
|
"2024 vol spike": -0.04481672956844751,
|
|
"2025 tariff crash": -0.14377092335771924,
|
|
"2026 Q1 drawdown": -0.0552813324946293
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19742356869372202,
|
|
"max_ret": -0.04481672956844751,
|
|
"all_pos": false
|
|
},
|
|
"freex": {
|
|
"name": "FRANKLIN REAL ESTATE SECURITIES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0541890450490587,
|
|
"corr_port": 0.2281023719262297,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3140507646903604,
|
|
"2023 rate shock": -0.15139712010939899,
|
|
"2024 vol spike": -0.007154700356394206,
|
|
"2025 tariff crash": -0.1186442285090894,
|
|
"2026 Q1 drawdown": -0.0049412180354857504
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3140507646903604,
|
|
"max_ret": -0.0049412180354857504,
|
|
"all_pos": false
|
|
},
|
|
"frfax": {
|
|
"name": "PGIM Floating Rate Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.8449816590865966,
|
|
"corr_port": 0.3093019675814335,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05775842427350697,
|
|
"2023 rate shock": 0.003757212531266818,
|
|
"2024 vol spike": -0.0036372488011070514,
|
|
"2025 tariff crash": -0.028368312515823724,
|
|
"2026 Q1 drawdown": -0.0045128673778978
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05775842427350697,
|
|
"max_ret": 0.003757212531266818,
|
|
"all_pos": false
|
|
},
|
|
"frifx": {
|
|
"name": "Fidelity Real Estate Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.123048135140926,
|
|
"corr_port": 0.2555798751127451,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1737016402533037,
|
|
"2023 rate shock": -0.0667516854864939,
|
|
"2024 vol spike": 0.005033468282965359,
|
|
"2025 tariff crash": -0.034796632624283785,
|
|
"2026 Q1 drawdown": -0.007323112384721608
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1737016402533037,
|
|
"max_ret": 0.005033468282965359,
|
|
"all_pos": false
|
|
},
|
|
"frlex": {
|
|
"name": "Franklin LifeSmart 2050 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.619251927708441,
|
|
"corr_port": 0.26981309029616685,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24595623212088757,
|
|
"2023 rate shock": -0.09344459232038627,
|
|
"2024 vol spike": -0.06735750355568204,
|
|
"2025 tariff crash": -0.15332507412196827,
|
|
"2026 Q1 drawdown": -0.08186823864813941
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24595623212088757,
|
|
"max_ret": -0.06735750355568204,
|
|
"all_pos": false
|
|
},
|
|
"frmox": {
|
|
"name": "FRANKLIN MISSOURI TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.20603319647286045,
|
|
"corr_port": 0.02122564764361773,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13507373006288914,
|
|
"2023 rate shock": -0.06310531073470682,
|
|
"2024 vol spike": 0.013474038474372119,
|
|
"2025 tariff crash": -0.03702531995215963,
|
|
"2026 Q1 drawdown": -0.004784494653549132
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13507373006288914,
|
|
"max_ret": 0.013474038474372119,
|
|
"all_pos": false
|
|
},
|
|
"frnjx": {
|
|
"name": "FRANKLIN NEW JERSEY TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.32528872453676,
|
|
"corr_port": 0.03789976619329536,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12767492604378405,
|
|
"2023 rate shock": -0.0558459789587028,
|
|
"2024 vol spike": 0.013248041802911281,
|
|
"2025 tariff crash": -0.03411931106974031,
|
|
"2026 Q1 drawdown": -0.00955618298021732
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12767492604378405,
|
|
"max_ret": 0.013248041802911281,
|
|
"all_pos": false
|
|
},
|
|
"frorx": {
|
|
"name": "FRANKLIN OREGON TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.1009437444878454,
|
|
"corr_port": 0.02727136816522233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12734573384072234,
|
|
"2023 rate shock": -0.05665060026913993,
|
|
"2024 vol spike": 0.013226740553220928,
|
|
"2025 tariff crash": -0.03696963114872709,
|
|
"2026 Q1 drawdown": -0.009745907342977533
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12734573384072234,
|
|
"max_ret": 0.013226740553220928,
|
|
"all_pos": false
|
|
},
|
|
"frpax": {
|
|
"name": "FRANKLIN PENNSYLVANIA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0362396089679848,
|
|
"corr_port": 0.009625748087209618,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13869823041539642,
|
|
"2023 rate shock": -0.06368817363807977,
|
|
"2024 vol spike": 0.016263244559597823,
|
|
"2025 tariff crash": -0.03579650126483436,
|
|
"2026 Q1 drawdown": -0.010453570896582609
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13869823041539642,
|
|
"max_ret": 0.016263244559597823,
|
|
"all_pos": false
|
|
},
|
|
"frsgx": {
|
|
"name": "FRANKLIN SMALL-MID CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.5420814048514546,
|
|
"corr_port": 0.12386082761189199,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3545687022776186,
|
|
"2023 rate shock": -0.1401157824895306,
|
|
"2024 vol spike": -0.07673343863871995,
|
|
"2025 tariff crash": -0.22405719994671636,
|
|
"2026 Q1 drawdown": -0.09556311367813086
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3545687022776186,
|
|
"max_ret": -0.07673343863871995,
|
|
"all_pos": false
|
|
},
|
|
"frstx": {
|
|
"name": "FRANKLIN CORE PLUS BOND FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8780259378643804,
|
|
"corr_port": 0.17129477054094516,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1329545200889194,
|
|
"2023 rate shock": -0.02275697636088936,
|
|
"2024 vol spike": 0.007476216323900831,
|
|
"2025 tariff crash": -0.0020120865008181887,
|
|
"2026 Q1 drawdown": -0.008648571813871131
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1329545200889194,
|
|
"max_ret": 0.007476216323900831,
|
|
"all_pos": false
|
|
},
|
|
"frtsx": {
|
|
"name": "Franklin LifeSmart 2020 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2379317389620376,
|
|
"corr_port": 0.24296520751700718,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1821164503790177,
|
|
"2023 rate shock": -0.06638653369824221,
|
|
"2024 vol spike": -0.023107503918029515,
|
|
"2025 tariff crash": -0.07602796015843583,
|
|
"2026 Q1 drawdown": -0.04389171044713769
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1821164503790177,
|
|
"max_ret": -0.023107503918029515,
|
|
"all_pos": false
|
|
},
|
|
"frvax": {
|
|
"name": "FRANKLIN VIRGINIA TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.038319364652261954,
|
|
"corr_port": 0.01715915792224081,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13463097287153336,
|
|
"2023 rate shock": -0.05864239316795972,
|
|
"2024 vol spike": 0.014468865847482082,
|
|
"2025 tariff crash": -0.036748161598985085,
|
|
"2026 Q1 drawdown": -0.007239809788478713
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13463097287153336,
|
|
"max_ret": 0.014468865847482082,
|
|
"all_pos": false
|
|
},
|
|
"frvlx": {
|
|
"name": "FRANKLIN SMALL CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7238617633622837,
|
|
"corr_port": 0.36177010923479935,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20528567780308082,
|
|
"2023 rate shock": -0.14544451093878497,
|
|
"2024 vol spike": -0.07127161971277007,
|
|
"2025 tariff crash": -0.21326852085877124,
|
|
"2026 Q1 drawdown": -0.06491575710413355
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21326852085877124,
|
|
"max_ret": -0.06491575710413355,
|
|
"all_pos": false
|
|
},
|
|
"fsamx": {
|
|
"name": "Strategic Advisers Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2696254713225273,
|
|
"corr_port": 0.27295007160391915,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3008709791526307,
|
|
"2023 rate shock": -0.1072762549777635,
|
|
"2024 vol spike": -0.0703124699526475,
|
|
"2025 tariff crash": -0.13710370291733331,
|
|
"2026 Q1 drawdown": -0.08920783281495848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3008709791526307,
|
|
"max_ret": -0.0703124699526475,
|
|
"all_pos": false
|
|
},
|
|
"fsazx": {
|
|
"name": "Fidelity Arizona Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5309831050313054,
|
|
"corr_port": 0.022907380352472844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11117251664393812,
|
|
"2023 rate shock": -0.04309250128763609,
|
|
"2024 vol spike": 0.015252352236660993,
|
|
"2025 tariff crash": -0.02469692222584874,
|
|
"2026 Q1 drawdown": -0.012127479708692213
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11117251664393812,
|
|
"max_ret": 0.015252352236660993,
|
|
"all_pos": false
|
|
},
|
|
"fscdx": {
|
|
"name": "Fidelity Advisor Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8598083248829278,
|
|
"corr_port": 0.2721055399898308,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2703208649349105,
|
|
"2023 rate shock": -0.14546113948749895,
|
|
"2024 vol spike": -0.07149603409980676,
|
|
"2025 tariff crash": -0.1980519795503789,
|
|
"2026 Q1 drawdown": -0.05955340821628974
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2703208649349105,
|
|
"max_ret": -0.05955340821628974,
|
|
"all_pos": false
|
|
},
|
|
"fsgrx": {
|
|
"name": "FRANKLIN SMALL CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6518936877228039,
|
|
"corr_port": 0.16242631954178588,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3334793954170868,
|
|
"2023 rate shock": -0.16873704995870675,
|
|
"2024 vol spike": -0.10431654025324688,
|
|
"2025 tariff crash": -0.24883618430758525,
|
|
"2026 Q1 drawdown": -0.0928938316398189
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3334793954170868,
|
|
"max_ret": -0.0928938316398189,
|
|
"all_pos": false
|
|
},
|
|
"fshix": {
|
|
"name": "Federated Hermes Short-Intermediate Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.03873955086968403,
|
|
"corr_port": 0.072049524327568,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04995554774454303,
|
|
"2023 rate shock": -0.012852565641036984,
|
|
"2024 vol spike": 0.01036278214549724,
|
|
"2025 tariff crash": -0.00633143060756447,
|
|
"2026 Q1 drawdown": -0.003390841512324827
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04995554774454303,
|
|
"max_ret": 0.01036278214549724,
|
|
"all_pos": false
|
|
},
|
|
"fslbx": {
|
|
"name": "Brokerage and Investment Management Portfolio",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.041620989182273894,
|
|
"corr_port": 0.3071559612412713,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27373061802293486,
|
|
"2023 rate shock": -0.10893248559568036,
|
|
"2024 vol spike": -0.06883746408350044,
|
|
"2025 tariff crash": -0.22910131456067262,
|
|
"2026 Q1 drawdown": -0.17573199668341
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27373061802293486,
|
|
"max_ret": -0.06883746408350044,
|
|
"all_pos": false
|
|
},
|
|
"fsoax": {
|
|
"name": "Fidelity Advisor Value Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2668663742964472,
|
|
"corr_port": 0.38433603057043403,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16752107269345395,
|
|
"2023 rate shock": -0.12723112794118152,
|
|
"2024 vol spike": -0.07199336578132831,
|
|
"2025 tariff crash": -0.2074159964522243,
|
|
"2026 Q1 drawdown": -0.05401873230233056
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2074159964522243,
|
|
"max_ret": -0.05401873230233056,
|
|
"all_pos": false
|
|
},
|
|
"fspcx": {
|
|
"name": "Insurance Portfolio",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.1746762806175925,
|
|
"corr_port": 0.4015987041891363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06901969598708757,
|
|
"2023 rate shock": -0.0001352640932285043,
|
|
"2024 vol spike": -0.02777170541446672,
|
|
"2025 tariff crash": -0.060438953949182084,
|
|
"2026 Q1 drawdown": -0.030495439010733483
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.06901969598708757,
|
|
"max_ret": -0.0001352640932285043,
|
|
"all_pos": false
|
|
},
|
|
"fsrbx": {
|
|
"name": "Banking Portfolio",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.1199255187971344,
|
|
"corr_port": 0.37792597383752186,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2036211448292613,
|
|
"2023 rate shock": -0.15517233868783686,
|
|
"2024 vol spike": -0.0983550890084437,
|
|
"2025 tariff crash": -0.22398534148759663,
|
|
"2026 Q1 drawdown": -0.08590007516094034
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22398534148759663,
|
|
"max_ret": -0.08590007516094034,
|
|
"all_pos": false
|
|
},
|
|
"fstbx": {
|
|
"name": "Federated Hermes Global Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4903149323601346,
|
|
"corr_port": 0.3359353016434706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21094278133136202,
|
|
"2023 rate shock": -0.08472619973477291,
|
|
"2024 vol spike": -0.04367240944706885,
|
|
"2025 tariff crash": -0.10761794085078613,
|
|
"2026 Q1 drawdown": -0.061720044444094846
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21094278133136202,
|
|
"max_ret": -0.04367240944706885,
|
|
"all_pos": false
|
|
},
|
|
"fstkx": {
|
|
"name": "Federated Hermes MDT Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.4167690227989627,
|
|
"corr_port": 0.38752070665304267,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15549972585406435,
|
|
"2023 rate shock": -0.09924398695538206,
|
|
"2024 vol spike": -0.04135006409844033,
|
|
"2025 tariff crash": -0.1407273212600335,
|
|
"2026 Q1 drawdown": -0.046641468118290064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15549972585406435,
|
|
"max_ret": -0.04135006409844033,
|
|
"all_pos": false
|
|
},
|
|
"fsvlx": {
|
|
"name": "Fintech Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8275208580373197,
|
|
"corr_port": 0.26358596306519483,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3433242506811989,
|
|
"2023 rate shock": -0.1785252263906857,
|
|
"2024 vol spike": -0.08943577430972394,
|
|
"2025 tariff crash": -0.21225490196078423,
|
|
"2026 Q1 drawdown": -0.18824199048942958
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3433242506811989,
|
|
"max_ret": -0.08943577430972394,
|
|
"all_pos": false
|
|
},
|
|
"ftazx": {
|
|
"name": "FRANKLIN ARIZONA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3392896786126611,
|
|
"corr_port": 0.03161666841450128,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1275319773184339,
|
|
"2023 rate shock": -0.055898328118269,
|
|
"2024 vol spike": 0.014879286167423178,
|
|
"2025 tariff crash": -0.03587049466584835,
|
|
"2026 Q1 drawdown": -0.008870024093727502
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1275319773184339,
|
|
"max_ret": 0.014879286167423178,
|
|
"all_pos": false
|
|
},
|
|
"ftbfx": {
|
|
"name": "Fidelity Total Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7581655955432107,
|
|
"corr_port": -0.029365959342688035,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14639897480085007,
|
|
"2023 rate shock": -0.04105499252974398,
|
|
"2024 vol spike": 0.021679330286682674,
|
|
"2025 tariff crash": 0.0038561107134937878,
|
|
"2026 Q1 drawdown": -0.004835504374311683
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14639897480085007,
|
|
"max_ret": 0.021679330286682674,
|
|
"all_pos": false
|
|
},
|
|
"ftcex": {
|
|
"name": "Fidelity Total International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1249458068891056,
|
|
"corr_port": 0.3672585313567008,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2948276951626688,
|
|
"2023 rate shock": -0.10690650805953139,
|
|
"2024 vol spike": -0.07394961349454554,
|
|
"2025 tariff crash": -0.12317669666891562,
|
|
"2026 Q1 drawdown": -0.09322560596643881
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2948276951626688,
|
|
"max_ret": -0.07394961349454554,
|
|
"all_pos": false
|
|
},
|
|
"ftcox": {
|
|
"name": "FRANKLIN COREFOLIO ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.6587605087765245,
|
|
"corr_port": 0.2500957047432057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2737554742951317,
|
|
"2023 rate shock": -0.10647699538440625,
|
|
"2024 vol spike": -0.06735749674126668,
|
|
"2025 tariff crash": -0.17239951298441236,
|
|
"2026 Q1 drawdown": -0.10366824689614262
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2737554742951317,
|
|
"max_ret": -0.06735749674126668,
|
|
"all_pos": false
|
|
},
|
|
"ftczx": {
|
|
"name": "FRANKLIN CONSERVATIVE ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8519036722335619,
|
|
"corr_port": 0.24777174545202987,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18931271558184581,
|
|
"2023 rate shock": -0.061397561602868245,
|
|
"2024 vol spike": -0.017934055782115044,
|
|
"2025 tariff crash": -0.07393728857256998,
|
|
"2026 Q1 drawdown": -0.04205598678507627
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18931271558184581,
|
|
"max_ret": -0.017934055782115044,
|
|
"all_pos": false
|
|
},
|
|
"ftfmx": {
|
|
"name": "Fidelity New York Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5245868023937912,
|
|
"corr_port": 0.019806408170131743,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12905773258150754,
|
|
"2023 rate shock": -0.05814603277408992,
|
|
"2024 vol spike": 0.01692558973009195,
|
|
"2025 tariff crash": -0.03300082430787632,
|
|
"2026 Q1 drawdown": -0.012182378162775231
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12905773258150754,
|
|
"max_ret": 0.01692558973009195,
|
|
"all_pos": false
|
|
},
|
|
"ftgax": {
|
|
"name": "FRANKLIN GEORGIA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.1354530922404612,
|
|
"corr_port": 0.018390127439754576,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13435719126301782,
|
|
"2023 rate shock": -0.06468799417909221,
|
|
"2024 vol spike": 0.015496233795783354,
|
|
"2025 tariff crash": -0.03790766051297878,
|
|
"2026 Q1 drawdown": -0.007238103030797083
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13435719126301782,
|
|
"max_ret": 0.015496233795783354,
|
|
"all_pos": false
|
|
},
|
|
"ftgsx": {
|
|
"name": "Federated Hermes Total Return Government Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5697812305190104,
|
|
"corr_port": -0.16596085921787743,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1295438155990104,
|
|
"2023 rate shock": -0.04377581980053058,
|
|
"2024 vol spike": 0.024585257210773204,
|
|
"2025 tariff crash": 0.012976603955098476,
|
|
"2026 Q1 drawdown": -0.0034392806641332374
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1295438155990104,
|
|
"max_ret": 0.024585257210773204,
|
|
"all_pos": false
|
|
},
|
|
"ftiax": {
|
|
"name": "Federated Hermes Short-Term Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 0.3939755569757987,
|
|
"corr_port": -0.033250572639175864,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0409483624237279,
|
|
"2023 rate shock": 0.0035336200240396742,
|
|
"2024 vol spike": 0.010791665459799482,
|
|
"2025 tariff crash": 0.009927632205836368,
|
|
"2026 Q1 drawdown": 0.0003310486343046648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0409483624237279,
|
|
"max_ret": 0.010791665459799482,
|
|
"all_pos": false
|
|
},
|
|
"ftlax": {
|
|
"name": "Nuveen Louisiana Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.33852852509917086,
|
|
"corr_port": 0.042525847059877574,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1154731436189319,
|
|
"2023 rate shock": -0.061277740018260585,
|
|
"2024 vol spike": 0.01182360309762287,
|
|
"2025 tariff crash": -0.033932189121621104,
|
|
"2026 Q1 drawdown": -0.008611273997892188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1154731436189319,
|
|
"max_ret": 0.01182360309762287,
|
|
"all_pos": false
|
|
},
|
|
"ftnyx": {
|
|
"name": "Nomura Tax-Free New York Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2270806357994201,
|
|
"corr_port": 0.03421045614263646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14227842441469463,
|
|
"2023 rate shock": -0.07673451937263764,
|
|
"2024 vol spike": 0.01701529491036835,
|
|
"2025 tariff crash": -0.04337679263751548,
|
|
"2026 Q1 drawdown": -0.008921974503036778
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14227842441469463,
|
|
"max_ret": 0.01701529491036835,
|
|
"all_pos": false
|
|
},
|
|
"ftoix": {
|
|
"name": "FRANKLIN OHIO TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.21222678866956335,
|
|
"corr_port": 0.015404188956118737,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13576920891776068,
|
|
"2023 rate shock": -0.057453744349747815,
|
|
"2024 vol spike": 0.013147779304253593,
|
|
"2025 tariff crash": -0.03336442196659373,
|
|
"2026 Q1 drawdown": -0.006636392490138254
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13576920891776068,
|
|
"max_ret": 0.013147779304253593,
|
|
"all_pos": false
|
|
},
|
|
"ftorx": {
|
|
"name": "Nomura Tax-Free Oregon Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.34334407746773066,
|
|
"corr_port": 0.04259101417997382,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12060158265337007,
|
|
"2023 rate shock": -0.07068193359666719,
|
|
"2024 vol spike": 0.01737617287342319,
|
|
"2025 tariff crash": -0.045012770400212454,
|
|
"2026 Q1 drawdown": -0.011195288434738604
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12060158265337007,
|
|
"max_ret": 0.01737617287342319,
|
|
"all_pos": false
|
|
},
|
|
"ftrax": {
|
|
"name": "Franklin LifeSmart Retirement Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5226437576004306,
|
|
"corr_port": 0.2723652241397532,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16946929864611693,
|
|
"2023 rate shock": -0.04987202914816502,
|
|
"2024 vol spike": -0.01750798072473614,
|
|
"2025 tariff crash": -0.07203457463505525,
|
|
"2026 Q1 drawdown": -0.03384787302044656
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16946929864611693,
|
|
"max_ret": -0.01750798072473614,
|
|
"all_pos": false
|
|
},
|
|
"ftrcx": {
|
|
"name": "Franklin LifeSmart 2035 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.595400530774896,
|
|
"corr_port": 0.2792491283593437,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23340860605035174,
|
|
"2023 rate shock": -0.08358643921809072,
|
|
"2024 vol spike": -0.0468085860791394,
|
|
"2025 tariff crash": -0.11934155475811281,
|
|
"2026 Q1 drawdown": -0.06513408376477159
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23340860605035174,
|
|
"max_ret": -0.0468085860791394,
|
|
"all_pos": false
|
|
},
|
|
"ftrfx": {
|
|
"name": "Federated Hermes Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.004640452377462173,
|
|
"corr_port": -0.04190120176301571,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1398081355321814,
|
|
"2023 rate shock": -0.04215482405348858,
|
|
"2024 vol spike": 0.0205417035337494,
|
|
"2025 tariff crash": 0.00871843669129202,
|
|
"2026 Q1 drawdown": -0.007922211252266442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1398081355321814,
|
|
"max_ret": 0.0205417035337494,
|
|
"all_pos": false
|
|
},
|
|
"ftrnx": {
|
|
"name": "Fidelity Trend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7661861153305032,
|
|
"corr_port": 0.1370489391994637,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3597562269455292,
|
|
"2023 rate shock": -0.11329099691976341,
|
|
"2024 vol spike": -0.10341105104104009,
|
|
"2025 tariff crash": -0.25263230438888196,
|
|
"2026 Q1 drawdown": -0.1201795596754186
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3597562269455292,
|
|
"max_ret": -0.10341105104104009,
|
|
"all_pos": false
|
|
},
|
|
"ftrtx": {
|
|
"name": "Franklin LifeSmart 2025 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1830686606224334,
|
|
"corr_port": 0.28039372144725155,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21176828982307683,
|
|
"2023 rate shock": -0.07186894802455668,
|
|
"2024 vol spike": -0.03134548057144981,
|
|
"2025 tariff crash": -0.09043339090297708,
|
|
"2026 Q1 drawdown": -0.0501791531696405
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21176828982307683,
|
|
"max_ret": -0.03134548057144981,
|
|
"all_pos": false
|
|
},
|
|
"ftsd": {
|
|
"name": "Franklin Short Duration U.S. Government ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.14710756084461615,
|
|
"corr_port": -0.06619646753337831,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03945723154377101,
|
|
"2023 rate shock": 0.00752588729655046,
|
|
"2024 vol spike": 0.008263730651452361,
|
|
"2025 tariff crash": 0.01425001534332937,
|
|
"2026 Q1 drawdown": 0.002104040390089379
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.03945723154377101,
|
|
"max_ret": 0.01425001534332937,
|
|
"all_pos": false
|
|
},
|
|
"fttax": {
|
|
"name": "Franklin LifeSmart 2045 Retirement Target Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9885309278313317,
|
|
"corr_port": 0.2966844959383955,
|
|
"rets": {
|
|
"2022 bear mkt": -0.246098802295304,
|
|
"2023 rate shock": -0.0917792822090373,
|
|
"2024 vol spike": -0.062099820141285345,
|
|
"2025 tariff crash": -0.1445264319005387,
|
|
"2026 Q1 drawdown": -0.0772221939862594
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.246098802295304,
|
|
"max_ret": -0.062099820141285345,
|
|
"all_pos": false
|
|
},
|
|
"fttmx": {
|
|
"name": "FRANKLIN MICHIGAN TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.048675133161461465,
|
|
"corr_port": 0.030386064276062247,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1279710144927535,
|
|
"2023 rate shock": -0.05549551141359066,
|
|
"2024 vol spike": 0.015076024068042537,
|
|
"2025 tariff crash": -0.029665122586700288,
|
|
"2026 Q1 drawdown": -0.006104223077288418
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1279710144927535,
|
|
"max_ret": 0.015076024068042537,
|
|
"all_pos": false
|
|
},
|
|
"fulax": {
|
|
"name": "Federated Hermes Ultrashort Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.7138914028182257,
|
|
"corr_port": 0.05345494877391817,
|
|
"rets": {
|
|
"2022 bear mkt": -0.017894486270495502,
|
|
"2023 rate shock": 0.009193546062911784,
|
|
"2024 vol spike": 0.006405502744483371,
|
|
"2025 tariff crash": 0.006811223875257122,
|
|
"2026 Q1 drawdown": 0.0029016248725648452
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.017894486270495502,
|
|
"max_ret": 0.009193546062911784,
|
|
"all_pos": false
|
|
},
|
|
"fusgx": {
|
|
"name": "Federated Hermes Fund for U.S. Government Securities",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0236056665738338,
|
|
"corr_port": -0.09558513282930542,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13936278423977133,
|
|
"2023 rate shock": -0.05483516069929539,
|
|
"2024 vol spike": 0.02402853391666615,
|
|
"2025 tariff crash": 0.007609810925679694,
|
|
"2026 Q1 drawdown": -0.0062128991190724125
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13936278423977133,
|
|
"max_ret": 0.02402853391666615,
|
|
"all_pos": false
|
|
},
|
|
"fusix": {
|
|
"name": "Strategic Advisers Fidelity International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.024119934760885618,
|
|
"corr_port": 0.38027089593579194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3028066494007151,
|
|
"2023 rate shock": -0.10314673306305733,
|
|
"2024 vol spike": -0.07114926665870835,
|
|
"2025 tariff crash": -0.1078124140197847,
|
|
"2026 Q1 drawdown": -0.07644108235990099
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3028066494007151,
|
|
"max_ret": -0.07114926665870835,
|
|
"all_pos": false
|
|
},
|
|
"fvatx": {
|
|
"name": "Nuveen Virginia Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.013962359214560044,
|
|
"corr_port": 0.041970416178658876,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13117096066982326,
|
|
"2023 rate shock": -0.06037356641128144,
|
|
"2024 vol spike": 0.014400357377798656,
|
|
"2025 tariff crash": -0.0382432682339785,
|
|
"2026 Q1 drawdown": -0.009495465618096444
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13117096066982326,
|
|
"max_ret": 0.014400357377798656,
|
|
"all_pos": false
|
|
},
|
|
"fvdfx": {
|
|
"name": "Fidelity Value Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9134372771098709,
|
|
"corr_port": 0.40881937648319316,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1506451463173052,
|
|
"2023 rate shock": -0.08515759083560581,
|
|
"2024 vol spike": -0.0375859285908523,
|
|
"2025 tariff crash": -0.10021491816460193,
|
|
"2026 Q1 drawdown": -0.04300273427790202
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1506451463173052,
|
|
"max_ret": -0.0375859285908523,
|
|
"all_pos": false
|
|
},
|
|
"fvilx": {
|
|
"name": "Forester Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3053387998601265,
|
|
"corr_port": 0.22307425623849597,
|
|
"rets": {
|
|
"2022 bear mkt": 0.10516929540980291,
|
|
"2023 rate shock": -0.007380028503702896,
|
|
"2024 vol spike": 0.0811320086781937,
|
|
"2025 tariff crash": 0.15134090497616803,
|
|
"2026 Q1 drawdown": 0.036977491961414755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.007380028503702896,
|
|
"max_ret": 0.15134090497616803,
|
|
"all_pos": false
|
|
},
|
|
"fvrmx": {
|
|
"name": "FRANKLIN MUTUAL SMALL-MID CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2564688701247586,
|
|
"corr_port": 0.31873132086378847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12482759556944645,
|
|
"2023 rate shock": -0.10957002815426697,
|
|
"2024 vol spike": -0.05915589951589906,
|
|
"2025 tariff crash": -0.21005452020716375,
|
|
"2026 Q1 drawdown": -0.0797743755036261
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21005452020716375,
|
|
"max_ret": -0.05915589951589906,
|
|
"all_pos": false
|
|
},
|
|
"fwiax": {
|
|
"name": "Nuveen Wisconsin Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3218039474782984,
|
|
"corr_port": 0.030345632717429637,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12204190541925419,
|
|
"2023 rate shock": -0.06553771215639992,
|
|
"2024 vol spike": 0.012440590228290915,
|
|
"2025 tariff crash": -0.04206008277698914,
|
|
"2026 Q1 drawdown": -0.007004078945190284
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12204190541925419,
|
|
"max_ret": 0.012440590228290915,
|
|
"all_pos": false
|
|
},
|
|
"fwwfx": {
|
|
"name": "Fidelity Worldwide Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.044179137625977,
|
|
"corr_port": 0.2652367378066896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31403118749382253,
|
|
"2023 rate shock": -0.107072036946943,
|
|
"2024 vol spike": -0.08979054001256948,
|
|
"2025 tariff crash": -0.21055524037732487,
|
|
"2026 Q1 drawdown": -0.11140307116649839
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31403118749382253,
|
|
"max_ret": -0.08979054001256948,
|
|
"all_pos": false
|
|
},
|
|
"fxctx": {
|
|
"name": "FRANKLIN CONNECTICUT TAX-FREE INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.02966244392120896,
|
|
"corr_port": 0.018336792545990025,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1395144138576947,
|
|
"2023 rate shock": -0.06331308470988017,
|
|
"2024 vol spike": 0.014484821495756472,
|
|
"2025 tariff crash": -0.037480541983423765,
|
|
"2026 Q1 drawdown": -0.010565920248752692
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1395144138576947,
|
|
"max_ret": 0.014484821495756472,
|
|
"all_pos": false
|
|
},
|
|
"fxidx": {
|
|
"name": "Fixed Income SHares: Series LD",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.7836082253976864,
|
|
"corr_port": 0.09284711189289317,
|
|
"rets": {
|
|
"2022 bear mkt": -0.057825658655946244,
|
|
"2023 rate shock": 0.024950787533019714,
|
|
"2024 vol spike": 0.007356490292633966,
|
|
"2025 tariff crash": 0.0072545689170260275,
|
|
"2026 Q1 drawdown": -0.00457553875984984
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.057825658655946244,
|
|
"max_ret": 0.024950787533019714,
|
|
"all_pos": false
|
|
},
|
|
"fxncx": {
|
|
"name": "FRANKLIN NORTH CAROLINA TAX-FREE INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.05360942366457367,
|
|
"corr_port": 0.01843905074162645,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1303506285791337,
|
|
"2023 rate shock": -0.06132839099082288,
|
|
"2024 vol spike": 0.014731060148430952,
|
|
"2025 tariff crash": -0.03960899568254672,
|
|
"2026 Q1 drawdown": -0.011272709157500116
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1303506285791337,
|
|
"max_ret": 0.014731060148430952,
|
|
"all_pos": false
|
|
},
|
|
"fyhtx": {
|
|
"name": "Fidelity Commodity Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8951044876416684,
|
|
"corr_port": 0.024713011317094843,
|
|
"rets": {
|
|
"2023 rate shock": 0.0018352721081968948,
|
|
"2024 vol spike": -0.04901235418100347,
|
|
"2025 tariff crash": -0.09449598704003637,
|
|
"2026 Q1 drawdown": 0.03397973356097839
|
|
},
|
|
"n_avail": 4,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09449598704003637,
|
|
"max_ret": 0.03397973356097839,
|
|
"all_pos": false
|
|
},
|
|
"gaaex": {
|
|
"name": "Guinness Atkinson Alternative Energy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5456830136259285,
|
|
"corr_port": 0.2260170661068926,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2351189776911311,
|
|
"2023 rate shock": -0.2566928739792159,
|
|
"2024 vol spike": -0.06502626077526008,
|
|
"2025 tariff crash": -0.1782946942162449,
|
|
"2026 Q1 drawdown": -0.10948905109489049
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2566928739792159,
|
|
"max_ret": -0.06502626077526008,
|
|
"all_pos": false
|
|
},
|
|
"gaawx": {
|
|
"name": "GMO International Developed Equity Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.8906775251793286,
|
|
"corr_port": 0.3164268708590185,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2608066673622218,
|
|
"2023 rate shock": -0.07990318501497007,
|
|
"2024 vol spike": -0.07815982613005612,
|
|
"2025 tariff crash": -0.09129964973737537,
|
|
"2026 Q1 drawdown": -0.04236248440642898
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2608066673622218,
|
|
"max_ret": -0.04236248440642898,
|
|
"all_pos": false
|
|
},
|
|
"gabcx": {
|
|
"name": "THE GABELLI ABC FUND",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.7030721041162797,
|
|
"corr_port": 0.30202108643448183,
|
|
"rets": {
|
|
"2022 bear mkt": -0.041108891970560446,
|
|
"2023 rate shock": -0.024436181953517933,
|
|
"2024 vol spike": -0.015482565256979663,
|
|
"2025 tariff crash": -0.04047828526695729,
|
|
"2026 Q1 drawdown": -0.009900990099009799
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.041108891970560446,
|
|
"max_ret": -0.009900990099009799,
|
|
"all_pos": false
|
|
},
|
|
"gabvx": {
|
|
"name": "THE GABELLI VALUE 25 FUND INC.",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.3469371460794164,
|
|
"corr_port": 0.35375802962779046,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2514285444212919,
|
|
"2023 rate shock": -0.12723839781876667,
|
|
"2024 vol spike": -0.06925982383500984,
|
|
"2025 tariff crash": -0.1389926512559514,
|
|
"2026 Q1 drawdown": -0.04552980132450335
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2514285444212919,
|
|
"max_ret": -0.04552980132450335,
|
|
"all_pos": false
|
|
},
|
|
"gagax": {
|
|
"name": "The Gabelli Global Rising Income and Dividend Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.10124296502139714,
|
|
"corr_port": 0.41212339849778756,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2838030442214273,
|
|
"2023 rate shock": -0.13703942494314403,
|
|
"2024 vol spike": -0.06857502307825947,
|
|
"2025 tariff crash": -0.10839600376275493,
|
|
"2026 Q1 drawdown": -0.05326084383860974
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2838030442214273,
|
|
"max_ret": -0.05326084383860974,
|
|
"all_pos": false
|
|
},
|
|
"gaigx": {
|
|
"name": "GABELLI INTERNATIONAL GROWTH FUND, INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7414031772879017,
|
|
"corr_port": 0.27221411673735507,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33900066376666405,
|
|
"2023 rate shock": -0.13955350669202504,
|
|
"2024 vol spike": -0.07823272628982347,
|
|
"2025 tariff crash": -0.12914333768232866,
|
|
"2026 Q1 drawdown": -0.10748411196321195
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33900066376666405,
|
|
"max_ret": -0.07823272628982347,
|
|
"all_pos": false
|
|
},
|
|
"gaiox": {
|
|
"name": "American Funds Growth and Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.011999589441038497,
|
|
"corr_port": 0.3089997246219954,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22948456741524081,
|
|
"2023 rate shock": -0.08544736494085647,
|
|
"2024 vol spike": -0.043749993143050725,
|
|
"2025 tariff crash": -0.12602620617788973,
|
|
"2026 Q1 drawdown": -0.07409316298291857
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22948456741524081,
|
|
"max_ret": -0.043749993143050725,
|
|
"all_pos": false
|
|
},
|
|
"gatax": {
|
|
"name": "THE GABELLI ASSET FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8530727640446757,
|
|
"corr_port": 0.37558967055293235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21073379402403114,
|
|
"2023 rate shock": -0.12648829835557152,
|
|
"2024 vol spike": -0.06368048056636755,
|
|
"2025 tariff crash": -0.14088391471635364,
|
|
"2026 Q1 drawdown": -0.06663961668753327
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21073379402403114,
|
|
"max_ret": -0.06368048056636755,
|
|
"all_pos": false
|
|
},
|
|
"gauax": {
|
|
"name": "THE GABELLI UTILITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.08750999390068115,
|
|
"corr_port": 0.3114266966469097,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1537458176253692,
|
|
"2023 rate shock": -0.1316600803301461,
|
|
"2024 vol spike": 0.0016403904211017561,
|
|
"2025 tariff crash": -0.05449256511071032,
|
|
"2026 Q1 drawdown": 0.04182958389548275
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1537458176253692,
|
|
"max_ret": 0.04182958389548275,
|
|
"all_pos": false
|
|
},
|
|
"gbcix": {
|
|
"name": "THE GABELLI DIVIDEND GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.002490307127821779,
|
|
"corr_port": 0.3722541339424277,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1971982582778815,
|
|
"2023 rate shock": -0.1237822754794764,
|
|
"2024 vol spike": -0.07304265601281223,
|
|
"2025 tariff crash": -0.13948258721577733,
|
|
"2026 Q1 drawdown": -0.03791977453519901
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1971982582778815,
|
|
"max_ret": -0.03791977453519901,
|
|
"all_pos": false
|
|
},
|
|
"gblax": {
|
|
"name": "AMERICAN FUNDS GLOBAL BALANCED FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4265751277771813,
|
|
"corr_port": 0.3436925226928844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22358049147786996,
|
|
"2023 rate shock": -0.07648420192173333,
|
|
"2024 vol spike": -0.026583262216669845,
|
|
"2025 tariff crash": -0.08413429840609077,
|
|
"2026 Q1 drawdown": -0.04965641605725102
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22358049147786996,
|
|
"max_ret": -0.026583262216669845,
|
|
"all_pos": false
|
|
},
|
|
"gbonx": {
|
|
"name": "JPMorgan Global Bond Opportunities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.5865150076163936,
|
|
"corr_port": 0.20130997377520285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09959778583559176,
|
|
"2023 rate shock": -0.0252549354131123,
|
|
"2024 vol spike": 0.001872965103606239,
|
|
"2025 tariff crash": -0.011733542971332334,
|
|
"2026 Q1 drawdown": -0.026631167473457285
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09959778583559176,
|
|
"max_ret": 0.001872965103606239,
|
|
"all_pos": false
|
|
},
|
|
"gcaex": {
|
|
"name": "THE GABELLI EQUITY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.41345556508602643,
|
|
"corr_port": 0.4080728713690798,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16588874502315298,
|
|
"2023 rate shock": -0.12074600900423449,
|
|
"2024 vol spike": -0.06055265758423345,
|
|
"2025 tariff crash": -0.13904007698863152,
|
|
"2026 Q1 drawdown": -0.05055996841464727
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16588874502315298,
|
|
"max_ret": -0.05055996841464727,
|
|
"all_pos": false
|
|
},
|
|
"gcasx": {
|
|
"name": "THE GABELLI SMALL CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.359159440308663,
|
|
"corr_port": 0.34394131719473475,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22523080866253176,
|
|
"2023 rate shock": -0.13704978635939402,
|
|
"2024 vol spike": -0.06705991599979455,
|
|
"2025 tariff crash": -0.18159210408939097,
|
|
"2026 Q1 drawdown": -0.0590575916230367
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22523080866253176,
|
|
"max_ret": -0.0590575916230367,
|
|
"all_pos": false
|
|
},
|
|
"gcblx": {
|
|
"name": "GREEN CENTURY BALANCED FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6867862389619384,
|
|
"corr_port": 0.24647119185403502,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20701658181483074,
|
|
"2023 rate shock": -0.08670873296244741,
|
|
"2024 vol spike": -0.039912567883882755,
|
|
"2025 tariff crash": -0.10986478029784308,
|
|
"2026 Q1 drawdown": -0.062063205174107905
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20701658181483074,
|
|
"max_ret": -0.039912567883882755,
|
|
"all_pos": false
|
|
},
|
|
"gcecx": {
|
|
"name": "AB Global Core Equity Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6540666185228243,
|
|
"corr_port": 0.31085149580706256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3009367856256605,
|
|
"2023 rate shock": -0.11251664116621685,
|
|
"2024 vol spike": -0.05731347682205301,
|
|
"2025 tariff crash": -0.1518265010053199,
|
|
"2026 Q1 drawdown": -0.11521003886435643
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3009367856256605,
|
|
"max_ret": -0.05731347682205301,
|
|
"all_pos": false
|
|
},
|
|
"gceqx": {
|
|
"name": "GREEN CENTURY EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.998511145408243,
|
|
"corr_port": 0.24874460454943245,
|
|
"rets": {
|
|
"2022 bear mkt": -0.289806773209051,
|
|
"2023 rate shock": -0.1072769835613071,
|
|
"2024 vol spike": -0.08068186243312647,
|
|
"2025 tariff crash": -0.1873718406249043,
|
|
"2026 Q1 drawdown": -0.1135701547341339
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.289806773209051,
|
|
"max_ret": -0.08068186243312647,
|
|
"all_pos": false
|
|
},
|
|
"gcinx": {
|
|
"name": "Green Century MSCI International Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6368725771256685,
|
|
"corr_port": 0.2934184139102037,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3283801726895529,
|
|
"2023 rate shock": -0.11678279774219869,
|
|
"2024 vol spike": -0.061891495144478004,
|
|
"2025 tariff crash": -0.12406259889572346,
|
|
"2026 Q1 drawdown": -0.11703431447682222
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3283801726895529,
|
|
"max_ret": -0.061891495144478004,
|
|
"all_pos": false
|
|
},
|
|
"gcpax": {
|
|
"name": "Gateway Equity Call Premium Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.01924634589650339,
|
|
"corr_port": 0.27500067747889867,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18208892305008406,
|
|
"2023 rate shock": -0.05634572626215184,
|
|
"2024 vol spike": -0.056494304120273786,
|
|
"2025 tariff crash": -0.1528397907753294,
|
|
"2026 Q1 drawdown": -0.0652839171555546
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18208892305008406,
|
|
"max_ret": -0.05634572626215184,
|
|
"all_pos": false
|
|
},
|
|
"gdxj": {
|
|
"name": "VanEck Junior Gold Miners ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2114097806058797,
|
|
"corr_port": 0.05008198972720657,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28191495402041644,
|
|
"2023 rate shock": -0.05125380864438467,
|
|
"2024 vol spike": -0.11543319961832021,
|
|
"2025 tariff crash": -0.037912008859135926,
|
|
"2026 Q1 drawdown": -0.23016420943171956
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28191495402041644,
|
|
"max_ret": -0.037912008859135926,
|
|
"all_pos": false
|
|
},
|
|
"gegax": {
|
|
"name": "abrdn Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5317869780525095,
|
|
"corr_port": 0.26799279259527387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3335276398384731,
|
|
"2023 rate shock": -0.12175216056808291,
|
|
"2024 vol spike": -0.06652363815442308,
|
|
"2025 tariff crash": -0.14113478784563316,
|
|
"2026 Q1 drawdown": -0.09056192034915422
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3335276398384731,
|
|
"max_ret": -0.06652363815442308,
|
|
"all_pos": false
|
|
},
|
|
"geosx": {
|
|
"name": "Pear Tree Essex Environmental Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5016689566956658,
|
|
"corr_port": 0.14548082640740237,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3107960545779813,
|
|
"2023 rate shock": -0.2909697984816243,
|
|
"2024 vol spike": -0.10415203853510224,
|
|
"2025 tariff crash": -0.1935007072224637,
|
|
"2026 Q1 drawdown": -0.0836676742883854
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3107960545779813,
|
|
"max_ret": -0.0836676742883854,
|
|
"all_pos": false
|
|
},
|
|
"ggbfx": {
|
|
"name": "Global Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1104873288841883,
|
|
"corr_port": 0.1441072344148912,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17585454455513116,
|
|
"2023 rate shock": -0.04410024835369586,
|
|
"2024 vol spike": 0.02031941778401336,
|
|
"2025 tariff crash": 0.0009330971775955987,
|
|
"2026 Q1 drawdown": -0.02856348135206188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17585454455513116,
|
|
"max_ret": 0.02031941778401336,
|
|
"all_pos": false
|
|
},
|
|
"ggcax": {
|
|
"name": "The Gabelli Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0891466984216978,
|
|
"corr_port": 0.12745366081566153,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38155621376151194,
|
|
"2023 rate shock": -0.08258421803658711,
|
|
"2024 vol spike": -0.09323518048929236,
|
|
"2025 tariff crash": -0.20989671808825028,
|
|
"2026 Q1 drawdown": -0.13023928753621905
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38155621376151194,
|
|
"max_ret": -0.08258421803658711,
|
|
"all_pos": false
|
|
},
|
|
"gghcx": {
|
|
"name": "INVESCO Health Care Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7999706459408061,
|
|
"corr_port": 0.1953237815136779,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18584299540656168,
|
|
"2023 rate shock": -0.0840695780704418,
|
|
"2024 vol spike": -0.037442308762804966,
|
|
"2025 tariff crash": -0.11881188118811892,
|
|
"2026 Q1 drawdown": -0.07622035822969564
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18584299540656168,
|
|
"max_ret": -0.037442308762804966,
|
|
"all_pos": false
|
|
},
|
|
"gglix": {
|
|
"name": "abrdn U.S. Sustainable Leaders Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.6557581005874207,
|
|
"corr_port": 0.25109942277533287,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32518672419626804,
|
|
"2023 rate shock": -0.11702133643089607,
|
|
"2024 vol spike": -0.0738553046514886,
|
|
"2025 tariff crash": -0.15982723100120955,
|
|
"2026 Q1 drawdown": -0.10278372591006424
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32518672419626804,
|
|
"max_ret": -0.0738553046514886,
|
|
"all_pos": false
|
|
},
|
|
"ggmmx": {
|
|
"name": "Gabelli Global Mini Mites Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.536462298918809,
|
|
"corr_port": 0.3026621833723879,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25066659866672947,
|
|
"2023 rate shock": -0.08550191405895113,
|
|
"2024 vol spike": -0.08522217702507306,
|
|
"2025 tariff crash": -0.15282686670026124,
|
|
"2026 Q1 drawdown": -0.04228855721393032
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25066659866672947,
|
|
"max_ret": -0.04228855721393032,
|
|
"all_pos": false
|
|
},
|
|
"gibax": {
|
|
"name": "Guggenheim Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3061887867644975,
|
|
"corr_port": -0.09976891827423345,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17015096034797295,
|
|
"2023 rate shock": -0.04190136332504324,
|
|
"2024 vol spike": 0.02274514184584797,
|
|
"2025 tariff crash": 0.007385347106294571,
|
|
"2026 Q1 drawdown": -0.008973665477513104
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17015096034797295,
|
|
"max_ret": 0.02274514184584797,
|
|
"all_pos": false
|
|
},
|
|
"gifax": {
|
|
"name": "Guggenheim Floating Rate Strategies Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 5.184351984229736,
|
|
"corr_port": 0.30690248217219446,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03589233598572594,
|
|
"2023 rate shock": 0.010064846501813385,
|
|
"2024 vol spike": -0.002846372020174348,
|
|
"2025 tariff crash": -0.019044881194575702,
|
|
"2026 Q1 drawdown": -0.00577405408181797
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03589233598572594,
|
|
"max_ret": 0.010064846501813385,
|
|
"all_pos": false
|
|
},
|
|
"gijax": {
|
|
"name": "Guggenheim Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.521955930860613,
|
|
"corr_port": 0.044223639837432854,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16254461686237553,
|
|
"2023 rate shock": -0.06378738572559783,
|
|
"2024 vol spike": 0.01610192086554596,
|
|
"2025 tariff crash": -0.025413275779337496,
|
|
"2026 Q1 drawdown": -0.009218105489624318
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16254461686237553,
|
|
"max_ret": 0.01610192086554596,
|
|
"all_pos": false
|
|
},
|
|
"gildx": {
|
|
"name": "Guggenheim Limited Duration Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8387253509316639,
|
|
"corr_port": -0.024132619708872777,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06254146611284994,
|
|
"2023 rate shock": 0.0013130262826777095,
|
|
"2024 vol spike": 0.010084177544131379,
|
|
"2025 tariff crash": 0.008525764530305624,
|
|
"2026 Q1 drawdown": -0.002127421976785504
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.06254146611284994,
|
|
"max_ret": 0.010084177544131379,
|
|
"all_pos": false
|
|
},
|
|
"giocx": {
|
|
"name": "Guggenheim Macro Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.827788330074194,
|
|
"corr_port": 0.16431505902713575,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1178377405578721,
|
|
"2023 rate shock": -0.016155962128654,
|
|
"2024 vol spike": 0.006071993985075963,
|
|
"2025 tariff crash": -0.009540765045452093,
|
|
"2026 Q1 drawdown": -0.01685694938085025
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1178377405578721,
|
|
"max_ret": 0.006071993985075963,
|
|
"all_pos": false
|
|
},
|
|
"giyix": {
|
|
"name": "Guggenheim Ultra Short Duration Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.05411147807034,
|
|
"corr_port": 0.0522512101758764,
|
|
"rets": {
|
|
"2022 bear mkt": -0.021733506107538547,
|
|
"2023 rate shock": 0.007836386563124131,
|
|
"2024 vol spike": 0.0063420478545368475,
|
|
"2025 tariff crash": 0.007116574068389614,
|
|
"2026 Q1 drawdown": 0.00328134989464246
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.021733506107538547,
|
|
"max_ret": 0.007836386563124131,
|
|
"all_pos": false
|
|
},
|
|
"gldax": {
|
|
"name": "GABELLI GOLD FUND INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.41754003302576664,
|
|
"corr_port": 0.05496567799534564,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24369294620327353,
|
|
"2023 rate shock": -0.04485326485018304,
|
|
"2024 vol spike": -0.055966809969738796,
|
|
"2025 tariff crash": -0.0016314205817336003,
|
|
"2026 Q1 drawdown": -0.20769888438496353
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24369294620327353,
|
|
"max_ret": -0.0016314205817336003,
|
|
"all_pos": false
|
|
},
|
|
"glnax": {
|
|
"name": "MFS Global New Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.193331847208757,
|
|
"corr_port": 0.2801803809706554,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3507013843426451,
|
|
"2023 rate shock": -0.12738546401877004,
|
|
"2024 vol spike": -0.04643963059069123,
|
|
"2025 tariff crash": -0.1267047633376781,
|
|
"2026 Q1 drawdown": -0.08113590263691683
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3507013843426451,
|
|
"max_ret": -0.04643963059069123,
|
|
"all_pos": false
|
|
},
|
|
"glrbx": {
|
|
"name": "James Balanced: Golden Rainbow Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.23287391021408418,
|
|
"corr_port": 0.27684173601884055,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16269762619594264,
|
|
"2023 rate shock": -0.0566201144328502,
|
|
"2024 vol spike": -0.027617017501238128,
|
|
"2025 tariff crash": -0.08394056541163608,
|
|
"2026 Q1 drawdown": -0.05241306685210645
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16269762619594264,
|
|
"max_ret": -0.027617017501238128,
|
|
"all_pos": false
|
|
},
|
|
"gmdyx": {
|
|
"name": "MEDIUM-DURATION BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.02661918107726218,
|
|
"corr_port": -0.05989193133633897,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16352574407092213,
|
|
"2023 rate shock": -0.04317790171313518,
|
|
"2024 vol spike": 0.01862236138790241,
|
|
"2025 tariff crash": 0.002820247254623265,
|
|
"2026 Q1 drawdown": -0.009516091944031912
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16352574407092213,
|
|
"max_ret": 0.01862236138790241,
|
|
"all_pos": false
|
|
},
|
|
"goodx": {
|
|
"name": "GoodHaven Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.355739744809695,
|
|
"corr_port": 0.3051141494373559,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1712886455438758,
|
|
"2023 rate shock": -0.07823719249107786,
|
|
"2024 vol spike": -0.06357922974799657,
|
|
"2025 tariff crash": -0.1382049228707185,
|
|
"2026 Q1 drawdown": -0.07743447550712712
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1712886455438758,
|
|
"max_ret": -0.06357922974799657,
|
|
"all_pos": false
|
|
},
|
|
"gpgix": {
|
|
"name": "Grandeur Peak Global Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.7157965046862675,
|
|
"corr_port": 0.2733460673625462,
|
|
"rets": {
|
|
"2022 bear mkt": -0.399598408202433,
|
|
"2023 rate shock": -0.15384626795486256,
|
|
"2024 vol spike": -0.07567579002397407,
|
|
"2025 tariff crash": -0.17191977077363907,
|
|
"2026 Q1 drawdown": -0.1150684931506849
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.399598408202433,
|
|
"max_ret": -0.07567579002397407,
|
|
"all_pos": false
|
|
},
|
|
"gpmfx": {
|
|
"name": "GuidePath(R) Managed Futures Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8358247548739033,
|
|
"corr_port": 0.18881712161413045,
|
|
"rets": {
|
|
"2022 bear mkt": 0.46153833715647763,
|
|
"2023 rate shock": 0.020905899436667985,
|
|
"2024 vol spike": -0.11073069800211188,
|
|
"2025 tariff crash": -0.15628970775095308,
|
|
"2026 Q1 drawdown": -0.002645502645502562
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15628970775095308,
|
|
"max_ret": 0.46153833715647763,
|
|
"all_pos": false
|
|
},
|
|
"grnb": {
|
|
"name": "VanEck Green Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.251844894880418,
|
|
"corr_port": -0.06452931945691126,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1431567417127002,
|
|
"2023 rate shock": -0.02540140767074195,
|
|
"2024 vol spike": 0.015040289300113807,
|
|
"2025 tariff crash": -0.005543432822036953,
|
|
"2026 Q1 drawdown": -0.015609638700663342
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1431567417127002,
|
|
"max_ret": 0.015040289300113807,
|
|
"all_pos": false
|
|
},
|
|
"gsxax": {
|
|
"name": "abrdn U.S. Small Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.045261316714965395,
|
|
"corr_port": 0.26147082437191355,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29782990053811154,
|
|
"2023 rate shock": -0.1720674603996286,
|
|
"2024 vol spike": -0.0780560212649184,
|
|
"2025 tariff crash": -0.19893610100723946,
|
|
"2026 Q1 drawdown": -0.06665036783814393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29782990053811154,
|
|
"max_ret": -0.06665036783814393,
|
|
"all_pos": false
|
|
},
|
|
"gtcix": {
|
|
"name": "Disciplined International Equity Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.487929727503822,
|
|
"corr_port": 0.45501145588195124,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24199235426395205,
|
|
"2023 rate shock": -0.0815712108098533,
|
|
"2024 vol spike": -0.07324281011833345,
|
|
"2025 tariff crash": -0.06279898724122523,
|
|
"2026 Q1 drawdown": -0.04071376868753429
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24199235426395205,
|
|
"max_ret": -0.04071376868753429,
|
|
"all_pos": false
|
|
},
|
|
"gtddx": {
|
|
"name": "Invesco Emerging Markets ex-China Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.06549364750316257,
|
|
"corr_port": 0.28447610987018424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2771809383896954,
|
|
"2023 rate shock": -0.10797580477081992,
|
|
"2024 vol spike": -0.06746619356306482,
|
|
"2025 tariff crash": -0.11124157559166847,
|
|
"2026 Q1 drawdown": -0.07033248441598383
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2771809383896954,
|
|
"max_ret": -0.06746619356306482,
|
|
"all_pos": false
|
|
},
|
|
"gtfbx": {
|
|
"name": "T. Rowe Price Georgia Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4704297650084404,
|
|
"corr_port": 0.023185623784760447,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12421069001212814,
|
|
"2023 rate shock": -0.056616683649675426,
|
|
"2024 vol spike": 0.015530314905089604,
|
|
"2025 tariff crash": -0.033511679283745655,
|
|
"2026 Q1 drawdown": -0.009814901659951913
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12421069001212814,
|
|
"max_ret": 0.015530314905089604,
|
|
"all_pos": false
|
|
},
|
|
"gtrax": {
|
|
"name": "PGIM Global Total Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2515739992325834,
|
|
"corr_port": 0.06309700945316615,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26908518954818106,
|
|
"2023 rate shock": -0.04888902844605614,
|
|
"2024 vol spike": 0.02207295358350403,
|
|
"2025 tariff crash": 0.014410142504180268,
|
|
"2026 Q1 drawdown": -0.03336245096566759
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.26908518954818106,
|
|
"max_ret": 0.02207295358350403,
|
|
"all_pos": false
|
|
},
|
|
"gtsax": {
|
|
"name": "INVESCO Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4138198669243986,
|
|
"corr_port": 0.15488961593978354,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3701425614844517,
|
|
"2023 rate shock": -0.16805386635535924,
|
|
"2024 vol spike": -0.08744319188036542,
|
|
"2025 tariff crash": -0.2234332500045233,
|
|
"2026 Q1 drawdown": -0.11129293326654455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3701425614844517,
|
|
"max_ret": -0.08744319188036542,
|
|
"all_pos": false
|
|
},
|
|
"gwlix": {
|
|
"name": "abrdn Emerging Markets Ex-China Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9750059120264549,
|
|
"corr_port": 0.29267992380277275,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2881862064668228,
|
|
"2023 rate shock": -0.11111120025051735,
|
|
"2024 vol spike": -0.08161705697604327,
|
|
"2025 tariff crash": -0.13688523535155084,
|
|
"2026 Q1 drawdown": -0.06796662574002088
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2881862064668228,
|
|
"max_ret": -0.06796662574002088,
|
|
"all_pos": false
|
|
},
|
|
"gyld": {
|
|
"name": "Arrow Dow Jones Global Yield ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5033229444876588,
|
|
"corr_port": 0.2879099144262629,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1566379609111116,
|
|
"2023 rate shock": -0.05994616489742555,
|
|
"2024 vol spike": -0.023308324175030815,
|
|
"2025 tariff crash": -0.07534261032075329,
|
|
"2026 Q1 drawdown": 0.002039248741281696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1566379609111116,
|
|
"max_ret": 0.002039248741281696,
|
|
"all_pos": false
|
|
},
|
|
"hacsx": {
|
|
"name": "Harbor Ares Systematic Convertible Securities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7900444615258669,
|
|
"corr_port": 0.15980383876556412,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1786192758206474,
|
|
"2023 rate shock": -0.08863049317420901,
|
|
"2024 vol spike": -0.02957500518034617,
|
|
"2025 tariff crash": -0.09601192125463975,
|
|
"2026 Q1 drawdown": -0.053883818753055146
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1786192758206474,
|
|
"max_ret": -0.02957500518034617,
|
|
"all_pos": false
|
|
},
|
|
"hadax": {
|
|
"name": "HARTFORD BALANCED HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1533714749253645,
|
|
"corr_port": 0.302734634080271,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1856433107299056,
|
|
"2023 rate shock": -0.07849689934981152,
|
|
"2024 vol spike": -0.033407604166158955,
|
|
"2025 tariff crash": -0.10484668685189302,
|
|
"2026 Q1 drawdown": -0.06382985262310525
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1856433107299056,
|
|
"max_ret": -0.033407604166158955,
|
|
"all_pos": false
|
|
},
|
|
"hcegx": {
|
|
"name": "The U.S. Equity Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.265507247289941,
|
|
"corr_port": 0.2180095346448567,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2789016635203273,
|
|
"2023 rate shock": -0.09507982047872332,
|
|
"2024 vol spike": -0.07400376996486246,
|
|
"2025 tariff crash": -0.19077300203356617,
|
|
"2026 Q1 drawdown": -0.09206134996528026
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2789016635203273,
|
|
"max_ret": -0.07400376996486246,
|
|
"all_pos": false
|
|
},
|
|
"hcemx": {
|
|
"name": "The Emerging Markets Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3973616658562884,
|
|
"corr_port": 0.2920326065467385,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2820143884892087,
|
|
"2023 rate shock": -0.11871898847493156,
|
|
"2024 vol spike": -0.0673740053050399,
|
|
"2025 tariff crash": -0.12657572864623268,
|
|
"2026 Q1 drawdown": -0.08269771176234442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2820143884892087,
|
|
"max_ret": -0.0673740053050399,
|
|
"all_pos": false
|
|
},
|
|
"hcesx": {
|
|
"name": "The ESG Growth Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.811506762238525,
|
|
"corr_port": 0.2898270895944922,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2729070533948583,
|
|
"2023 rate shock": -0.10469314079422376,
|
|
"2024 vol spike": -0.07116336633663367,
|
|
"2025 tariff crash": -0.16367847520656587,
|
|
"2026 Q1 drawdown": -0.07997589176042652
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2729070533948583,
|
|
"max_ret": -0.07116336633663367,
|
|
"all_pos": false
|
|
},
|
|
"hchyx": {
|
|
"name": "The Corporate Opportunities Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.860481004365593,
|
|
"corr_port": 0.15713348018647716,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15026595744680848,
|
|
"2023 rate shock": -0.060518731988472685,
|
|
"2024 vol spike": -0.017687074829931926,
|
|
"2025 tariff crash": -0.03648648648648656,
|
|
"2026 Q1 drawdown": -0.0223390275952694
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15026595744680848,
|
|
"max_ret": -0.017687074829931926,
|
|
"all_pos": false
|
|
},
|
|
"hciex": {
|
|
"name": "The International Equity Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8566646463791516,
|
|
"corr_port": 0.37479665018767877,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2792511700468019,
|
|
"2023 rate shock": -0.10356255178127594,
|
|
"2024 vol spike": -0.0680786686838124,
|
|
"2025 tariff crash": -0.11028315946348732,
|
|
"2026 Q1 drawdown": -0.06220373591254369
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2792511700468019,
|
|
"max_ret": -0.06220373591254369,
|
|
"all_pos": false
|
|
},
|
|
"hcigx": {
|
|
"name": "The Institutional U.S. Equity Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.4114793143427335,
|
|
"corr_port": 0.2102011574035606,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2740434332988625,
|
|
"2023 rate shock": -0.10737468393069705,
|
|
"2024 vol spike": -0.06710310965630095,
|
|
"2025 tariff crash": -0.17260108630054316,
|
|
"2026 Q1 drawdown": -0.08687500000000004
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2740434332988625,
|
|
"max_ret": -0.06710310965630095,
|
|
"all_pos": false
|
|
},
|
|
"hciix": {
|
|
"name": "The Core Fixed Income Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9472179578544034,
|
|
"corr_port": -0.022000547838340403,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15646940822467403,
|
|
"2023 rate shock": -0.033214709371292894,
|
|
"2024 vol spike": 0.0175029171528589,
|
|
"2025 tariff crash": 0.010625737898465104,
|
|
"2026 Q1 drawdown": -0.009891879229540601
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15646940822467403,
|
|
"max_ret": 0.0175029171528589,
|
|
"all_pos": false
|
|
},
|
|
"hcimx": {
|
|
"name": "The Intermediate Term Municipal Bond Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2582217480599602,
|
|
"corr_port": 0.012626396237010437,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0852713178294574,
|
|
"2023 rate shock": -0.03523316062176163,
|
|
"2024 vol spike": 0.010235414534288667,
|
|
"2025 tariff crash": -0.027607361963190136,
|
|
"2026 Q1 drawdown": -0.019999999999999907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0852713178294574,
|
|
"max_ret": 0.010235414534288667,
|
|
"all_pos": false
|
|
},
|
|
"hcinx": {
|
|
"name": "The Institutional International Equity Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.9193114633087156,
|
|
"corr_port": 0.3610331275666343,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30438756855575866,
|
|
"2023 rate shock": -0.11477045908183636,
|
|
"2024 vol spike": -0.06533575317604345,
|
|
"2025 tariff crash": -0.10401459854014605,
|
|
"2026 Q1 drawdown": -0.0881632653061225
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30438756855575866,
|
|
"max_ret": -0.06533575317604345,
|
|
"all_pos": false
|
|
},
|
|
"hcmex": {
|
|
"name": "HCM Multi-Asset Plus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7564001409715364,
|
|
"corr_port": 0.08040606212156497,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24216867719746993,
|
|
"2023 rate shock": -0.08750838342049383,
|
|
"2024 vol spike": -0.09278928092944161,
|
|
"2025 tariff crash": -0.14967580697854033,
|
|
"2026 Q1 drawdown": -0.094836670179136
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24216867719746993,
|
|
"max_ret": -0.08750838342049383,
|
|
"all_pos": false
|
|
},
|
|
"hcmgx": {
|
|
"name": "HCM Tactical Plus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6180885393437388,
|
|
"corr_port": 0.1496846800246356,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3758213213127001,
|
|
"2023 rate shock": -0.14029358493181732,
|
|
"2024 vol spike": -0.1259355183722045,
|
|
"2025 tariff crash": -0.2207147380375042,
|
|
"2026 Q1 drawdown": -0.13921515325121736
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3758213213127001,
|
|
"max_ret": -0.1259355183722045,
|
|
"all_pos": false
|
|
},
|
|
"hcmnx": {
|
|
"name": "HCM Sector Plus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.24429175209875345,
|
|
"corr_port": 0.2544213265042605,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2543063327359485,
|
|
"2023 rate shock": -0.14385027477697598,
|
|
"2024 vol spike": -0.11312008382237593,
|
|
"2025 tariff crash": -0.16795067388306084,
|
|
"2026 Q1 drawdown": -0.0881965735762803
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2543063327359485,
|
|
"max_ret": -0.0881965735762803,
|
|
"all_pos": false
|
|
},
|
|
"hcrb": {
|
|
"name": "Hartford Core Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.26685275185015583,
|
|
"corr_port": -0.11410706527521192,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16002392272143606,
|
|
"2023 rate shock": -0.03954377538455267,
|
|
"2024 vol spike": 0.022312447820487913,
|
|
"2025 tariff crash": 0.0051101219667135656,
|
|
"2026 Q1 drawdown": -0.006049212572009077
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16002392272143606,
|
|
"max_ret": 0.022312447820487913,
|
|
"all_pos": false
|
|
},
|
|
"hcsbx": {
|
|
"name": "The Short-Term Municipal Bond Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0762906094909572,
|
|
"corr_port": 0.013273237070412428,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04828973843058337,
|
|
"2023 rate shock": -0.01465968586387445,
|
|
"2024 vol spike": 0.005202913631633832,
|
|
"2025 tariff crash": -0.010384215991692813,
|
|
"2026 Q1 drawdown": -0.009268795056642798
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04828973843058337,
|
|
"max_ret": 0.005202913631633832,
|
|
"all_pos": false
|
|
},
|
|
"hcsrx": {
|
|
"name": "The Catholic SRI Growth Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5091535447363347,
|
|
"corr_port": 0.2641260775424393,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28799328295549953,
|
|
"2023 rate shock": -0.10756608933454892,
|
|
"2024 vol spike": -0.07621247113163976,
|
|
"2025 tariff crash": -0.17796610169491522,
|
|
"2026 Q1 drawdown": -0.08843125378558458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28799328295549953,
|
|
"max_ret": -0.07621247113163976,
|
|
"all_pos": false
|
|
},
|
|
"hdvax": {
|
|
"name": "Hartford International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09436249143247825,
|
|
"corr_port": 0.3788054405350635,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2775544723459439,
|
|
"2023 rate shock": -0.10918543574068496,
|
|
"2024 vol spike": -0.057119765067472406,
|
|
"2025 tariff crash": -0.11755486630839929,
|
|
"2026 Q1 drawdown": -0.08985879332477542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2775544723459439,
|
|
"max_ret": -0.057119765067472406,
|
|
"all_pos": false
|
|
},
|
|
"heomx": {
|
|
"name": "Hartford Climate Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1210671024117276,
|
|
"corr_port": 0.28755074344440584,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2735685671539516,
|
|
"2023 rate shock": -0.16793410395164943,
|
|
"2024 vol spike": -0.07505913944121223,
|
|
"2025 tariff crash": -0.15742926033680715,
|
|
"2026 Q1 drawdown": -0.07563907146583204
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2735685671539516,
|
|
"max_ret": -0.07505913944121223,
|
|
"all_pos": false
|
|
},
|
|
"herix": {
|
|
"name": "Hartford Emerging Markets Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9582486511725223,
|
|
"corr_port": 0.31545554833879136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29017000588451736,
|
|
"2023 rate shock": -0.09150329124460799,
|
|
"2024 vol spike": -0.07220569720148573,
|
|
"2025 tariff crash": -0.12559925536259087,
|
|
"2026 Q1 drawdown": -0.07068452380952372
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29017000588451736,
|
|
"max_ret": -0.07068452380952372,
|
|
"all_pos": false
|
|
},
|
|
"hfcgx": {
|
|
"name": "Hennessy Cornerstone Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5258221839014983,
|
|
"corr_port": 0.3629103084587785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12609023890468696,
|
|
"2023 rate shock": -0.09073358271161902,
|
|
"2024 vol spike": -0.07834228236213359,
|
|
"2025 tariff crash": -0.1667182389905204,
|
|
"2026 Q1 drawdown": -0.04359050884974214
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1667182389905204,
|
|
"max_ret": -0.04359050884974214,
|
|
"all_pos": false
|
|
},
|
|
"hfqax": {
|
|
"name": "Janus Henderson Global Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5297880780014421,
|
|
"corr_port": 0.4451446410112785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19820160308340062,
|
|
"2023 rate shock": -0.07800473186921031,
|
|
"2024 vol spike": -0.06022197891064052,
|
|
"2025 tariff crash": -0.09627141341642131,
|
|
"2026 Q1 drawdown": -0.03201030629033108
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19820160308340062,
|
|
"max_ret": -0.03201030629033108,
|
|
"all_pos": false
|
|
},
|
|
"hgxax": {
|
|
"name": "Hartford Global Impact Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.022813034009649,
|
|
"corr_port": 0.23377034234522157,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2822677050589927,
|
|
"2023 rate shock": -0.1526391413804239,
|
|
"2024 vol spike": -0.046587975901143386,
|
|
"2025 tariff crash": -0.1461158521525071,
|
|
"2026 Q1 drawdown": -0.08962795941375423
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2822677050589927,
|
|
"max_ret": -0.046587975901143386,
|
|
"all_pos": false
|
|
},
|
|
"hhccx": {
|
|
"name": "NexPoint Event Driven Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0731553160174967,
|
|
"corr_port": 0.16753661541792386,
|
|
"rets": {
|
|
"2022 bear mkt": -0.055232578366134266,
|
|
"2023 rate shock": 0.01352366112686254,
|
|
"2024 vol spike": -0.012875536480686622,
|
|
"2025 tariff crash": -0.02746478873239433,
|
|
"2026 Q1 drawdown": -0.09233791748526521
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09233791748526521,
|
|
"max_ret": 0.01352366112686254,
|
|
"all_pos": false
|
|
},
|
|
"hiabx": {
|
|
"name": "HARTFORD TOTAL RETURN BOND HLS FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5875097610592258,
|
|
"corr_port": -0.04836787545419665,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16077738778351214,
|
|
"2023 rate shock": -0.04152415695474565,
|
|
"2024 vol spike": 0.01736461574242898,
|
|
"2025 tariff crash": 0.0020919204163405425,
|
|
"2026 Q1 drawdown": -0.007276507276507083
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16077738778351214,
|
|
"max_ret": 0.01736461574242898,
|
|
"all_pos": false
|
|
},
|
|
"hiacx": {
|
|
"name": "HARTFORD CAPITAL APPRECIATION HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.593564903716002,
|
|
"corr_port": 0.26793326527025774,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2412579582948584,
|
|
"2023 rate shock": -0.10479217289021414,
|
|
"2024 vol spike": -0.06265336754190243,
|
|
"2025 tariff crash": -0.18593606207696523,
|
|
"2026 Q1 drawdown": -0.09630725730761291
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2412579582948584,
|
|
"max_ret": -0.06265336754190243,
|
|
"all_pos": false
|
|
},
|
|
"hiadx": {
|
|
"name": "HARTFORD DIVIDEND AND GROWTH HLS FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4223323006756963,
|
|
"corr_port": 0.361267248093254,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19159641886296952,
|
|
"2023 rate shock": -0.08806520205284951,
|
|
"2024 vol spike": -0.05559911173426357,
|
|
"2025 tariff crash": -0.13493684863131006,
|
|
"2026 Q1 drawdown": -0.06968786103838642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19159641886296952,
|
|
"max_ret": -0.05559911173426357,
|
|
"all_pos": false
|
|
},
|
|
"hiagx": {
|
|
"name": "HARTFORD DISCIPLINED EQUITY HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7128872225564642,
|
|
"corr_port": 0.2810048902978362,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24998073506322727,
|
|
"2023 rate shock": -0.08510470405966708,
|
|
"2024 vol spike": -0.07047276265117453,
|
|
"2025 tariff crash": -0.16681002684296542,
|
|
"2026 Q1 drawdown": -0.08798646734291315
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24998073506322727,
|
|
"max_ret": -0.07047276265117453,
|
|
"all_pos": false
|
|
},
|
|
"hiahx": {
|
|
"name": "HARTFORD HEALTHCARE HLS FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6914403120766873,
|
|
"corr_port": 0.20701274267115943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18894799826968067,
|
|
"2023 rate shock": -0.09478193209830399,
|
|
"2024 vol spike": -0.039847194263924246,
|
|
"2025 tariff crash": -0.12158235623793323,
|
|
"2026 Q1 drawdown": -0.07275798082346319
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18894799826968067,
|
|
"max_ret": -0.039847194263924246,
|
|
"all_pos": false
|
|
},
|
|
"hiaox": {
|
|
"name": "HARTFORD INTERNATIONAL OPPORTUNITIES HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6263829739695306,
|
|
"corr_port": 0.34761292853830694,
|
|
"rets": {
|
|
"2022 bear mkt": -0.303494045262793,
|
|
"2023 rate shock": -0.10587197467110454,
|
|
"2024 vol spike": -0.06841168275974085,
|
|
"2025 tariff crash": -0.1283514258026649,
|
|
"2026 Q1 drawdown": -0.0890221402214022
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.303494045262793,
|
|
"max_ret": -0.06841168275974085,
|
|
"all_pos": false
|
|
},
|
|
"hiasx": {
|
|
"name": "HARTFORD SMALL COMPANY HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1587461045524483,
|
|
"corr_port": 0.18077542240863795,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3369795445685617,
|
|
"2023 rate shock": -0.15536539210830513,
|
|
"2024 vol spike": -0.08257405293131814,
|
|
"2025 tariff crash": -0.2347215101363579,
|
|
"2026 Q1 drawdown": -0.11485816788163083
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3369795445685617,
|
|
"max_ret": -0.08257405293131814,
|
|
"all_pos": false
|
|
},
|
|
"hicox": {
|
|
"name": "COLORADO BONDSHARES A TAX EXEMPT FUND",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.02265746528423,
|
|
"corr_port": 0.040750828443813995,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06594989098099036,
|
|
"2023 rate shock": -0.03012004979161309,
|
|
"2024 vol spike": 0.011223189634224973,
|
|
"2025 tariff crash": -0.01883438348949007,
|
|
"2026 Q1 drawdown": 0.0009858558466779854
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06594989098099036,
|
|
"max_ret": 0.011223189634224973,
|
|
"all_pos": false
|
|
},
|
|
"hilax": {
|
|
"name": "The Hartford International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.245666562237481,
|
|
"corr_port": 0.4651450179980374,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2092592804160972,
|
|
"2023 rate shock": -0.0817029913497318,
|
|
"2024 vol spike": -0.06266455678184868,
|
|
"2025 tariff crash": -0.07893349544172512,
|
|
"2026 Q1 drawdown": -0.056964457938527446
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2092592804160972,
|
|
"max_ret": -0.056964457938527446,
|
|
"all_pos": false
|
|
},
|
|
"himcx": {
|
|
"name": "HARTFORD MIDCAP HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.7891605581318752,
|
|
"corr_port": 0.23667182669655487,
|
|
"rets": {
|
|
"2022 bear mkt": -0.303375411078287,
|
|
"2023 rate shock": -0.15379644340837728,
|
|
"2024 vol spike": -0.07631949219754908,
|
|
"2025 tariff crash": -0.2292584769507695,
|
|
"2026 Q1 drawdown": -0.12406022873599698
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.303375411078287,
|
|
"max_ret": -0.07631949219754908,
|
|
"all_pos": false
|
|
},
|
|
"hiscx": {
|
|
"name": "HARTFORD SMALL CAP GROWTH HLS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.276990966508946,
|
|
"corr_port": 0.18731974970635779,
|
|
"rets": {
|
|
"2022 bear mkt": -0.314756140368315,
|
|
"2023 rate shock": -0.15909088053849496,
|
|
"2024 vol spike": -0.09050087500166526,
|
|
"2025 tariff crash": -0.2398625393346061,
|
|
"2026 Q1 drawdown": -0.11366242302573382
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.314756140368315,
|
|
"max_ret": -0.09050087500166526,
|
|
"all_pos": false
|
|
},
|
|
"hisix": {
|
|
"name": "International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9766754613022732,
|
|
"corr_port": 0.3203014969785692,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3141466948141244,
|
|
"2023 rate shock": -0.11991855229446002,
|
|
"2024 vol spike": -0.048951008820175335,
|
|
"2025 tariff crash": -0.11776047656778343,
|
|
"2026 Q1 drawdown": -0.08186614064783515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3141466948141244,
|
|
"max_ret": -0.048951008820175335,
|
|
"all_pos": false
|
|
},
|
|
"hmezx": {
|
|
"name": "NexPoint Merger Arbitrage Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 7.119670612894564,
|
|
"corr_port": 0.1403541161190693,
|
|
"rets": {
|
|
"2022 bear mkt": 0.014587300352127963,
|
|
"2023 rate shock": 0.031164548655345126,
|
|
"2024 vol spike": 0.001012774855220222,
|
|
"2025 tariff crash": -0.00405474147374707,
|
|
"2026 Q1 drawdown": 0.0035978190149608125
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.00405474147374707,
|
|
"max_ret": 0.031164548655345126,
|
|
"all_pos": false
|
|
},
|
|
"hncax": {
|
|
"name": "THE HARTFORD INTERNATIONAL GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6840643272170372,
|
|
"corr_port": 0.28343523410060617,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39723116767092714,
|
|
"2023 rate shock": -0.14726241291873787,
|
|
"2024 vol spike": -0.08290157158561307,
|
|
"2025 tariff crash": -0.18703107107197903,
|
|
"2026 Q1 drawdown": -0.14875666074600347
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39723116767092714,
|
|
"max_ret": -0.08290157158561307,
|
|
"all_pos": false
|
|
},
|
|
"hnddx": {
|
|
"name": "Horizon Equity Premium Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6451055791079285,
|
|
"corr_port": 0.38573850769273543,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1722082545666901,
|
|
"2023 rate shock": -0.08750682109427932,
|
|
"2024 vol spike": -0.061175276077335417,
|
|
"2025 tariff crash": -0.16362692923275646,
|
|
"2026 Q1 drawdown": -0.06208420412107829
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1722082545666901,
|
|
"max_ret": -0.061175276077335417,
|
|
"all_pos": false
|
|
},
|
|
"hnmdx": {
|
|
"name": "HEARTLAND MID CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.20816249440009052,
|
|
"corr_port": 0.36165527435061445,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12755092564418136,
|
|
"2023 rate shock": -0.12305521113413187,
|
|
"2024 vol spike": -0.02176872228777038,
|
|
"2025 tariff crash": -0.12996392321169792,
|
|
"2026 Q1 drawdown": -0.037535410764872434
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12996392321169792,
|
|
"max_ret": -0.02176872228777038,
|
|
"all_pos": false
|
|
},
|
|
"hrsax": {
|
|
"name": "Rational Premium Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 3.3704802444171436,
|
|
"corr_port": 0.032457341381386354,
|
|
"rets": {
|
|
"2022 bear mkt": 0.01091037290854402,
|
|
"2023 rate shock": 0.013753469319661704,
|
|
"2024 vol spike": -0.006365979333670668,
|
|
"2025 tariff crash": 0.002378054242163641,
|
|
"2026 Q1 drawdown": -0.018397393599472123
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.018397393599472123,
|
|
"max_ret": 0.013753469319661704,
|
|
"all_pos": false
|
|
},
|
|
"hspgx": {
|
|
"name": "Emerald Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5390354131443225,
|
|
"corr_port": 0.11458832610971298,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2777750851389035,
|
|
"2023 rate shock": -0.19350651420826626,
|
|
"2024 vol spike": -0.08695633568023209,
|
|
"2025 tariff crash": -0.24894332145737408,
|
|
"2026 Q1 drawdown": -0.12118055976321385
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2777750851389035,
|
|
"max_ret": -0.08695633568023209,
|
|
"all_pos": false
|
|
},
|
|
"hstax": {
|
|
"name": "HARTFORD STOCK HLS FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.39191389921613,
|
|
"corr_port": 0.3316252882523144,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1631190024610666,
|
|
"2023 rate shock": -0.08376031411608809,
|
|
"2024 vol spike": -0.02579789467788618,
|
|
"2025 tariff crash": -0.11331006965023249,
|
|
"2026 Q1 drawdown": -0.07889986362747936
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1631190024610666,
|
|
"max_ret": -0.02579789467788618,
|
|
"all_pos": false
|
|
},
|
|
"hstrx": {
|
|
"name": "Hussman Strategic Total Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.409118562424912,
|
|
"corr_port": 0.025000296360608344,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08091332369037507,
|
|
"2023 rate shock": -0.006974507763332749,
|
|
"2024 vol spike": -0.004881311479487005,
|
|
"2025 tariff crash": 0.019620066717856988,
|
|
"2026 Q1 drawdown": -0.0005739541936738979
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08091332369037507,
|
|
"max_ret": 0.019620066717856988,
|
|
"all_pos": false
|
|
},
|
|
"htrb": {
|
|
"name": "Hartford Total Return Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3881553654739515,
|
|
"corr_port": -0.07224841168982185,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1622151126885064,
|
|
"2023 rate shock": -0.03992236570016827,
|
|
"2024 vol spike": 0.01953908467878729,
|
|
"2025 tariff crash": 0.0035842216310302266,
|
|
"2026 Q1 drawdown": -0.008244518094849385
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1622151126885064,
|
|
"max_ret": 0.01953908467878729,
|
|
"all_pos": false
|
|
},
|
|
"hubax": {
|
|
"name": "HARTFORD ULTRASHORT BOND HLS FUND",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.107913019014453,
|
|
"corr_port": -0.012658213501320844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.009701409383829462,
|
|
"2023 rate shock": 0.011185573011377903,
|
|
"2024 vol spike": 0.005644224598271741,
|
|
"2025 tariff crash": 0.006685733316823539,
|
|
"2026 Q1 drawdown": 0.0028957528957529455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.009701409383829462,
|
|
"max_ret": 0.011185573011377903,
|
|
"all_pos": false
|
|
},
|
|
"hulax": {
|
|
"name": "HAWAIIAN TAX-FREE TRUST",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.04989330020044807,
|
|
"corr_port": 0.026065755754304896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08523068240287046,
|
|
"2023 rate shock": -0.049875875673020986,
|
|
"2024 vol spike": 0.015150452817406235,
|
|
"2025 tariff crash": -0.020044743349925565,
|
|
"2026 Q1 drawdown": -0.009550514388442677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08523068240287046,
|
|
"max_ret": 0.015150452817406235,
|
|
"all_pos": false
|
|
},
|
|
"hyem": {
|
|
"name": "VanEck Emerging Markets High Yield Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.9476256380063894,
|
|
"corr_port": 0.19700725733000526,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21134785399506328,
|
|
"2023 rate shock": -0.026133838062582737,
|
|
"2024 vol spike": -0.002924538443855762,
|
|
"2025 tariff crash": -0.04841766111104395,
|
|
"2026 Q1 drawdown": -0.01682944895981464
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21134785399506328,
|
|
"max_ret": -0.002924538443855762,
|
|
"all_pos": false
|
|
},
|
|
"hymax": {
|
|
"name": "Lord Abbett High Income Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.20318254594528531,
|
|
"corr_port": 0.08678559819714562,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18650927049454025,
|
|
"2023 rate shock": -0.06851342027907736,
|
|
"2024 vol spike": 0.01650206211552563,
|
|
"2025 tariff crash": -0.036703953253456434,
|
|
"2026 Q1 drawdown": -0.007885360947110343
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18650927049454025,
|
|
"max_ret": 0.01650206211552563,
|
|
"all_pos": false
|
|
},
|
|
"hysax": {
|
|
"name": "PGIM Short Duration High Yield Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.386430481986085,
|
|
"corr_port": 0.27790451799258387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08368603136356356,
|
|
"2023 rate shock": -0.020816970000334334,
|
|
"2024 vol spike": 0.00048640346698713977,
|
|
"2025 tariff crash": -0.022135795714084194,
|
|
"2026 Q1 drawdown": -0.011122638402640828
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08368603136356356,
|
|
"max_ret": 0.00048640346698713977,
|
|
"all_pos": false
|
|
},
|
|
"iarax": {
|
|
"name": "INVESCO Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3608910957623208,
|
|
"corr_port": 0.23031561364349118,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30479591997464794,
|
|
"2023 rate shock": -0.14573544497680713,
|
|
"2024 vol spike": -0.01823357087008315,
|
|
"2025 tariff crash": -0.12581280949950036,
|
|
"2026 Q1 drawdown": -0.006626529684372273
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30479591997464794,
|
|
"max_ret": -0.006626529684372273,
|
|
"all_pos": false
|
|
},
|
|
"iautx": {
|
|
"name": "INVESCO Dividend Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.48278717240772023,
|
|
"corr_port": 0.4154534378783923,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11777632065567567,
|
|
"2023 rate shock": -0.10192209656761209,
|
|
"2024 vol spike": -0.04367091806420664,
|
|
"2025 tariff crash": -0.12567455375240444,
|
|
"2026 Q1 drawdown": -0.0313318619107148
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12567455375240444,
|
|
"max_ret": -0.0313318619107148,
|
|
"all_pos": false
|
|
},
|
|
"ibnax": {
|
|
"name": "Nomura Balanced Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.10017688931375168,
|
|
"corr_port": 0.22571531474509635,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2013452487215217,
|
|
"2023 rate shock": -0.07780819831608865,
|
|
"2024 vol spike": -0.03076919005146095,
|
|
"2025 tariff crash": -0.1025399720542367,
|
|
"2026 Q1 drawdown": -0.07031385121302847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2013452487215217,
|
|
"max_ret": -0.03076919005146095,
|
|
"all_pos": false
|
|
},
|
|
"ibnd": {
|
|
"name": "State Street(R) SPDR(R) Bloomberg International Corporate Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.312921908620629,
|
|
"corr_port": 0.0702528402288313,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2807718037497925,
|
|
"2023 rate shock": -0.045809741544291516,
|
|
"2024 vol spike": 0.0068584616719298275,
|
|
"2025 tariff crash": 0.03259553724838371,
|
|
"2026 Q1 drawdown": -0.06641130573004672
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2807718037497925,
|
|
"max_ret": 0.03259553724838371,
|
|
"all_pos": false
|
|
},
|
|
"ibrax": {
|
|
"name": "Voya Inflation Protected Bond Plus Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.325642457573752,
|
|
"corr_port": -0.023100696847857292,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14558241470377298,
|
|
"2023 rate shock": -0.03300965729571392,
|
|
"2024 vol spike": 0.00785110276465395,
|
|
"2025 tariff crash": 0.0027634670193759092,
|
|
"2026 Q1 drawdown": -0.004525864150932923
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14558241470377298,
|
|
"max_ret": 0.00785110276465395,
|
|
"all_pos": false
|
|
},
|
|
"iceux": {
|
|
"name": "NYLI Epoch International Choice Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.20907079732534764,
|
|
"corr_port": 0.35463505084276475,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2931618776352911,
|
|
"2023 rate shock": -0.11734827876593146,
|
|
"2024 vol spike": -0.07775944199240914,
|
|
"2025 tariff crash": -0.08154722359547795,
|
|
"2026 Q1 drawdown": -0.058974397258887534
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2931618776352911,
|
|
"max_ret": -0.058974397258887534,
|
|
"all_pos": false
|
|
},
|
|
"icifx": {
|
|
"name": "Invesco Conservative Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.0078556590469891,
|
|
"corr_port": 0.05080896185756704,
|
|
"rets": {
|
|
"2022 bear mkt": -0.005576495541533166,
|
|
"2023 rate shock": 0.007853795364299643,
|
|
"2024 vol spike": 0.006697857955905384,
|
|
"2025 tariff crash": 0.00799157000321915,
|
|
"2026 Q1 drawdown": 0.003687690859062398
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.005576495541533166,
|
|
"max_ret": 0.00799157000321915,
|
|
"all_pos": false
|
|
},
|
|
"icmbx": {
|
|
"name": "Intrepid Capital Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.398421485455882,
|
|
"corr_port": 0.2865401900968498,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16150387419797785,
|
|
"2023 rate shock": -0.04716001282839555,
|
|
"2024 vol spike": -0.051239743543860294,
|
|
"2025 tariff crash": -0.1081246936434892,
|
|
"2026 Q1 drawdown": -0.04599306934790104
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16150387419797785,
|
|
"max_ret": -0.04599306934790104,
|
|
"all_pos": false
|
|
},
|
|
"icmux": {
|
|
"name": "Intrepid Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 6.096024753495836,
|
|
"corr_port": 0.23507511273099085,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04953889256909949,
|
|
"2023 rate shock": 0.009457034854856605,
|
|
"2024 vol spike": 0.002331341540555032,
|
|
"2025 tariff crash": -0.025725942645248523,
|
|
"2026 Q1 drawdown": -0.007900250541736709
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.04953889256909949,
|
|
"max_ret": 0.009457034854856605,
|
|
"all_pos": false
|
|
},
|
|
"icpax": {
|
|
"name": "Integrity Mid-North American Resources Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.34407765442606864,
|
|
"corr_port": 0.33053609551411284,
|
|
"rets": {
|
|
"2022 bear mkt": 0.16229732142813225,
|
|
"2023 rate shock": -0.05549518352687499,
|
|
"2024 vol spike": -0.07491284990294511,
|
|
"2025 tariff crash": -0.20013538122470786,
|
|
"2026 Q1 drawdown": 0.16378662168435243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.20013538122470786,
|
|
"max_ret": 0.16378662168435243,
|
|
"all_pos": false
|
|
},
|
|
"idivx": {
|
|
"name": "Integrity Dividend Harvest Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.886445319310465,
|
|
"corr_port": 0.40212063568168777,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10910446166468268,
|
|
"2023 rate shock": -0.10665132545921974,
|
|
"2024 vol spike": -0.03198648901990697,
|
|
"2025 tariff crash": -0.12937425695541938,
|
|
"2026 Q1 drawdown": 0.01730710838390892
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12937425695541938,
|
|
"max_ret": 0.01730710838390892,
|
|
"all_pos": false
|
|
},
|
|
"idlv": {
|
|
"name": "Invesco S&P International Developed Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9932633934948355,
|
|
"corr_port": 0.3661491475167419,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21815678875365296,
|
|
"2023 rate shock": -0.07384603990371197,
|
|
"2024 vol spike": -0.019448373490428494,
|
|
"2025 tariff crash": -0.04042218146273713,
|
|
"2026 Q1 drawdown": -0.02392375625017562
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21815678875365296,
|
|
"max_ret": -0.019448373490428494,
|
|
"all_pos": false
|
|
},
|
|
"idmo": {
|
|
"name": "Invesco S&P International Developed Momentum ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1918238890137316,
|
|
"corr_port": 0.2948630207438445,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25585948228482425,
|
|
"2023 rate shock": -0.04821729240806272,
|
|
"2024 vol spike": -0.10439310262427104,
|
|
"2025 tariff crash": -0.0971413405103071,
|
|
"2026 Q1 drawdown": -0.09221650857871422
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25585948228482425,
|
|
"max_ret": -0.04821729240806272,
|
|
"all_pos": false
|
|
},
|
|
"iegax": {
|
|
"name": "Invesco International Small Company Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5015746433957665,
|
|
"corr_port": 0.37024746676687265,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22662902894682813,
|
|
"2023 rate shock": -0.11598591681203352,
|
|
"2024 vol spike": -0.05616381539142257,
|
|
"2025 tariff crash": -0.10874812410590962,
|
|
"2026 Q1 drawdown": -0.09714799032317323
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22662902894682813,
|
|
"max_ret": -0.05616381539142257,
|
|
"all_pos": false
|
|
},
|
|
"iemfx": {
|
|
"name": "T. Rowe Price Institutional Emerging Markets Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4967563007431623,
|
|
"corr_port": 0.26294995654246084,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32061589111660393,
|
|
"2023 rate shock": -0.13751827987454113,
|
|
"2024 vol spike": -0.06505063532578093,
|
|
"2025 tariff crash": -0.11938930010668769,
|
|
"2026 Q1 drawdown": -0.09340537924825576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32061589111660393,
|
|
"max_ret": -0.06505063532578093,
|
|
"all_pos": false
|
|
},
|
|
"ienax": {
|
|
"name": "INVESCO Energy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9396731209874037,
|
|
"corr_port": 0.3559047108778721,
|
|
"rets": {
|
|
"2022 bear mkt": 0.3413655326709797,
|
|
"2023 rate shock": 0.002789413410586361,
|
|
"2024 vol spike": -0.06993235059477043,
|
|
"2025 tariff crash": -0.1730644119262793,
|
|
"2026 Q1 drawdown": 0.23855568601397126
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.1730644119262793,
|
|
"max_ret": 0.3413655326709797,
|
|
"all_pos": false
|
|
},
|
|
"ieyax": {
|
|
"name": "Nomura Climate Solutions Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5635272841500655,
|
|
"corr_port": 0.2802944508769317,
|
|
"rets": {
|
|
"2022 bear mkt": 0.19072839238549832,
|
|
"2023 rate shock": -0.15384617799538247,
|
|
"2024 vol spike": -0.033543042899069064,
|
|
"2025 tariff crash": -0.14333328996809525,
|
|
"2026 Q1 drawdown": 0.028887000849617595
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15384617799538247,
|
|
"max_ret": 0.19072839238549832,
|
|
"all_pos": false
|
|
},
|
|
"igaax": {
|
|
"name": "International Growth and Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3633306878982252,
|
|
"corr_port": 0.39220557400606937,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2883000240393122,
|
|
"2023 rate shock": -0.0995210378152116,
|
|
"2024 vol spike": -0.07170883191727873,
|
|
"2025 tariff crash": -0.09252847634001182,
|
|
"2026 Q1 drawdown": -0.08051760640088623
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2883000240393122,
|
|
"max_ret": -0.07170883191727873,
|
|
"all_pos": false
|
|
},
|
|
"igiax": {
|
|
"name": "INTEGRITY GROWTH & INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2788279313417715,
|
|
"corr_port": 0.27240010023681477,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30032705821789374,
|
|
"2023 rate shock": -0.10202353070015169,
|
|
"2024 vol spike": -0.07329372587292748,
|
|
"2025 tariff crash": -0.18846371077829327,
|
|
"2026 Q1 drawdown": -0.0680787173958971
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30032705821789374,
|
|
"max_ret": -0.0680787173958971,
|
|
"all_pos": false
|
|
},
|
|
"iglgx": {
|
|
"name": "Columbia Select Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6732491422409819,
|
|
"corr_port": 0.21918864684824255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3328198021972816,
|
|
"2023 rate shock": -0.09661837133278572,
|
|
"2024 vol spike": -0.08112240026149442,
|
|
"2025 tariff crash": -0.1858942809033136,
|
|
"2026 Q1 drawdown": -0.126227121375742
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3328198021972816,
|
|
"max_ret": -0.08112240026149442,
|
|
"all_pos": false
|
|
},
|
|
"igmax": {
|
|
"name": "Voya Global Insights Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4693274301188435,
|
|
"corr_port": 0.2159252593533561,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3817106173643131,
|
|
"2023 rate shock": -0.12285078754962686,
|
|
"2024 vol spike": -0.12031656838375104,
|
|
"2025 tariff crash": -0.18860761398326908,
|
|
"2026 Q1 drawdown": -0.10985594120355202
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3817106173643131,
|
|
"max_ret": -0.10985594120355202,
|
|
"all_pos": false
|
|
},
|
|
"igncx": {
|
|
"name": "Nomura Natural Resources Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3535492519496068,
|
|
"corr_port": 0.3230523584707185,
|
|
"rets": {
|
|
"2022 bear mkt": 0.08910026385879766,
|
|
"2023 rate shock": -0.08947365474549507,
|
|
"2024 vol spike": -0.0932451813652434,
|
|
"2025 tariff crash": -0.1833466773418736,
|
|
"2026 Q1 drawdown": 0.019386106623586308
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1833466773418736,
|
|
"max_ret": 0.08910026385879766,
|
|
"all_pos": false
|
|
},
|
|
"ihfax": {
|
|
"name": "Integrity High Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.35526310941235584,
|
|
"corr_port": 0.3147744277415055,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12629893144507542,
|
|
"2023 rate shock": -0.024773434924295845,
|
|
"2024 vol spike": -0.00352518383435918,
|
|
"2025 tariff crash": -0.024682970852452746,
|
|
"2026 Q1 drawdown": -0.01063421062611647
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12629893144507542,
|
|
"max_ret": -0.00352518383435918,
|
|
"all_pos": false
|
|
},
|
|
"ihiax": {
|
|
"name": "Federated Hermes Emerging Market Debt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8671822583022819,
|
|
"corr_port": 0.2535183355567133,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22643764515847487,
|
|
"2023 rate shock": -0.03822292791610915,
|
|
"2024 vol spike": -0.0026042843685651906,
|
|
"2025 tariff crash": -0.035353446440054226,
|
|
"2026 Q1 drawdown": -0.04609880144977041
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22643764515847487,
|
|
"max_ret": -0.0026042843685651906,
|
|
"all_pos": false
|
|
},
|
|
"ihoax": {
|
|
"name": "THE HARTFORD INTERNATIONAL OPPORTUNITIES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6551444573397023,
|
|
"corr_port": 0.3544846197944762,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29765014930771583,
|
|
"2023 rate shock": -0.1058822836743446,
|
|
"2024 vol spike": -0.0693121122076017,
|
|
"2025 tariff crash": -0.1279187949482098,
|
|
"2026 Q1 drawdown": -0.08964316797214966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29765014930771583,
|
|
"max_ret": -0.0693121122076017,
|
|
"all_pos": false
|
|
},
|
|
"iifax": {
|
|
"name": "Voya Balanced Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.25243107374650386,
|
|
"corr_port": 0.29606531800183267,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17158664779291866,
|
|
"2023 rate shock": -0.04727269426673553,
|
|
"2024 vol spike": -0.012958872065712557,
|
|
"2025 tariff crash": -0.06224498819689561,
|
|
"2026 Q1 drawdown": -0.03662720359759586
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17158664779291866,
|
|
"max_ret": -0.012958872065712557,
|
|
"all_pos": false
|
|
},
|
|
"iigix": {
|
|
"name": "Voya Multi-Manager International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.177612694458389,
|
|
"corr_port": 0.35607863948851787,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3350739789822951,
|
|
"2023 rate shock": -0.12249001350913491,
|
|
"2024 vol spike": -0.054934761782135855,
|
|
"2025 tariff crash": -0.10766428927842264,
|
|
"2026 Q1 drawdown": -0.08496732026143794
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3350739789822951,
|
|
"max_ret": -0.054934761782135855,
|
|
"all_pos": false
|
|
},
|
|
"imanx": {
|
|
"name": "Iman Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2996711589113659,
|
|
"corr_port": 0.1536226802582863,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3452703160817707,
|
|
"2023 rate shock": -0.1076922709602508,
|
|
"2024 vol spike": -0.07460811780414145,
|
|
"2025 tariff crash": -0.20216612239800635,
|
|
"2026 Q1 drawdown": -0.08706467661691542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3452703160817707,
|
|
"max_ret": -0.07460811780414145,
|
|
"all_pos": false
|
|
},
|
|
"imntx": {
|
|
"name": "Columbia Minnesota Tax-Exempt Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3924137575792421,
|
|
"corr_port": 0.03917570892692516,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14904248870857062,
|
|
"2023 rate shock": -0.07038748246985183,
|
|
"2024 vol spike": 0.018316570072399063,
|
|
"2025 tariff crash": -0.04358445004932865,
|
|
"2026 Q1 drawdown": -0.014955849174635882
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14904248870857062,
|
|
"max_ret": 0.018316570072399063,
|
|
"all_pos": false
|
|
},
|
|
"imrfx": {
|
|
"name": "Columbia Global Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.0894087540372817,
|
|
"corr_port": 0.2837823525462289,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2680209893811609,
|
|
"2023 rate shock": -0.07598029983654209,
|
|
"2024 vol spike": -0.05147060297331951,
|
|
"2025 tariff crash": -0.09503249977660766,
|
|
"2026 Q1 drawdown": -0.06997084548104959
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2680209893811609,
|
|
"max_ret": -0.05147060297331951,
|
|
"all_pos": false
|
|
},
|
|
"inco": {
|
|
"name": "Columbia India Consumer ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8769095832005896,
|
|
"corr_port": 0.207105792244564,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07295504509439077,
|
|
"2023 rate shock": 0.005140844458525029,
|
|
"2024 vol spike": -0.009183237617024442,
|
|
"2025 tariff crash": -0.024234231714380106,
|
|
"2026 Q1 drawdown": -0.12135203227198577
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12135203227198577,
|
|
"max_ret": 0.005140844458525029,
|
|
"all_pos": false
|
|
},
|
|
"index": {
|
|
"name": "CYBER HORNET S&P 500(R)",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5996629396419243,
|
|
"corr_port": 0.3289929060004562,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21009600245684157,
|
|
"2023 rate shock": -0.12779478417420853,
|
|
"2024 vol spike": -0.07105270212374526,
|
|
"2025 tariff crash": -0.18414191746347808,
|
|
"2026 Q1 drawdown": -0.08803785340192471
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21009600245684157,
|
|
"max_ret": -0.07105270212374526,
|
|
"all_pos": false
|
|
},
|
|
"indzx": {
|
|
"name": "Columbia Intrinsic Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0998801867321981,
|
|
"corr_port": 0.3986069899888915,
|
|
"rets": {
|
|
"2022 bear mkt": -0.172663688554468,
|
|
"2023 rate shock": -0.09643798147162663,
|
|
"2024 vol spike": -0.054524280619944965,
|
|
"2025 tariff crash": -0.15232128178227855,
|
|
"2026 Q1 drawdown": -0.042314285394173146
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.172663688554468,
|
|
"max_ret": -0.042314285394173146,
|
|
"all_pos": false
|
|
},
|
|
"ineax": {
|
|
"name": "Columbia High Yield Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3952562042241256,
|
|
"corr_port": 0.29841148131519357,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1374259352109345,
|
|
"2023 rate shock": -0.025760759362808527,
|
|
"2024 vol spike": -0.0027556187118186193,
|
|
"2025 tariff crash": -0.029157177155864633,
|
|
"2026 Q1 drawdown": -0.014164601112953368
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1374259352109345,
|
|
"max_ret": -0.0027556187118186193,
|
|
"all_pos": false
|
|
},
|
|
"inivx": {
|
|
"name": "International Investors Gold Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5815766598323042,
|
|
"corr_port": 0.05335339354433339,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27389155736811877,
|
|
"2023 rate shock": -0.0450642763051643,
|
|
"2024 vol spike": -0.07347971424438249,
|
|
"2025 tariff crash": 0.0,
|
|
"2026 Q1 drawdown": -0.1736841539840296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27389155736811877,
|
|
"max_ret": 0.0,
|
|
"all_pos": false
|
|
},
|
|
"inpax": {
|
|
"name": "American Funds Conservative Growth and Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7607535754053159,
|
|
"corr_port": 0.3816616738087967,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15286197854878414,
|
|
"2023 rate shock": -0.05901199238556143,
|
|
"2024 vol spike": -0.01807221044064944,
|
|
"2025 tariff crash": -0.07016976152161514,
|
|
"2026 Q1 drawdown": -0.034160052064039936
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15286197854878414,
|
|
"max_ret": -0.01807221044064944,
|
|
"all_pos": false
|
|
},
|
|
"intax": {
|
|
"name": "Columbia Strategic Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.026551887374846112,
|
|
"corr_port": 0.03881993508657639,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16324262919008048,
|
|
"2023 rate shock": -0.07961167503953426,
|
|
"2024 vol spike": 0.0197955437459858,
|
|
"2025 tariff crash": -0.04855029034086311,
|
|
"2026 Q1 drawdown": -0.010393486491273252
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16324262919008048,
|
|
"max_ret": 0.0197955437459858,
|
|
"all_pos": false
|
|
},
|
|
"inutx": {
|
|
"name": "Columbia Dividend Opportunity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3524306588418489,
|
|
"corr_port": 0.4204080444173156,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1409734918488903,
|
|
"2023 rate shock": -0.11074550110584902,
|
|
"2024 vol spike": -0.04331021443375749,
|
|
"2025 tariff crash": -0.1397512832943102,
|
|
"2026 Q1 drawdown": -0.018272567793626848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1409734918488903,
|
|
"max_ret": -0.018272567793626848,
|
|
"all_pos": false
|
|
},
|
|
"ipiix": {
|
|
"name": "Voya Intermediate Bond Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1931326971331206,
|
|
"corr_port": -0.05940478867106716,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16043526487716986,
|
|
"2023 rate shock": -0.043451070272927605,
|
|
"2024 vol spike": 0.02234448685144441,
|
|
"2025 tariff crash": 0.010453595986312125,
|
|
"2026 Q1 drawdown": -0.006077391993785319
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16043526487716986,
|
|
"max_ret": 0.02234448685144441,
|
|
"all_pos": false
|
|
},
|
|
"ipkw": {
|
|
"name": "Invesco International BuyBack Achievers ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5899906938900064,
|
|
"corr_port": 0.41378219702317837,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25894247831320183,
|
|
"2023 rate shock": -0.0650192207078415,
|
|
"2024 vol spike": -0.07490981049497225,
|
|
"2025 tariff crash": -0.13547303206964745,
|
|
"2026 Q1 drawdown": -0.06577808516702177
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25894247831320183,
|
|
"max_ret": -0.0650192207078415,
|
|
"all_pos": false
|
|
},
|
|
"ipoyx": {
|
|
"name": "Nomura Systematic Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6010822804915144,
|
|
"corr_port": 0.2842446457153831,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3299549313420639,
|
|
"2023 rate shock": -0.10154170203021307,
|
|
"2024 vol spike": -0.0753322357775309,
|
|
"2025 tariff crash": -0.12799596530073365,
|
|
"2026 Q1 drawdown": -0.08863364429078191
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3299549313420639,
|
|
"max_ret": -0.0753322357775309,
|
|
"all_pos": false
|
|
},
|
|
"ircyx": {
|
|
"name": "International Small Cap Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.36782989399019106,
|
|
"corr_port": 0.37520127062745595,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31821684012852947,
|
|
"2023 rate shock": -0.1280487238109036,
|
|
"2024 vol spike": -0.07729456388196976,
|
|
"2025 tariff crash": -0.10564512662970449,
|
|
"2026 Q1 drawdown": -0.08055925432756317
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31821684012852947,
|
|
"max_ret": -0.07729456388196976,
|
|
"all_pos": false
|
|
},
|
|
"irfax": {
|
|
"name": "Cohen & Steers International Realty Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8290343500276136,
|
|
"corr_port": 0.32342182461334856,
|
|
"rets": {
|
|
"2022 bear mkt": -0.337074259190555,
|
|
"2023 rate shock": -0.12877017072185204,
|
|
"2024 vol spike": -0.04081626606824318,
|
|
"2025 tariff crash": -0.06519065581322536,
|
|
"2026 Q1 drawdown": -0.09822368149704719
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.337074259190555,
|
|
"max_ret": -0.04081626606824318,
|
|
"all_pos": false
|
|
},
|
|
"irsyx": {
|
|
"name": "Nomura Real Estate Securities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.31090108551077056,
|
|
"corr_port": 0.19747646568530075,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3057352048244728,
|
|
"2023 rate shock": -0.14378949861771972,
|
|
"2024 vol spike": -0.02014665240591451,
|
|
"2025 tariff crash": -0.14458194113835177,
|
|
"2026 Q1 drawdown": 0.005306414963087258
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.3057352048244728,
|
|
"max_ret": 0.005306414963087258,
|
|
"all_pos": false
|
|
},
|
|
"iscax": {
|
|
"name": "Federated Hermes International Small-Mid Company Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.729027297252316,
|
|
"corr_port": 0.32602729907918854,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33940244927017593,
|
|
"2023 rate shock": -0.12527521909961847,
|
|
"2024 vol spike": -0.07682735399781815,
|
|
"2025 tariff crash": -0.08745798899498836,
|
|
"2026 Q1 drawdown": -0.09149561714582133
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33940244927017593,
|
|
"max_ret": -0.07682735399781815,
|
|
"all_pos": false
|
|
},
|
|
"isfax": {
|
|
"name": "Lord Abbett Multi-Asset Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7525786987083127,
|
|
"corr_port": 0.3141685091103915,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17471696524831126,
|
|
"2023 rate shock": -0.05343471576362557,
|
|
"2024 vol spike": -0.011574347842638222,
|
|
"2025 tariff crash": -0.05946261085128679,
|
|
"2026 Q1 drawdown": -0.035251426270690556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17471696524831126,
|
|
"max_ret": -0.011574347842638222,
|
|
"all_pos": false
|
|
},
|
|
"isgdx": {
|
|
"name": "Columbia Integrated Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.18409017559009022,
|
|
"corr_port": 0.1792949067816896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3014412221574404,
|
|
"2023 rate shock": -0.17814728875213393,
|
|
"2024 vol spike": -0.0780802627409064,
|
|
"2025 tariff crash": -0.2532189058066885,
|
|
"2026 Q1 drawdown": -0.10964912280701755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3014412221574404,
|
|
"max_ret": -0.0780802627409064,
|
|
"all_pos": false
|
|
},
|
|
"isra": {
|
|
"name": "VanEck Israel ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.33195459148306117,
|
|
"corr_port": 0.16580397585639522,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2717928476775089,
|
|
"2023 rate shock": -0.2520895429409814,
|
|
"2024 vol spike": -0.08131826685778043,
|
|
"2025 tariff crash": -0.1540459022386873,
|
|
"2026 Q1 drawdown": -0.088829298062018
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2717928476775089,
|
|
"max_ret": -0.08131826685778043,
|
|
"all_pos": false
|
|
},
|
|
"itiox": {
|
|
"name": "Transamerica Inflation Opportunities",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8661757001710951,
|
|
"corr_port": -0.024675924114808078,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12701160917648535,
|
|
"2023 rate shock": -0.027350952460371336,
|
|
"2024 vol spike": 0.010173308372688483,
|
|
"2025 tariff crash": 0.006640737881330017,
|
|
"2026 Q1 drawdown": -0.003358699852816671
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12701160917648535,
|
|
"max_ret": 0.010173308372688483,
|
|
"all_pos": false
|
|
},
|
|
"ityax": {
|
|
"name": "INVESCO Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8060055694222059,
|
|
"corr_port": 0.09941350887137672,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3899027674010078,
|
|
"2023 rate shock": -0.12510201473324878,
|
|
"2024 vol spike": -0.10843168729778208,
|
|
"2025 tariff crash": -0.2672153775369358,
|
|
"2026 Q1 drawdown": -0.1281767680560938
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3899027674010078,
|
|
"max_ret": -0.10843168729778208,
|
|
"all_pos": false
|
|
},
|
|
"ivcsx": {
|
|
"name": "Voya Small Company Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6386505713115704,
|
|
"corr_port": 0.28258875295820113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2617292962918101,
|
|
"2023 rate shock": -0.16277479549289897,
|
|
"2024 vol spike": -0.07894734696705974,
|
|
"2025 tariff crash": -0.2157330406661585,
|
|
"2026 Q1 drawdown": -0.10798427471556415
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2617292962918101,
|
|
"max_ret": -0.07894734696705974,
|
|
"all_pos": false
|
|
},
|
|
"ivfax": {
|
|
"name": "Federated Hermes International Strategic Value Dividend Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.9063658679121407,
|
|
"corr_port": 0.4043535649116539,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17097623997320222,
|
|
"2023 rate shock": -0.09096460826645136,
|
|
"2024 vol spike": -0.007008350257837748,
|
|
"2025 tariff crash": -0.01924138356079952,
|
|
"2026 Q1 drawdown": 0.007291187645440234
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17097623997320222,
|
|
"max_ret": 0.007291187645440234,
|
|
"all_pos": false
|
|
},
|
|
"ivinx": {
|
|
"name": "Nomura Global Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2339941272841639,
|
|
"corr_port": 0.1866707263969766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2781005519275408,
|
|
"2023 rate shock": -0.08328075993814976,
|
|
"2024 vol spike": -0.07413498337742119,
|
|
"2025 tariff crash": -0.16440548296949864,
|
|
"2026 Q1 drawdown": -0.09867421981962732
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2781005519275408,
|
|
"max_ret": -0.07413498337742119,
|
|
"all_pos": false
|
|
},
|
|
"ivoax": {
|
|
"name": "Nomura Mid Cap Income Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2214240507656811,
|
|
"corr_port": 0.3341809680473075,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2092337394518745,
|
|
"2023 rate shock": -0.13135641135657183,
|
|
"2024 vol spike": -0.051061693242683726,
|
|
"2025 tariff crash": -0.16720472800221486,
|
|
"2026 Q1 drawdown": -0.05742497200957597
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2092337394518745,
|
|
"max_ret": -0.051061693242683726,
|
|
"all_pos": false
|
|
},
|
|
"ivsox": {
|
|
"name": "Voya SmallCap Opportunities Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.85047175202761,
|
|
"corr_port": 0.21354133959592847,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2695575964270044,
|
|
"2023 rate shock": -0.15368417375538468,
|
|
"2024 vol spike": -0.09579039180001248,
|
|
"2025 tariff crash": -0.2378929056928777,
|
|
"2026 Q1 drawdown": -0.14824026326069162
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2695575964270044,
|
|
"max_ret": -0.09579039180001248,
|
|
"all_pos": false
|
|
},
|
|
"ivsyx": {
|
|
"name": "Nomura Global Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.16938362191638845,
|
|
"corr_port": 0.10225865544471639,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12269579732623592,
|
|
"2023 rate shock": -0.020122327547919316,
|
|
"2024 vol spike": 0.017104107053629747,
|
|
"2025 tariff crash": 0.0009731587976058442,
|
|
"2026 Q1 drawdown": -0.008576077212186117
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12269579732623592,
|
|
"max_ret": 0.017104107053629747,
|
|
"all_pos": false
|
|
},
|
|
"ivvyx": {
|
|
"name": "Nomura International Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6973219318780941,
|
|
"corr_port": 0.3897586658236652,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2863915849388212,
|
|
"2023 rate shock": -0.08537192530248972,
|
|
"2024 vol spike": -0.07037039049201932,
|
|
"2025 tariff crash": -0.12760302826884362,
|
|
"2026 Q1 drawdown": -0.13640171548117153
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2863915849388212,
|
|
"max_ret": -0.07037039049201932,
|
|
"all_pos": false
|
|
},
|
|
"iysyx": {
|
|
"name": "Nomura Smid Cap Core Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.23990650136535652,
|
|
"corr_port": 0.2670692884065757,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2188096612948296,
|
|
"2023 rate shock": -0.14935628172821291,
|
|
"2024 vol spike": -0.0687918543131486,
|
|
"2025 tariff crash": -0.19197970520279906,
|
|
"2026 Q1 drawdown": -0.05628774432471706
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2188096612948296,
|
|
"max_ret": -0.05628774432471706,
|
|
"all_pos": false
|
|
},
|
|
"jaagx": {
|
|
"name": "Janus Henderson Enterprise Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2220125121795684,
|
|
"corr_port": 0.27999098286202007,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22967972684825344,
|
|
"2023 rate shock": -0.14094221421234676,
|
|
"2024 vol spike": -0.04104797453979381,
|
|
"2025 tariff crash": -0.18446493966207,
|
|
"2026 Q1 drawdown": -0.09779668413866527
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22967972684825344,
|
|
"max_ret": -0.04104797453979381,
|
|
"all_pos": false
|
|
},
|
|
"jablx": {
|
|
"name": "Janus Henderson Balanced Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1764462307281173,
|
|
"corr_port": 0.23872096970249831,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2065216714574688,
|
|
"2023 rate shock": -0.07403196180997673,
|
|
"2024 vol spike": -0.04111767960652313,
|
|
"2025 tariff crash": -0.11621309140280989,
|
|
"2026 Q1 drawdown": -0.07827166717548606
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2065216714574688,
|
|
"max_ret": -0.04111767960652313,
|
|
"all_pos": false
|
|
},
|
|
"jacax": {
|
|
"name": "Janus Henderson Forty Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7977679379851335,
|
|
"corr_port": 0.1521234138036506,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3653565987607815,
|
|
"2023 rate shock": -0.1039659980399541,
|
|
"2024 vol spike": -0.07256407288660671,
|
|
"2025 tariff crash": -0.21316144187944708,
|
|
"2026 Q1 drawdown": -0.1468579169502916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3653565987607815,
|
|
"max_ret": -0.07256407288660671,
|
|
"all_pos": false
|
|
},
|
|
"jacdx": {
|
|
"name": "John Hancock Global Environmental Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5037293449287832,
|
|
"corr_port": 0.04213717948229134,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3247941736375328,
|
|
"2023 rate shock": -0.14008180884342625,
|
|
"2024 vol spike": -0.06272718079488904,
|
|
"2025 tariff crash": -0.14056213635936565,
|
|
"2026 Q1 drawdown": -0.08565928777670839
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3247941736375328,
|
|
"max_ret": -0.06272718079488904,
|
|
"all_pos": false
|
|
},
|
|
"jaflx": {
|
|
"name": "Janus Henderson Flexible Bond Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.43697908159617976,
|
|
"corr_port": -0.08299147441317224,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14690504211489208,
|
|
"2023 rate shock": -0.04060905726808939,
|
|
"2024 vol spike": 0.02106327873668956,
|
|
"2025 tariff crash": 0.005070951010437863,
|
|
"2026 Q1 drawdown": -0.008032051055274936
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14690504211489208,
|
|
"max_ret": 0.02106327873668956,
|
|
"all_pos": false
|
|
},
|
|
"jagrx": {
|
|
"name": "Janus Henderson Research Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5314349720073162,
|
|
"corr_port": 0.16250544203640294,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3293348909196696,
|
|
"2023 rate shock": -0.08355159729495398,
|
|
"2024 vol spike": -0.08755498251825888,
|
|
"2025 tariff crash": -0.21732047019367406,
|
|
"2026 Q1 drawdown": -0.1385803145891995
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3293348909196696,
|
|
"max_ret": -0.08355159729495398,
|
|
"all_pos": false
|
|
},
|
|
"jaigx": {
|
|
"name": "Janus Henderson Overseas Portfolio",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.1653502528565567,
|
|
"corr_port": 0.3739754233277747,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2373805455241753,
|
|
"2023 rate shock": -0.10448827223272905,
|
|
"2024 vol spike": -0.08245237053758159,
|
|
"2025 tariff crash": -0.13887129428129008,
|
|
"2026 Q1 drawdown": -0.08889631666378595
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2373805455241753,
|
|
"max_ret": -0.08245237053758159,
|
|
"all_pos": false
|
|
},
|
|
"jamfx": {
|
|
"name": "Jacob Internet Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.9769719111350432,
|
|
"corr_port": 0.04238174298684863,
|
|
"rets": {
|
|
"2022 bear mkt": -0.566304381176989,
|
|
"2023 rate shock": -0.24895390112352866,
|
|
"2024 vol spike": -0.13441951823982468,
|
|
"2025 tariff crash": -0.30402379584314243,
|
|
"2026 Q1 drawdown": -0.23217247097844118
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.566304381176989,
|
|
"max_ret": -0.13441951823982468,
|
|
"all_pos": false
|
|
},
|
|
"jascx": {
|
|
"name": "James Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.731439769690523,
|
|
"corr_port": 0.35206231753478767,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18899945981609023,
|
|
"2023 rate shock": -0.09065495354130793,
|
|
"2024 vol spike": -0.05746276264160788,
|
|
"2025 tariff crash": -0.1541373407511062,
|
|
"2026 Q1 drawdown": -0.04993316874870324
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18899945981609023,
|
|
"max_ret": -0.04993316874870324,
|
|
"all_pos": false
|
|
},
|
|
"javax": {
|
|
"name": "James Aggressive Allocation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3571389563373738,
|
|
"corr_port": 0.11500732848540829,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2142857264701683,
|
|
"2023 rate shock": -0.08239380414691078,
|
|
"2024 vol spike": -0.048905061924809035,
|
|
"2025 tariff crash": -0.14972536854107465,
|
|
"2026 Q1 drawdown": -0.059481743227326245
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2142857264701683,
|
|
"max_ret": -0.048905061924809035,
|
|
"all_pos": false
|
|
},
|
|
"jawgx": {
|
|
"name": "Janus Henderson Global Research Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7183623431406024,
|
|
"corr_port": 0.29897607737692594,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2695876642385674,
|
|
"2023 rate shock": -0.09195988089395357,
|
|
"2024 vol spike": -0.0744513041468774,
|
|
"2025 tariff crash": -0.1682025270749603,
|
|
"2026 Q1 drawdown": -0.10496763654403207
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2695876642385674,
|
|
"max_ret": -0.0744513041468774,
|
|
"all_pos": false
|
|
},
|
|
"jcsrx": {
|
|
"name": "John Hancock California Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5394148190700724,
|
|
"corr_port": 0.040043658623080174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11344283036256464,
|
|
"2023 rate shock": -0.07187829160468173,
|
|
"2024 vol spike": 0.017863158655515354,
|
|
"2025 tariff crash": -0.04600233110878904,
|
|
"2026 Q1 drawdown": -0.013495131421933038
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11344283036256464,
|
|
"max_ret": 0.017863158655515354,
|
|
"all_pos": false
|
|
},
|
|
"jctrx": {
|
|
"name": "John Hancock High Yield Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.24157947047236236,
|
|
"corr_port": 0.07266975890756881,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1827097193170576,
|
|
"2023 rate shock": -0.07568670239869968,
|
|
"2024 vol spike": 0.01933988309363155,
|
|
"2025 tariff crash": -0.04562507995102427,
|
|
"2026 Q1 drawdown": -0.01043448091968513
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1827097193170576,
|
|
"max_ret": 0.01933988309363155,
|
|
"all_pos": false
|
|
},
|
|
"jderx": {
|
|
"name": "PGIM JENNISON MID-CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7182483651267733,
|
|
"corr_port": 0.1594362435068323,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2893585286386958,
|
|
"2023 rate shock": -0.1601941737293071,
|
|
"2024 vol spike": -0.08776169498636455,
|
|
"2025 tariff crash": -0.23615630229674855,
|
|
"2026 Q1 drawdown": -0.11787439613526562
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2893585286386958,
|
|
"max_ret": -0.08776169498636455,
|
|
"all_pos": false
|
|
},
|
|
"jdvrx": {
|
|
"name": "PGIM JENNISON VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.823718927701444,
|
|
"corr_port": 0.37756962133418653,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19377785413657655,
|
|
"2023 rate shock": -0.09095318324794532,
|
|
"2024 vol spike": -0.05841322378027247,
|
|
"2025 tariff crash": -0.1557939330294842,
|
|
"2026 Q1 drawdown": -0.05716619028174763
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19377785413657655,
|
|
"max_ret": -0.05716619028174763,
|
|
"all_pos": false
|
|
},
|
|
"jdvwx": {
|
|
"name": "John Hancock Disciplined Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5330348432254748,
|
|
"corr_port": 0.41200608908832204,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15471220746363068,
|
|
"2023 rate shock": -0.08611615552642782,
|
|
"2024 vol spike": -0.06545735685059595,
|
|
"2025 tariff crash": -0.1584906314199923,
|
|
"2026 Q1 drawdown": -0.06664142370314285
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1584906314199923,
|
|
"max_ret": -0.06545735685059595,
|
|
"all_pos": false
|
|
},
|
|
"jdyrx": {
|
|
"name": "PGIM HIGH YIELD FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6442414962987695,
|
|
"corr_port": 0.2794624904810018,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14601636635757254,
|
|
"2023 rate shock": -0.03327990394843772,
|
|
"2024 vol spike": 0.0012700838037995599,
|
|
"2025 tariff crash": -0.029331371164012632,
|
|
"2026 Q1 drawdown": -0.015017980341607173
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14601636635757254,
|
|
"max_ret": 0.0012700838037995599,
|
|
"all_pos": false
|
|
},
|
|
"jensx": {
|
|
"name": "The Jensen Quality Growth Fund Inc",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9703483872242105,
|
|
"corr_port": 0.26411296883124025,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22983681553182833,
|
|
"2023 rate shock": -0.0882335243815473,
|
|
"2024 vol spike": -0.04486685910345867,
|
|
"2025 tariff crash": -0.13630645045005085,
|
|
"2026 Q1 drawdown": -0.12494283437109355
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22983681553182833,
|
|
"max_ret": -0.04486685910345867,
|
|
"all_pos": false
|
|
},
|
|
"jeqix": {
|
|
"name": "Johnson Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5394268242085746,
|
|
"corr_port": 0.319594807258552,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17969826475736983,
|
|
"2023 rate shock": -0.08952157771688263,
|
|
"2024 vol spike": -0.04008545237427408,
|
|
"2025 tariff crash": -0.12290655397412387,
|
|
"2026 Q1 drawdown": -0.07365224366753964
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17969826475736983,
|
|
"max_ret": -0.04008545237427408,
|
|
"all_pos": false
|
|
},
|
|
"jfdrx": {
|
|
"name": "Financial Industries Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.045122470728350544,
|
|
"corr_port": 0.40511596210200407,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21245598139335597,
|
|
"2023 rate shock": -0.1117886900582411,
|
|
"2024 vol spike": -0.06402266416261593,
|
|
"2025 tariff crash": -0.17028034139492332,
|
|
"2026 Q1 drawdown": -0.1012472487160675
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21245598139335597,
|
|
"max_ret": -0.06402266416261593,
|
|
"all_pos": false
|
|
},
|
|
"jgrsx": {
|
|
"name": "John Hancock Global Shareholder Yield Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.916897806198198,
|
|
"corr_port": 0.4089044669659433,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1799005340918668,
|
|
"2023 rate shock": -0.09512769002639587,
|
|
"2024 vol spike": -0.03502930328239506,
|
|
"2025 tariff crash": -0.1192440508544308,
|
|
"2026 Q1 drawdown": -0.005403101284908729
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1799005340918668,
|
|
"max_ret": -0.005403101284908729,
|
|
"all_pos": false
|
|
},
|
|
"jhbsx": {
|
|
"name": "John Hancock Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4738528055107725,
|
|
"corr_port": -0.01184641721406363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.159993192517493,
|
|
"2023 rate shock": -0.047665212738273954,
|
|
"2024 vol spike": 0.021392730028079843,
|
|
"2025 tariff crash": 0.0014900978007514887,
|
|
"2026 Q1 drawdown": -0.009443472318138246
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.159993192517493,
|
|
"max_ret": 0.021392730028079843,
|
|
"all_pos": false
|
|
},
|
|
"jhhbx": {
|
|
"name": "John Hancock High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.18075166800052006,
|
|
"corr_port": 0.30605067084117493,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1402042578949415,
|
|
"2023 rate shock": -0.02391190728476278,
|
|
"2024 vol spike": -0.0016365985907171865,
|
|
"2025 tariff crash": -0.02892578291777914,
|
|
"2026 Q1 drawdown": -0.015826905875463648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1402042578949415,
|
|
"max_ret": -0.0016365985907171865,
|
|
"all_pos": false
|
|
},
|
|
"jhyix": {
|
|
"name": "abrdn High Income Opportunities Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.6189691346176189,
|
|
"corr_port": 0.3254426322092962,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16190064275177174,
|
|
"2023 rate shock": -0.019692476883477972,
|
|
"2024 vol spike": -0.004349716536461212,
|
|
"2025 tariff crash": -0.03899045884115415,
|
|
"2026 Q1 drawdown": -0.01854798995337914
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16190064275177174,
|
|
"max_ret": -0.004349716536461212,
|
|
"all_pos": false
|
|
},
|
|
"jigtx": {
|
|
"name": "John Hancock International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.29627889930866,
|
|
"corr_port": 0.2996664354170968,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35311071357244916,
|
|
"2023 rate shock": -0.11850969664355038,
|
|
"2024 vol spike": -0.07778179658563678,
|
|
"2025 tariff crash": -0.11558311605121874,
|
|
"2026 Q1 drawdown": -0.11714813146037628
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35311071357244916,
|
|
"max_ret": -0.07778179658563678,
|
|
"all_pos": false
|
|
},
|
|
"jmbs": {
|
|
"name": "Janus Henderson Mortgage-Backed Securities ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.32517018004889664,
|
|
"corr_port": -0.10666251552754187,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13937306282551853,
|
|
"2023 rate shock": -0.05388883843011938,
|
|
"2024 vol spike": 0.020700274116541406,
|
|
"2025 tariff crash": 0.007987299851274443,
|
|
"2026 Q1 drawdown": -0.0072679929912901065
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13937306282551853,
|
|
"max_ret": 0.020700274116541406,
|
|
"all_pos": false
|
|
},
|
|
"jmcgx": {
|
|
"name": "Jacob Discovery Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9951355636027381,
|
|
"corr_port": 0.11080412233015689,
|
|
"rets": {
|
|
"2022 bear mkt": -0.42853075423422493,
|
|
"2023 rate shock": -0.2552174946215541,
|
|
"2024 vol spike": -0.10574026842711381,
|
|
"2025 tariff crash": -0.2829287139104242,
|
|
"2026 Q1 drawdown": -0.15460320634920632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.42853075423422493,
|
|
"max_ret": -0.10574026842711381,
|
|
"all_pos": false
|
|
},
|
|
"jmcrx": {
|
|
"name": "JAMES MICRO CAP FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6514728357231071,
|
|
"corr_port": 0.22164368129896644,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24319145422510446,
|
|
"2023 rate shock": -0.11317741939455872,
|
|
"2024 vol spike": -0.07871585932619318,
|
|
"2025 tariff crash": -0.18954241583989184,
|
|
"2026 Q1 drawdown": -0.039363401983392166
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24319145422510446,
|
|
"max_ret": -0.039363401983392166,
|
|
"all_pos": false
|
|
},
|
|
"jmvsx": {
|
|
"name": "JPMorgan Mid Cap Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.22620832131339935,
|
|
"corr_port": 0.3630518002522755,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17811817505492344,
|
|
"2023 rate shock": -0.1193325558280387,
|
|
"2024 vol spike": -0.03273121581991911,
|
|
"2025 tariff crash": -0.1472342059926256,
|
|
"2026 Q1 drawdown": -0.03228807923899657
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17811817505492344,
|
|
"max_ret": -0.03228807923899657,
|
|
"all_pos": false
|
|
},
|
|
"jrgrx": {
|
|
"name": "Regional Bank Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0969446115331665,
|
|
"corr_port": 0.3644286841949357,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18566497922602387,
|
|
"2023 rate shock": -0.16798205310110914,
|
|
"2024 vol spike": -0.0703675919234813,
|
|
"2025 tariff crash": -0.19962999943392734,
|
|
"2026 Q1 drawdown": -0.05794902124112755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19962999943392734,
|
|
"max_ret": -0.05794902124112755,
|
|
"all_pos": false
|
|
},
|
|
"jsgtx": {
|
|
"name": "John Hancock U.S. Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6861216059008014,
|
|
"corr_port": 0.18011054144795274,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26992190626701895,
|
|
"2023 rate shock": -0.07090910472166645,
|
|
"2024 vol spike": -0.09126699333129873,
|
|
"2025 tariff crash": -0.21282504340686292,
|
|
"2026 Q1 drawdown": -0.137210090257756
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26992190626701895,
|
|
"max_ret": -0.07090910472166645,
|
|
"all_pos": false
|
|
},
|
|
"jsigx": {
|
|
"name": "Jacob Small Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2608178135006414,
|
|
"corr_port": 0.0634413368404604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4910179640718564,
|
|
"2023 rate shock": -0.2935483870967742,
|
|
"2024 vol spike": -0.12405068354430382,
|
|
"2025 tariff crash": -0.27226463104325693,
|
|
"2026 Q1 drawdown": -0.23215576784426817
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4910179640718564,
|
|
"max_ret": -0.12405068354430382,
|
|
"all_pos": false
|
|
},
|
|
"jsnwx": {
|
|
"name": "John Hancock Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.48339419272174916,
|
|
"corr_port": 0.17804502466904246,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1275757704853051,
|
|
"2023 rate shock": -0.037283412128623294,
|
|
"2024 vol spike": 0.012360583212443155,
|
|
"2025 tariff crash": -0.01102215883645985,
|
|
"2026 Q1 drawdown": -0.014341663938913896
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1275757704853051,
|
|
"max_ret": 0.012360583212443155,
|
|
"all_pos": false
|
|
},
|
|
"jtmrx": {
|
|
"name": "John Hancock Municipal Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6546878795365453,
|
|
"corr_port": 0.06862810566297263,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11868088987458403,
|
|
"2023 rate shock": -0.05484807153661653,
|
|
"2024 vol spike": 0.015136531934955677,
|
|
"2025 tariff crash": -0.02614057575448303,
|
|
"2026 Q1 drawdown": -0.014460712836532053
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11868088987458403,
|
|
"max_ret": 0.015136531934955677,
|
|
"all_pos": false
|
|
},
|
|
"jvmrx": {
|
|
"name": "John Hancock Disciplined Value Mid Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.23849964668848753,
|
|
"corr_port": 0.38035008769406287,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1818183162017286,
|
|
"2023 rate shock": -0.11008499427414897,
|
|
"2024 vol spike": -0.05376344618223328,
|
|
"2025 tariff crash": -0.1647605029423953,
|
|
"2026 Q1 drawdown": -0.0511126216968012
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1818183162017286,
|
|
"max_ret": -0.0511126216968012,
|
|
"all_pos": false
|
|
},
|
|
"kauax": {
|
|
"name": "Federated Hermes Kaufmann Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7882055536709305,
|
|
"corr_port": 0.11428759232534398,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3113496747972915,
|
|
"2023 rate shock": -0.13346252931236136,
|
|
"2024 vol spike": -0.06735745287151984,
|
|
"2025 tariff crash": -0.1992945095772577,
|
|
"2026 Q1 drawdown": -0.11827956989247312
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3113496747972915,
|
|
"max_ret": -0.06735745287151984,
|
|
"all_pos": false
|
|
},
|
|
"kbwb": {
|
|
"name": "Invesco KBW Bank ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.12085753480940488,
|
|
"corr_port": 0.38626798894940423,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31109963928385787,
|
|
"2023 rate shock": -0.1822258523461927,
|
|
"2024 vol spike": -0.09516515476609277,
|
|
"2025 tariff crash": -0.23324399360387305,
|
|
"2026 Q1 drawdown": -0.10822564588126637
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31109963928385787,
|
|
"max_ret": -0.09516515476609277,
|
|
"all_pos": false
|
|
},
|
|
"kbwd": {
|
|
"name": "Invesco KBW High Dividend Yield Financial ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6515568751714812,
|
|
"corr_port": 0.33051322403772276,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26871620941298135,
|
|
"2023 rate shock": -0.17512659578292467,
|
|
"2024 vol spike": -0.0851502142729238,
|
|
"2025 tariff crash": -0.19648920114184887,
|
|
"2026 Q1 drawdown": -0.12414964340884638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26871620941298135,
|
|
"max_ret": -0.0851502142729238,
|
|
"all_pos": false
|
|
},
|
|
"kbwp": {
|
|
"name": "Invesco KBW Property & Casualty Insurance ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1636538579328655,
|
|
"corr_port": 0.39315131299652295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.044604791727921866,
|
|
"2023 rate shock": 0.013098153859849582,
|
|
"2024 vol spike": -0.034040633290270406,
|
|
"2025 tariff crash": -0.008856789342971738,
|
|
"2026 Q1 drawdown": -0.024384822957672636
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.044604791727921866,
|
|
"max_ret": 0.013098153859849582,
|
|
"all_pos": false
|
|
},
|
|
"kbwy": {
|
|
"name": "Invesco KBW Premium Yield Equity REIT ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.29758761678240425,
|
|
"corr_port": 0.28917662316108217,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2599337837537534,
|
|
"2023 rate shock": -0.1492448165817576,
|
|
"2024 vol spike": -0.046105227714770436,
|
|
"2025 tariff crash": -0.1603692561233363,
|
|
"2026 Q1 drawdown": -0.03528717511595625
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2599337837537534,
|
|
"max_ret": -0.03528717511595625,
|
|
"all_pos": false
|
|
},
|
|
"kctax": {
|
|
"name": "DWS California Tax-Free Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.07978584912129395,
|
|
"corr_port": 0.024274458468918528,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13854706480742773,
|
|
"2023 rate shock": -0.06085539584521049,
|
|
"2024 vol spike": 0.016083258137552736,
|
|
"2025 tariff crash": -0.02823227416443952,
|
|
"2026 Q1 drawdown": -0.007959121359929044
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13854706480742773,
|
|
"max_ret": 0.016083258137552736,
|
|
"all_pos": false
|
|
},
|
|
"kdhax": {
|
|
"name": "DWS CROCI Equity Dividend Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.5537784501045189,
|
|
"corr_port": 0.4205567789087717,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11559133177549097,
|
|
"2023 rate shock": -0.08629133110388909,
|
|
"2024 vol spike": -0.022747414247425768,
|
|
"2025 tariff crash": -0.14514296616115907,
|
|
"2026 Q1 drawdown": -0.038564756648143295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14514296616115907,
|
|
"max_ret": -0.022747414247425768,
|
|
"all_pos": false
|
|
},
|
|
"kgdax": {
|
|
"name": "DWS Global Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7098251750540409,
|
|
"corr_port": 0.3270147490592469,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3147758309642811,
|
|
"2023 rate shock": -0.15654037851404157,
|
|
"2024 vol spike": -0.07060421374447134,
|
|
"2025 tariff crash": -0.15860810237796097,
|
|
"2026 Q1 drawdown": -0.06030150753768837
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3147758309642811,
|
|
"max_ret": -0.06030150753768837,
|
|
"all_pos": false
|
|
},
|
|
"khyax": {
|
|
"name": "DWS High Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.6287070596372801,
|
|
"corr_port": 0.3098140801868416,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12199701617391101,
|
|
"2023 rate shock": -0.023004247475443163,
|
|
"2024 vol spike": -0.00640734498497042,
|
|
"2025 tariff crash": -0.0347285284418174,
|
|
"2026 Q1 drawdown": -0.016225478237291813
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12199701617391101,
|
|
"max_ret": -0.00640734498497042,
|
|
"all_pos": false
|
|
},
|
|
"klcax": {
|
|
"name": "Federated Hermes Kaufmann Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.845531266030544,
|
|
"corr_port": 0.16426511338356983,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32871763097984563,
|
|
"2023 rate shock": -0.07485436425035341,
|
|
"2024 vol spike": -0.08102948253365949,
|
|
"2025 tariff crash": -0.20679551127584872,
|
|
"2026 Q1 drawdown": -0.11862068965517247
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32871763097984563,
|
|
"max_ret": -0.07485436425035341,
|
|
"all_pos": false
|
|
},
|
|
"kmdnx": {
|
|
"name": "Kinetics Multi-Disciplinary Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.099765598064774,
|
|
"corr_port": 0.2993809490289425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.029344529685894516,
|
|
"2023 rate shock": 0.01581497905776308,
|
|
"2024 vol spike": 0.004012087098009598,
|
|
"2025 tariff crash": 0.002865142623692307,
|
|
"2026 Q1 drawdown": 0.004902753889905798
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.029344529685894516,
|
|
"max_ret": 0.01581497905776308,
|
|
"all_pos": false
|
|
},
|
|
"kmknx": {
|
|
"name": "Kinetics Market Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3927749808849552,
|
|
"corr_port": 0.22899419322788986,
|
|
"rets": {
|
|
"2022 bear mkt": 0.04195292821099472,
|
|
"2023 rate shock": 0.11406749254989168,
|
|
"2024 vol spike": -0.08386987461877338
|
|
},
|
|
"n_avail": 3,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08386987461877338,
|
|
"max_ret": 0.11406749254989168,
|
|
"all_pos": false
|
|
},
|
|
"kntax": {
|
|
"name": "DWS New York Tax-Free Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.16034135781282888,
|
|
"corr_port": 0.014549880067330047,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13871568569037906,
|
|
"2023 rate shock": -0.06302265168837307,
|
|
"2024 vol spike": 0.016524894648579203,
|
|
"2025 tariff crash": -0.03752789560222736,
|
|
"2026 Q1 drawdown": -0.005521307977160994
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13871568569037906,
|
|
"max_ret": 0.016524894648579203,
|
|
"all_pos": false
|
|
},
|
|
"komp": {
|
|
"name": "State Street(R) SPDR(R) S&P Kensho New Economies Composite ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.352589249022046,
|
|
"corr_port": 0.1288034570364424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34884222520755026,
|
|
"2023 rate shock": -0.22644771525365437,
|
|
"2024 vol spike": -0.10080818356810084,
|
|
"2025 tariff crash": -0.23486974268436855,
|
|
"2026 Q1 drawdown": -0.1337332275278137
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34884222520755026,
|
|
"max_ret": -0.10080818356810084,
|
|
"all_pos": false
|
|
},
|
|
"korp": {
|
|
"name": "American Century Diversified Corporate Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.49061033310898106,
|
|
"corr_port": 0.011792002070600799,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1253234031887145,
|
|
"2023 rate shock": -0.021394377305892553,
|
|
"2024 vol spike": 0.0169463954327298,
|
|
"2025 tariff crash": -0.011865634131984715,
|
|
"2026 Q1 drawdown": -0.01598880156594551
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1253234031887145,
|
|
"max_ret": 0.0169463954327298,
|
|
"all_pos": false
|
|
},
|
|
"kscox": {
|
|
"name": "Kinetics Small Cap Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8854746819473699,
|
|
"corr_port": 0.27524982547663596,
|
|
"rets": {
|
|
"2022 bear mkt": 0.16165403244323162,
|
|
"2023 rate shock": 0.06145057712077917,
|
|
"2024 vol spike": -0.05575865146279502,
|
|
"2025 tariff crash": -0.1684831928949475,
|
|
"2026 Q1 drawdown": 0.12900862132866475
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.1684831928949475,
|
|
"max_ret": 0.16165403244323162,
|
|
"all_pos": false
|
|
},
|
|
"ksdvx": {
|
|
"name": "Keeley Gabelli Small Cap Dividend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2723683680663087,
|
|
"corr_port": 0.3513422070270066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16727808949149847,
|
|
"2023 rate shock": -0.1263557688315322,
|
|
"2024 vol spike": -0.06622524666087848,
|
|
"2025 tariff crash": -0.17618211593780908,
|
|
"2026 Q1 drawdown": -0.014264219774263287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17618211593780908,
|
|
"max_ret": -0.014264219774263287,
|
|
"all_pos": false
|
|
},
|
|
"ktcix": {
|
|
"name": "DWS Science and Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.398837628429794,
|
|
"corr_port": 0.12032390477349895,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37786904300658664,
|
|
"2023 rate shock": -0.09959622655876754,
|
|
"2024 vol spike": -0.08646539016159183,
|
|
"2025 tariff crash": -0.24841549931347895,
|
|
"2026 Q1 drawdown": -0.1357956499741143
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37786904300658664,
|
|
"max_ret": -0.08646539016159183,
|
|
"all_pos": false
|
|
},
|
|
"ktrax": {
|
|
"name": "DWS Global Income Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.34268211154211414,
|
|
"corr_port": 0.33630760883611177,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21602753465581281,
|
|
"2023 rate shock": -0.0757853077172218,
|
|
"2024 vol spike": -0.040877384450233034,
|
|
"2025 tariff crash": -0.1012871665236782,
|
|
"2026 Q1 drawdown": -0.05203232913561284
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21602753465581281,
|
|
"max_ret": -0.040877384450233034,
|
|
"all_pos": false
|
|
},
|
|
"ktxix": {
|
|
"name": "The Kansas Tax-Free Intermediate Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.22067443626473246,
|
|
"corr_port": 0.02231242034110726,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09934877946908582,
|
|
"2023 rate shock": -0.04873192953810468,
|
|
"2024 vol spike": 0.011747490912371594,
|
|
"2025 tariff crash": -0.020993517542794105,
|
|
"2026 Q1 drawdown": -0.014898145631233595
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09934877946908582,
|
|
"max_ret": 0.011747490912371594,
|
|
"all_pos": false
|
|
},
|
|
"labcx": {
|
|
"name": "Loomis Sayles Strategic Alpha Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4582651596529626,
|
|
"corr_port": 0.20942626058999067,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10832583113049532,
|
|
"2023 rate shock": -0.006181124360649104,
|
|
"2024 vol spike": 0.005308053044767336,
|
|
"2025 tariff crash": -0.006545118864446753,
|
|
"2026 Q1 drawdown": -0.009684975866285694
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10832583113049532,
|
|
"max_ret": 0.005308053044767336,
|
|
"all_pos": false
|
|
},
|
|
"lacax": {
|
|
"name": "Columbia Acorn Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1233199108503342,
|
|
"corr_port": 0.1238797763513325,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34671561008287677,
|
|
"2023 rate shock": -0.1644021692349793,
|
|
"2024 vol spike": -0.06939283109768302,
|
|
"2025 tariff crash": -0.23591555370013206,
|
|
"2026 Q1 drawdown": -0.14511039193798458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34671561008287677,
|
|
"max_ret": -0.06939283109768302,
|
|
"all_pos": false
|
|
},
|
|
"lacfx": {
|
|
"name": "Lord Abbett Convertible Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4398939756246353,
|
|
"corr_port": 0.12912506271740268,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22961568697134294,
|
|
"2023 rate shock": -0.0761321481102254,
|
|
"2024 vol spike": -0.033057864119551694,
|
|
"2025 tariff crash": -0.10687759403422892,
|
|
"2026 Q1 drawdown": -0.056590467388837995
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22961568697134294,
|
|
"max_ret": -0.033057864119551694,
|
|
"all_pos": false
|
|
},
|
|
"lafax": {
|
|
"name": "Columbia Acorn International Select",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.273346989617757,
|
|
"corr_port": 0.23466328551276797,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4419961146625144,
|
|
"2023 rate shock": -0.1632316643190631,
|
|
"2024 vol spike": -0.08714925733786183,
|
|
"2025 tariff crash": -0.1497620447762219,
|
|
"2026 Q1 drawdown": -0.1338028169014085
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4419961146625144,
|
|
"max_ret": -0.08714925733786183,
|
|
"all_pos": false
|
|
},
|
|
"laffx": {
|
|
"name": "LORD ABBETT AFFILIATED FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10694727817485333,
|
|
"corr_port": 0.38902319229761606,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19055533734719377,
|
|
"2023 rate shock": -0.08699739244696647,
|
|
"2024 vol spike": -0.05134971883810335,
|
|
"2025 tariff crash": -0.1486100417542514,
|
|
"2026 Q1 drawdown": -0.05160480199760642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19055533734719377,
|
|
"max_ret": -0.05134971883810335,
|
|
"all_pos": false
|
|
},
|
|
"lagwx": {
|
|
"name": "LORD ABBETT DEVELOPING GROWTH FUND INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4957794728585776,
|
|
"corr_port": 0.10916139985848085,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3581054679714142,
|
|
"2023 rate shock": -0.2192428506142695,
|
|
"2024 vol spike": -0.08194367927343915,
|
|
"2025 tariff crash": -0.24342693759868272,
|
|
"2026 Q1 drawdown": -0.12445255474452555
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3581054679714142,
|
|
"max_ret": -0.08194367927343915,
|
|
"all_pos": false
|
|
},
|
|
"laiax": {
|
|
"name": "Columbia Acorn International",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.8715100844847767,
|
|
"corr_port": 0.2618879903060934,
|
|
"rets": {
|
|
"2022 bear mkt": -0.43148870211439694,
|
|
"2023 rate shock": -0.1553913904858223,
|
|
"2024 vol spike": -0.08317139557454467,
|
|
"2025 tariff crash": -0.1462777016372182,
|
|
"2026 Q1 drawdown": -0.12232295208976451
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.43148870211439694,
|
|
"max_ret": -0.08317139557454467,
|
|
"all_pos": false
|
|
},
|
|
"laiex": {
|
|
"name": "Lord Abbett International Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9582316350503535,
|
|
"corr_port": 0.3652779361884927,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3219844149588442,
|
|
"2023 rate shock": -0.1271515942169219,
|
|
"2024 vol spike": -0.05284956620358183,
|
|
"2025 tariff crash": -0.08034276703506038,
|
|
"2026 Q1 drawdown": -0.08688313314564045
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3219844149588442,
|
|
"max_ret": -0.05284956620358183,
|
|
"all_pos": false
|
|
},
|
|
"lamax": {
|
|
"name": "Lord Abbett Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5468906983414511,
|
|
"corr_port": 0.29426027343777766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21630101666989654,
|
|
"2023 rate shock": -0.08629191265435243,
|
|
"2024 vol spike": -0.05509040453415026,
|
|
"2025 tariff crash": -0.159771191170198,
|
|
"2026 Q1 drawdown": -0.05533401560766216
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21630101666989654,
|
|
"max_ret": -0.05509040453415026,
|
|
"all_pos": false
|
|
},
|
|
"lanjx": {
|
|
"name": "Lord Abbett New Jersey Tax-Free Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.15829887693812147,
|
|
"corr_port": 0.05361124385762371,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1481911528405906,
|
|
"2023 rate shock": -0.05899646672954295,
|
|
"2024 vol spike": 0.013063551007504337,
|
|
"2025 tariff crash": -0.03927938439363765,
|
|
"2026 Q1 drawdown": -0.009395520100834887
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1481911528405906,
|
|
"max_ret": 0.013063551007504337,
|
|
"all_pos": false
|
|
},
|
|
"lansx": {
|
|
"name": "Lord Abbett National Tax-Free Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.04401801155520503,
|
|
"corr_port": 0.05267073675156648,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16304404886790913,
|
|
"2023 rate shock": -0.06307317305879323,
|
|
"2024 vol spike": 0.016293167752987392,
|
|
"2025 tariff crash": -0.0342509492613563,
|
|
"2026 Q1 drawdown": -0.008906359792190233
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16304404886790913,
|
|
"max_ret": 0.016293167752987392,
|
|
"all_pos": false
|
|
},
|
|
"lanyx": {
|
|
"name": "Lord Abbett New York Tax-Free Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.08587140804776913,
|
|
"corr_port": 0.040708817707542956,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15815132475110072,
|
|
"2023 rate shock": -0.06641867757195952,
|
|
"2024 vol spike": 0.01570318969224238,
|
|
"2025 tariff crash": -0.03604836643015141,
|
|
"2026 Q1 drawdown": -0.006267996588710578
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15815132475110072,
|
|
"max_ret": 0.01570318969224238,
|
|
"all_pos": false
|
|
},
|
|
"laplx": {
|
|
"name": "Lord Abbett Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0218695567704694,
|
|
"corr_port": 0.007711238308863402,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15450896767305244,
|
|
"2023 rate shock": -0.04036749862760791,
|
|
"2024 vol spike": 0.019330338519670143,
|
|
"2025 tariff crash": -0.001587673109426202,
|
|
"2026 Q1 drawdown": -0.010526975523343696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15450896767305244,
|
|
"max_ret": 0.019330338519670143,
|
|
"all_pos": false
|
|
},
|
|
"lauyx": {
|
|
"name": "Lord Abbett Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9545435717497167,
|
|
"corr_port": 0.04899210182560312,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17511697399295711,
|
|
"2023 rate shock": -0.045228443643719585,
|
|
"2024 vol spike": 0.017227163885298102,
|
|
"2025 tariff crash": -0.010871010861606911,
|
|
"2026 Q1 drawdown": -0.015180552036796913
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17511697399295711,
|
|
"max_ret": 0.017227163885298102,
|
|
"all_pos": false
|
|
},
|
|
"lavgx": {
|
|
"name": "Lord Abbett International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1500602855518145,
|
|
"corr_port": 0.07591903501319693,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3456954795347822,
|
|
"2023 rate shock": -0.13809525153347013,
|
|
"2024 vol spike": -0.07911174171088586,
|
|
"2025 tariff crash": -0.1635761846519016,
|
|
"2026 Q1 drawdown": -0.11169921184220288
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3456954795347822,
|
|
"max_ret": -0.07911174171088586,
|
|
"all_pos": false
|
|
},
|
|
"lavlx": {
|
|
"name": "LORD ABBETT MID CAP STOCK FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.16414429189923294,
|
|
"corr_port": 0.3774411324446514,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19804467480786758,
|
|
"2023 rate shock": -0.11075227264219822,
|
|
"2024 vol spike": -0.05296893993783813,
|
|
"2025 tariff crash": -0.1799198185923857,
|
|
"2026 Q1 drawdown": -0.04989953951678738
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19804467480786758,
|
|
"max_ret": -0.04989953951678738,
|
|
"all_pos": false
|
|
},
|
|
"lbndx": {
|
|
"name": "LORD ABBETT BOND DEBENTURE FUND INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.20179547467855616,
|
|
"corr_port": 0.2856706212332894,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14586457672489828,
|
|
"2023 rate shock": -0.037310448115357,
|
|
"2024 vol spike": -0.0006830252971803397,
|
|
"2025 tariff crash": -0.03593749666723445,
|
|
"2026 Q1 drawdown": -0.02433466667440909
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14586457672489828,
|
|
"max_ret": -0.0006830252971803397,
|
|
"all_pos": false
|
|
},
|
|
"lbsax": {
|
|
"name": "Columbia Dividend Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6599448593143021,
|
|
"corr_port": 0.3791406337981439,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16904956329552745,
|
|
"2023 rate shock": -0.09198813112492832,
|
|
"2024 vol spike": -0.04336201599553968,
|
|
"2025 tariff crash": -0.12681193718238792,
|
|
"2026 Q1 drawdown": -0.025417190630957043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16904956329552745,
|
|
"max_ret": -0.025417190630957043,
|
|
"all_pos": false
|
|
},
|
|
"lcdvx": {
|
|
"name": "Lord Abbett Emerging Markets Corporate Debt Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.489465748862606,
|
|
"corr_port": 0.23547428505381848,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16393126195501195,
|
|
"2023 rate shock": -0.03358479897907651,
|
|
"2024 vol spike": 0.006084583800571419,
|
|
"2025 tariff crash": -0.011382768349056716,
|
|
"2026 Q1 drawdown": 0.001411460779190632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16393126195501195,
|
|
"max_ret": 0.006084583800571419,
|
|
"all_pos": false
|
|
},
|
|
"lceax": {
|
|
"name": "Invesco Diversified Dividend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.12301856810294234,
|
|
"corr_port": 0.4118544776857205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13098518355377498,
|
|
"2023 rate shock": -0.10413278955147176,
|
|
"2024 vol spike": -0.049740986810341115,
|
|
"2025 tariff crash": -0.13578472579421075,
|
|
"2026 Q1 drawdown": -0.04804155412530875
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13578472579421075,
|
|
"max_ret": -0.04804155412530875,
|
|
"all_pos": false
|
|
},
|
|
"lcfix": {
|
|
"name": "Lord Abbett California Tax-Free Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.203621321001226,
|
|
"corr_port": 0.04645686940604759,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1598521381534409,
|
|
"2023 rate shock": -0.06354128381046653,
|
|
"2024 vol spike": 0.016518507759818224,
|
|
"2025 tariff crash": -0.03406480939627998,
|
|
"2026 Q1 drawdown": -0.011967228140284836
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1598521381534409,
|
|
"max_ret": 0.016518507759818224,
|
|
"all_pos": false
|
|
},
|
|
"lcflx": {
|
|
"name": "Lord Abbett Focused Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.0014362249256978385,
|
|
"corr_port": 0.3817163812719706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2089457126121207,
|
|
"2023 rate shock": -0.10258866519799636,
|
|
"2024 vol spike": -0.04841277113912179,
|
|
"2025 tariff crash": -0.1608442511071443,
|
|
"2026 Q1 drawdown": -0.07458912768647274
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2089457126121207,
|
|
"max_ret": -0.04841277113912179,
|
|
"all_pos": false
|
|
},
|
|
"lciax": {
|
|
"name": "SIIT LARGE CAP INDEX FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6839959560997938,
|
|
"corr_port": 0.2752483389361533,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24973295773692095,
|
|
"2023 rate shock": -0.1009253075478328,
|
|
"2024 vol spike": -0.07163196608471734,
|
|
"2025 tariff crash": -0.1875185521190842,
|
|
"2026 Q1 drawdown": -0.08597842049411719
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24973295773692095,
|
|
"max_ret": -0.07163196608471734,
|
|
"all_pos": false
|
|
},
|
|
"lcrax": {
|
|
"name": "Lord Abbett Core Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6451564954272284,
|
|
"corr_port": -0.09005928406489223,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1497779940191971,
|
|
"2023 rate shock": -0.040658402612826494,
|
|
"2024 vol spike": 0.02220208266821322,
|
|
"2025 tariff crash": 0.007590627379316484,
|
|
"2026 Q1 drawdown": -0.0067202141519210334
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1497779940191971,
|
|
"max_ret": 0.02220208266821322,
|
|
"all_pos": false
|
|
},
|
|
"lcsmx": {
|
|
"name": "ClearBridge SMASh Series EM Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.40972267026801784,
|
|
"corr_port": 0.255134898256242,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3306451585657392,
|
|
"2023 rate shock": -0.14466017395943653,
|
|
"2024 vol spike": -0.08453413364191442,
|
|
"2025 tariff crash": -0.12781957662130927,
|
|
"2026 Q1 drawdown": -0.037061994609164484
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3306451585657392,
|
|
"max_ret": -0.037061994609164484,
|
|
"all_pos": false
|
|
},
|
|
"ldcax": {
|
|
"name": "Lord Abbett Short Duration Core Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.043337389360445,
|
|
"corr_port": 0.0064326474539944094,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04879014101876511,
|
|
"2023 rate shock": 0.0038822677036109976,
|
|
"2024 vol spike": 0.010597373750431016,
|
|
"2025 tariff crash": 0.010700872566669073,
|
|
"2026 Q1 drawdown": -0.0025188766288504194
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04879014101876511,
|
|
"max_ret": 0.010700872566669073,
|
|
"all_pos": false
|
|
},
|
|
"ldfvx": {
|
|
"name": "Lord Abbett Fundamental Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.37740248962513606,
|
|
"corr_port": 0.38642488483813675,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18857142306852537,
|
|
"2023 rate shock": -0.09999997316438347,
|
|
"2024 vol spike": -0.03992151435528635,
|
|
"2025 tariff crash": -0.1564070119407044,
|
|
"2026 Q1 drawdown": -0.059417706476529886
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18857142306852537,
|
|
"max_ret": -0.03992151435528635,
|
|
"all_pos": false
|
|
},
|
|
"ldmvx": {
|
|
"name": "Lord Abbett Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.137522650403942,
|
|
"corr_port": 0.2176902417985382,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22786915760677706,
|
|
"2023 rate shock": -0.06012717190473482,
|
|
"2024 vol spike": 0.0001291356415427103,
|
|
"2025 tariff crash": -0.033467799198196424,
|
|
"2026 Q1 drawdown": 0.0021687107884900136
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.22786915760677706,
|
|
"max_ret": 0.0021687107884900136,
|
|
"all_pos": false
|
|
},
|
|
"ldrax": {
|
|
"name": "SIIT LONG DURATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11362577980375288,
|
|
"corr_port": -0.09506168711401779,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28325198264649765,
|
|
"2023 rate shock": -0.10478474120701142,
|
|
"2024 vol spike": 0.030460619719464788,
|
|
"2025 tariff crash": -0.01084888823954766,
|
|
"2026 Q1 drawdown": -0.013949285385615795
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.28325198264649765,
|
|
"max_ret": 0.030460619719464788,
|
|
"all_pos": false
|
|
},
|
|
"legax": {
|
|
"name": "Columbia Cornerstone Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6380183289840426,
|
|
"corr_port": 0.15975208035164568,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33826910658309506,
|
|
"2023 rate shock": -0.08816667604267425,
|
|
"2024 vol spike": -0.08971588155219545,
|
|
"2025 tariff crash": -0.23154186380183317,
|
|
"2026 Q1 drawdown": -0.12495016117439217
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33826910658309506,
|
|
"max_ret": -0.08816667604267425,
|
|
"all_pos": false
|
|
},
|
|
"leifx": {
|
|
"name": "Federated Hermes Strategic Dividend Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4256344267291774,
|
|
"corr_port": 0.39229060348301764,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17760568201817317,
|
|
"2023 rate shock": -0.11531229471179605,
|
|
"2024 vol spike": -0.044381568179198694,
|
|
"2025 tariff crash": -0.140875608924392,
|
|
"2026 Q1 drawdown": -0.006589494544641528
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17760568201817317,
|
|
"max_ret": -0.006589494544641528,
|
|
"all_pos": false
|
|
},
|
|
"lfeax": {
|
|
"name": "MFS Lifetime 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5783935310085332,
|
|
"corr_port": 0.33712404190099166,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20956486698265475,
|
|
"2023 rate shock": -0.0830280135953767,
|
|
"2024 vol spike": -0.03335189010241424,
|
|
"2025 tariff crash": -0.09571504338845171,
|
|
"2026 Q1 drawdown": -0.04749199573105645
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20956486698265475,
|
|
"max_ret": -0.03335189010241424,
|
|
"all_pos": false
|
|
},
|
|
"lfgcx": {
|
|
"name": "Lord Abbett Focused Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9589272734690757,
|
|
"corr_port": 0.020125010472062194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36125841777099976,
|
|
"2023 rate shock": -0.13779182505422682,
|
|
"2024 vol spike": -0.1040171845056379,
|
|
"2025 tariff crash": -0.26275370989450664,
|
|
"2026 Q1 drawdown": -0.14566323608001952
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36125841777099976,
|
|
"max_ret": -0.1040171845056379,
|
|
"all_pos": false
|
|
},
|
|
"lfiax": {
|
|
"name": "MFS Lifetime 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.028064738187761,
|
|
"corr_port": 0.34018319479828824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.229166785827016,
|
|
"2023 rate shock": -0.10021794115588789,
|
|
"2024 vol spike": -0.05517574611974041,
|
|
"2025 tariff crash": -0.141626733606097,
|
|
"2026 Q1 drawdown": -0.06989010989010991
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.229166785827016,
|
|
"max_ret": -0.05517574611974041,
|
|
"all_pos": false
|
|
},
|
|
"lfmax": {
|
|
"name": "LoCorr Macro Strategies Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8371660435793813,
|
|
"corr_port": 0.18762605088595855,
|
|
"rets": {
|
|
"2022 bear mkt": 0.21297436537514658,
|
|
"2023 rate shock": 0.03430748714040788,
|
|
"2024 vol spike": -0.05412049343430847,
|
|
"2025 tariff crash": -0.0261439192810361,
|
|
"2026 Q1 drawdown": 0.044247787610619316
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05412049343430847,
|
|
"max_ret": 0.21297436537514658,
|
|
"all_pos": false
|
|
},
|
|
"lfrax": {
|
|
"name": "Lord Abbett Floating Rate Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.612347788472403,
|
|
"corr_port": 0.32732077736856824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03945529014290905,
|
|
"2023 rate shock": 0.009594753576241288,
|
|
"2024 vol spike": -0.001604313229982779,
|
|
"2025 tariff crash": -0.020565863606507362,
|
|
"2026 Q1 drawdown": -0.005990411160625375
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03945529014290905,
|
|
"max_ret": 0.009594753576241288,
|
|
"all_pos": false
|
|
},
|
|
"lftlx": {
|
|
"name": "MFS Lifetime 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1027979519602762,
|
|
"corr_port": 0.17111669597552215,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23194305769623247,
|
|
"2023 rate shock": -0.09999990059590269,
|
|
"2024 vol spike": -0.05467205589073931,
|
|
"2025 tariff crash": -0.14202907238487972,
|
|
"2026 Q1 drawdown": -0.0699300699300699
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23194305769623247,
|
|
"max_ret": -0.05467205589073931,
|
|
"all_pos": false
|
|
},
|
|
"lgcax": {
|
|
"name": "Lord Abbett Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0324970573800134,
|
|
"corr_port": 0.27223123424218953,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25345303715766665,
|
|
"2023 rate shock": -0.10095803673443737,
|
|
"2024 vol spike": -0.07121120205692855,
|
|
"2025 tariff crash": -0.1517240940700878,
|
|
"2026 Q1 drawdown": -0.0984156985117619
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25345303715766665,
|
|
"max_ret": -0.07121120205692855,
|
|
"all_pos": false
|
|
},
|
|
"lgilx": {
|
|
"name": "Schwab Select Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.2568859646574286,
|
|
"corr_port": 0.14212965668676317,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3867768277036592,
|
|
"2023 rate shock": -0.09399137724382733,
|
|
"2024 vol spike": -0.09428127624384686,
|
|
"2025 tariff crash": -0.21955798555666095,
|
|
"2026 Q1 drawdown": -0.12012352723536224
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3867768277036592,
|
|
"max_ret": -0.09399137724382733,
|
|
"all_pos": false
|
|
},
|
|
"lglax": {
|
|
"name": "Lord Abbett Growth Leaders Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.219892489167622,
|
|
"corr_port": 0.10990416132530081,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3645569365719926,
|
|
"2023 rate shock": -0.12560383932005892,
|
|
"2024 vol spike": -0.09850600167513612,
|
|
"2025 tariff crash": -0.2646940849571695,
|
|
"2026 Q1 drawdown": -0.14836795802551772
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3645569365719926,
|
|
"max_ret": -0.09850600167513612,
|
|
"all_pos": false
|
|
},
|
|
"lglv": {
|
|
"name": "State Street(R) SPDR(R) US Large Cap Low Volatility Index ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6692183201028367,
|
|
"corr_port": 0.32243046503034684,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16645294158740298,
|
|
"2023 rate shock": -0.08082507482131485,
|
|
"2024 vol spike": -0.010373546676306855,
|
|
"2025 tariff crash": -0.07944095843736532,
|
|
"2026 Q1 drawdown": -0.025758923419722413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16645294158740298,
|
|
"max_ret": -0.010373546676306855,
|
|
"all_pos": false
|
|
},
|
|
"lhcax": {
|
|
"name": "Lord Abbett Health Care Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.26557501943952555,
|
|
"corr_port": 0.07420008890840657,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16562510070557723,
|
|
"2023 rate shock": -0.15075373953469806,
|
|
"2024 vol spike": -0.06633413433057966,
|
|
"2025 tariff crash": -0.17752360542935086,
|
|
"2026 Q1 drawdown": -0.07730332584269672
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17752360542935086,
|
|
"max_ret": -0.06633413433057966,
|
|
"all_pos": false
|
|
},
|
|
"lhiax": {
|
|
"name": "Columbia High Yield Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5035420102315848,
|
|
"corr_port": 0.05836551918611899,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18763084228876103,
|
|
"2023 rate shock": -0.0805412760869405,
|
|
"2024 vol spike": 0.025890992253469358,
|
|
"2025 tariff crash": -0.04447731219205753,
|
|
"2026 Q1 drawdown": -0.00813052117746571
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18763084228876103,
|
|
"max_ret": 0.025890992253469358,
|
|
"all_pos": false
|
|
},
|
|
"lhyax": {
|
|
"name": "Lord Abbett High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9941107558175883,
|
|
"corr_port": 0.3296646412529174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16162561519912166,
|
|
"2023 rate shock": -0.037474563291858165,
|
|
"2024 vol spike": -0.0034612738516743846,
|
|
"2025 tariff crash": -0.040351603836208505,
|
|
"2026 Q1 drawdown": -0.022787119512694964
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16162561519912166,
|
|
"max_ret": -0.0034612738516743846,
|
|
"all_pos": false
|
|
},
|
|
"libax": {
|
|
"name": "Columbia Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.18427503394530464,
|
|
"corr_port": -0.06831113169640796,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18914995402678692,
|
|
"2023 rate shock": -0.044183416750435134,
|
|
"2024 vol spike": 0.029063271967004756,
|
|
"2025 tariff crash": 0.01713857776478811,
|
|
"2026 Q1 drawdown": -0.005444430702773673
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18914995402678692,
|
|
"max_ret": 0.029063271967004756,
|
|
"all_pos": false
|
|
},
|
|
"licax": {
|
|
"name": "Lord Abbett International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6722287322416806,
|
|
"corr_port": 0.3651164263172017,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2965078470703314,
|
|
"2023 rate shock": -0.10714287166916303,
|
|
"2024 vol spike": -0.07215844556194217,
|
|
"2025 tariff crash": -0.12357408602321962,
|
|
"2026 Q1 drawdown": -0.10148636596617133
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2965078470703314,
|
|
"max_ret": -0.07215844556194217,
|
|
"all_pos": false
|
|
},
|
|
"lidax": {
|
|
"name": "Lord Abbett International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5011896205464808,
|
|
"corr_port": 0.4478020802871156,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2575238973548014,
|
|
"2023 rate shock": -0.09702727856807536,
|
|
"2024 vol spike": -0.060679674545608964,
|
|
"2025 tariff crash": -0.08491143386843358,
|
|
"2026 Q1 drawdown": -0.07540041224278493
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2575238973548014,
|
|
"max_ret": -0.060679674545608964,
|
|
"all_pos": false
|
|
},
|
|
"lifax": {
|
|
"name": "Lord Abbett Inflation Focused Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3351551093537126,
|
|
"corr_port": 0.21173617706842604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06137012125168084,
|
|
"2023 rate shock": -0.008778972765985937,
|
|
"2024 vol spike": 0.002773945499404018,
|
|
"2025 tariff crash": 0.005973778409343433,
|
|
"2026 Q1 drawdown": -0.004078446896059296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06137012125168084,
|
|
"max_ret": 0.005973778409343433,
|
|
"all_pos": false
|
|
},
|
|
"liiax": {
|
|
"name": "Columbia Select Corporate Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6211949714612292,
|
|
"corr_port": 0.042662000306044695,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1844286172206221,
|
|
"2023 rate shock": -0.04534324777547383,
|
|
"2024 vol spike": 0.011210516605740128,
|
|
"2025 tariff crash": -0.01189810375035616,
|
|
"2026 Q1 drawdown": -0.011440419466186014
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1844286172206221,
|
|
"max_ret": 0.011210516605740128,
|
|
"all_pos": false
|
|
},
|
|
"lisax": {
|
|
"name": "Lord Abbett Intermediate Tax Free Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.17462694961625544,
|
|
"corr_port": 0.05774612603446026,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1230524032725171,
|
|
"2023 rate shock": -0.0418338187088374,
|
|
"2024 vol spike": 0.013387855526648673,
|
|
"2025 tariff crash": -0.02293773895511486,
|
|
"2026 Q1 drawdown": -0.014544968601776787
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1230524032725171,
|
|
"max_ret": 0.013387855526648673,
|
|
"all_pos": false
|
|
},
|
|
"litax": {
|
|
"name": "Columbia Intermediate Duration Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9037489580546969,
|
|
"corr_port": 0.042208339708650795,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09152394936707753,
|
|
"2023 rate shock": -0.030861523664432844,
|
|
"2024 vol spike": 0.011156131872166686,
|
|
"2025 tariff crash": -0.019136287354759807,
|
|
"2026 Q1 drawdown": -0.009564341290018374
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09152394936707753,
|
|
"max_ret": 0.011156131872166686,
|
|
"all_pos": false
|
|
},
|
|
"lldyx": {
|
|
"name": "Lord Abbett Short Duration Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.07097736271051372,
|
|
"corr_port": 0.07260113675410229,
|
|
"rets": {
|
|
"2022 bear mkt": -0.057879242879514736,
|
|
"2023 rate shock": 0.003180794288723421,
|
|
"2024 vol spike": 0.009627743967620672,
|
|
"2025 tariff crash": 0.008581778901517678,
|
|
"2026 Q1 drawdown": -0.004682673631172141
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.057879242879514736,
|
|
"max_ret": 0.009627743967620672,
|
|
"all_pos": false
|
|
},
|
|
"lmecx": {
|
|
"name": "Western Asset SMASh Series Core Plus Completion Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.3051885068252895,
|
|
"corr_port": 0.1624461064124661,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3285083403808641,
|
|
"2023 rate shock": -0.10631776060488407,
|
|
"2024 vol spike": -0.01507540109558081,
|
|
"2025 tariff crash": -0.026395302777867613,
|
|
"2026 Q1 drawdown": -0.027772342987210874
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3285083403808641,
|
|
"max_ret": -0.01507540109558081,
|
|
"all_pos": false
|
|
},
|
|
"lmgax": {
|
|
"name": "Lord Abbett Growth Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.6738653301112547,
|
|
"corr_port": 0.1316053822425377,
|
|
"rets": {
|
|
"2022 bear mkt": -0.319952255790127,
|
|
"2023 rate shock": -0.18526005196012496,
|
|
"2024 vol spike": -0.0974477731977178,
|
|
"2025 tariff crash": -0.2673896748877145,
|
|
"2026 Q1 drawdown": -0.11042725885491456
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.319952255790127,
|
|
"max_ret": -0.0974477731977178,
|
|
"all_pos": false
|
|
},
|
|
"lmiax": {
|
|
"name": "Columbia Massachusetts Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.131966955284085,
|
|
"corr_port": 0.05225783328662071,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09906308476594883,
|
|
"2023 rate shock": -0.030500850980956562,
|
|
"2024 vol spike": 0.010354253422041548,
|
|
"2025 tariff crash": -0.020797087356149713,
|
|
"2026 Q1 drawdown": -0.010265675397508334
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09906308476594883,
|
|
"max_ret": 0.010354253422041548,
|
|
"all_pos": false
|
|
},
|
|
"lmiyx": {
|
|
"name": "Lord Abbett Micro-Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.0798987861360044,
|
|
"corr_port": 0.11502327115708799,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30622221856760323,
|
|
"2023 rate shock": -0.2626096361369832,
|
|
"2024 vol spike": -0.09506675056525671,
|
|
"2025 tariff crash": -0.24894510850861717,
|
|
"2026 Q1 drawdown": -0.09858594259960496
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30622221856760323,
|
|
"max_ret": -0.09506675056525671,
|
|
"all_pos": false
|
|
},
|
|
"lmsfx": {
|
|
"name": "Federated Hermes Municipal Bond Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.02631751607646473,
|
|
"corr_port": 0.02595858620388842,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13060334512418548,
|
|
"2023 rate shock": -0.06192978508245528,
|
|
"2024 vol spike": 0.014827930664659483,
|
|
"2025 tariff crash": -0.03675688733214022,
|
|
"2026 Q1 drawdown": -0.007011348976552978
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13060334512418548,
|
|
"max_ret": 0.014827930664659483,
|
|
"all_pos": false
|
|
},
|
|
"lmvyx": {
|
|
"name": "Lord Abbett Focused Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5944594072820891,
|
|
"corr_port": 0.34305071842956036,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23720786037019392,
|
|
"2023 rate shock": -0.15808167283482577,
|
|
"2024 vol spike": -0.07060698375622299,
|
|
"2025 tariff crash": -0.22297532564910494,
|
|
"2026 Q1 drawdown": -0.07445067235159064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23720786037019392,
|
|
"max_ret": -0.07060698375622299,
|
|
"all_pos": false
|
|
},
|
|
"lnyax": {
|
|
"name": "Columbia New York Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.0553432615772366,
|
|
"corr_port": 0.046621831062723905,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09359109065431737,
|
|
"2023 rate shock": -0.03424415852325735,
|
|
"2024 vol spike": 0.011012791535783828,
|
|
"2025 tariff crash": -0.019735081315349734,
|
|
"2026 Q1 drawdown": -0.010290378172255532
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09359109065431737,
|
|
"max_ret": 0.011012791535783828,
|
|
"all_pos": false
|
|
},
|
|
"lphax": {
|
|
"name": "BlackRock LifePath Dynamic 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4654841763175135,
|
|
"corr_port": 0.3008702985045181,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2590648745651303,
|
|
"2023 rate shock": -0.10269053404654827,
|
|
"2024 vol spike": -0.06434311657942049,
|
|
"2025 tariff crash": -0.15187813777623704,
|
|
"2026 Q1 drawdown": -0.07023574829923063
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2590648745651303,
|
|
"max_ret": -0.06434311657942049,
|
|
"all_pos": false
|
|
},
|
|
"lpjrx": {
|
|
"name": "BlackRock LifePath Dynamic 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6487990476320455,
|
|
"corr_port": 0.29253854556778164,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23487665943279712,
|
|
"2023 rate shock": -0.09121804377644205,
|
|
"2024 vol spike": -0.04573562708959911,
|
|
"2025 tariff crash": -0.11389227808262203,
|
|
"2026 Q1 drawdown": -0.05293114556784617
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23487665943279712,
|
|
"max_ret": -0.04573562708959911,
|
|
"all_pos": false
|
|
},
|
|
"lprax": {
|
|
"name": "BlackRock LifePath Dynamic Retirement Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16820708717872285,
|
|
"corr_port": 0.21605857393415892,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1968930950220531,
|
|
"2023 rate shock": -0.07149571963808099,
|
|
"2024 vol spike": -0.024327670830017745,
|
|
"2025 tariff crash": -0.07499994373291596,
|
|
"2026 Q1 drawdown": -0.03522003991670508
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1968930950220531,
|
|
"max_ret": -0.024327670830017745,
|
|
"all_pos": false
|
|
},
|
|
"lprdx": {
|
|
"name": "BlackRock LifePath Dynamic 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.48253617385911657,
|
|
"corr_port": 0.27651609253370835,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2194940025379558,
|
|
"2023 rate shock": -0.08518593218759085,
|
|
"2024 vol spike": -0.035795808709018884,
|
|
"2025 tariff crash": -0.09505409131173015,
|
|
"2026 Q1 drawdown": -0.04301070297176335
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2194940025379558,
|
|
"max_ret": -0.035795808709018884,
|
|
"all_pos": false
|
|
},
|
|
"lprex": {
|
|
"name": "BlackRock LifePath Dynamic 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4549585484902397,
|
|
"corr_port": 0.2901223269320349,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24824499707468062,
|
|
"2023 rate shock": -0.09797998734333047,
|
|
"2024 vol spike": -0.05548379159274752,
|
|
"2025 tariff crash": -0.13400000302756443,
|
|
"2026 Q1 drawdown": -0.061262417895383
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24824499707468062,
|
|
"max_ret": -0.05548379159274752,
|
|
"all_pos": false
|
|
},
|
|
"lprfx": {
|
|
"name": "BlackRock Lifepath Dynamic 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4031770098130114,
|
|
"corr_port": 0.2900881363272262,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26929724544779854,
|
|
"2023 rate shock": -0.1088026401021085,
|
|
"2024 vol spike": -0.06836180590073404,
|
|
"2025 tariff crash": -0.1643951965404825,
|
|
"2026 Q1 drawdown": -0.07987831581593552
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26929724544779854,
|
|
"max_ret": -0.06836180590073404,
|
|
"all_pos": false
|
|
},
|
|
"lpvax": {
|
|
"name": "BlackRock LifePath Dynamic 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.47120700574294067,
|
|
"corr_port": 0.298173360369884,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2698709444983066,
|
|
"2023 rate shock": -0.10863160060820332,
|
|
"2024 vol spike": -0.07153575647765842,
|
|
"2025 tariff crash": -0.1705115232089447,
|
|
"2026 Q1 drawdown": -0.08384816044436938
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2698709444983066,
|
|
"max_ret": -0.07153575647765842,
|
|
"all_pos": false
|
|
},
|
|
"lpxax": {
|
|
"name": "Cohen & Steers Low Duration Preferred & Income Fund,Inc.",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.570447332198512,
|
|
"corr_port": 0.2891136404609443,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08437694310041266,
|
|
"2023 rate shock": -0.0021460567163066324,
|
|
"2024 vol spike": -0.00032935991821347876,
|
|
"2025 tariff crash": -0.012256669723207936,
|
|
"2026 Q1 drawdown": -0.013325012945284542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.08437694310041266,
|
|
"max_ret": -0.00032935991821347876,
|
|
"all_pos": false
|
|
},
|
|
"lrscx": {
|
|
"name": "Small-Cap Value Series",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6102219022357013,
|
|
"corr_port": 0.3476919336906812,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25325885436061446,
|
|
"2023 rate shock": -0.1408934838767022,
|
|
"2024 vol spike": -0.06503583372745791,
|
|
"2025 tariff crash": -0.22331368445306343,
|
|
"2026 Q1 drawdown": -0.06905537459283395
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25325885436061446,
|
|
"max_ret": -0.06503583372745791,
|
|
"all_pos": false
|
|
},
|
|
"lsbdx": {
|
|
"name": "Loomis Sayles Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.0607690050792595,
|
|
"corr_port": 0.201632702085767,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14757143008602047,
|
|
"2023 rate shock": -0.04168619434765464,
|
|
"2024 vol spike": 0.011051631595632161,
|
|
"2025 tariff crash": -0.005159891196140132,
|
|
"2026 Q1 drawdown": -0.01528706810494318
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14757143008602047,
|
|
"max_ret": 0.011051631595632161,
|
|
"all_pos": false
|
|
},
|
|
"lsdax": {
|
|
"name": "Lord Abbett Short Duration Tax Free Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8212987820009807,
|
|
"corr_port": 0.08376236556155268,
|
|
"rets": {
|
|
"2022 bear mkt": -0.053600477242552125,
|
|
"2023 rate shock": -0.007560842375582411,
|
|
"2024 vol spike": 0.0075804993050547775,
|
|
"2025 tariff crash": -0.0072402628158827476,
|
|
"2026 Q1 drawdown": -0.005420414904533932
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.053600477242552125,
|
|
"max_ret": 0.0075804993050547775,
|
|
"all_pos": false
|
|
},
|
|
"lsgbx": {
|
|
"name": "Loomis Sayles Global Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3006893795370695,
|
|
"corr_port": 0.01870983467854544,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2146722014761513,
|
|
"2023 rate shock": -0.05060582656395063,
|
|
"2024 vol spike": 0.023529401983953147,
|
|
"2025 tariff crash": 0.008940849126260586,
|
|
"2026 Q1 drawdown": -0.03309993634627639
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2146722014761513,
|
|
"max_ret": 0.023529401983953147,
|
|
"all_pos": false
|
|
},
|
|
"lsofx": {
|
|
"name": "LS Opportunity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6529861669973408,
|
|
"corr_port": 0.37356797611815196,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10328348523201902,
|
|
"2023 rate shock": -0.03306807813085011,
|
|
"2024 vol spike": -0.028914454876222795,
|
|
"2025 tariff crash": -0.07529790110342538,
|
|
"2026 Q1 drawdown": -0.038545119313196374
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.10328348523201902,
|
|
"max_ret": -0.028914454876222795,
|
|
"all_pos": false
|
|
},
|
|
"lssix": {
|
|
"name": "Loomis Sayles Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2748689604799317,
|
|
"corr_port": 0.1987403198528196,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27640243639142126,
|
|
"2023 rate shock": -0.14660653898761455,
|
|
"2024 vol spike": -0.07765992936155341,
|
|
"2025 tariff crash": -0.22414964438236729,
|
|
"2026 Q1 drawdown": -0.08726415094339623
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27640243639142126,
|
|
"max_ret": -0.07765992936155341,
|
|
"all_pos": false
|
|
},
|
|
"lswwx": {
|
|
"name": "Loomis Sayles Global Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.2025170125460267,
|
|
"corr_port": 0.2378265387051347,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2939725732712277,
|
|
"2023 rate shock": -0.09536183035706114,
|
|
"2024 vol spike": -0.04015441336751202,
|
|
"2025 tariff crash": -0.12602414586503385,
|
|
"2026 Q1 drawdown": -0.07832898464487081
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2939725732712277,
|
|
"max_ret": -0.04015441336751202,
|
|
"all_pos": false
|
|
},
|
|
"lsyux": {
|
|
"name": "Lord Abbett Short Duration High Yield Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 2.826163787976745,
|
|
"corr_port": 0.20796434486020934,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08681200968452885,
|
|
"2023 rate shock": -0.012509694061579979,
|
|
"2024 vol spike": -0.005071828414623503,
|
|
"2025 tariff crash": -0.04655528923811336,
|
|
"2026 Q1 drawdown": -0.02072938608518915
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.08681200968452885,
|
|
"max_ret": -0.005071828414623503,
|
|
"all_pos": false
|
|
},
|
|
"ltebx": {
|
|
"name": "LIMITED TERM TAX EXEMPT BOND FUND OF AMERICA",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.1558699905661787,
|
|
"corr_port": 0.029243199926853168,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06661974124308423,
|
|
"2023 rate shock": -0.023142767523430363,
|
|
"2024 vol spike": 0.01178801682468289,
|
|
"2025 tariff crash": -0.012141565888591832,
|
|
"2026 Q1 drawdown": -0.010028308302030942
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.06661974124308423,
|
|
"max_ret": 0.01178801682468289,
|
|
"all_pos": false
|
|
},
|
|
"ltmax": {
|
|
"name": "MFS Lifetime 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1018872843467968,
|
|
"corr_port": 0.33979211134061205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22684030880781947,
|
|
"2023 rate shock": -0.09706528845112261,
|
|
"2024 vol spike": -0.051113442935408315,
|
|
"2025 tariff crash": -0.13423155141150955,
|
|
"2026 Q1 drawdown": -0.06610805400372433
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22684030880781947,
|
|
"max_ret": -0.051113442935408315,
|
|
"all_pos": false
|
|
},
|
|
"ltnyx": {
|
|
"name": "Invesco Rochester Limited Term New York Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6215855765912646,
|
|
"corr_port": 0.02955472525091859,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08716300757840523,
|
|
"2023 rate shock": -0.034614340021775325,
|
|
"2024 vol spike": 0.009992875881342123,
|
|
"2025 tariff crash": -0.01938445145690748,
|
|
"2026 Q1 drawdown": -0.008224671112859516
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08716300757840523,
|
|
"max_ret": 0.009992875881342123,
|
|
"all_pos": false
|
|
},
|
|
"ltrax": {
|
|
"name": "Lord Abbett Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.448760005262959,
|
|
"corr_port": -0.040461416155758906,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15279036854217432,
|
|
"2023 rate shock": -0.041061715947288024,
|
|
"2024 vol spike": 0.020062118969442766,
|
|
"2025 tariff crash": 0.0010797605689265577,
|
|
"2026 Q1 drawdown": -0.008368557253338405
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15279036854217432,
|
|
"max_ret": 0.020062118969442766,
|
|
"all_pos": false
|
|
},
|
|
"lttkx": {
|
|
"name": "MFS Lifetime 2025 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5868584238255631,
|
|
"corr_port": 0.2498207435789634,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15940064855076475,
|
|
"2023 rate shock": -0.05173737624033581,
|
|
"2024 vol spike": -0.007304589263927075,
|
|
"2025 tariff crash": -0.042232288724714184,
|
|
"2026 Q1 drawdown": -0.023987956025615653
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15940064855076475,
|
|
"max_ret": -0.007304589263927075,
|
|
"all_pos": false
|
|
},
|
|
"lubax": {
|
|
"name": "Lord Abbett Ultra Short Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.952353815646435,
|
|
"corr_port": 0.05602014852013801,
|
|
"rets": {
|
|
"2022 bear mkt": -0.01152068217374913,
|
|
"2023 rate shock": 0.007933488435905467,
|
|
"2024 vol spike": 0.006327311077274578,
|
|
"2025 tariff crash": 0.006712977021777311,
|
|
"2026 Q1 drawdown": 0.003795362898092014
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.01152068217374913,
|
|
"max_ret": 0.007933488435905467,
|
|
"all_pos": false
|
|
},
|
|
"lutax": {
|
|
"name": "Columbia U.S. Treasury Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.682579052650083,
|
|
"corr_port": -0.19225644697737646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12811351978152896,
|
|
"2023 rate shock": -0.0331462277464627,
|
|
"2024 vol spike": 0.026055288680201683,
|
|
"2025 tariff crash": 0.017877804357776084,
|
|
"2026 Q1 drawdown": -0.0013532350592985187
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12811351978152896,
|
|
"max_ret": 0.026055288680201683,
|
|
"all_pos": false
|
|
},
|
|
"lvhd": {
|
|
"name": "Franklin U.S. Low Volatility High Dividend Index ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0247472102397248,
|
|
"corr_port": 0.3600539207172053,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14528154981759867,
|
|
"2023 rate shock": -0.12981176831210361,
|
|
"2024 vol spike": 0.0015567359862116437,
|
|
"2025 tariff crash": -0.06900861244665635,
|
|
"2026 Q1 drawdown": 0.020509814516217695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14528154981759867,
|
|
"max_ret": 0.020509814516217695,
|
|
"all_pos": false
|
|
},
|
|
"lvhi": {
|
|
"name": "Franklin International Low Volatility High Dividend Index ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 4.134496758510483,
|
|
"corr_port": 0.4080396145073452,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0718608115075593,
|
|
"2023 rate shock": -0.034239788616096,
|
|
"2024 vol spike": -0.05743352380885747,
|
|
"2025 tariff crash": -0.08927528532823492,
|
|
"2026 Q1 drawdown": 0.043890014661186916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08927528532823492,
|
|
"max_ret": 0.043890014661186916,
|
|
"all_pos": false
|
|
},
|
|
"lvitx": {
|
|
"name": "Western Asset Core Plus VIT Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4360549063081464,
|
|
"corr_port": 0.0011354531754161595,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18983058803839903,
|
|
"2023 rate shock": -0.0546557798820968,
|
|
"2024 vol spike": 0.018181726363032613,
|
|
"2025 tariff crash": 0.002178616407342293,
|
|
"2026 Q1 drawdown": -0.00854701770982047
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18983058803839903,
|
|
"max_ret": 0.018181726363032613,
|
|
"all_pos": false
|
|
},
|
|
"lvoax": {
|
|
"name": "Lord Abbett Value Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.533055860258414,
|
|
"corr_port": 0.31704985012472137,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2631579530618131,
|
|
"2023 rate shock": -0.12161380142638012,
|
|
"2024 vol spike": -0.05073563506471013,
|
|
"2025 tariff crash": -0.19780220024444684,
|
|
"2026 Q1 drawdown": -0.06574761051179168
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2631579530618131,
|
|
"max_ret": -0.05073563506471013,
|
|
"all_pos": false
|
|
},
|
|
"lzhox": {
|
|
"name": "Lazard US High Yield Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5934538440300994,
|
|
"corr_port": 0.28682393672623435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1325256620935198,
|
|
"2023 rate shock": -0.028269276274761834,
|
|
"2024 vol spike": -0.005322389084228885,
|
|
"2025 tariff crash": -0.030274823192815048,
|
|
"2026 Q1 drawdown": -0.009609993274895423
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1325256620935198,
|
|
"max_ret": -0.005322389084228885,
|
|
"all_pos": false
|
|
},
|
|
"maagx": {
|
|
"name": "MFS Aggressive Growth Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3073028852141544,
|
|
"corr_port": 0.32337035826045657,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24863820275231652,
|
|
"2023 rate shock": -0.10104289667503608,
|
|
"2024 vol spike": -0.055194806148280096,
|
|
"2025 tariff crash": -0.1455187245206202,
|
|
"2026 Q1 drawdown": -0.07692307692307698
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24863820275231652,
|
|
"max_ret": -0.055194806148280096,
|
|
"all_pos": false
|
|
},
|
|
"macfx": {
|
|
"name": "MFS Conservative Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2340341096749772,
|
|
"corr_port": 0.28071159331414164,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17614886421557652,
|
|
"2023 rate shock": -0.05853705813223953,
|
|
"2024 vol spike": -0.01291087439480787,
|
|
"2025 tariff crash": -0.058411410565243904,
|
|
"2026 Q1 drawdown": -0.035256830926744254
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17614886421557652,
|
|
"max_ret": -0.01291087439480787,
|
|
"all_pos": false
|
|
},
|
|
"madfx": {
|
|
"name": "Matrix Advisors Dividend Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.816969943511863,
|
|
"corr_port": 0.37176128451370805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16907634167808183,
|
|
"2023 rate shock": -0.10899697346808102,
|
|
"2024 vol spike": -0.04388994975752958,
|
|
"2025 tariff crash": -0.14028615899590313,
|
|
"2026 Q1 drawdown": -0.05633025643226697
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16907634167808183,
|
|
"max_ret": -0.04388994975752958,
|
|
"all_pos": false
|
|
},
|
|
"magwx": {
|
|
"name": "MFS Growth Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.480704697759215,
|
|
"corr_port": 0.32017742045715314,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22778006000876272,
|
|
"2023 rate shock": -0.08842642757469321,
|
|
"2024 vol spike": -0.04254483173479806,
|
|
"2025 tariff crash": -0.12025568516432628,
|
|
"2026 Q1 drawdown": -0.06436781609195397
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22778006000876272,
|
|
"max_ret": -0.04254483173479806,
|
|
"all_pos": false
|
|
},
|
|
"mamax": {
|
|
"name": "MFS Moderate Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9872294949319749,
|
|
"corr_port": 0.3028602664995795,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20610355375489453,
|
|
"2023 rate shock": -0.07593259368841943,
|
|
"2024 vol spike": -0.027281842404431877,
|
|
"2025 tariff crash": -0.08930866653971004,
|
|
"2026 Q1 drawdown": -0.05036575275957511
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20610355375489453,
|
|
"max_ret": -0.027281842404431877,
|
|
"all_pos": false
|
|
},
|
|
"mapax": {
|
|
"name": "NYLI WMC Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3483765740659093,
|
|
"corr_port": 0.3752126312874388,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13982773919473634,
|
|
"2023 rate shock": -0.1040280574803164,
|
|
"2024 vol spike": -0.046320575786147344,
|
|
"2025 tariff crash": -0.12905313475559488,
|
|
"2026 Q1 drawdown": -0.04843746874999999
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13982773919473634,
|
|
"max_ret": -0.046320575786147344,
|
|
"all_pos": false
|
|
},
|
|
"masax": {
|
|
"name": "NYLI MacKay Strategic Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 3.7000414338474026,
|
|
"corr_port": 0.1835947687456399,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10374694212950797,
|
|
"2023 rate shock": -0.020568423449664808,
|
|
"2024 vol spike": 0.016924955884447757,
|
|
"2025 tariff crash": -0.0008797437293185384,
|
|
"2026 Q1 drawdown": -0.00483378896814024
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10374694212950797,
|
|
"max_ret": 0.016924955884447757,
|
|
"all_pos": false
|
|
},
|
|
"masgx": {
|
|
"name": "MATTHEWS EMERGING MARKETS SUSTAINABLE FUTURE FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5219260479781271,
|
|
"corr_port": 0.19717149151256882,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2347480446524498,
|
|
"2023 rate shock": -0.14226509131645138,
|
|
"2024 vol spike": -0.0884615695753409,
|
|
"2025 tariff crash": -0.1640503002102056,
|
|
"2026 Q1 drawdown": -0.07051282051282048
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2347480446524498,
|
|
"max_ret": -0.07051282051282048,
|
|
"all_pos": false
|
|
},
|
|
"mbdfx": {
|
|
"name": "AMG GW&K Core Bond ESG Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.15354868741108138,
|
|
"corr_port": -0.08390690517822925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15517707768965794,
|
|
"2023 rate shock": -0.044467320504209984,
|
|
"2024 vol spike": 0.020759374471615022,
|
|
"2025 tariff crash": 0.0036640489290362677,
|
|
"2026 Q1 drawdown": -0.00901761113581201
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15517707768965794,
|
|
"max_ret": 0.020759374471615022,
|
|
"all_pos": false
|
|
},
|
|
"mbeqx": {
|
|
"name": "M International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5247954375410483,
|
|
"corr_port": 0.3743192138064768,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2632301976117485,
|
|
"2023 rate shock": -0.09822750981968942,
|
|
"2024 vol spike": -0.06839944184055713,
|
|
"2025 tariff crash": -0.1066758422076487,
|
|
"2026 Q1 drawdown": -0.06529752501316477
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2632301976117485,
|
|
"max_ret": -0.06529752501316477,
|
|
"all_pos": false
|
|
},
|
|
"mbovx": {
|
|
"name": "M Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7748752640848404,
|
|
"corr_port": 0.41917093753793255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16063478108988793,
|
|
"2023 rate shock": -0.0967741771539452,
|
|
"2024 vol spike": -0.04922888198664366,
|
|
"2025 tariff crash": -0.12800473231346277,
|
|
"2026 Q1 drawdown": -0.01815081196255064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16063478108988793,
|
|
"max_ret": -0.01815081196255064,
|
|
"all_pos": false
|
|
},
|
|
"mbsax": {
|
|
"name": "Multisector Bond SMA Completion Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.2172961071327992,
|
|
"corr_port": 0.1895886642274946,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08665522639346546,
|
|
"2023 rate shock": -0.037375511711888354,
|
|
"2024 vol spike": 2.6831022329698584e-05,
|
|
"2025 tariff crash": -0.01795098284900909,
|
|
"2026 Q1 drawdown": -0.02820339673325256
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08665522639346546,
|
|
"max_ret": 2.6831022329698584e-05,
|
|
"all_pos": false
|
|
},
|
|
"mcfix": {
|
|
"name": "Mercer Core Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1581880770856978,
|
|
"corr_port": -0.12979653595413917,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15250956533000748,
|
|
"2023 rate shock": -0.040449483002358955,
|
|
"2024 vol spike": 0.020879317701721245,
|
|
"2025 tariff crash": 0.005656136088918462,
|
|
"2026 Q1 drawdown": -0.009856519921205176
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15250956533000748,
|
|
"max_ret": 0.020879317701721245,
|
|
"all_pos": false
|
|
},
|
|
"mcftx": {
|
|
"name": "MFS California Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.07538774748567541,
|
|
"corr_port": 0.03969737338033718,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1410961422374255,
|
|
"2023 rate shock": -0.06003035890343522,
|
|
"2024 vol spike": 0.015378760779352962,
|
|
"2025 tariff crash": -0.037766238104456784,
|
|
"2026 Q1 drawdown": -0.010571839752661294
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1410961422374255,
|
|
"max_ret": 0.015378760779352962,
|
|
"all_pos": false
|
|
},
|
|
"mcoax": {
|
|
"name": "NYLI MacKay Convertible Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3961205673380248,
|
|
"corr_port": 0.24416998396375064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14484683543506993,
|
|
"2023 rate shock": -0.07544402084058643,
|
|
"2024 vol spike": -0.03535623298936774,
|
|
"2025 tariff crash": -0.09551867115444257,
|
|
"2026 Q1 drawdown": -0.036433315432714664
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14484683543506993,
|
|
"max_ret": -0.03535623298936774,
|
|
"all_pos": false
|
|
},
|
|
"mcsax": {
|
|
"name": "MFS Commodity Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.33581415978307455,
|
|
"corr_port": 0.23259811533343494,
|
|
"rets": {
|
|
"2022 bear mkt": 0.12413802239127936,
|
|
"2023 rate shock": 0.002732338630296871,
|
|
"2024 vol spike": -0.04469286989278376,
|
|
"2025 tariff crash": -0.09560705932638514,
|
|
"2026 Q1 drawdown": 0.04589371980676349
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.09560705932638514,
|
|
"max_ret": 0.12413802239127936,
|
|
"all_pos": false
|
|
},
|
|
"mctox": {
|
|
"name": "Modern Capital Tactical Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3844191649860178,
|
|
"corr_port": 0.2557670456315404,
|
|
"rets": {
|
|
"2022 bear mkt": 0.050685792505258176,
|
|
"2023 rate shock": -0.09133106713847139,
|
|
"2024 vol spike": -0.03631590830699205,
|
|
"2025 tariff crash": -0.11282003428257681,
|
|
"2026 Q1 drawdown": -0.06296961589701267
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11282003428257681,
|
|
"max_ret": 0.050685792505258176,
|
|
"all_pos": false
|
|
},
|
|
"mdidx": {
|
|
"name": "MFS International Diversification Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2704123703873262,
|
|
"corr_port": 0.35644072741846355,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28863909036513513,
|
|
"2023 rate shock": -0.10582470495382468,
|
|
"2024 vol spike": -0.061743806813988056,
|
|
"2025 tariff crash": -0.1075713193542931,
|
|
"2026 Q1 drawdown": -0.08576329331046317
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28863909036513513,
|
|
"max_ret": -0.061743806813988056,
|
|
"all_pos": false
|
|
},
|
|
"mdsix": {
|
|
"name": "Integrity Short Term Government Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.670496193732431,
|
|
"corr_port": -0.0833671328390721,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08391324040629677,
|
|
"2023 rate shock": -0.010276770995949813,
|
|
"2024 vol spike": 0.00937873640210185,
|
|
"2025 tariff crash": 0.01763244412620546,
|
|
"2026 Q1 drawdown": 0.0011133451982243692
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.08391324040629677,
|
|
"max_ret": 0.01763244412620546,
|
|
"all_pos": false
|
|
},
|
|
"mdxbx": {
|
|
"name": "T. Rowe Price Maryland Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6688908879781814,
|
|
"corr_port": 0.022030906709744655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11879200341521112,
|
|
"2023 rate shock": -0.06024391113383887,
|
|
"2024 vol spike": 0.01564326853557385,
|
|
"2025 tariff crash": -0.032588707826558205,
|
|
"2026 Q1 drawdown": -0.008197995562912452
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11879200341521112,
|
|
"max_ret": 0.01564326853557385,
|
|
"all_pos": false
|
|
},
|
|
"mdyg": {
|
|
"name": "State Street(R) SPDR(R) S & P 400(TM) Mid Cap Growth ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.855506676019241,
|
|
"corr_port": 0.2736991714000943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23368054216632694,
|
|
"2023 rate shock": -0.12349926784848098,
|
|
"2024 vol spike": -0.06947936205134908,
|
|
"2025 tariff crash": -0.19880053153147736,
|
|
"2026 Q1 drawdown": -0.047254677361700526
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23368054216632694,
|
|
"max_ret": -0.047254677361700526,
|
|
"all_pos": false
|
|
},
|
|
"mdyv": {
|
|
"name": "State Street(R) SPDR(R) S & P 400(TM) Mid Cap Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5038658742060056,
|
|
"corr_port": 0.3515645693783067,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17416537710571567,
|
|
"2023 rate shock": -0.16111282151208672,
|
|
"2024 vol spike": -0.06134556588208839,
|
|
"2025 tariff crash": -0.1842052534065305,
|
|
"2026 Q1 drawdown": -0.056525345990609766
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1842052534065305,
|
|
"max_ret": -0.056525345990609766,
|
|
"all_pos": false
|
|
},
|
|
"medhx": {
|
|
"name": "MFS Emerging Markets Debt Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3308675044995851,
|
|
"corr_port": 0.23448457555523777,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21928863380876906,
|
|
"2023 rate shock": -0.05752921108926845,
|
|
"2024 vol spike": 0.006379144439391249,
|
|
"2025 tariff crash": -0.01869480090883402,
|
|
"2026 Q1 drawdown": -0.025426152994914575
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.21928863380876906,
|
|
"max_ret": 0.006379144439391249,
|
|
"all_pos": false
|
|
},
|
|
"mefix": {
|
|
"name": "ClearBridge Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.204421562740652,
|
|
"corr_port": 0.24957286848026347,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3530143401476703,
|
|
"2023 rate shock": -0.16076924380644264,
|
|
"2024 vol spike": -0.08126935153302928,
|
|
"2025 tariff crash": -0.15401789948205524,
|
|
"2026 Q1 drawdown": -0.09608154031570271
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3530143401476703,
|
|
"max_ret": -0.08126935153302928,
|
|
"all_pos": false
|
|
},
|
|
"meifx": {
|
|
"name": "MERIDIAN HEDGED EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3020390214036533,
|
|
"corr_port": 0.2013355737663194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22013419293105874,
|
|
"2023 rate shock": -0.057031434303822515,
|
|
"2024 vol spike": -0.04545465330533072,
|
|
"2025 tariff crash": -0.10178305026622891,
|
|
"2026 Q1 drawdown": -0.02865761689291091
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22013419293105874,
|
|
"max_ret": -0.02865761689291091,
|
|
"all_pos": false
|
|
},
|
|
"meikx": {
|
|
"name": "MFS Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.015563477750040888,
|
|
"corr_port": 0.3872353306134152,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16928832076118616,
|
|
"2023 rate shock": -0.0907158369146508,
|
|
"2024 vol spike": -0.03852781632561375,
|
|
"2025 tariff crash": -0.11800701920431333,
|
|
"2026 Q1 drawdown": -0.03931534922620783
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16928832076118616,
|
|
"max_ret": -0.03852781632561375,
|
|
"all_pos": false
|
|
},
|
|
"memax": {
|
|
"name": "MFS Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.14944616653765352,
|
|
"corr_port": 0.31192719831182886,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2965460279871157,
|
|
"2023 rate shock": -0.10403528546991259,
|
|
"2024 vol spike": -0.07187778793346256,
|
|
"2025 tariff crash": -0.13308748330817066,
|
|
"2026 Q1 drawdown": -0.09071180161841141
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2965460279871157,
|
|
"max_ret": -0.07187778793346256,
|
|
"all_pos": false
|
|
},
|
|
"memqx": {
|
|
"name": "Mercer Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5725445525745593,
|
|
"corr_port": 0.3166151938706432,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31622183097201995,
|
|
"2023 rate shock": -0.11210194472513002,
|
|
"2024 vol spike": -0.07750946706121664,
|
|
"2025 tariff crash": -0.12656647373795105,
|
|
"2026 Q1 drawdown": -0.08598130841121499
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31622183097201995,
|
|
"max_ret": -0.07750946706121664,
|
|
"all_pos": false
|
|
},
|
|
"memux": {
|
|
"name": "Maine Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.44845043269888146,
|
|
"corr_port": 0.03393714870872268,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12205977086766351,
|
|
"2023 rate shock": -0.04354595503711989,
|
|
"2024 vol spike": 0.01710985770142659,
|
|
"2025 tariff crash": -0.028184914407850092,
|
|
"2026 Q1 drawdown": -0.008817939123861196
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12205977086766351,
|
|
"max_ret": 0.01710985770142659,
|
|
"all_pos": false
|
|
},
|
|
"merdx": {
|
|
"name": "MERIDIAN GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.185213187211282,
|
|
"corr_port": 0.2063994031498285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3318097006632057,
|
|
"2023 rate shock": -0.1873563376197115,
|
|
"2024 vol spike": -0.07803784955789861,
|
|
"2025 tariff crash": -0.22239869111744814,
|
|
"2026 Q1 drawdown": -0.11543332968269027
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3318097006632057,
|
|
"max_ret": -0.07803784955789861,
|
|
"all_pos": false
|
|
},
|
|
"mervx": {
|
|
"name": "The Merger Fund VL",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.715002279438883,
|
|
"corr_port": 0.1901794502253247,
|
|
"rets": {
|
|
"2022 bear mkt": 0.00169926946472998,
|
|
"2023 rate shock": 0.02577315347876241,
|
|
"2024 vol spike": 0.0,
|
|
"2025 tariff crash": 0.005240242052101607,
|
|
"2026 Q1 drawdown": 0.003527336860670305
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": 0.0,
|
|
"max_ret": 0.02577315347876241,
|
|
"all_pos": false
|
|
},
|
|
"mfaax": {
|
|
"name": "AMERICAN FUNDS MORTGAGE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11160934246534777,
|
|
"corr_port": -0.1133606170322778,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11964580340226982,
|
|
"2023 rate shock": -0.04787768119395919,
|
|
"2024 vol spike": 0.02558219559556618,
|
|
"2025 tariff crash": 0.021070205654218244,
|
|
"2026 Q1 drawdown": -0.005788721132309993
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11964580340226982,
|
|
"max_ret": 0.02558219559556618,
|
|
"all_pos": false
|
|
},
|
|
"mfalx": {
|
|
"name": "MFS Alabama Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0813724088511909,
|
|
"corr_port": 0.03820187136005199,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13303476092385247,
|
|
"2023 rate shock": -0.0598388178315401,
|
|
"2024 vol spike": 0.017291355558690436,
|
|
"2025 tariff crash": -0.03646296316318565,
|
|
"2026 Q1 drawdown": -0.01079451429543632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13303476092385247,
|
|
"max_ret": 0.017291355558690436,
|
|
"all_pos": false
|
|
},
|
|
"mfarx": {
|
|
"name": "MFS Arkansas Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3149422637829101,
|
|
"corr_port": 0.02261714643723891,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11830833767363036,
|
|
"2023 rate shock": -0.06738506802345967,
|
|
"2024 vol spike": 0.015836951678255717,
|
|
"2025 tariff crash": -0.040029362533672175,
|
|
"2026 Q1 drawdown": -0.009907285799545695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11830833767363036,
|
|
"max_ret": 0.015836951678255717,
|
|
"all_pos": false
|
|
},
|
|
"mfbfx": {
|
|
"name": "MFS Corporate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.316427542879068,
|
|
"corr_port": 0.01292161194826797,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19339036668125298,
|
|
"2023 rate shock": -0.04812243816707351,
|
|
"2024 vol spike": 0.015065060756554782,
|
|
"2025 tariff crash": -0.007109265944540311,
|
|
"2026 Q1 drawdown": -0.013282478205675186
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.19339036668125298,
|
|
"max_ret": 0.015065060756554782,
|
|
"all_pos": false
|
|
},
|
|
"mfcpx": {
|
|
"name": "M Capital Appreciation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7070858711771992,
|
|
"corr_port": 0.25952942042787197,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28183720436574156,
|
|
"2023 rate shock": -0.18522862090107772,
|
|
"2024 vol spike": -0.08617453016019772,
|
|
"2025 tariff crash": -0.2552684655841584,
|
|
"2026 Q1 drawdown": -0.08333325743818032
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28183720436574156,
|
|
"max_ret": -0.08333325743818032,
|
|
"all_pos": false
|
|
},
|
|
"mfegx": {
|
|
"name": "MFS Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.538432511262309,
|
|
"corr_port": 0.15407008501252803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33312668710643734,
|
|
"2023 rate shock": -0.07685341713116045,
|
|
"2024 vol spike": -0.07918578561472489,
|
|
"2025 tariff crash": -0.2141727171925022,
|
|
"2026 Q1 drawdown": -0.13775947043877257
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33312668710643734,
|
|
"max_ret": -0.07685341713116045,
|
|
"all_pos": false
|
|
},
|
|
"mffsx": {
|
|
"name": "MFS Lifetime 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0548744502943965,
|
|
"corr_port": 0.3395281297320811,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22939215296410997,
|
|
"2023 rate shock": -0.10037523579519747,
|
|
"2024 vol spike": -0.05466777798681943,
|
|
"2025 tariff crash": -0.14167697494782994,
|
|
"2026 Q1 drawdown": -0.06990068754774625
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22939215296410997,
|
|
"max_ret": -0.05466777798681943,
|
|
"all_pos": false
|
|
},
|
|
"mfiax": {
|
|
"name": "MFS Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4777905921613778,
|
|
"corr_port": 0.040822613253877156,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13191622556506022,
|
|
"2023 rate shock": -0.061857552364464996,
|
|
"2024 vol spike": 0.016293560023006526,
|
|
"2025 tariff crash": -0.03354288678538597,
|
|
"2026 Q1 drawdown": -0.009868712922910028
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13191622556506022,
|
|
"max_ret": 0.016293560023006526,
|
|
"all_pos": false
|
|
},
|
|
"mfiox": {
|
|
"name": "MFS Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0990947799727848,
|
|
"corr_port": 0.030582380696160705,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15321261689485732,
|
|
"2023 rate shock": -0.04280055976333297,
|
|
"2024 vol spike": 0.019449457265788617,
|
|
"2025 tariff crash": 0.0012926739892629158,
|
|
"2026 Q1 drawdown": -0.007448903037935217
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15321261689485732,
|
|
"max_ret": 0.019449457265788617,
|
|
"all_pos": false
|
|
},
|
|
"mfjax": {
|
|
"name": "MFS Lifetime 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0210915580912714,
|
|
"corr_port": 0.31285057279273243,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22973792385530722,
|
|
"2023 rate shock": -0.09993208937331888,
|
|
"2024 vol spike": -0.05467799467232681,
|
|
"2025 tariff crash": -0.14226442602577405,
|
|
"2026 Q1 drawdown": -0.07010864130434769
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22973792385530722,
|
|
"max_ret": -0.05467799467232681,
|
|
"all_pos": false
|
|
},
|
|
"mfpax": {
|
|
"name": "MFS Pennsylvania Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5050298625448095,
|
|
"corr_port": 0.03650822920090405,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1265066966816446,
|
|
"2023 rate shock": -0.0615649375384264,
|
|
"2024 vol spike": 0.014223008612474164,
|
|
"2025 tariff crash": -0.03243682207936838,
|
|
"2026 Q1 drawdown": -0.009069114905362885
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1265066966816446,
|
|
"max_ret": 0.014223008612474164,
|
|
"all_pos": false
|
|
},
|
|
"mfrkx": {
|
|
"name": "MFS Research Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.5705650756138128,
|
|
"corr_port": 0.2751198803792067,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22829153160624904,
|
|
"2023 rate shock": -0.09380212013343148,
|
|
"2024 vol spike": -0.06194105691704266,
|
|
"2025 tariff crash": -0.18434722832854145,
|
|
"2026 Q1 drawdown": -0.09333333333333338
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22829153160624904,
|
|
"max_ret": -0.06194105691704266,
|
|
"all_pos": false
|
|
},
|
|
"mfscx": {
|
|
"name": "MFS South Carolina Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0565540476062628,
|
|
"corr_port": 0.03344869803622136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12726409624757407,
|
|
"2023 rate shock": -0.06557638796606147,
|
|
"2024 vol spike": 0.01605449911766943,
|
|
"2025 tariff crash": -0.036499836161331234,
|
|
"2026 Q1 drawdown": -0.009756224279484749
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12726409624757407,
|
|
"max_ret": 0.01605449911766943,
|
|
"all_pos": false
|
|
},
|
|
"mfsmx": {
|
|
"name": "MFS Maryland Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.28269499853649704,
|
|
"corr_port": 0.04800689407078949,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12307223889070806,
|
|
"2023 rate shock": -0.05678401206390782,
|
|
"2024 vol spike": 0.015518905445353282,
|
|
"2025 tariff crash": -0.032974658956828606,
|
|
"2026 Q1 drawdown": -0.009748618921962215
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12307223889070806,
|
|
"max_ret": 0.015518905445353282,
|
|
"all_pos": false
|
|
},
|
|
"mfssx": {
|
|
"name": "MFS Massachusetts Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.023427303157719914,
|
|
"corr_port": 0.045540515275922976,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12641759311940926,
|
|
"2023 rate shock": -0.05694853415462242,
|
|
"2024 vol spike": 0.01337779795405969,
|
|
"2025 tariff crash": -0.0343927885673011,
|
|
"2026 Q1 drawdown": -0.007646178278808646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12641759311940926,
|
|
"max_ret": 0.01337779795405969,
|
|
"all_pos": false
|
|
},
|
|
"mfwtx": {
|
|
"name": "MFS Global Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.10366002883649138,
|
|
"corr_port": 0.3973400121594816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1989217844018134,
|
|
"2023 rate shock": -0.07870568411342194,
|
|
"2024 vol spike": -0.022396676174196273,
|
|
"2025 tariff crash": -0.06876852091601315,
|
|
"2026 Q1 drawdown": -0.03820486866747108
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1989217844018134,
|
|
"max_ret": -0.022396676174196273,
|
|
"all_pos": false
|
|
},
|
|
"mfwvx": {
|
|
"name": "MFS West Virginia Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3067867595429904,
|
|
"corr_port": 0.0168838892195488,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11801394864873604,
|
|
"2023 rate shock": -0.06173549517137,
|
|
"2024 vol spike": 0.01435564725968308,
|
|
"2025 tariff crash": -0.03670284300763604,
|
|
"2026 Q1 drawdown": -0.007663609950424699
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11801394864873604,
|
|
"max_ret": 0.01435564725968308,
|
|
"all_pos": false
|
|
},
|
|
"mgfox": {
|
|
"name": "Income Opportunities Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.1228489219827082,
|
|
"corr_port": 0.1175539403175502,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08986643572986541,
|
|
"2023 rate shock": -0.009541832467852007,
|
|
"2024 vol spike": 0.00855389193713374,
|
|
"2025 tariff crash": -0.000901516802019553
|
|
},
|
|
"n_avail": 4,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08986643572986541,
|
|
"max_ret": 0.00855389193713374,
|
|
"all_pos": false
|
|
},
|
|
"mghax": {
|
|
"name": "NYLI Candriam Emerging Markets Debt Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3704194202928966,
|
|
"corr_port": 0.24351720759190532,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23873458585221075,
|
|
"2023 rate shock": -0.038470466158166294,
|
|
"2024 vol spike": -0.006506268028285134,
|
|
"2025 tariff crash": -0.03090985776915056,
|
|
"2026 Q1 drawdown": -0.036568657321175646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23873458585221075,
|
|
"max_ret": -0.006506268028285134,
|
|
"all_pos": false
|
|
},
|
|
"mgiax": {
|
|
"name": "MFS International Intrinsic Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6852558324855665,
|
|
"corr_port": 0.2942403533342004,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3291925593577515,
|
|
"2023 rate shock": -0.0978073018166502,
|
|
"2024 vol spike": -0.06543179082105166,
|
|
"2025 tariff crash": -0.1047052278270948,
|
|
"2026 Q1 drawdown": -0.08766231411986336
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3291925593577515,
|
|
"max_ret": -0.06543179082105166,
|
|
"all_pos": false
|
|
},
|
|
"mglax": {
|
|
"name": "MFS Global Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7011916606555535,
|
|
"corr_port": 0.2817107060825477,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3405308012554299,
|
|
"2023 rate shock": -0.1515152096762057,
|
|
"2024 vol spike": -0.03263391693328688,
|
|
"2025 tariff crash": -0.13006121803645776,
|
|
"2026 Q1 drawdown": -0.052343274497869685
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3405308012554299,
|
|
"max_ret": -0.03263391693328688,
|
|
"all_pos": false
|
|
},
|
|
"mgrax": {
|
|
"name": "MFS International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.47727353929660143,
|
|
"corr_port": 0.3147090461687435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2661031725238684,
|
|
"2023 rate shock": -0.1285993914050323,
|
|
"2024 vol spike": -0.054985296575378095,
|
|
"2025 tariff crash": -0.123822312626237,
|
|
"2026 Q1 drawdown": -0.10685482285704928
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2661031725238684,
|
|
"max_ret": -0.054985296575378095,
|
|
"all_pos": false
|
|
},
|
|
"mgsex": {
|
|
"name": "AMG Veritas Asia Pacific Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.09378876278456892,
|
|
"corr_port": 0.20789473475757803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32245098091181645,
|
|
"2023 rate shock": -0.14401996925192173,
|
|
"2024 vol spike": -0.07695969233057165,
|
|
"2025 tariff crash": -0.17804651706161168,
|
|
"2026 Q1 drawdown": -0.07073317255039713
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32245098091181645,
|
|
"max_ret": -0.07073317255039713,
|
|
"all_pos": false
|
|
},
|
|
"mgsix": {
|
|
"name": "MFS Government Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.02722411275943238,
|
|
"corr_port": -0.14548801784044005,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1295679742035305,
|
|
"2023 rate shock": -0.04215728194627877,
|
|
"2024 vol spike": 0.02561121046495085,
|
|
"2025 tariff crash": 0.017917027864394752,
|
|
"2026 Q1 drawdown": -0.005361772088480099
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1295679742035305,
|
|
"max_ret": 0.02561121046495085,
|
|
"all_pos": false
|
|
},
|
|
"mgvax": {
|
|
"name": "NYLI MacKay U.S. Infrastructure Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.3824497231825887,
|
|
"corr_port": -0.1112774913744201,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1325486437954877,
|
|
"2023 rate shock": -0.02987781712632198,
|
|
"2024 vol spike": 0.02501849509059295,
|
|
"2025 tariff crash": 0.015264094387828608,
|
|
"2026 Q1 drawdown": -0.0009883085374621237
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1325486437954877,
|
|
"max_ret": 0.02501849509059295,
|
|
"all_pos": false
|
|
},
|
|
"mhcax": {
|
|
"name": "NYLI MacKay High Yield Corporate Bond Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.1291009006715989,
|
|
"corr_port": 0.3073651290547232,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11185691723706104,
|
|
"2023 rate shock": -0.014596957591350046,
|
|
"2024 vol spike": -0.006737269235266297,
|
|
"2025 tariff crash": -0.030753482492605344,
|
|
"2026 Q1 drawdown": -0.011953818344103806
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11185691723706104,
|
|
"max_ret": -0.006737269235266297,
|
|
"all_pos": false
|
|
},
|
|
"mhitx": {
|
|
"name": "MFS High Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4226805506103496,
|
|
"corr_port": 0.28028737938879433,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14329671664464116,
|
|
"2023 rate shock": -0.02713432906025537,
|
|
"2024 vol spike": -0.001305411598384154,
|
|
"2025 tariff crash": -0.028550724944752637,
|
|
"2026 Q1 drawdown": -0.01798415207062576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14329671664464116,
|
|
"max_ret": -0.001305411598384154,
|
|
"all_pos": false
|
|
},
|
|
"mhoax": {
|
|
"name": "MFS Global High Yield Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.5942597996492694,
|
|
"corr_port": 0.30456198897159154,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14612162801146067,
|
|
"2023 rate shock": -0.020753475801526755,
|
|
"2024 vol spike": -0.0023710811859088965,
|
|
"2025 tariff crash": -0.02870541429363682,
|
|
"2026 Q1 drawdown": -0.016151918498241602
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14612162801146067,
|
|
"max_ret": -0.0023710811859088965,
|
|
"all_pos": false
|
|
},
|
|
"miaax": {
|
|
"name": "MFS Inflation-Adjusted Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.0688684790311801,
|
|
"corr_port": -0.06085626706382225,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1237014996392578,
|
|
"2023 rate shock": -0.03280191013011069,
|
|
"2024 vol spike": 0.013201115809024166,
|
|
"2025 tariff crash": 0.008980219399233436,
|
|
"2026 Q1 drawdown": -0.004419888259988181
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1237014996392578,
|
|
"max_ret": 0.013201115809024166,
|
|
"all_pos": false
|
|
},
|
|
"miazx": {
|
|
"name": "American Funds Multi-Sector Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.537555963250717,
|
|
"corr_port": 0.188515737598151,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15105167648552176,
|
|
"2023 rate shock": -0.03558871257354845,
|
|
"2024 vol spike": 0.005472766982141275,
|
|
"2025 tariff crash": -0.02066388531259078,
|
|
"2026 Q1 drawdown": -0.014320159933392529
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15105167648552176,
|
|
"max_ret": 0.005472766982141275,
|
|
"all_pos": false
|
|
},
|
|
"midax": {
|
|
"name": "MFS International New Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4277487966398312,
|
|
"corr_port": 0.33810503095247857,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29353786504282675,
|
|
"2023 rate shock": -0.10800258239154736,
|
|
"2024 vol spike": -0.051724099017257386,
|
|
"2025 tariff crash": -0.08372728316297395,
|
|
"2026 Q1 drawdown": -0.08564683739967982
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29353786504282675,
|
|
"max_ret": -0.051724099017257386,
|
|
"all_pos": false
|
|
},
|
|
"midsx": {
|
|
"name": "Midas Discovery",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7635851367643817,
|
|
"corr_port": 0.07419810240469338,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25806451612903225,
|
|
"2023 rate shock": -0.0803571428571429,
|
|
"2024 vol spike": -0.08730158730158732,
|
|
"2025 tariff crash": 0.019867549668874274,
|
|
"2026 Q1 drawdown": -0.18651685393258433
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.25806451612903225,
|
|
"max_ret": 0.019867549668874274,
|
|
"all_pos": false
|
|
},
|
|
"mieix": {
|
|
"name": "MFS International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.15230068022339197,
|
|
"corr_port": 0.36036571349694957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2761480547668119,
|
|
"2023 rate shock": -0.10926442910471046,
|
|
"2024 vol spike": -0.05218846254693321,
|
|
"2025 tariff crash": -0.10373217865311346,
|
|
"2026 Q1 drawdown": -0.08272864054184814
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2761480547668119,
|
|
"max_ret": -0.05218846254693321,
|
|
"all_pos": false
|
|
},
|
|
"migfx": {
|
|
"name": "Massachusetts Investors Growth Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.2798102851251274,
|
|
"corr_port": 0.24585830162798583,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2611753450353046,
|
|
"2023 rate shock": -0.0994631291991609,
|
|
"2024 vol spike": -0.056232974041432016,
|
|
"2025 tariff crash": -0.18029409122701034,
|
|
"2026 Q1 drawdown": -0.11812914416945586
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2611753450353046,
|
|
"max_ret": -0.056232974041432016,
|
|
"all_pos": false
|
|
},
|
|
"mishx": {
|
|
"name": "AB Municipal Income Shares",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7419287284250975,
|
|
"corr_port": 0.07425345783766146,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1480172584398447,
|
|
"2023 rate shock": -0.07100055862056742,
|
|
"2024 vol spike": 0.019796190851719464,
|
|
"2025 tariff crash": -0.026688948678955327,
|
|
"2026 Q1 drawdown": -0.009153549362371671
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1480172584398447,
|
|
"max_ret": 0.019796190851719464,
|
|
"all_pos": false
|
|
},
|
|
"missx": {
|
|
"name": "MFS Mississippi Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.09067103851556427,
|
|
"corr_port": 0.043796846835850334,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12281737020747685,
|
|
"2023 rate shock": -0.056957987045808456,
|
|
"2024 vol spike": 0.015943655900351628,
|
|
"2025 tariff crash": -0.036680754337764965,
|
|
"2026 Q1 drawdown": -0.01032283710783588
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12281737020747685,
|
|
"max_ret": 0.015943655900351628,
|
|
"all_pos": false
|
|
},
|
|
"mittx": {
|
|
"name": "Massachusetts Investors Trust",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.367731246029588,
|
|
"corr_port": 0.29394342048664124,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2301021935011628,
|
|
"2023 rate shock": -0.09826120725782583,
|
|
"2024 vol spike": -0.0691958086552864,
|
|
"2025 tariff crash": -0.1580921786459325,
|
|
"2026 Q1 drawdown": -0.09758083563975073
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2301021935011628,
|
|
"max_ret": -0.0691958086552864,
|
|
"all_pos": false
|
|
},
|
|
"miucx": {
|
|
"name": "MFS Municipal Intermediate Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.06900515606492541,
|
|
"corr_port": -0.044368406885342215,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10495201701514334,
|
|
"2023 rate shock": -0.04335058282956383,
|
|
"2024 vol spike": 0.014086691218927916,
|
|
"2025 tariff crash": -0.02406104048750146,
|
|
"2026 Q1 drawdown": -0.014893679174447394
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10495201701514334,
|
|
"max_ret": 0.014086691218927916,
|
|
"all_pos": false
|
|
},
|
|
"mkvhx": {
|
|
"name": "MFS International Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.1935895543826374,
|
|
"corr_port": 0.33790459233033604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25185177576609086,
|
|
"2023 rate shock": -0.08925864476449386,
|
|
"2024 vol spike": -0.05915091664854488,
|
|
"2025 tariff crash": -0.0911660873889295,
|
|
"2026 Q1 drawdown": -0.07444444444444442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25185177576609086,
|
|
"max_ret": -0.05915091664854488,
|
|
"all_pos": false
|
|
},
|
|
"mlaax": {
|
|
"name": "NYLI Winslow Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.218898761905965,
|
|
"corr_port": 0.15129553297888432,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35503485122834,
|
|
"2023 rate shock": -0.09271530415874085,
|
|
"2024 vol spike": -0.08744177582777524,
|
|
"2025 tariff crash": -0.21921916588536405,
|
|
"2026 Q1 drawdown": -0.1398843930635838
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35503485122834,
|
|
"max_ret": -0.08744177582777524,
|
|
"all_pos": false
|
|
},
|
|
"mlfax": {
|
|
"name": "MFS Lifetime 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1925212912316558,
|
|
"corr_port": 0.3403442129200188,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22140051612922218,
|
|
"2023 rate shock": -0.09242773343062338,
|
|
"2024 vol spike": -0.046277617227132306,
|
|
"2025 tariff crash": -0.12468831208481745,
|
|
"2026 Q1 drawdown": -0.06138701968134963
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22140051612922218,
|
|
"max_ret": -0.046277617227132306,
|
|
"all_pos": false
|
|
},
|
|
"mllax": {
|
|
"name": "MFS Lifetime Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3436561669668705,
|
|
"corr_port": 0.2652696110425647,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14879624693026683,
|
|
"2023 rate shock": -0.04968201518688686,
|
|
"2024 vol spike": -0.00473345444150397,
|
|
"2025 tariff crash": -0.0393549845648804,
|
|
"2026 Q1 drawdown": -0.023944050043054776
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14879624693026683,
|
|
"max_ret": -0.00473345444150397,
|
|
"all_pos": false
|
|
},
|
|
"mlozx": {
|
|
"name": "Cohen & Steers Future of Energy Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8617711033891573,
|
|
"corr_port": 0.3150019859671362,
|
|
"rets": {
|
|
"2022 bear mkt": 0.10259227082524025,
|
|
"2023 rate shock": -0.02614851820427988,
|
|
"2024 vol spike": -0.04157065933320081,
|
|
"2025 tariff crash": -0.17421901247657479,
|
|
"2026 Q1 drawdown": 0.13461535976196615
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17421901247657479,
|
|
"max_ret": 0.13461535976196615,
|
|
"all_pos": false
|
|
},
|
|
"mlpnx": {
|
|
"name": "Invesco SteelPath MLP Alpha Plus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.9717176111970138,
|
|
"corr_port": 0.27161437559147467,
|
|
"rets": {
|
|
"2022 bear mkt": 0.2003923784294137,
|
|
"2023 rate shock": 0.031665503556491004,
|
|
"2024 vol spike": -0.05837452369361151,
|
|
"2025 tariff crash": -0.17926995035706939,
|
|
"2026 Q1 drawdown": 0.14242245690010824
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.17926995035706939,
|
|
"max_ret": 0.2003923784294137,
|
|
"all_pos": false
|
|
},
|
|
"mlpox": {
|
|
"name": "Invesco SteelPath MLP Alpha Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.02786521621799,
|
|
"corr_port": 0.2807528433865705,
|
|
"rets": {
|
|
"2022 bear mkt": 0.1598230440130246,
|
|
"2023 rate shock": 0.01926091455118395,
|
|
"2024 vol spike": -0.05475722693887508,
|
|
"2025 tariff crash": -0.14117034503089076,
|
|
"2026 Q1 drawdown": 0.10071270230103058
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.14117034503089076,
|
|
"max_ret": 0.1598230440130246,
|
|
"all_pos": false
|
|
},
|
|
"mlptx": {
|
|
"name": "Invesco SteelPath MLP Select 40 Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.3510972278672675,
|
|
"corr_port": 0.28958630942917907,
|
|
"rets": {
|
|
"2022 bear mkt": 0.09282648309197317,
|
|
"2023 rate shock": 0.02491188565276925,
|
|
"2024 vol spike": -0.05809109783928523,
|
|
"2025 tariff crash": -0.13063437911960352,
|
|
"2026 Q1 drawdown": 0.10989554442682259
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.13063437911960352,
|
|
"max_ret": 0.10989554442682259,
|
|
"all_pos": false
|
|
},
|
|
"mlpzx": {
|
|
"name": "Invesco SteelPath MLP Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.3057578486075245,
|
|
"corr_port": 0.2745000022239705,
|
|
"rets": {
|
|
"2022 bear mkt": 0.12320180235592404,
|
|
"2023 rate shock": 0.03288523000597787,
|
|
"2024 vol spike": -0.056482338101929264,
|
|
"2025 tariff crash": -0.1413200634628523,
|
|
"2026 Q1 drawdown": 0.08473924676423938
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.1413200634628523,
|
|
"max_ret": 0.12320180235592404,
|
|
"all_pos": false
|
|
},
|
|
"mltax": {
|
|
"name": "MFS Lifetime 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6320101420323838,
|
|
"corr_port": 0.3250432882114806,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1871476466727795,
|
|
"2023 rate shock": -0.0663660936822218,
|
|
"2024 vol spike": -0.018137942313761313,
|
|
"2025 tariff crash": -0.06320396650537463,
|
|
"2026 Q1 drawdown": -0.033498819261859714
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1871476466727795,
|
|
"max_ret": -0.018137942313761313,
|
|
"all_pos": false
|
|
},
|
|
"mlvax": {
|
|
"name": "MFS Low Volatility Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.09056734313535268,
|
|
"corr_port": 0.3195517291622279,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18381042055154895,
|
|
"2023 rate shock": -0.07560978791687145,
|
|
"2024 vol spike": -0.038904962727259296,
|
|
"2025 tariff crash": -0.10879321455721369,
|
|
"2026 Q1 drawdown": -0.0427600433245644
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18381042055154895,
|
|
"max_ret": -0.038904962727259296,
|
|
"all_pos": false
|
|
},
|
|
"mmgax": {
|
|
"name": "MFS Georgia Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.17041547698355364,
|
|
"corr_port": 0.04309198045061873,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1274560923393495,
|
|
"2023 rate shock": -0.0640607462419539,
|
|
"2024 vol spike": 0.015258126324112942,
|
|
"2025 tariff crash": -0.036971230212182404,
|
|
"2026 Q1 drawdown": -0.00982028726551476
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1274560923393495,
|
|
"max_ret": 0.015258126324112942,
|
|
"all_pos": false
|
|
},
|
|
"mmgpx": {
|
|
"name": "Discovery Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.6505609727256703,
|
|
"corr_port": -0.043805004540106864,
|
|
"rets": {
|
|
"2022 bear mkt": -0.7722709869144018,
|
|
"2023 rate shock": -0.242081277870688,
|
|
"2024 vol spike": -0.08559495193189381,
|
|
"2025 tariff crash": -0.2450980047533391,
|
|
"2026 Q1 drawdown": -0.12411847672778564
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.7722709869144018,
|
|
"max_ret": -0.08559495193189381,
|
|
"all_pos": false
|
|
},
|
|
"mmhyx": {
|
|
"name": "MFS Municipal High Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6951960074777012,
|
|
"corr_port": 0.05806639493438524,
|
|
"rets": {
|
|
"2022 bear mkt": -0.157104137637473,
|
|
"2023 rate shock": -0.06636826942276064,
|
|
"2024 vol spike": 0.01831309376579915,
|
|
"2025 tariff crash": -0.034528115190876396,
|
|
"2026 Q1 drawdown": -0.007758233646327106
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.157104137637473,
|
|
"max_ret": 0.01831309376579915,
|
|
"all_pos": false
|
|
},
|
|
"mmufx": {
|
|
"name": "MFS Utilities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2896147131385606,
|
|
"corr_port": 0.2645562463413659,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12184343935485031,
|
|
"2023 rate shock": -0.12144343955602765,
|
|
"2024 vol spike": 0.02110085637556325,
|
|
"2025 tariff crash": -0.07666921203668009,
|
|
"2026 Q1 drawdown": 0.0629292478914456
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12184343935485031,
|
|
"max_ret": 0.0629292478914456,
|
|
"all_pos": false
|
|
},
|
|
"mncex": {
|
|
"name": "Mercer Non-US Core Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.49369851865724895,
|
|
"corr_port": 0.37325419427824674,
|
|
"rets": {
|
|
"2022 bear mkt": -0.294326240303307,
|
|
"2023 rate shock": -0.08454811695393039,
|
|
"2024 vol spike": -0.07310703611399394,
|
|
"2025 tariff crash": -0.09454549030344461,
|
|
"2026 Q1 drawdown": -0.0768049155145929
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.294326240303307,
|
|
"max_ret": -0.07310703611399394,
|
|
"all_pos": false
|
|
},
|
|
"mndax": {
|
|
"name": "MFS New Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.369426168259726,
|
|
"corr_port": 0.170527931263082,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33459421201365025,
|
|
"2023 rate shock": -0.16609880749574113,
|
|
"2024 vol spike": -0.08511476642913707,
|
|
"2025 tariff crash": -0.21925753212461208,
|
|
"2026 Q1 drawdown": -0.10866624547507642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33459421201365025,
|
|
"max_ret": -0.08511476642913707,
|
|
"all_pos": false
|
|
},
|
|
"mnrbx": {
|
|
"name": "Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7914312339198287,
|
|
"corr_port": -0.20083925143501813,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08301888444767225,
|
|
"2023 rate shock": -0.01631006304690763,
|
|
"2024 vol spike": 0.019861122900929784,
|
|
"2025 tariff crash": 0.01992028071935903,
|
|
"2026 Q1 drawdown": -0.0009661835748792091
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08301888444767225,
|
|
"max_ret": 0.01992028071935903,
|
|
"all_pos": false
|
|
},
|
|
"mnrgx": {
|
|
"name": "Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9037898682604585,
|
|
"corr_port": 0.2601146454460685,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20474302111136145,
|
|
"2023 rate shock": -0.09007721144563507,
|
|
"2024 vol spike": -0.08203994026736317,
|
|
"2025 tariff crash": -0.24272061060372874,
|
|
"2026 Q1 drawdown": -0.11349131464240392
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24272061060372874,
|
|
"max_ret": -0.08203994026736317,
|
|
"all_pos": false
|
|
},
|
|
"mnrmx": {
|
|
"name": "Manor Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.19479662111974452,
|
|
"corr_port": 0.33636152587969614,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2035549818797835,
|
|
"2023 rate shock": -0.11414397878220983,
|
|
"2024 vol spike": -0.07419193182288075,
|
|
"2025 tariff crash": -0.21269602352703554,
|
|
"2026 Q1 drawdown": -0.06494109082505195
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21269602352703554,
|
|
"max_ret": -0.06494109082505195,
|
|
"all_pos": false
|
|
},
|
|
"moat": {
|
|
"name": "VanEck Morningstar Wide Moat ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.0175076342665244,
|
|
"corr_port": 0.25721371933567966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2274973093450987,
|
|
"2023 rate shock": -0.1459113211349976,
|
|
"2024 vol spike": -0.026339309212915385,
|
|
"2025 tariff crash": -0.17523445247972758,
|
|
"2026 Q1 drawdown": -0.0984574109252736
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2274973093450987,
|
|
"max_ret": -0.026339309212915385,
|
|
"all_pos": false
|
|
},
|
|
"mofix": {
|
|
"name": "Mercer Opportunistic Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.210297341120211,
|
|
"corr_port": 0.09597879206857933,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16025631391136996,
|
|
"2023 rate shock": -0.040792600883809094,
|
|
"2024 vol spike": 0.0011668215097546675,
|
|
"2025 tariff crash": -0.021791759900299024,
|
|
"2026 Q1 drawdown": -0.02107728838646772
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16025631391136996,
|
|
"max_ret": 0.0011668215097546675,
|
|
"all_pos": false
|
|
},
|
|
"moglx": {
|
|
"name": "Gabelli Media Mogul Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9861003681024647,
|
|
"corr_port": 0.24621880862907888,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34708739306654846,
|
|
"2023 rate shock": -0.15608166102476317,
|
|
"2024 vol spike": -0.04961418501206216,
|
|
"2025 tariff crash": -0.1594650787153885,
|
|
"2026 Q1 drawdown": 0.006283612773037461
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.34708739306654846,
|
|
"max_ret": 0.006283612773037461,
|
|
"all_pos": false
|
|
},
|
|
"montx": {
|
|
"name": "Monetta Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6517931119407059,
|
|
"corr_port": 0.21841731619562407,
|
|
"rets": {
|
|
"2022 bear mkt": -0.304761884906695,
|
|
"2023 rate shock": -0.09075413903619522,
|
|
"2024 vol spike": -0.09610661428510925,
|
|
"2025 tariff crash": -0.22152500865171332,
|
|
"2026 Q1 drawdown": -0.11875198981216173
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.304761884906695,
|
|
"max_ret": -0.09075413903619522,
|
|
"all_pos": false
|
|
},
|
|
"mort": {
|
|
"name": "VanEck Mortgage REIT Income ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8001561033635611,
|
|
"corr_port": 0.2600694928777911,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36251072132426465,
|
|
"2023 rate shock": -0.18902736640131845,
|
|
"2024 vol spike": -0.08083345604763714,
|
|
"2025 tariff crash": -0.1697645947115366,
|
|
"2026 Q1 drawdown": -0.1159292163183332
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36251072132426465,
|
|
"max_ret": -0.08083345604763714,
|
|
"all_pos": false
|
|
},
|
|
"motg": {
|
|
"name": "VanEck Morningstar Global Wide Moat ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8584007779566446,
|
|
"corr_port": 0.2759722374625135,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22733275327406932,
|
|
"2023 rate shock": -0.14378723437082597,
|
|
"2024 vol spike": -0.03590567788469834,
|
|
"2025 tariff crash": -0.12366691064305435,
|
|
"2026 Q1 drawdown": -0.1152141830431852
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22733275327406932,
|
|
"max_ret": -0.03590567788469834,
|
|
"all_pos": false
|
|
},
|
|
"moti": {
|
|
"name": "VanEck Morningstar International Moat ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.23882261313975328,
|
|
"corr_port": 0.31413539446318167,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2426191620953596,
|
|
"2023 rate shock": -0.1521338916103795,
|
|
"2024 vol spike": -0.06266778344241797,
|
|
"2025 tariff crash": -0.1006892052278594,
|
|
"2026 Q1 drawdown": -0.14363074119728558
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2426191620953596,
|
|
"max_ret": -0.06266778344241797,
|
|
"all_pos": false
|
|
},
|
|
"mpblx": {
|
|
"name": "BNY Mellon Asset Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8691672215177436,
|
|
"corr_port": 0.30356474535184985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20696816214031033,
|
|
"2023 rate shock": -0.0832453717756999,
|
|
"2024 vol spike": -0.04442629261715125,
|
|
"2025 tariff crash": -0.12893087403260728,
|
|
"2026 Q1 drawdown": -0.06654710500352035
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20696816214031033,
|
|
"max_ret": -0.04442629261715125,
|
|
"all_pos": false
|
|
},
|
|
"mqlix": {
|
|
"name": "MFS Limited Maturity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0837457888624018,
|
|
"corr_port": -0.0016491179864874315,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05366272486470358,
|
|
"2023 rate shock": 0.003196336384604148,
|
|
"2024 vol spike": 0.012482740976307305,
|
|
"2025 tariff crash": 0.010685559730332361,
|
|
"2026 Q1 drawdown": 0.0004885076014293777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.05366272486470358,
|
|
"max_ret": 0.012482740976307305,
|
|
"all_pos": false
|
|
},
|
|
"mrbkx": {
|
|
"name": "MFS Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0930032463783625,
|
|
"corr_port": -0.024247344596193824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15462089690723557,
|
|
"2023 rate shock": -0.04204939681537445,
|
|
"2024 vol spike": 0.020476580937958788,
|
|
"2025 tariff crash": 0.00610307518723574,
|
|
"2026 Q1 drawdown": -0.004534190728169074
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15462089690723557,
|
|
"max_ret": 0.020476580937958788,
|
|
"all_pos": false
|
|
},
|
|
"mresx": {
|
|
"name": "Cromwell CenterSquare Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0962634498652928,
|
|
"corr_port": 0.2321578792288191,
|
|
"rets": {
|
|
"2022 bear mkt": -0.309063156506142,
|
|
"2023 rate shock": -0.1501896620754274,
|
|
"2024 vol spike": -0.007098661177875276,
|
|
"2025 tariff crash": -0.12252310697090674,
|
|
"2026 Q1 drawdown": 0.0004058988654838114
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.309063156506142,
|
|
"max_ret": 0.0004058988654838114,
|
|
"all_pos": false
|
|
},
|
|
"mrgax": {
|
|
"name": "MFS Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9521149661313162,
|
|
"corr_port": 0.27634311013642404,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22771247692452112,
|
|
"2023 rate shock": -0.10027045647433208,
|
|
"2024 vol spike": -0.06212619868817548,
|
|
"2025 tariff crash": -0.18403047122506466,
|
|
"2026 Q1 drawdown": -0.0917431387858677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22771247692452112,
|
|
"max_ret": -0.06212619868817548,
|
|
"all_pos": false
|
|
},
|
|
"mrskx": {
|
|
"name": "MFS Research International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8140070168444207,
|
|
"corr_port": 0.3581214974209057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29288357438603063,
|
|
"2023 rate shock": -0.1082310019701096,
|
|
"2024 vol spike": -0.06221294969373781,
|
|
"2025 tariff crash": -0.10182437507001285,
|
|
"2026 Q1 drawdown": -0.0770629225736097
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29288357438603063,
|
|
"max_ret": -0.06221294969373781,
|
|
"all_pos": false
|
|
},
|
|
"mscgx": {
|
|
"name": "Mercer US Small/Mid Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4498670753751562,
|
|
"corr_port": 0.2782281710530694,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22663547548486573,
|
|
"2023 rate shock": -0.13223148439105126,
|
|
"2024 vol spike": -0.06928212194983707,
|
|
"2025 tariff crash": -0.20086961443133378,
|
|
"2026 Q1 drawdown": -0.06260720411663812
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22663547548486573,
|
|
"max_ret": -0.06260720411663812,
|
|
"all_pos": false
|
|
},
|
|
"msfrx": {
|
|
"name": "MFS Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3024521290653845,
|
|
"corr_port": 0.3683323917778254,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16646443008659284,
|
|
"2023 rate shock": -0.08167989129024233,
|
|
"2024 vol spike": -0.019986951911079687,
|
|
"2025 tariff crash": -0.07928034853398158,
|
|
"2026 Q1 drawdown": -0.022405893118697784
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16646443008659284,
|
|
"max_ret": -0.019986951911079687,
|
|
"all_pos": false
|
|
},
|
|
"msggx": {
|
|
"name": "Meridian Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7929810350570483,
|
|
"corr_port": 0.19653228345622936,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2915398461514547,
|
|
"2023 rate shock": -0.20742539048487874,
|
|
"2024 vol spike": -0.07060624650276093,
|
|
"2025 tariff crash": -0.24140460182636714,
|
|
"2026 Q1 drawdown": -0.10815173527037936
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2915398461514547,
|
|
"max_ret": -0.07060624650276093,
|
|
"all_pos": false
|
|
},
|
|
"msncx": {
|
|
"name": "MFS North Carolina Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.20384050699588666,
|
|
"corr_port": 0.048390994087632665,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12342874459666531,
|
|
"2023 rate shock": -0.06097435139684226,
|
|
"2024 vol spike": 0.015443428632093248,
|
|
"2025 tariff crash": -0.036592672914028346,
|
|
"2026 Q1 drawdown": -0.010527739662101299
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12342874459666531,
|
|
"max_ret": 0.015443428632093248,
|
|
"all_pos": false
|
|
},
|
|
"msnyx": {
|
|
"name": "MFS New York Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.18007206237640622,
|
|
"corr_port": 0.03825837225700997,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1453171070227689,
|
|
"2023 rate shock": -0.07207615227854225,
|
|
"2024 vol spike": 0.01760450736202901,
|
|
"2025 tariff crash": -0.0391188328816775,
|
|
"2026 Q1 drawdown": -0.008145606381268156
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1453171070227689,
|
|
"max_ret": 0.01760450736202901,
|
|
"all_pos": false
|
|
},
|
|
"msoax": {
|
|
"name": "NYLI WMC Enduring Capital Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.48138864630322453,
|
|
"corr_port": 0.31599586906236515,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19559624392081387,
|
|
"2023 rate shock": -0.0992624842065648,
|
|
"2024 vol spike": -0.043184233931615856,
|
|
"2025 tariff crash": -0.10231505886646719,
|
|
"2026 Q1 drawdown": -0.06951154425719519
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19559624392081387,
|
|
"max_ret": -0.043184233931615856,
|
|
"all_pos": false
|
|
},
|
|
"mstbx": {
|
|
"name": "Morningstar Defensive Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3302126864268995,
|
|
"corr_port": -0.09222762338952366,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05239216052977991,
|
|
"2023 rate shock": 0.00883742033823487,
|
|
"2024 vol spike": 0.011996060614265946,
|
|
"2025 tariff crash": 0.010404621631844524,
|
|
"2026 Q1 drawdown": -0.0002257383809672886
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05239216052977991,
|
|
"max_ret": 0.011996060614265946,
|
|
"all_pos": false
|
|
},
|
|
"mstfx": {
|
|
"name": "Morningstar International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.06525150810133654,
|
|
"corr_port": 0.3481834003496687,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28865057266868444,
|
|
"2023 rate shock": -0.12150437803991188,
|
|
"2024 vol spike": -0.06250007669713475,
|
|
"2025 tariff crash": -0.11898025728723294,
|
|
"2026 Q1 drawdown": -0.08416666666666661
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28865057266868444,
|
|
"max_ret": -0.06250007669713475,
|
|
"all_pos": false
|
|
},
|
|
"mstgx": {
|
|
"name": "Morningstar Global Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9933531707798834,
|
|
"corr_port": 0.39633968676694725,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18310638439221805,
|
|
"2023 rate shock": -0.055943812594382525,
|
|
"2024 vol spike": -0.02131324981773941,
|
|
"2025 tariff crash": -0.05775244067938856,
|
|
"2026 Q1 drawdown": -0.009625154021934423
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18310638439221805,
|
|
"max_ret": -0.009625154021934423,
|
|
"all_pos": false
|
|
},
|
|
"mstpx": {
|
|
"name": "Morningstar Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8044695679879178,
|
|
"corr_port": 0.06023607150977809,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0885587211468335,
|
|
"2023 rate shock": -0.03586269615894433,
|
|
"2024 vol spike": 0.010718430862400874,
|
|
"2025 tariff crash": -0.02509098865640491,
|
|
"2026 Q1 drawdown": -0.006358255774320809
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0885587211468335,
|
|
"max_ret": 0.010718430862400874,
|
|
"all_pos": false
|
|
},
|
|
"mstqx": {
|
|
"name": "Morningstar U.S. Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1608694975109107,
|
|
"corr_port": 0.28865935307024193,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22911886703312978,
|
|
"2023 rate shock": -0.10144932315027322,
|
|
"2024 vol spike": -0.05535050731347424,
|
|
"2025 tariff crash": -0.16565821771985634,
|
|
"2026 Q1 drawdown": -0.0831973898858075
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22911886703312978,
|
|
"max_ret": -0.05535050731347424,
|
|
"all_pos": false
|
|
},
|
|
"msvax": {
|
|
"name": "MFS Virginia Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0687098259676151,
|
|
"corr_port": 0.0410074257904861,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12222834009131167,
|
|
"2023 rate shock": -0.06721518061403553,
|
|
"2024 vol spike": 0.014245316461135138,
|
|
"2025 tariff crash": -0.039911403435927584,
|
|
"2026 Q1 drawdown": -0.012464648871665762
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12222834009131167,
|
|
"max_ret": 0.014245316461135138,
|
|
"all_pos": false
|
|
},
|
|
"mtbax": {
|
|
"name": "NYLI MacKay Tax Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.05489553348841294,
|
|
"corr_port": 0.04895433019990402,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12949577901630915,
|
|
"2023 rate shock": -0.054215306130610985,
|
|
"2024 vol spike": 0.01471555606345576,
|
|
"2025 tariff crash": -0.029897147929582202,
|
|
"2026 Q1 drawdown": -0.01034498248233795
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12949577901630915,
|
|
"max_ret": 0.01471555606345576,
|
|
"all_pos": false
|
|
},
|
|
"mtcax": {
|
|
"name": "MFS Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0468238163735417,
|
|
"corr_port": 0.11863020730276233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3720609119707259,
|
|
"2023 rate shock": -0.09127509337847384,
|
|
"2024 vol spike": -0.09409226841759644,
|
|
"2025 tariff crash": -0.24844721876417375,
|
|
"2026 Q1 drawdown": -0.15500794419688568
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3720609119707259,
|
|
"max_ret": -0.09127509337847384,
|
|
"all_pos": false
|
|
},
|
|
"mtcgx": {
|
|
"name": "M Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8592490141886018,
|
|
"corr_port": 0.17749945161539604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31566547308516035,
|
|
"2023 rate shock": -0.09603707230873937,
|
|
"2024 vol spike": -0.0945986268598158,
|
|
"2025 tariff crash": -0.21856983146712994,
|
|
"2026 Q1 drawdown": -0.112057226432413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31566547308516035,
|
|
"max_ret": -0.0945986268598158,
|
|
"all_pos": false
|
|
},
|
|
"mtlfx": {
|
|
"name": "MFS Municipal Limited Maturity Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.4411309183080558,
|
|
"corr_port": 0.055601718906850804,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06836194061055567,
|
|
"2023 rate shock": -0.01639807103201074,
|
|
"2024 vol spike": 0.010097788102919392,
|
|
"2025 tariff crash": -0.010061467525373957,
|
|
"2026 Q1 drawdown": -0.009908801117824884
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.06836194061055567,
|
|
"max_ret": 0.010097788102919392,
|
|
"all_pos": false
|
|
},
|
|
"mtrax": {
|
|
"name": "NYLI Income Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2772142500410893,
|
|
"corr_port": 0.36856847268694853,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21684407551746976,
|
|
"2023 rate shock": -0.08608862552196539,
|
|
"2024 vol spike": -0.03199112800344894,
|
|
"2025 tariff crash": -0.09835282129151668,
|
|
"2026 Q1 drawdown": -0.025163718110992495
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21684407551746976,
|
|
"max_ret": -0.025163718110992495,
|
|
"all_pos": false
|
|
},
|
|
"mueax": {
|
|
"name": "MFS Blended Research Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7467263110146874,
|
|
"corr_port": 0.29953587757080846,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21512852316155306,
|
|
"2023 rate shock": -0.09174007923409311,
|
|
"2024 vol spike": -0.07253749940235854,
|
|
"2025 tariff crash": -0.19002437093503366,
|
|
"2026 Q1 drawdown": -0.08500890595548716
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21512852316155306,
|
|
"max_ret": -0.07253749940235854,
|
|
"all_pos": false
|
|
},
|
|
"mvalx": {
|
|
"name": "MERIDIAN CONTRARIAN FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.35100415979053534,
|
|
"corr_port": 0.28539187167281904,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2429644334868405,
|
|
"2023 rate shock": -0.17747272047892848,
|
|
"2024 vol spike": -0.08165891132067782,
|
|
"2025 tariff crash": -0.21845770424560151,
|
|
"2026 Q1 drawdown": -0.08452683728574795
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2429644334868405,
|
|
"max_ret": -0.08165891132067782,
|
|
"all_pos": false
|
|
},
|
|
"mvcax": {
|
|
"name": "MFS Mid Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5090570929725464,
|
|
"corr_port": 0.3834691698977543,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18397989021849515,
|
|
"2023 rate shock": -0.12239398461083006,
|
|
"2024 vol spike": -0.04146486105153657,
|
|
"2025 tariff crash": -0.16287999576578793,
|
|
"2026 Q1 drawdown": -0.05110188601411325
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18397989021849515,
|
|
"max_ret": -0.04146486105153657,
|
|
"all_pos": false
|
|
},
|
|
"mveix": {
|
|
"name": "Monteagle Select Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7421827545915518,
|
|
"corr_port": 0.2671727990757026,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2020813188411813,
|
|
"2023 rate shock": -0.09791991225454377,
|
|
"2024 vol spike": -0.045768640654987314,
|
|
"2025 tariff crash": -0.13613177772616936,
|
|
"2026 Q1 drawdown": -0.04851521758211608
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2020813188411813,
|
|
"max_ret": -0.045768640654987314,
|
|
"all_pos": false
|
|
},
|
|
"mvgax": {
|
|
"name": "MFS Low Volatility Global Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.355411563208218,
|
|
"corr_port": 0.3671156432313979,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18012416372340712,
|
|
"2023 rate shock": -0.06655446542427157,
|
|
"2024 vol spike": -0.03255279765297581,
|
|
"2025 tariff crash": -0.07500029403424124,
|
|
"2026 Q1 drawdown": -0.0442296060039703
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18012416372340712,
|
|
"max_ret": -0.03255279765297581,
|
|
"all_pos": false
|
|
},
|
|
"mwefx": {
|
|
"name": "MFS Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3525855128403492,
|
|
"corr_port": 0.3415246808052925,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28271545366093176,
|
|
"2023 rate shock": -0.13294341389641107,
|
|
"2024 vol spike": -0.04268786290311344,
|
|
"2025 tariff crash": -0.14223294052961244,
|
|
"2026 Q1 drawdown": -0.11907097217256868
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28271545366093176,
|
|
"max_ret": -0.04268786290311344,
|
|
"all_pos": false
|
|
},
|
|
"mwofx": {
|
|
"name": "MFS Global Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.6787926472571937,
|
|
"corr_port": 0.2724918535417036,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2733007107551527,
|
|
"2023 rate shock": -0.11725203626201774,
|
|
"2024 vol spike": -0.04821547877548871,
|
|
"2025 tariff crash": -0.1597113648178734,
|
|
"2026 Q1 drawdown": -0.11698897235096695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2733007107551527,
|
|
"max_ret": -0.04821547877548871,
|
|
"all_pos": false
|
|
},
|
|
"mxccx": {
|
|
"name": "Federated Hermes Max-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6392675457752635,
|
|
"corr_port": 0.28164085365563,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25228186495507876,
|
|
"2023 rate shock": -0.10017563950859032,
|
|
"2024 vol spike": -0.071999957200782,
|
|
"2025 tariff crash": -0.18630132200690663,
|
|
"2026 Q1 drawdown": -0.0896103896103897
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25228186495507876,
|
|
"max_ret": -0.071999957200782,
|
|
"all_pos": false
|
|
},
|
|
"mxigx": {
|
|
"name": "Empower International Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.462720695469626,
|
|
"corr_port": 0.23829870978608336,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39151062999466957,
|
|
"2023 rate shock": -0.15384606731432282,
|
|
"2024 vol spike": -0.06709948024503376,
|
|
"2025 tariff crash": -0.15676456562279883,
|
|
"2026 Q1 drawdown": -0.12306610407876228
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39151062999466957,
|
|
"max_ret": -0.06709948024503376,
|
|
"all_pos": false
|
|
},
|
|
"naarx": {
|
|
"name": "American Funds Retirement Income Portfolio - Conservative",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3072062850402153,
|
|
"corr_port": 0.2989441800367642,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1534856959056946,
|
|
"2023 rate shock": -0.05611831644353116,
|
|
"2024 vol spike": -0.005987736553853096,
|
|
"2025 tariff crash": -0.04414643904251214,
|
|
"2026 Q1 drawdown": -0.024037806365384884
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1534856959056946,
|
|
"max_ret": -0.005987736553853096,
|
|
"all_pos": false
|
|
},
|
|
"nacmx": {
|
|
"name": "Columbia California Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.09396480245326518,
|
|
"corr_port": 0.043295790890780374,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08789719296434895,
|
|
"2023 rate shock": -0.030897351234708936,
|
|
"2024 vol spike": 0.011318100111697094,
|
|
"2025 tariff crash": -0.019393043704392876,
|
|
"2026 Q1 drawdown": -0.01295142413424677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08789719296434895,
|
|
"max_ret": 0.011318100111697094,
|
|
"all_pos": false
|
|
},
|
|
"nanr": {
|
|
"name": "State Street(R) SPDR(R) S&P(R) North American Natural Resources ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5466302547761017,
|
|
"corr_port": 0.37113923738377547,
|
|
"rets": {
|
|
"2022 bear mkt": 0.13880246166415033,
|
|
"2023 rate shock": -0.07414947418377227,
|
|
"2024 vol spike": -0.08565262826044706,
|
|
"2025 tariff crash": -0.15996278176580192,
|
|
"2026 Q1 drawdown": 0.04203374047422326
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15996278176580192,
|
|
"max_ret": 0.13880246166415033,
|
|
"all_pos": false
|
|
},
|
|
"napix": {
|
|
"name": "Voya Multi-Manager International Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.005725340198476609,
|
|
"corr_port": 0.3828035762522231,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29930233625140945,
|
|
"2023 rate shock": -0.1259312097631511,
|
|
"2024 vol spike": -0.0789216478916912,
|
|
"2025 tariff crash": -0.10989714251827942,
|
|
"2026 Q1 drawdown": -0.0862282403530581
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29930233625140945,
|
|
"max_ret": -0.0789216478916912,
|
|
"all_pos": false
|
|
},
|
|
"nbarx": {
|
|
"name": "American Funds Retirement Income Portfolio - Moderate",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4007587078841768,
|
|
"corr_port": 0.3413642604774375,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1670543202659367,
|
|
"2023 rate shock": -0.06499783141881021,
|
|
"2024 vol spike": -0.0176565906370717,
|
|
"2025 tariff crash": -0.06743419664318606,
|
|
"2026 Q1 drawdown": -0.03468548636505264
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1670543202659367,
|
|
"max_ret": -0.0176565906370717,
|
|
"all_pos": false
|
|
},
|
|
"nbiax": {
|
|
"name": "Columbia Capital Allocation Moderate Aggressive Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3772404613115654,
|
|
"corr_port": 0.29696032043443304,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23520105673985936,
|
|
"2023 rate shock": -0.07629681020954115,
|
|
"2024 vol spike": -0.05192633622829179,
|
|
"2025 tariff crash": -0.12190982811161544,
|
|
"2026 Q1 drawdown": -0.061210302411778494
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23520105673985936,
|
|
"max_ret": -0.05192633622829179,
|
|
"all_pos": false
|
|
},
|
|
"nbngx": {
|
|
"name": "SIT MID CAP GROWTH FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5296341818558834,
|
|
"corr_port": 0.20404761280611597,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2922623778137414,
|
|
"2023 rate shock": -0.1373971594411043,
|
|
"2024 vol spike": -0.07988036981846014,
|
|
"2025 tariff crash": -0.21341463132721017,
|
|
"2026 Q1 drawdown": -0.08562691131498468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2922623778137414,
|
|
"max_ret": -0.07988036981846014,
|
|
"all_pos": false
|
|
},
|
|
"nbrvx": {
|
|
"name": "Neuberger Mid Cap Intrinsic Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5424708792138131,
|
|
"corr_port": 0.3552160849152223,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19242196664925282,
|
|
"2023 rate shock": -0.12603387868062832,
|
|
"2024 vol spike": -0.07725783690751165,
|
|
"2025 tariff crash": -0.2158327138918017,
|
|
"2026 Q1 drawdown": -0.06822323969354249
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2158327138918017,
|
|
"max_ret": -0.06822323969354249,
|
|
"all_pos": false
|
|
},
|
|
"ncaax": {
|
|
"name": "Nuveen California Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4168978725143216,
|
|
"corr_port": 0.04365935184667315,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13951008165980883,
|
|
"2023 rate shock": -0.053973734686903585,
|
|
"2024 vol spike": 0.01490758364366851,
|
|
"2025 tariff crash": -0.032857164991271226,
|
|
"2026 Q1 drawdown": -0.003879161967339284
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13951008165980883,
|
|
"max_ret": 0.01490758364366851,
|
|
"all_pos": false
|
|
},
|
|
"ncbgx": {
|
|
"name": "New Covenant Balanced Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3393183654919558,
|
|
"corr_port": 0.2453627938211466,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1988413036440997,
|
|
"2023 rate shock": -0.076448973344025,
|
|
"2024 vol spike": -0.0376800472102129,
|
|
"2025 tariff crash": -0.11062873864088629,
|
|
"2026 Q1 drawdown": -0.056919546310820746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1988413036440997,
|
|
"max_ret": -0.0376800472102129,
|
|
"all_pos": false
|
|
},
|
|
"ncbix": {
|
|
"name": "New Covenant Balanced Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7158635301584895,
|
|
"corr_port": 0.22805894703209006,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16652601671062384,
|
|
"2023 rate shock": -0.055595326677453705,
|
|
"2024 vol spike": -0.014977859760600731,
|
|
"2025 tariff crash": -0.058323646959991815,
|
|
"2026 Q1 drawdown": -0.035546057139532294
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16652601671062384,
|
|
"max_ret": -0.014977859760600731,
|
|
"all_pos": false
|
|
},
|
|
"ncgfx": {
|
|
"name": "New Covenant Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5743029915763584,
|
|
"corr_port": 0.27681392175362945,
|
|
"rets": {
|
|
"2022 bear mkt": -0.252875750750687,
|
|
"2023 rate shock": -0.10656104890679485,
|
|
"2024 vol spike": -0.07283160714403314,
|
|
"2025 tariff crash": -0.19044961392069748,
|
|
"2026 Q1 drawdown": -0.0906035703724889
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.252875750750687,
|
|
"max_ret": -0.07283160714403314,
|
|
"all_pos": false
|
|
},
|
|
"nchax": {
|
|
"name": "Nuveen California High Yield Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8845901598319669,
|
|
"corr_port": 0.07303664238728719,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23774068032038298,
|
|
"2023 rate shock": -0.10000095253098473,
|
|
"2024 vol spike": 0.018349938886726536,
|
|
"2025 tariff crash": -0.0445259575545941,
|
|
"2026 Q1 drawdown": -0.009325786799012525
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.23774068032038298,
|
|
"max_ret": 0.018349938886726536,
|
|
"all_pos": false
|
|
},
|
|
"ncicx": {
|
|
"name": "New Covenant Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.04739152982244618,
|
|
"corr_port": -0.06398565563681417,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1237438762417109,
|
|
"2023 rate shock": -0.0293989575972311,
|
|
"2024 vol spike": 0.01929845925372864,
|
|
"2025 tariff crash": 0.014576411605722539,
|
|
"2026 Q1 drawdown": -0.005266966986761101
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1237438762417109,
|
|
"max_ret": 0.01929845925372864,
|
|
"all_pos": false
|
|
},
|
|
"ncirx": {
|
|
"name": "Nuveen Core Impact Bond Managed Accounts Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4329515068452245,
|
|
"corr_port": -0.0343748666498373,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18303299183504673,
|
|
"2023 rate shock": -0.04816336893167439,
|
|
"2024 vol spike": 0.018173797109878542,
|
|
"2025 tariff crash": 0.004309954127130755,
|
|
"2026 Q1 drawdown": -0.0032368029484909355
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18303299183504673,
|
|
"max_ret": 0.018173797109878542,
|
|
"all_pos": false
|
|
},
|
|
"nclex": {
|
|
"name": "NICHOLAS LTD EDITION INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0326605486131437,
|
|
"corr_port": 0.20661377332384387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25171480211105635,
|
|
"2023 rate shock": -0.1479374450569204,
|
|
"2024 vol spike": -0.04612302478297858,
|
|
"2025 tariff crash": -0.16194867201794916,
|
|
"2026 Q1 drawdown": -0.14696608144074408
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25171480211105635,
|
|
"max_ret": -0.04612302478297858,
|
|
"all_pos": false
|
|
},
|
|
"ncoax": {
|
|
"name": "Nuveen High Yield Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.362503340232803,
|
|
"corr_port": 0.31640160909042697,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13601474941373348,
|
|
"2023 rate shock": -0.021265418747361098,
|
|
"2024 vol spike": -0.005217230615314539,
|
|
"2025 tariff crash": -0.035989862140222595,
|
|
"2026 Q1 drawdown": -0.012561348799787098
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13601474941373348,
|
|
"max_ret": -0.005217230615314539,
|
|
"all_pos": false
|
|
},
|
|
"nctwx": {
|
|
"name": "NICHOLAS II INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.6128804987823193,
|
|
"corr_port": 0.24851656176619372,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2379578838780404,
|
|
"2023 rate shock": -0.12547769589783153,
|
|
"2024 vol spike": -0.06289484498984588,
|
|
"2025 tariff crash": -0.17282509283525538,
|
|
"2026 Q1 drawdown": -0.12078742478436522
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2379578838780404,
|
|
"max_ret": -0.06289484498984588,
|
|
"all_pos": false
|
|
},
|
|
"ndarx": {
|
|
"name": "American Funds Retirement Income Portfolio - Enhanced",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8154419164824598,
|
|
"corr_port": 0.34374519607458276,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1829492956800094,
|
|
"2023 rate shock": -0.07009234395557506,
|
|
"2024 vol spike": -0.028718835933194575,
|
|
"2025 tariff crash": -0.09120230606976232,
|
|
"2026 Q1 drawdown": -0.0466150567473973
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1829492956800094,
|
|
"max_ret": -0.028718835933194575,
|
|
"all_pos": false
|
|
},
|
|
"ndvax": {
|
|
"name": "MFS New Discovery Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17881004193510458,
|
|
"corr_port": 0.3535439794998781,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21344093367690864,
|
|
"2023 rate shock": -0.1524662083521071,
|
|
"2024 vol spike": -0.06173393672791749,
|
|
"2025 tariff crash": -0.19835618365989893,
|
|
"2026 Q1 drawdown": -0.06964891214214763
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21344093367690864,
|
|
"max_ret": -0.06173393672791749,
|
|
"all_pos": false
|
|
},
|
|
"nefjx": {
|
|
"name": "Vaughan Nelson Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6600215438950806,
|
|
"corr_port": 0.32576348070799194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16240878873362286,
|
|
"2023 rate shock": -0.1365937245011497,
|
|
"2024 vol spike": -0.08276858929340292,
|
|
"2025 tariff crash": -0.19740764760770146,
|
|
"2026 Q1 drawdown": -0.05823462873878482
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19740764760770146,
|
|
"max_ret": -0.05823462873878482,
|
|
"all_pos": false
|
|
},
|
|
"nefox": {
|
|
"name": "Natixis Oakmark Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7064423213528095,
|
|
"corr_port": 0.36024682999505664,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2179056719956033,
|
|
"2023 rate shock": -0.11652301195130355,
|
|
"2024 vol spike": -0.05315613933937413,
|
|
"2025 tariff crash": -0.16109328445922233,
|
|
"2026 Q1 drawdown": -0.04214189450689776
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2179056719956033,
|
|
"max_ret": -0.04214189450689776,
|
|
"all_pos": false
|
|
},
|
|
"nefrx": {
|
|
"name": "Loomis Sayles Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3775061410688526,
|
|
"corr_port": -0.04483250045239879,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1503094096426031,
|
|
"2023 rate shock": -0.05305693855115223,
|
|
"2024 vol spike": 0.019152306814727904,
|
|
"2025 tariff crash": 0.004986525169492273,
|
|
"2026 Q1 drawdown": -0.007632860577230005
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1503094096426031,
|
|
"max_ret": 0.019152306814727904,
|
|
"all_pos": false
|
|
},
|
|
"nefzx": {
|
|
"name": "Loomis Sayles Strategic Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.42368016283446797,
|
|
"corr_port": 0.2502792435552544,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15325539882995554,
|
|
"2023 rate shock": -0.04742148022876991,
|
|
"2024 vol spike": 0.006673076660609567,
|
|
"2025 tariff crash": -0.02094192341220069,
|
|
"2026 Q1 drawdown": -0.02195464361082955
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15325539882995554,
|
|
"max_ret": 0.006673076660609567,
|
|
"all_pos": false
|
|
},
|
|
"nesgx": {
|
|
"name": "Needham Small Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.012951966507039458,
|
|
"corr_port": 0.11422310600775452,
|
|
"rets": {
|
|
"2022 bear mkt": -0.40196493793987975,
|
|
"2023 rate shock": -0.2591241326566829,
|
|
"2024 vol spike": -0.1415143080939948,
|
|
"2025 tariff crash": -0.3105120922108945,
|
|
"2026 Q1 drawdown": -0.03580672993960299
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.40196493793987975,
|
|
"max_ret": -0.03580672993960299,
|
|
"all_pos": false
|
|
},
|
|
"newfx": {
|
|
"name": "NEW WORLD FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1962453841989074,
|
|
"corr_port": 0.2893721125804052,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2884502394335604,
|
|
"2023 rate shock": -0.10959808631841916,
|
|
"2024 vol spike": -0.06495747222802783,
|
|
"2025 tariff crash": -0.1296182125563673,
|
|
"2026 Q1 drawdown": -0.10788712625498931
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2884502394335604,
|
|
"max_ret": -0.06495747222802783,
|
|
"all_pos": false
|
|
},
|
|
"nfrax": {
|
|
"name": "Nuveen Floating Rate Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.9322736737743265,
|
|
"corr_port": 0.32008937488256256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03742623831598724,
|
|
"2023 rate shock": 0.011557864501364534,
|
|
"2024 vol spike": -0.0011037631629720046,
|
|
"2025 tariff crash": -0.016717226011150443,
|
|
"2026 Q1 drawdown": -0.0013418442053222401
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03742623831598724,
|
|
"max_ret": 0.011557864501364534,
|
|
"all_pos": false
|
|
},
|
|
"ngcax": {
|
|
"name": "Columbia Greater China Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.9158713504078442,
|
|
"corr_port": 0.13124746807645205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3719123685262177,
|
|
"2023 rate shock": -0.14717407768115853,
|
|
"2024 vol spike": -0.05930269857351833,
|
|
"2025 tariff crash": -0.1749607281306591,
|
|
"2026 Q1 drawdown": -0.14612076783806316
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3719123685262177,
|
|
"max_ret": -0.05930269857351833,
|
|
"all_pos": false
|
|
},
|
|
"nhmax": {
|
|
"name": "Nuveen High Yield Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.18272527923420856,
|
|
"corr_port": 0.09222306824618037,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17894145191565425,
|
|
"2023 rate shock": -0.0968888408361327,
|
|
"2024 vol spike": 0.013966473313540062,
|
|
"2025 tariff crash": -0.05126254383352136,
|
|
"2026 Q1 drawdown": -0.008551626589392458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17894145191565425,
|
|
"max_ret": 0.013966473313540062,
|
|
"all_pos": false
|
|
},
|
|
"nicsx": {
|
|
"name": "NICHOLAS FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0734891037849508,
|
|
"corr_port": 0.23453129754015895,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24330939116788652,
|
|
"2023 rate shock": -0.08344348528404633,
|
|
"2024 vol spike": -0.0648226850468897,
|
|
"2025 tariff crash": -0.16811228980934534,
|
|
"2026 Q1 drawdown": -0.11073899163166123
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24330939116788652,
|
|
"max_ret": -0.0648226850468897,
|
|
"all_pos": false
|
|
},
|
|
"njtfx": {
|
|
"name": "T. Rowe Price New Jersey Tax-Free Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6152588519873272,
|
|
"corr_port": 0.04417422438142261,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11533941532010838,
|
|
"2023 rate shock": -0.05142720370439191,
|
|
"2024 vol spike": 0.014161402212453433,
|
|
"2025 tariff crash": -0.03274674950924383,
|
|
"2026 Q1 drawdown": -0.00863779218053251
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11533941532010838,
|
|
"max_ret": 0.014161402212453433,
|
|
"all_pos": false
|
|
},
|
|
"nlgax": {
|
|
"name": "Columbia Capital Allocation Moderate Conservative Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7942240932657684,
|
|
"corr_port": 0.25900962498748575,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1926343666193493,
|
|
"2023 rate shock": -0.05962914582246148,
|
|
"2024 vol spike": -0.02003995118970714,
|
|
"2025 tariff crash": -0.06248668610539265,
|
|
"2026 Q1 drawdown": -0.041035829047525674
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1926343666193493,
|
|
"max_ret": -0.02003995118970714,
|
|
"all_pos": false
|
|
},
|
|
"nmaax": {
|
|
"name": "Nuveen Massachusetts Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.36106150457886943,
|
|
"corr_port": 0.03781494868656306,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13282139896347256,
|
|
"2023 rate shock": -0.051578271791732244,
|
|
"2024 vol spike": 0.013327714839846072,
|
|
"2025 tariff crash": -0.031528056645268365,
|
|
"2026 Q1 drawdown": -0.004204646782831611
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13282139896347256,
|
|
"max_ret": 0.013327714839846072,
|
|
"all_pos": false
|
|
},
|
|
"nmbax": {
|
|
"name": "Nuveen Intermediate Duration Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.35536241947149133,
|
|
"corr_port": 0.05331358698509937,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10312457095582139,
|
|
"2023 rate shock": -0.041598672587955576,
|
|
"2024 vol spike": 0.012615449308150284,
|
|
"2025 tariff crash": -0.024351481558854138,
|
|
"2026 Q1 drawdown": -0.013750653002168822
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10312457095582139,
|
|
"max_ret": 0.012615449308150284,
|
|
"all_pos": false
|
|
},
|
|
"nmdax": {
|
|
"name": "Nuveen Maryland Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.19942998805631712,
|
|
"corr_port": 0.03606238437182063,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13212812517953287,
|
|
"2023 rate shock": -0.06342080583329046,
|
|
"2024 vol spike": 0.01686880516376732,
|
|
"2025 tariff crash": -0.03706639540908363,
|
|
"2026 Q1 drawdown": -0.009423966895855895
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13212812517953287,
|
|
"max_ret": 0.01686880516376732,
|
|
"all_pos": false
|
|
},
|
|
"nmiex": {
|
|
"name": "ACTIVE M INTERNATIONAL EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5194819856247018,
|
|
"corr_port": 0.373239667676834,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3014996377252087,
|
|
"2023 rate shock": -0.11305065765899003,
|
|
"2024 vol spike": -0.06530286711488908,
|
|
"2025 tariff crash": -0.12243153856656097,
|
|
"2026 Q1 drawdown": -0.08900144717800296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3014996377252087,
|
|
"max_ret": -0.06530286711488908,
|
|
"all_pos": false
|
|
},
|
|
"nmmex": {
|
|
"name": "ACTIVE M EMERGING MARKETS EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3873971184733235,
|
|
"corr_port": 0.3187242722465449,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2826086817823954,
|
|
"2023 rate shock": -0.10828015232518284,
|
|
"2024 vol spike": -0.09197651007184027,
|
|
"2025 tariff crash": -0.1345407272786292,
|
|
"2026 Q1 drawdown": -0.10000004054053868
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2826086817823954,
|
|
"max_ret": -0.09197651007184027,
|
|
"all_pos": false
|
|
},
|
|
"nmmgx": {
|
|
"name": "MULTI-MANAGER GLOBAL REAL ESTATE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6674972243241934,
|
|
"corr_port": 0.28490440299527303,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3299642428467109,
|
|
"2023 rate shock": -0.14701060156103396,
|
|
"2024 vol spike": -0.026901741397853507,
|
|
"2025 tariff crash": -0.12530149247118139,
|
|
"2026 Q1 drawdown": -0.04059049712715279
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3299642428467109,
|
|
"max_ret": -0.026901741397853507,
|
|
"all_pos": false
|
|
},
|
|
"nmuix": {
|
|
"name": "Neuberger Municipal Intermediate Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.15120668817106414,
|
|
"corr_port": 0.03703433854372351,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11255591702142165,
|
|
"2023 rate shock": -0.03632275009238761,
|
|
"2024 vol spike": 0.01325025842256089,
|
|
"2025 tariff crash": -0.0199391081413699,
|
|
"2026 Q1 drawdown": -0.008770258206211912
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11255591702142165,
|
|
"max_ret": 0.01325025842256089,
|
|
"all_pos": false
|
|
},
|
|
"nnjax": {
|
|
"name": "Nuveen New Jersey Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.1487288268076536,
|
|
"corr_port": 0.037425505792616685,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13361273533743567,
|
|
"2023 rate shock": -0.06330756808467142,
|
|
"2024 vol spike": 0.015938810243451007,
|
|
"2025 tariff crash": -0.03574951815246097,
|
|
"2026 Q1 drawdown": -0.009925729510958603
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13361273533743567,
|
|
"max_ret": 0.015938810243451007,
|
|
"all_pos": false
|
|
},
|
|
"nnyax": {
|
|
"name": "Nuveen New York Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0358315136149504,
|
|
"corr_port": 0.03868299559179597,
|
|
"rets": {
|
|
"2022 bear mkt": -0.144450940837201,
|
|
"2023 rate shock": -0.06926421032836105,
|
|
"2024 vol spike": 0.014425659128329382,
|
|
"2025 tariff crash": -0.03366844402826907,
|
|
"2026 Q1 drawdown": -0.003823426218504178
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.144450940837201,
|
|
"max_ret": 0.014425659128329382,
|
|
"all_pos": false
|
|
},
|
|
"noiax": {
|
|
"name": "Natixis Oakmark International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3674126222295156,
|
|
"corr_port": 0.37828800074791696,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33505166973901845,
|
|
"2023 rate shock": -0.17786562192322886,
|
|
"2024 vol spike": -0.06561858935873677,
|
|
"2025 tariff crash": -0.12567569525659772,
|
|
"2026 Q1 drawdown": -0.1210262130507529
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33505166973901845,
|
|
"max_ret": -0.06561858935873677,
|
|
"all_pos": false
|
|
},
|
|
"notax": {
|
|
"name": "DWS Strategic High Yield Tax-Free Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7410536981851819,
|
|
"corr_port": 0.04383475934520356,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18264807699825347,
|
|
"2023 rate shock": -0.06593030707052505,
|
|
"2024 vol spike": 0.02025900773537259,
|
|
"2025 tariff crash": -0.037741485500868976,
|
|
"2026 Q1 drawdown": -0.009725626530474374
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18264807699825347,
|
|
"max_ret": 0.02025900773537259,
|
|
"all_pos": false
|
|
},
|
|
"nphix": {
|
|
"name": "HIGH INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.31662536619806503,
|
|
"corr_port": 0.3057061267757481,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14687277961945622,
|
|
"2023 rate shock": -0.027699512265229265,
|
|
"2024 vol spike": -0.002688809880289633,
|
|
"2025 tariff crash": -0.03315882944304216,
|
|
"2026 Q1 drawdown": -0.015098406818847665
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14687277961945622,
|
|
"max_ret": -0.002688809880289633,
|
|
"all_pos": false
|
|
},
|
|
"npscx": {
|
|
"name": "Nuveen Preferred Securities and Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8919480005195736,
|
|
"corr_port": 0.31228592721714066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1358989895485937,
|
|
"2023 rate shock": -0.029631780737320756,
|
|
"2024 vol spike": -0.0010378741913920075,
|
|
"2025 tariff crash": -0.018327148779793134,
|
|
"2026 Q1 drawdown": -0.022897435928181387
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1358989895485937,
|
|
"max_ret": -0.0010378741913920075,
|
|
"all_pos": false
|
|
},
|
|
"nrfax": {
|
|
"name": "AEW Global Focused Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9017434413213036,
|
|
"corr_port": 0.27070702838404087,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3317827709394454,
|
|
"2023 rate shock": -0.1364739095990236,
|
|
"2024 vol spike": -0.02403835338319249,
|
|
"2025 tariff crash": -0.12703475302475653,
|
|
"2026 Q1 drawdown": -0.034912948626430684
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3317827709394454,
|
|
"max_ret": -0.02403835338319249,
|
|
"all_pos": false
|
|
},
|
|
"nsaox": {
|
|
"name": "Nuveen Strategic Municipal Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.13906876621021944,
|
|
"corr_port": 0.06210329639707311,
|
|
"rets": {
|
|
"2022 bear mkt": -0.160047741225672,
|
|
"2023 rate shock": -0.05650756651218147,
|
|
"2024 vol spike": 0.015299482972834788,
|
|
"2025 tariff crash": -0.03019507858532544,
|
|
"2026 Q1 drawdown": -0.010062105044541081
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.160047741225672,
|
|
"max_ret": 0.015299482972834788,
|
|
"all_pos": false
|
|
},
|
|
"nsbax": {
|
|
"name": "Nuveen Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9221635563647291,
|
|
"corr_port": 0.3366858977482437,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19524327443444078,
|
|
"2023 rate shock": -0.09706112521013455,
|
|
"2024 vol spike": -0.036500978082604774,
|
|
"2025 tariff crash": -0.1443439656933957,
|
|
"2026 Q1 drawdown": -0.058973090494668146
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19524327443444078,
|
|
"max_ret": -0.036500978082604774,
|
|
"all_pos": false
|
|
},
|
|
"nseix": {
|
|
"name": "NICHOLAS EQUITY INCOME FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5649936182087678,
|
|
"corr_port": 0.35928196616379293,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18982283209647788,
|
|
"2023 rate shock": -0.10354583414549656,
|
|
"2024 vol spike": -0.03737446819245771,
|
|
"2025 tariff crash": -0.13767166979353063,
|
|
"2026 Q1 drawdown": -0.046308362109379386
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18982283209647788,
|
|
"max_ret": -0.03737446819245771,
|
|
"all_pos": false
|
|
},
|
|
"nsmax": {
|
|
"name": "Nuveen Small/Mid Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5209001241271212,
|
|
"corr_port": 0.34892264523238886,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17169997726965458,
|
|
"2023 rate shock": -0.10150509297037613,
|
|
"2024 vol spike": -0.07339992966388276,
|
|
"2025 tariff crash": -0.19253135541355504,
|
|
"2026 Q1 drawdown": -0.08699249066535475
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19253135541355504,
|
|
"max_ret": -0.07339992966388276,
|
|
"all_pos": false
|
|
},
|
|
"nsmmx": {
|
|
"name": "Columbia Short Duration Municipal Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.0908363335975677,
|
|
"corr_port": 0.057607466928766934,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04428032105231483,
|
|
"2023 rate shock": -0.012504953318844825,
|
|
"2024 vol spike": 0.009026492921546891,
|
|
"2025 tariff crash": -0.006636761507501476,
|
|
"2026 Q1 drawdown": -0.00558546769513657
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04428032105231483,
|
|
"max_ret": 0.009026492921546891,
|
|
"all_pos": false
|
|
},
|
|
"nstrx": {
|
|
"name": "Columbia Short Term Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 4.339387784265224,
|
|
"corr_port": 0.01981580740616467,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05748104685207256,
|
|
"2023 rate shock": 0.00426103750850082,
|
|
"2024 vol spike": 0.009993058841839764,
|
|
"2025 tariff crash": 0.004601240217589897,
|
|
"2026 Q1 drawdown": -0.001136929092062866
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05748104685207256,
|
|
"max_ret": 0.009993058841839764,
|
|
"all_pos": false
|
|
},
|
|
"nthex": {
|
|
"name": "NORTHEAST INVESTORS TRUST",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.8022220176987005,
|
|
"corr_port": 0.25014664725373204,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04988985032503468,
|
|
"2023 rate shock": 0.005698062334111409,
|
|
"2024 vol spike": 0.002777574135845562,
|
|
"2025 tariff crash": -0.030137223544457914,
|
|
"2026 Q1 drawdown": -0.007826148752304696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.04988985032503468,
|
|
"max_ret": 0.005698062334111409,
|
|
"all_pos": false
|
|
},
|
|
"nugax": {
|
|
"name": "Nuveen Global Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.967655282856788,
|
|
"corr_port": 0.36446663347120906,
|
|
"rets": {
|
|
"2022 bear mkt": -0.213085948573566,
|
|
"2023 rate shock": -0.10400027975854997,
|
|
"2024 vol spike": -0.04121101328641186,
|
|
"2025 tariff crash": -0.14675199389736582,
|
|
"2026 Q1 drawdown": -0.052722517923350476
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.213085948573566,
|
|
"max_ret": -0.04121101328641186,
|
|
"all_pos": false
|
|
},
|
|
"nvhax": {
|
|
"name": "Nuveen Short Duration High Yield Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4923718940941686,
|
|
"corr_port": 0.12459817908509871,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09074138415975919,
|
|
"2023 rate shock": -0.03529661790961136,
|
|
"2024 vol spike": 0.0068001035031526325,
|
|
"2025 tariff crash": -0.020859567838215076,
|
|
"2026 Q1 drawdown": -0.0028204461448865237
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09074138415975919,
|
|
"max_ret": 0.0068001035031526325,
|
|
"all_pos": false
|
|
},
|
|
"nwhnx": {
|
|
"name": "Nationwide Bailard International Equities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5342647756988546,
|
|
"corr_port": 0.41181144969138145,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2888451589702684,
|
|
"2023 rate shock": -0.09024714397132672,
|
|
"2024 vol spike": -0.07302239020958678,
|
|
"2025 tariff crash": -0.10541853322326833,
|
|
"2026 Q1 drawdown": -0.06329351460115196
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2888451589702684,
|
|
"max_ret": -0.06329351460115196,
|
|
"all_pos": false
|
|
},
|
|
"nwqax": {
|
|
"name": "Nuveen Flexible Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.20032520772573356,
|
|
"corr_port": 0.3139708138195088,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17502632567715848,
|
|
"2023 rate shock": -0.0466824665525678,
|
|
"2024 vol spike": -0.011844411022687962,
|
|
"2025 tariff crash": -0.04057815834763512,
|
|
"2026 Q1 drawdown": -0.01672963414736095
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17502632567715848,
|
|
"max_ret": -0.011844411022687962,
|
|
"all_pos": false
|
|
},
|
|
"nyaax": {
|
|
"name": "AMERICAN FUNDS TAX-EXEMPT FUND OF NEW YORK",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2848485416020885,
|
|
"corr_port": 0.02123427901126245,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1282595005059297,
|
|
"2023 rate shock": -0.06074160407989604,
|
|
"2024 vol spike": 0.014515167124987904,
|
|
"2025 tariff crash": -0.03766006727059101,
|
|
"2026 Q1 drawdown": -0.007755216988444724
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1282595005059297,
|
|
"max_ret": 0.014515167124987904,
|
|
"all_pos": false
|
|
},
|
|
"nyvtx": {
|
|
"name": "Davis New York Venture Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.305030339887884,
|
|
"corr_port": 0.33328620674551024,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2788240318253732,
|
|
"2023 rate shock": -0.11843586748081825,
|
|
"2024 vol spike": -0.0879886997712156,
|
|
"2025 tariff crash": -0.16636796683874766,
|
|
"2026 Q1 drawdown": -0.06303912639505327
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2788240318253732,
|
|
"max_ret": -0.06303912639505327,
|
|
"all_pos": false
|
|
},
|
|
"oafix": {
|
|
"name": "OPTIMUM FIXED INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9567030956863072,
|
|
"corr_port": -0.05197692247785588,
|
|
"rets": {
|
|
"2022 bear mkt": -0.158829696468769,
|
|
"2023 rate shock": -0.04551041254509647,
|
|
"2024 vol spike": 0.019300372787349973,
|
|
"2025 tariff crash": 0.0012299556480563911,
|
|
"2026 Q1 drawdown": -0.010765550239234423
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.158829696468769,
|
|
"max_ret": 0.019300372787349973,
|
|
"all_pos": false
|
|
},
|
|
"oaiex": {
|
|
"name": "OPTIMUM INTERNATIONAL FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2271578548125173,
|
|
"corr_port": 0.356212961585428,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3274596350954897,
|
|
"2023 rate shock": -0.12326395033413529,
|
|
"2024 vol spike": -0.06509795705867238,
|
|
"2025 tariff crash": -0.1396198964790335,
|
|
"2026 Q1 drawdown": -0.09856630824372747
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3274596350954897,
|
|
"max_ret": -0.06509795705867238,
|
|
"all_pos": false
|
|
},
|
|
"oakbx": {
|
|
"name": "Oakmark Equity and Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3411134866879809,
|
|
"corr_port": 0.371246958449659,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19210966442171584,
|
|
"2023 rate shock": -0.08933977019518158,
|
|
"2024 vol spike": -0.030200238686291403,
|
|
"2025 tariff crash": -0.10177730751160508,
|
|
"2026 Q1 drawdown": -0.05159719872413926
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19210966442171584,
|
|
"max_ret": -0.030200238686291403,
|
|
"all_pos": false
|
|
},
|
|
"oakex": {
|
|
"name": "Oakmark International Small Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.0838268344792201,
|
|
"corr_port": 0.38778961147919666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3423020021333474,
|
|
"2023 rate shock": -0.15204979251051665,
|
|
"2024 vol spike": -0.03298344200972447,
|
|
"2025 tariff crash": -0.10567003293386323,
|
|
"2026 Q1 drawdown": -0.12119860817537542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3423020021333474,
|
|
"max_ret": -0.03298344200972447,
|
|
"all_pos": false
|
|
},
|
|
"oakgx": {
|
|
"name": "Oakmark Global Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.49411143847921185,
|
|
"corr_port": 0.38368831105478474,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29626512433159824,
|
|
"2023 rate shock": -0.14556213380731986,
|
|
"2024 vol spike": -0.05637543772199349,
|
|
"2025 tariff crash": -0.1453555767204051,
|
|
"2026 Q1 drawdown": -0.10968376976284588
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29626512433159824,
|
|
"max_ret": -0.05637543772199349,
|
|
"all_pos": false
|
|
},
|
|
"oakix": {
|
|
"name": "Oakmark International Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.15158001376875913,
|
|
"corr_port": 0.39305299592865506,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32996523566618485,
|
|
"2023 rate shock": -0.1779053109260612,
|
|
"2024 vol spike": -0.06718643812921465,
|
|
"2025 tariff crash": -0.12321756708188225,
|
|
"2026 Q1 drawdown": -0.1164384087886593
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32996523566618485,
|
|
"max_ret": -0.06718643812921465,
|
|
"all_pos": false
|
|
},
|
|
"oaklx": {
|
|
"name": "Oakmark Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7433530011353997,
|
|
"corr_port": 0.3292542457621716,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2653588270728513,
|
|
"2023 rate shock": -0.12418104558756127,
|
|
"2024 vol spike": -0.02319853189692156,
|
|
"2025 tariff crash": -0.18304528256820418,
|
|
"2026 Q1 drawdown": -0.09115900393316467
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2653588270728513,
|
|
"max_ret": -0.02319853189692156,
|
|
"all_pos": false
|
|
},
|
|
"oakmx": {
|
|
"name": "Oakmark Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6820528429873625,
|
|
"corr_port": 0.3614110401250136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21891840958968967,
|
|
"2023 rate shock": -0.11622757553002416,
|
|
"2024 vol spike": -0.05329551459994741,
|
|
"2025 tariff crash": -0.16222288535450102,
|
|
"2026 Q1 drawdown": -0.04222319256337759
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21891840958968967,
|
|
"max_ret": -0.04222319256337759,
|
|
"all_pos": false
|
|
},
|
|
"oakwx": {
|
|
"name": "Oakmark Global Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8342949415080407,
|
|
"corr_port": 0.3572884769591909,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31961891997685454,
|
|
"2023 rate shock": -0.12797757756774786,
|
|
"2024 vol spike": -0.041155940289883786,
|
|
"2025 tariff crash": -0.10964002610281953,
|
|
"2026 Q1 drawdown": -0.13917147529069773
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31961891997685454,
|
|
"max_ret": -0.041155940289883786,
|
|
"all_pos": false
|
|
},
|
|
"oalgx": {
|
|
"name": "OPTIMUM LARGE CAP GROWTH FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2238479750597648,
|
|
"corr_port": 0.15027332377364522,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3641618231841667,
|
|
"2023 rate shock": -0.09914263193492756,
|
|
"2024 vol spike": -0.09877710776476512,
|
|
"2025 tariff crash": -0.22616821400176823,
|
|
"2026 Q1 drawdown": -0.12403846750184933
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3641618231841667,
|
|
"max_ret": -0.09877710776476512,
|
|
"all_pos": false
|
|
},
|
|
"oalvx": {
|
|
"name": "OPTIMUM LARGE CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.37899607351213915,
|
|
"corr_port": 0.3899025452244982,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17456596878425612,
|
|
"2023 rate shock": -0.09898989816529358,
|
|
"2024 vol spike": -0.042159484367416344,
|
|
"2025 tariff crash": -0.1321928951209428,
|
|
"2026 Q1 drawdown": -0.05142012732615098
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17456596878425612,
|
|
"max_ret": -0.042159484367416344,
|
|
"all_pos": false
|
|
},
|
|
"oasgx": {
|
|
"name": "OPTIMUM SMALL-MID CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.132480666474915,
|
|
"corr_port": 0.18308409102204284,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28385218838905724,
|
|
"2023 rate shock": -0.16490903403875135,
|
|
"2024 vol spike": -0.08420134860483564,
|
|
"2025 tariff crash": -0.24746622482993763,
|
|
"2026 Q1 drawdown": -0.12790697674418605
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28385218838905724,
|
|
"max_ret": -0.08420134860483564,
|
|
"all_pos": false
|
|
},
|
|
"oasvx": {
|
|
"name": "OPTIMUM SMALL-MID CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.48273202914651253,
|
|
"corr_port": 0.3645870426194703,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22686384091987322,
|
|
"2023 rate shock": -0.13771510862959258,
|
|
"2024 vol spike": -0.07296144931416826,
|
|
"2025 tariff crash": -0.20313666134185293,
|
|
"2026 Q1 drawdown": -0.06179351921627729
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22686384091987322,
|
|
"max_ret": -0.06179351921627729,
|
|
"all_pos": false
|
|
},
|
|
"oaycx": {
|
|
"name": "Oakmark Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6336991939583092,
|
|
"corr_port": -0.05592867742699571,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12932416601740426,
|
|
"2023 rate shock": -0.036289098167952116,
|
|
"2024 vol spike": 0.01663009128614834,
|
|
"2025 tariff crash": 0.0009433834943270991,
|
|
"2026 Q1 drawdown": -0.005688716274354966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12932416601740426,
|
|
"max_ret": 0.01663009128614834,
|
|
"all_pos": false
|
|
},
|
|
"obegx": {
|
|
"name": "Oberweis Global Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5528040062107605,
|
|
"corr_port": 0.2111946331361633,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3499136792047881,
|
|
"2023 rate shock": -0.1673320558829734,
|
|
"2024 vol spike": -0.10753050496025518,
|
|
"2025 tariff crash": -0.1957025206194184,
|
|
"2026 Q1 drawdown": -0.04490180854381043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3499136792047881,
|
|
"max_ret": -0.04490180854381043,
|
|
"all_pos": false
|
|
},
|
|
"olcax": {
|
|
"name": "Invesco Limited Term California Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.7711933676612448,
|
|
"corr_port": 0.037146901485240455,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07922021477146979,
|
|
"2023 rate shock": -0.02707339719477153,
|
|
"2024 vol spike": 0.005765379478148258,
|
|
"2025 tariff crash": -0.014211008788528545,
|
|
"2026 Q1 drawdown": -0.004518786969191502
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07922021477146979,
|
|
"max_ret": 0.005765379478148258,
|
|
"all_pos": false
|
|
},
|
|
"omfcx": {
|
|
"name": "Invesco AMT-Free Municipal Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.306479321662273,
|
|
"corr_port": 0.04380186576319111,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14288795772025764,
|
|
"2023 rate shock": -0.06996442067379627,
|
|
"2024 vol spike": 0.01415808513881478,
|
|
"2025 tariff crash": -0.0392872709069646,
|
|
"2026 Q1 drawdown": -0.00801339282649638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14288795772025764,
|
|
"max_ret": 0.01415808513881478,
|
|
"all_pos": false
|
|
},
|
|
"omfl": {
|
|
"name": "Invesco Russell 1000(R) Dynamic Multifactor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.19156824004429862,
|
|
"corr_port": 0.29430402201853684,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20720613446474911,
|
|
"2023 rate shock": -0.14008846184494095,
|
|
"2024 vol spike": -0.06476939901770984,
|
|
"2025 tariff crash": -0.14638576349924215,
|
|
"2026 Q1 drawdown": -0.07490618599280907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20720613446474911,
|
|
"max_ret": -0.06476939901770984,
|
|
"all_pos": false
|
|
},
|
|
"omfs": {
|
|
"name": "Invesco Russell 2000(R) Dynamic Multifactor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6847551823718495,
|
|
"corr_port": 0.303636900879426,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22749432408837933,
|
|
"2023 rate shock": -0.1611964029739571,
|
|
"2024 vol spike": -0.06494531580933471,
|
|
"2025 tariff crash": -0.16561163603757656,
|
|
"2026 Q1 drawdown": -0.06594034855957198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22749432408837933,
|
|
"max_ret": -0.06494531580933471,
|
|
"all_pos": false
|
|
},
|
|
"omifx": {
|
|
"name": "Federated Hermes Ohio Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.016927665806262975,
|
|
"corr_port": 0.01601933667818547,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10737978478863952,
|
|
"2023 rate shock": -0.05342501509913189,
|
|
"2024 vol spike": 0.013435815989064626,
|
|
"2025 tariff crash": -0.03448615324653792,
|
|
"2026 Q1 drawdown": -0.009338929623664671
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10737978478863952,
|
|
"max_ret": 0.013435815989064626,
|
|
"all_pos": false
|
|
},
|
|
"oneo": {
|
|
"name": "State Street(R) SPDR(R) Russell 1000 Momentum Focus ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3390983028993232,
|
|
"corr_port": 0.3427412505732648,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20054145160625936,
|
|
"2023 rate shock": -0.11842648471640271,
|
|
"2024 vol spike": -0.05757782779914988,
|
|
"2025 tariff crash": -0.16402168583533971,
|
|
"2026 Q1 drawdown": -0.03896161846548152
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20054145160625936,
|
|
"max_ret": -0.03896161846548152,
|
|
"all_pos": false
|
|
},
|
|
"oneq": {
|
|
"name": "Fidelity Nasdaq Composite Index ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8425343303158125,
|
|
"corr_port": 0.1560306917231467,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3248556765781525,
|
|
"2023 rate shock": -0.11044074783380453,
|
|
"2024 vol spike": -0.1007740827506256,
|
|
"2025 tariff crash": -0.233816323733818,
|
|
"2026 Q1 drawdown": -0.12013193324975646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3248556765781525,
|
|
"max_ret": -0.1007740827506256,
|
|
"all_pos": false
|
|
},
|
|
"onev": {
|
|
"name": "State Street(R) SPDR(R) Russell 1000 Low Volatility Focus ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0047813435079238,
|
|
"corr_port": 0.34306727591059877,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1759704780537661,
|
|
"2023 rate shock": -0.10413783006650201,
|
|
"2024 vol spike": -0.024636825965184128,
|
|
"2025 tariff crash": -0.11532687015163112,
|
|
"2026 Q1 drawdown": -0.03406173122095091
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1759704780537661,
|
|
"max_ret": -0.024636825965184128,
|
|
"all_pos": false
|
|
},
|
|
"oney": {
|
|
"name": "State Street(R) SPDR(R) Russell 1000 Yield Focus ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4219969359286198,
|
|
"corr_port": 0.38368395271898603,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14661306858050482,
|
|
"2023 rate shock": -0.13118640773686185,
|
|
"2024 vol spike": -0.047288228241755714,
|
|
"2025 tariff crash": -0.14829125156428835,
|
|
"2026 Q1 drawdown": -0.002220291899248883
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14829125156428835,
|
|
"max_ret": -0.002220291899248883,
|
|
"all_pos": false
|
|
},
|
|
"onjcx": {
|
|
"name": "Invesco New Jersey Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.24808161066882115,
|
|
"corr_port": 0.06695743772049785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11774009089199011,
|
|
"2023 rate shock": -0.058164248245584416,
|
|
"2024 vol spike": 0.01226566302211829,
|
|
"2025 tariff crash": -0.036013363726546954,
|
|
"2026 Q1 drawdown": -0.008624870091509251
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11774009089199011,
|
|
"max_ret": 0.01226566302211829,
|
|
"all_pos": false
|
|
},
|
|
"opacx": {
|
|
"name": "Invesco Pennsylvania Municipal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.23029050156838615,
|
|
"corr_port": 0.04132377237750224,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12242742201382406,
|
|
"2023 rate shock": -0.06788345959517794,
|
|
"2024 vol spike": 0.013453058564727893,
|
|
"2025 tariff crash": -0.03929110534648983,
|
|
"2026 Q1 drawdown": -0.011675431503720746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12242742201382406,
|
|
"max_ret": 0.013453058564727893,
|
|
"all_pos": false
|
|
},
|
|
"opcax": {
|
|
"name": "Invesco California Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.12281996495938682,
|
|
"corr_port": 0.04440212878224746,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14638568823336706,
|
|
"2023 rate shock": -0.0717556853119059,
|
|
"2024 vol spike": 0.015532619554793348,
|
|
"2025 tariff crash": -0.040833449238542485,
|
|
"2026 Q1 drawdown": -0.009643655287619124
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14638568823336706,
|
|
"max_ret": 0.015532619554793348,
|
|
"all_pos": false
|
|
},
|
|
"opnyx": {
|
|
"name": "Invesco Rochester AMT-Free New York Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.03759246373750551,
|
|
"corr_port": 0.03867434841608233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15539262400930665,
|
|
"2023 rate shock": -0.07829665362055294,
|
|
"2024 vol spike": 0.01569403691465654,
|
|
"2025 tariff crash": -0.048663753405836285,
|
|
"2026 Q1 drawdown": -0.006338631361546998
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15539262400930665,
|
|
"max_ret": 0.01569403691465654,
|
|
"all_pos": false
|
|
},
|
|
"origx": {
|
|
"name": "NORTH SQUARE SPECTRUM ALPHA FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.49370192716614214,
|
|
"corr_port": 0.22193308460528877,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29547087556504903,
|
|
"2023 rate shock": -0.1524664567029992,
|
|
"2024 vol spike": -0.0757763849439006,
|
|
"2025 tariff crash": -0.21908115822430685,
|
|
"2026 Q1 drawdown": -0.07743073305711023
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29547087556504903,
|
|
"max_ret": -0.0757763849439006,
|
|
"all_pos": false
|
|
},
|
|
"orilx": {
|
|
"name": "NORTH SQUARE MULTI STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.37896947051588986,
|
|
"corr_port": 0.3126301165977903,
|
|
"rets": {
|
|
"2022 bear mkt": -0.217248530033606,
|
|
"2023 rate shock": -0.10071012195585638,
|
|
"2024 vol spike": -0.047052144766189796,
|
|
"2025 tariff crash": -0.12890835366385966,
|
|
"2026 Q1 drawdown": -0.06030707236842103
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.217248530033606,
|
|
"max_ret": -0.047052144766189796,
|
|
"all_pos": false
|
|
},
|
|
"orncx": {
|
|
"name": "Invesco Rochester Municipal Opportunities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.04934279283168825,
|
|
"corr_port": 0.06116409683918144,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16798135827058636,
|
|
"2023 rate shock": -0.08302674802707555,
|
|
"2024 vol spike": 0.01545397434481166,
|
|
"2025 tariff crash": -0.04263209384112565,
|
|
"2026 Q1 drawdown": -0.007723265984805994
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16798135827058636,
|
|
"max_ret": 0.01545397434481166,
|
|
"all_pos": false
|
|
},
|
|
"oscbx": {
|
|
"name": "Overseas SMA Completion Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6025517998033428,
|
|
"corr_port": 0.38988286779613984,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27389451156594613,
|
|
"2023 rate shock": -0.09606308276735342,
|
|
"2024 vol spike": -0.07233405252403302,
|
|
"2025 tariff crash": -0.06268224886920493,
|
|
"2026 Q1 drawdown": -0.10572455418899196
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27389451156594613,
|
|
"max_ret": -0.06268224886920493,
|
|
"all_pos": false
|
|
},
|
|
"ostax": {
|
|
"name": "JPMorgan Short-Intermediate Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2997954098712943,
|
|
"corr_port": 0.03480540353218741,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07040593198409761,
|
|
"2023 rate shock": -0.01841962799263752,
|
|
"2024 vol spike": 0.008034229451290953,
|
|
"2025 tariff crash": -0.007539718093671155,
|
|
"2026 Q1 drawdown": -0.006566997220859849
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07040593198409761,
|
|
"max_ret": 0.008034229451290953,
|
|
"all_pos": false
|
|
},
|
|
"ostfx": {
|
|
"name": "Osterweis Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.812646164511442,
|
|
"corr_port": 0.24423997908745645,
|
|
"rets": {
|
|
"2022 bear mkt": -0.267515904685094,
|
|
"2023 rate shock": -0.09224088319719681,
|
|
"2024 vol spike": -0.0627950951154127,
|
|
"2025 tariff crash": -0.14839705613423093,
|
|
"2026 Q1 drawdown": -0.09046214355948867
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.267515904685094,
|
|
"max_ret": -0.0627950951154127,
|
|
"all_pos": false
|
|
},
|
|
"otcax": {
|
|
"name": "MFS Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4031132570756344,
|
|
"corr_port": 0.17085654348149606,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32201134408981447,
|
|
"2023 rate shock": -0.11269287088005153,
|
|
"2024 vol spike": -0.05570925948413019,
|
|
"2025 tariff crash": -0.191854555295067,
|
|
"2026 Q1 drawdown": -0.11137071651090336
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32201134408981447,
|
|
"max_ret": -0.05570925948413019,
|
|
"all_pos": false
|
|
},
|
|
"otcfx": {
|
|
"name": "T. Rowe Price Small-Cap Stock Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0276782538307054,
|
|
"corr_port": 0.24543526552486156,
|
|
"rets": {
|
|
"2022 bear mkt": -0.258452695402273,
|
|
"2023 rate shock": -0.15036163068731967,
|
|
"2024 vol spike": -0.06620375846478777,
|
|
"2025 tariff crash": -0.19668166019048872,
|
|
"2026 Q1 drawdown": -0.08522172133918804
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.258452695402273,
|
|
"max_ret": -0.06620375846478777,
|
|
"all_pos": false
|
|
},
|
|
"owacx": {
|
|
"name": "Old Westbury All Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3867213920758976,
|
|
"corr_port": 0.262708944380579,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26999995410567557,
|
|
"2023 rate shock": -0.09983213436140781,
|
|
"2024 vol spike": -0.050809208335602984,
|
|
"2025 tariff crash": -0.1768734052159222,
|
|
"2026 Q1 drawdown": -0.09585397124937345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26999995410567557,
|
|
"max_ret": -0.050809208335602984,
|
|
"all_pos": false
|
|
},
|
|
"owcax": {
|
|
"name": "Old Westbury California Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.07002911325230707,
|
|
"corr_port": 0.004478905148697983,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07139188072738678,
|
|
"2023 rate shock": -0.028095155541871364,
|
|
"2024 vol spike": 0.012371072296673002,
|
|
"2025 tariff crash": -0.0162744089880692,
|
|
"2026 Q1 drawdown": -0.022222222222222254
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07139188072738678,
|
|
"max_ret": 0.012371072296673002,
|
|
"all_pos": false
|
|
},
|
|
"owcix": {
|
|
"name": "Old Westbury Credit Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.25211566209332836,
|
|
"corr_port": -0.10770440633066697,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1594591308960701,
|
|
"2023 rate shock": -0.0529039131740876,
|
|
"2024 vol spike": 0.01992523524908152,
|
|
"2025 tariff crash": -0.005486304033763267,
|
|
"2026 Q1 drawdown": -0.022360248447205078
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1594591308960701,
|
|
"max_ret": 0.01992523524908152,
|
|
"all_pos": false
|
|
},
|
|
"owfix": {
|
|
"name": "Old Westbury Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.22696895678173054,
|
|
"corr_port": -0.15737763269114566,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09513804327848796,
|
|
"2023 rate shock": -0.020109410762845337,
|
|
"2024 vol spike": 0.019762851587514785,
|
|
"2025 tariff crash": 0.014441313013101809,
|
|
"2026 Q1 drawdown": -0.010742187499999889
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09513804327848796,
|
|
"max_ret": 0.019762851587514785,
|
|
"all_pos": false
|
|
},
|
|
"owlsx": {
|
|
"name": "Old Westbury Large Cap Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9822366087228702,
|
|
"corr_port": 0.2813199070884734,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2862473247515094,
|
|
"2023 rate shock": -0.10781974692478324,
|
|
"2024 vol spike": -0.0700099236781987,
|
|
"2025 tariff crash": -0.1608526725219318,
|
|
"2026 Q1 drawdown": -0.09244481897910939
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2862473247515094,
|
|
"max_ret": -0.0700099236781987,
|
|
"all_pos": false
|
|
},
|
|
"owmbx": {
|
|
"name": "Old Westbury Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.19664637835704296,
|
|
"corr_port": -0.0027759167346638287,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07513800885846522,
|
|
"2023 rate shock": -0.029547778254676582,
|
|
"2024 vol spike": 0.012174020566602994,
|
|
"2025 tariff crash": -0.017163350263811772,
|
|
"2026 Q1 drawdown": -0.021404109589041043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07513800885846522,
|
|
"max_ret": 0.012174020566602994,
|
|
"all_pos": false
|
|
},
|
|
"ownyx": {
|
|
"name": "Old Westbury New York Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.048976650435389096,
|
|
"corr_port": 0.01038791464832866,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07176616799490454,
|
|
"2023 rate shock": -0.030422115275758888,
|
|
"2024 vol spike": 0.013224849687136109,
|
|
"2025 tariff crash": -0.016940408312363098,
|
|
"2026 Q1 drawdown": -0.018000000000000016
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07176616799490454,
|
|
"max_ret": 0.013224849687136109,
|
|
"all_pos": false
|
|
},
|
|
"owsmx": {
|
|
"name": "Old Westbury Small & Mid Cap Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7156753094117443,
|
|
"corr_port": 0.27740092911944125,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29966699090606796,
|
|
"2023 rate shock": -0.14173744106840402,
|
|
"2024 vol spike": -0.042719614169381304,
|
|
"2025 tariff crash": -0.14165159734779986,
|
|
"2026 Q1 drawdown": -0.08940925548646861
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29966699090606796,
|
|
"max_ret": -0.042719614169381304,
|
|
"all_pos": false
|
|
},
|
|
"paakx": {
|
|
"name": "Putnam Retirement Advantage 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7348709912306101,
|
|
"corr_port": 0.24969583599943557,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2441354918353995,
|
|
"2023 rate shock": -0.08820702196861041,
|
|
"2024 vol spike": -0.06694567997200174,
|
|
"2025 tariff crash": -0.1605839183697073,
|
|
"2026 Q1 drawdown": -0.07313432835820899
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2441354918353995,
|
|
"max_ret": -0.06694567997200174,
|
|
"all_pos": false
|
|
},
|
|
"pabax": {
|
|
"name": "Putnam Dynamic Asset Allocation Balanced Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.34918494468566885,
|
|
"corr_port": 0.2799692589209536,
|
|
"rets": {
|
|
"2022 bear mkt": -0.203895106730547,
|
|
"2023 rate shock": -0.06598535141235107,
|
|
"2024 vol spike": -0.037080724500579865,
|
|
"2025 tariff crash": -0.11247789233775407,
|
|
"2026 Q1 drawdown": -0.05000015798929014
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.203895106730547,
|
|
"max_ret": -0.037080724500579865,
|
|
"all_pos": false
|
|
},
|
|
"pacax": {
|
|
"name": "Putnam Dynamic Asset Allocation Conservative Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17043621768800113,
|
|
"corr_port": 0.22838171137594437,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17531695578724904,
|
|
"2023 rate shock": -0.0499011647611608,
|
|
"2024 vol spike": -0.009084242339746917,
|
|
"2025 tariff crash": -0.058064600791730814,
|
|
"2026 Q1 drawdown": -0.028293542932968152
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17531695578724904,
|
|
"max_ret": -0.009084242339746917,
|
|
"all_pos": false
|
|
},
|
|
"pacex": {
|
|
"name": "T. Rowe Price Emerging Markets Corporate Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.4373056348810094,
|
|
"corr_port": 0.2083813536476997,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17667472593977407,
|
|
"2023 rate shock": -0.03483523450833015,
|
|
"2024 vol spike": 0.006581656260203683,
|
|
"2025 tariff crash": -0.018357582645695425,
|
|
"2026 Q1 drawdown": -0.022037436722435078
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17667472593977407,
|
|
"max_ret": 0.006581656260203683,
|
|
"all_pos": false
|
|
},
|
|
"pacjx": {
|
|
"name": "Putnam Retirement Advantage 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8276727313441403,
|
|
"corr_port": 0.25136479315584387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23931630395301173,
|
|
"2023 rate shock": -0.08463031200065685,
|
|
"2024 vol spike": -0.06342675073001569,
|
|
"2025 tariff crash": -0.15347337306516762,
|
|
"2026 Q1 drawdown": -0.06992481203007528
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23931630395301173,
|
|
"max_ret": -0.06342675073001569,
|
|
"all_pos": false
|
|
},
|
|
"padcx": {
|
|
"name": "PGIM Absolute Return Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1017317652378988,
|
|
"corr_port": 0.29093168096348476,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03210523054121006,
|
|
"2023 rate shock": 0.004722669079975539,
|
|
"2024 vol spike": -0.0027548077624318656,
|
|
"2025 tariff crash": -0.005590680664590342,
|
|
"2026 Q1 drawdown": 0.0008643528958998115
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.03210523054121006,
|
|
"max_ret": 0.004722669079975539,
|
|
"all_pos": false
|
|
},
|
|
"padlx": {
|
|
"name": "Putnam Retirement Advantage Maturity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3545995722690176,
|
|
"corr_port": 0.16931137694406587,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15555531865618433,
|
|
"2023 rate shock": -0.044065660519331584,
|
|
"2024 vol spike": -0.007084451145781379,
|
|
"2025 tariff crash": -0.053420913840911965,
|
|
"2026 Q1 drawdown": -0.02146735010710954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15555531865618433,
|
|
"max_ret": -0.007084451145781379,
|
|
"all_pos": false
|
|
},
|
|
"paeax": {
|
|
"name": "Putnam Dynamic Asset Allocation Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3114549441717415,
|
|
"corr_port": 0.3231359622542102,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2289282348913766,
|
|
"2023 rate shock": -0.07782767421574643,
|
|
"2024 vol spike": -0.056910691894766496,
|
|
"2025 tariff crash": -0.1446913694367813,
|
|
"2026 Q1 drawdown": -0.06591417607223471
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2289282348913766,
|
|
"max_ret": -0.056910691894766496,
|
|
"all_pos": false
|
|
},
|
|
"paekx": {
|
|
"name": "Putnam Retirement Advantage 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0246210347160993,
|
|
"corr_port": 0.2534741608954214,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23170734609053512,
|
|
"2023 rate shock": -0.0789472604907876,
|
|
"2024 vol spike": -0.05892541288473496,
|
|
"2025 tariff crash": -0.14613420671134514,
|
|
"2026 Q1 drawdown": -0.06608280254777066
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23170734609053512,
|
|
"max_ret": -0.05892541288473496,
|
|
"all_pos": false
|
|
},
|
|
"paelx": {
|
|
"name": "T. Rowe Price Emerging Markets Local Currency Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3730812994788119,
|
|
"corr_port": 0.2515849240133518,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18769347270799452,
|
|
"2023 rate shock": -0.06851790862207496,
|
|
"2024 vol spike": 0.0009140395141935542,
|
|
"2025 tariff crash": -0.011863485332014978,
|
|
"2026 Q1 drawdown": -0.06264521867903072
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18769347270799452,
|
|
"max_ret": 0.0009140395141935542,
|
|
"all_pos": false
|
|
},
|
|
"paffx": {
|
|
"name": "T. Rowe Price Target 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2180134429300506,
|
|
"corr_port": 0.1920931357420296,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25171239160458747,
|
|
"2023 rate shock": -0.09350657238845861,
|
|
"2024 vol spike": -0.0547867123895851,
|
|
"2025 tariff crash": -0.13471212144602174,
|
|
"2026 Q1 drawdown": -0.0698733670886077
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25171239160458747,
|
|
"max_ret": -0.0547867123895851,
|
|
"all_pos": false
|
|
},
|
|
"pafmx": {
|
|
"name": "Putnam Retirement Advantage 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9303034691694104,
|
|
"corr_port": 0.2552308453591416,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22500003228100773,
|
|
"2023 rate shock": -0.07512697897593323,
|
|
"2024 vol spike": -0.05460742773919569,
|
|
"2025 tariff crash": -0.13746866422614878,
|
|
"2026 Q1 drawdown": -0.061797752808988915
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22500003228100773,
|
|
"max_ret": -0.05460742773919569,
|
|
"all_pos": false
|
|
},
|
|
"pajrx": {
|
|
"name": "T. Rowe Price Target 2025 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.48389648610656616,
|
|
"corr_port": 0.30150612291698736,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18374321609428923,
|
|
"2023 rate shock": -0.05766191176587043,
|
|
"2024 vol spike": -0.023633628394927997,
|
|
"2025 tariff crash": -0.06716414100358858,
|
|
"2026 Q1 drawdown": -0.037599421547360734
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18374321609428923,
|
|
"max_ret": -0.023633628394927997,
|
|
"all_pos": false
|
|
},
|
|
"pamfx": {
|
|
"name": "Federated Hermes Pennsylvania Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2061124665475312,
|
|
"corr_port": 0.017487474655490075,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11021484495283163,
|
|
"2023 rate shock": -0.05335652766229637,
|
|
"2024 vol spike": 0.011952335339431963,
|
|
"2025 tariff crash": -0.03136876593754234,
|
|
"2026 Q1 drawdown": -0.008577102370222023
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11021484495283163,
|
|
"max_ret": 0.011952335339431963,
|
|
"all_pos": false
|
|
},
|
|
"pappx": {
|
|
"name": "Papp Small & Mid-Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.430858259430634,
|
|
"corr_port": 0.23771978011145273,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2961745295957482,
|
|
"2023 rate shock": -0.1492849923645373,
|
|
"2024 vol spike": -0.0498670469604483,
|
|
"2025 tariff crash": -0.169545765218026,
|
|
"2026 Q1 drawdown": -0.07692301579539151
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2961745295957482,
|
|
"max_ret": -0.0498670469604483,
|
|
"all_pos": false
|
|
},
|
|
"parmx": {
|
|
"name": "Parnassus Mid Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.699292150118334,
|
|
"corr_port": 0.26342323955782126,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27552857540360487,
|
|
"2023 rate shock": -0.12738319536738785,
|
|
"2024 vol spike": -0.026342458008854375,
|
|
"2025 tariff crash": -0.17115739139273078,
|
|
"2026 Q1 drawdown": -0.10265874206446923
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27552857540360487,
|
|
"max_ret": -0.026342458008854375,
|
|
"all_pos": false
|
|
},
|
|
"parnx": {
|
|
"name": "Parnassus Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.112695417788619,
|
|
"corr_port": 0.1299055680772606,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35858669717363634,
|
|
"2023 rate shock": -0.1046848645916787,
|
|
"2024 vol spike": -0.05455777277663476,
|
|
"2025 tariff crash": -0.24322955274735125,
|
|
"2026 Q1 drawdown": -0.12720019729268373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35858669717363634,
|
|
"max_ret": -0.05455777277663476,
|
|
"all_pos": false
|
|
},
|
|
"parwx": {
|
|
"name": "Parnassus Value Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.258438746885427,
|
|
"corr_port": 0.3168857601968209,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24267253854279724,
|
|
"2023 rate shock": -0.12266064432907009,
|
|
"2024 vol spike": -0.06590043459259554,
|
|
"2025 tariff crash": -0.17460031636054008,
|
|
"2026 Q1 drawdown": -0.08076457723437236
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24267253854279724,
|
|
"max_ret": -0.06590043459259554,
|
|
"all_pos": false
|
|
},
|
|
"pasux": {
|
|
"name": "T. Rowe Price Retirement 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2686963849143098,
|
|
"corr_port": 0.1435986409014807,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2623603304969867,
|
|
"2023 rate shock": -0.10088500347409834,
|
|
"2024 vol spike": -0.06516687767187956,
|
|
"2025 tariff crash": -0.15515966511394919,
|
|
"2026 Q1 drawdown": -0.08072916666666663
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2623603304969867,
|
|
"max_ret": -0.06516687767187956,
|
|
"all_pos": false
|
|
},
|
|
"paxhx": {
|
|
"name": "Impax High Yield Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5488176887273055,
|
|
"corr_port": 0.28935698848359653,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15908554196327307,
|
|
"2023 rate shock": -0.03217640645314568,
|
|
"2024 vol spike": -0.0003340591533328441,
|
|
"2025 tariff crash": -0.023769534397009906,
|
|
"2026 Q1 drawdown": -0.017960223336321857
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15908554196327307,
|
|
"max_ret": -0.0003340591533328441,
|
|
"all_pos": false
|
|
},
|
|
"paxwx": {
|
|
"name": "Impax Sustainable Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6465036968152327,
|
|
"corr_port": 0.2835793123347549,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21453949507132042,
|
|
"2023 rate shock": -0.0883795878946475,
|
|
"2024 vol spike": -0.03140571307176476,
|
|
"2025 tariff crash": -0.10888470990895482,
|
|
"2026 Q1 drawdown": -0.05766314279955653
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21453949507132042,
|
|
"max_ret": -0.03140571307176476,
|
|
"all_pos": false
|
|
},
|
|
"pazlx": {
|
|
"name": "T. Rowe Price Target 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2769221995118432,
|
|
"corr_port": 0.14345644844421257,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26311618722223273,
|
|
"2023 rate shock": -0.10114340432572422,
|
|
"2024 vol spike": -0.06451600877651509,
|
|
"2025 tariff crash": -0.15503308060322785,
|
|
"2026 Q1 drawdown": -0.08085381630012933
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26311618722223273,
|
|
"max_ret": -0.06451600877651509,
|
|
"all_pos": false
|
|
},
|
|
"pbaix": {
|
|
"name": "BLACKROCK TACTICAL OPPORTUNITIES FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.9584168684636383,
|
|
"corr_port": 0.2695792703045866,
|
|
"rets": {
|
|
"2022 bear mkt": 0.004246093342614943,
|
|
"2023 rate shock": 0.01622000357167197,
|
|
"2024 vol spike": -0.060754189944134174,
|
|
"2025 tariff crash": -0.04437086092715237,
|
|
"2026 Q1 drawdown": 0.025125628140703515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.060754189944134174,
|
|
"max_ret": 0.025125628140703515,
|
|
"all_pos": false
|
|
},
|
|
"pbamx": {
|
|
"name": "Putnam Retirement Advantage 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6457535508190279,
|
|
"corr_port": 0.2534039262718372,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21534432007566262,
|
|
"2023 rate shock": -0.06943012377295932,
|
|
"2024 vol spike": -0.046099232440137694,
|
|
"2025 tariff crash": -0.12433394860425873,
|
|
"2026 Q1 drawdown": -0.05426356589147274
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21534432007566262,
|
|
"max_ret": -0.046099232440137694,
|
|
"all_pos": false
|
|
},
|
|
"pbbbx": {
|
|
"name": "PIA BBB Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.595739502421347,
|
|
"corr_port": -0.008158122296365403,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1889759438012103,
|
|
"2023 rate shock": -0.042501110473265435,
|
|
"2024 vol spike": 0.01306586510909602,
|
|
"2025 tariff crash": -0.006731188170410629,
|
|
"2026 Q1 drawdown": -0.011797130206742557
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1889759438012103,
|
|
"max_ret": 0.01306586510909602,
|
|
"all_pos": false
|
|
},
|
|
"pbcax": {
|
|
"name": "PGIM CALIFORNIA MUNI INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4970874636131826,
|
|
"corr_port": 0.06112092308892659,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09244563057227906,
|
|
"2023 rate shock": -0.02979895623565798,
|
|
"2024 vol spike": 0.013403551061177632,
|
|
"2025 tariff crash": -0.016883718307319828,
|
|
"2026 Q1 drawdown": -0.015187744295406147
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09244563057227906,
|
|
"max_ret": 0.013403551061177632,
|
|
"all_pos": false
|
|
},
|
|
"pbdix": {
|
|
"name": "T. Rowe Price QM U.S. Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7593426315458411,
|
|
"corr_port": -0.12067708726934477,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1471215963712147,
|
|
"2023 rate shock": -0.04126628245648123,
|
|
"2024 vol spike": 0.02438509635857744,
|
|
"2025 tariff crash": 0.009851349522854713,
|
|
"2026 Q1 drawdown": -0.004503489967365826
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1471215963712147,
|
|
"max_ret": 0.02438509635857744,
|
|
"all_pos": false
|
|
},
|
|
"pbqax": {
|
|
"name": "PGIM Jennison Blend Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.540358451636547,
|
|
"corr_port": 0.23477399134760737,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28861783226684534,
|
|
"2023 rate shock": -0.11422011701467893,
|
|
"2024 vol spike": -0.07933433547053637,
|
|
"2025 tariff crash": -0.20257762421786385,
|
|
"2026 Q1 drawdown": -0.09226533538536863
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28861783226684534,
|
|
"max_ret": -0.07933433547053637,
|
|
"all_pos": false
|
|
},
|
|
"pbsmx": {
|
|
"name": "PGIM SHORT-TERM CORPORATE BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7499118270509664,
|
|
"corr_port": 0.035315849491460494,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08480854438355745,
|
|
"2023 rate shock": -0.005002698782617276,
|
|
"2024 vol spike": 0.011607686725346955,
|
|
"2025 tariff crash": 0.006875089826972047,
|
|
"2026 Q1 drawdown": -0.004106363590054007
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08480854438355745,
|
|
"max_ret": 0.011607686725346955,
|
|
"all_pos": false
|
|
},
|
|
"pbus": {
|
|
"name": "Invesco MSCI USA ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1688510402932283,
|
|
"corr_port": 0.22482660784505068,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25204909249498353,
|
|
"2023 rate shock": -0.09860842254949842,
|
|
"2024 vol spike": -0.07163368964495542,
|
|
"2025 tariff crash": -0.18683722310405682,
|
|
"2026 Q1 drawdown": -0.08734473014430533
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25204909249498353,
|
|
"max_ret": -0.07163368964495542,
|
|
"all_pos": false
|
|
},
|
|
"pcdlx": {
|
|
"name": "Putnam Retirement Advantage 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0457501934622992,
|
|
"corr_port": 0.24569529384555935,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20107243936794295,
|
|
"2023 rate shock": -0.06365500909073174,
|
|
"2024 vol spike": -0.035166796465937344,
|
|
"2025 tariff crash": -0.10559563607451128,
|
|
"2026 Q1 drawdown": -0.043975373790677175
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20107243936794295,
|
|
"max_ret": -0.035166796465937344,
|
|
"all_pos": false
|
|
},
|
|
"pcef": {
|
|
"name": "Invesco CEF Income Composite ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8928583497832183,
|
|
"corr_port": 0.31097148749226433,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23004726188967695,
|
|
"2023 rate shock": -0.10588795188702138,
|
|
"2024 vol spike": -0.041259266381637905,
|
|
"2025 tariff crash": -0.13239935134570802,
|
|
"2026 Q1 drawdown": -0.07518119520027966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23004726188967695,
|
|
"max_ret": -0.041259266381637905,
|
|
"all_pos": false
|
|
},
|
|
"pcjsx": {
|
|
"name": "Putnam Retirement Advantage Plus 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5370818314832475,
|
|
"corr_port": 0.12019192471696326,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22350832787965214,
|
|
"2023 rate shock": -0.09574475964327755,
|
|
"2024 vol spike": -0.07024474460693952,
|
|
"2025 tariff crash": -0.1882811920317058,
|
|
"2026 Q1 drawdown": -0.08294209702660393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22350832787965214,
|
|
"max_ret": -0.07024474460693952,
|
|
"all_pos": false
|
|
},
|
|
"pckex": {
|
|
"name": "Putnam Retirement Advantage 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7285977741086249,
|
|
"corr_port": 0.1287446631130224,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2465157057507691,
|
|
"2023 rate shock": -0.08996214706540784,
|
|
"2024 vol spike": -0.06987948001218303,
|
|
"2025 tariff crash": -0.16562492428690112,
|
|
"2026 Q1 drawdown": -0.07616361071932298
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2465157057507691,
|
|
"max_ret": -0.06987948001218303,
|
|
"all_pos": false
|
|
},
|
|
"pclcx": {
|
|
"name": "PACE Large Co Growth Equity Investments",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.1175729035535626,
|
|
"corr_port": 0.18688602618820402,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29752382996876336,
|
|
"2023 rate shock": -0.0997357869012433,
|
|
"2024 vol spike": -0.07967928956973458,
|
|
"2025 tariff crash": -0.19968214114189786,
|
|
"2026 Q1 drawdown": -0.11604943728089889
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29752382996876336,
|
|
"max_ret": -0.07967928956973458,
|
|
"all_pos": false
|
|
},
|
|
"pclrx": {
|
|
"name": "PGIM INCOME BUILDER FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.309592788560438,
|
|
"corr_port": 0.3577821109011818,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17398853662336933,
|
|
"2023 rate shock": -0.05619055203948842,
|
|
"2024 vol spike": -0.02230435232389394,
|
|
"2025 tariff crash": -0.07398556507649723,
|
|
"2026 Q1 drawdown": -0.017128034866342734
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17398853662336933,
|
|
"max_ret": -0.017128034866342734,
|
|
"all_pos": false
|
|
},
|
|
"pconx": {
|
|
"name": "PUTNAM CONVERTIBLE SECURITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.4369855409750212,
|
|
"corr_port": 0.1686685629112609,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20321942971572804,
|
|
"2023 rate shock": -0.09204629015988852,
|
|
"2024 vol spike": -0.034582093335959074,
|
|
"2025 tariff crash": -0.11531205423252067,
|
|
"2026 Q1 drawdown": -0.06578948327433864
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20321942971572804,
|
|
"max_ret": -0.034582093335959074,
|
|
"all_pos": false
|
|
},
|
|
"pcrix": {
|
|
"name": "PIMCO CommodityRealReturn Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.25766020689140984,
|
|
"corr_port": 0.2230505578777076,
|
|
"rets": {
|
|
"2022 bear mkt": 0.07681807385157402,
|
|
"2023 rate shock": -0.0022073352318728867,
|
|
"2024 vol spike": -0.04916790163972207,
|
|
"2025 tariff crash": -0.08415289437096707,
|
|
"2026 Q1 drawdown": 0.07975466569939793
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08415289437096707,
|
|
"max_ret": 0.07975466569939793,
|
|
"all_pos": false
|
|
},
|
|
"pcvax": {
|
|
"name": "Virtus NFJ Small-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.054924218644246625,
|
|
"corr_port": 0.31790831590723373,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23612904085241726,
|
|
"2023 rate shock": -0.16271706999050928,
|
|
"2024 vol spike": -0.06740679823615803,
|
|
"2025 tariff crash": -0.20729690351999464,
|
|
"2026 Q1 drawdown": -0.03778135048231501
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23612904085241726,
|
|
"max_ret": -0.03778135048231501,
|
|
"all_pos": false
|
|
},
|
|
"pdbax": {
|
|
"name": "PGIM TOTAL RETURN BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7849784438491307,
|
|
"corr_port": -0.040165300557592445,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16740154331343826,
|
|
"2023 rate shock": -0.04107271581424787,
|
|
"2024 vol spike": 0.02044228909165624,
|
|
"2025 tariff crash": 0.004389020706349056,
|
|
"2026 Q1 drawdown": -0.0065578916394755105
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16740154331343826,
|
|
"max_ret": 0.02044228909165624,
|
|
"all_pos": false
|
|
},
|
|
"pdeax": {
|
|
"name": "PGIM JENNISON EMERGING MARKETS EQUITY OPPORTUNITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0581462896889096,
|
|
"corr_port": 0.15648877934987504,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3989539032856635,
|
|
"2023 rate shock": -0.05909092595592902,
|
|
"2024 vol spike": -0.09981631494208398,
|
|
"2025 tariff crash": -0.1928733040487567,
|
|
"2026 Q1 drawdown": -0.102283105022831
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3989539032856635,
|
|
"max_ret": -0.05909092595592902,
|
|
"all_pos": false
|
|
},
|
|
"pdhax": {
|
|
"name": "PGIM Emerging Markets Debt Hard Currency Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3278762504745587,
|
|
"corr_port": 0.2210099352847333,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24915556931711347,
|
|
"2023 rate shock": -0.056617846252953075,
|
|
"2024 vol spike": 0.0005861724340865404,
|
|
"2025 tariff crash": -0.02563776568252729,
|
|
"2026 Q1 drawdown": -0.03184471509774933
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.24915556931711347,
|
|
"max_ret": 0.0005861724340865404,
|
|
"all_pos": false
|
|
},
|
|
"pdinx": {
|
|
"name": "PUTNAM DIVERSIFIED INCOME TRUST",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.25603001007596793,
|
|
"corr_port": 0.1515436580369243,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06923403562957442,
|
|
"2023 rate shock": -0.03186978052311351,
|
|
"2024 vol spike": 0.015312035349926312,
|
|
"2025 tariff crash": 0.004668530403853399,
|
|
"2026 Q1 drawdown": -0.005204141275012675
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06923403562957442,
|
|
"max_ret": 0.015312035349926312,
|
|
"all_pos": false
|
|
},
|
|
"pdizx": {
|
|
"name": "Putnam Retirement Advantage 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7886346210078021,
|
|
"corr_port": 0.22337045683986115,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18330307578638094,
|
|
"2023 rate shock": -0.053459107587564225,
|
|
"2024 vol spike": -0.01779031699306277,
|
|
"2025 tariff crash": -0.0692235591208572,
|
|
"2026 Q1 drawdown": -0.02820746132848051
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18330307578638094,
|
|
"max_ret": -0.01779031699306277,
|
|
"all_pos": false
|
|
},
|
|
"pdsax": {
|
|
"name": "PGIM Short Duration Muni Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9490147305785134,
|
|
"corr_port": 0.06475583689920278,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07560463598543388,
|
|
"2023 rate shock": -0.019104114993166443,
|
|
"2024 vol spike": 0.01021328140769473,
|
|
"2025 tariff crash": -0.009699785603928368,
|
|
"2026 Q1 drawdown": -0.007188881320619123
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.07560463598543388,
|
|
"max_ret": 0.01021328140769473,
|
|
"all_pos": false
|
|
},
|
|
"pennx": {
|
|
"name": "Royce Small-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4554771774980609,
|
|
"corr_port": 0.2879428555445985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2489755041568632,
|
|
"2023 rate shock": -0.1342795243457825,
|
|
"2024 vol spike": -0.09188665375650729,
|
|
"2025 tariff crash": -0.20682077116161102,
|
|
"2026 Q1 drawdown": -0.06706706706706711
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2489755041568632,
|
|
"max_ret": -0.06706706706706711,
|
|
"all_pos": false
|
|
},
|
|
"peopx": {
|
|
"name": "BNY Mellon S&P 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5836808973177723,
|
|
"corr_port": 0.279275175918218,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24742609423660566,
|
|
"2023 rate shock": -0.09801308421698363,
|
|
"2024 vol spike": -0.0717137429581628,
|
|
"2025 tariff crash": -0.18466672107118387,
|
|
"2026 Q1 drawdown": -0.08843313324040802
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24742609423660566,
|
|
"max_ret": -0.0717137429581628,
|
|
"all_pos": false
|
|
},
|
|
"pequx": {
|
|
"name": "PUTNAM FOCUSED INTERNATIONAL EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.15913611833209704,
|
|
"corr_port": 0.31470685857300573,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3159235870989703,
|
|
"2023 rate shock": -0.1082981389447304,
|
|
"2024 vol spike": -0.06883359242705556,
|
|
"2025 tariff crash": -0.08950413069250396,
|
|
"2026 Q1 drawdown": -0.09637949534015822
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3159235870989703,
|
|
"max_ret": -0.06883359242705556,
|
|
"all_pos": false
|
|
},
|
|
"pespx": {
|
|
"name": "BNY Mellon Midcap Index Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5690147353192967,
|
|
"corr_port": 0.3185452135295827,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20733746453439816,
|
|
"2023 rate shock": -0.1425710054770306,
|
|
"2024 vol spike": -0.0658568342652045,
|
|
"2025 tariff crash": -0.19249479710509365,
|
|
"2026 Q1 drawdown": -0.0525944228732792
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20733746453439816,
|
|
"max_ret": -0.0525944228732792,
|
|
"all_pos": false
|
|
},
|
|
"pexmx": {
|
|
"name": "T. Rowe Price Extended Equity Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.57924938037728,
|
|
"corr_port": 0.22763119450862992,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2913320442648809,
|
|
"2023 rate shock": -0.15444396088427914,
|
|
"2024 vol spike": -0.08049811421090125,
|
|
"2025 tariff crash": -0.23276371353373948,
|
|
"2026 Q1 drawdown": -0.0831047472052866
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2913320442648809,
|
|
"max_ret": -0.08049811421090125,
|
|
"all_pos": false
|
|
},
|
|
"peyax": {
|
|
"name": "PUTNAM LARGE CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.535882771088448,
|
|
"corr_port": 0.399023279762834,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13499570295582497,
|
|
"2023 rate shock": -0.0863342655044208,
|
|
"2024 vol spike": -0.049461064574347624,
|
|
"2025 tariff crash": -0.14030517217809835,
|
|
"2026 Q1 drawdown": -0.04863668345728556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14030517217809835,
|
|
"max_ret": -0.04863668345728556,
|
|
"all_pos": false
|
|
},
|
|
"pflrx": {
|
|
"name": "Putnam Floating Rate Income Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 3.541135268202159,
|
|
"corr_port": 0.3094628283236659,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04366949554415267,
|
|
"2023 rate shock": 0.00707955687451256,
|
|
"2024 vol spike": 0.0012547103991777941,
|
|
"2025 tariff crash": -0.025025491555584534,
|
|
"2026 Q1 drawdown": -0.012263665612849528
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.04366949554415267,
|
|
"max_ret": 0.00707955687451256,
|
|
"all_pos": false
|
|
},
|
|
"pfsax": {
|
|
"name": "PGIM Jennison Financial Services Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3093739500224108,
|
|
"corr_port": 0.3595935750629374,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2851692357929917,
|
|
"2023 rate shock": -0.10746097906098007,
|
|
"2024 vol spike": -0.06912034520835864,
|
|
"2025 tariff crash": -0.17651928442871578,
|
|
"2026 Q1 drawdown": -0.11302110012892141
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2851692357929917,
|
|
"max_ret": -0.06912034520835864,
|
|
"all_pos": false
|
|
},
|
|
"pfslx": {
|
|
"name": "Paradigm Select Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9449936714823882,
|
|
"corr_port": 0.2328617107071564,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3406212337344878,
|
|
"2023 rate shock": -0.16115891524662174,
|
|
"2024 vol spike": -0.08294228721930352,
|
|
"2025 tariff crash": -0.2379600208141458,
|
|
"2026 Q1 drawdown": 0.006521032951857686
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.3406212337344878,
|
|
"max_ret": 0.006521032951857686,
|
|
"all_pos": false
|
|
},
|
|
"pfxf": {
|
|
"name": "VanEck Preferred Securities ex Financials ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8322256499550678,
|
|
"corr_port": 0.2335996519509493,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20034904273905396,
|
|
"2023 rate shock": -0.0853873873629919,
|
|
"2024 vol spike": -0.017221496920576618,
|
|
"2025 tariff crash": -0.09788066121004613,
|
|
"2026 Q1 drawdown": -0.04496529205175481
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20034904273905396,
|
|
"max_ret": -0.017221496920576618,
|
|
"all_pos": false
|
|
},
|
|
"pgdix": {
|
|
"name": "Diversified Income Fund (f/k/a Global Diversified Income Fund)",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.176338106480683,
|
|
"corr_port": 0.30646260408143494,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13589514287951487,
|
|
"2023 rate shock": -0.02781899481383132,
|
|
"2024 vol spike": 0.0033825443478185946,
|
|
"2025 tariff crash": -0.01501005725338267,
|
|
"2026 Q1 drawdown": -0.021760206556634687
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13589514287951487,
|
|
"max_ret": 0.0033825443478185946,
|
|
"all_pos": false
|
|
},
|
|
"pgeix": {
|
|
"name": "Polen Emerging Markets Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.334552951852035,
|
|
"corr_port": 0.06634917200636273,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32230521517239574,
|
|
"2023 rate shock": -0.0996263919810012,
|
|
"2024 vol spike": -0.07308163157720049,
|
|
"2025 tariff crash": -0.1547085201793722,
|
|
"2026 Q1 drawdown": -0.10516605166051662
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32230521517239574,
|
|
"max_ret": -0.07308163157720049,
|
|
"all_pos": false
|
|
},
|
|
"pgeox": {
|
|
"name": "GEORGE PUTNAM FUND OF BOSTON",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7830734179306102,
|
|
"corr_port": 0.2590824763726946,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2023610733291129,
|
|
"2023 rate shock": -0.06771408303187698,
|
|
"2024 vol spike": -0.03970410596045182,
|
|
"2025 tariff crash": -0.12072979947055551,
|
|
"2026 Q1 drawdown": -0.054459033524299816
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2023610733291129,
|
|
"max_ret": -0.03970410596045182,
|
|
"all_pos": false
|
|
},
|
|
"pggax": {
|
|
"name": "American Funds Global Growth Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.05125377094395,
|
|
"corr_port": 0.2665020520448951,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31637716450766706,
|
|
"2023 rate shock": -0.11144715420378815,
|
|
"2024 vol spike": -0.072545535776246,
|
|
"2025 tariff crash": -0.1736753963284503,
|
|
"2026 Q1 drawdown": -0.1113529198404063
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31637716450766706,
|
|
"max_ret": -0.072545535776246,
|
|
"all_pos": false
|
|
},
|
|
"pggix": {
|
|
"name": "PUTNAM GLOBAL INCOME TRUST",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.197114655331362,
|
|
"corr_port": 0.02258874692232828,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19065651762265,
|
|
"2023 rate shock": -0.03457503666353012,
|
|
"2024 vol spike": 0.021838580614230496,
|
|
"2025 tariff crash": 0.007454876866164195,
|
|
"2026 Q1 drawdown": -0.01794213835367975
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.19065651762265,
|
|
"max_ret": 0.021838580614230496,
|
|
"all_pos": false
|
|
},
|
|
"pgjax": {
|
|
"name": "PGIM Jennison Global Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.07947600449267134,
|
|
"corr_port": 0.3399575947961548,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17541946111315843,
|
|
"2023 rate shock": -0.10179562275221399,
|
|
"2024 vol spike": -0.02388825726495114,
|
|
"2025 tariff crash": -0.06873868851422804,
|
|
"2026 Q1 drawdown": 0.030303154108590746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17541946111315843,
|
|
"max_ret": 0.030303154108590746,
|
|
"all_pos": false
|
|
},
|
|
"pgkax": {
|
|
"name": "PGIM Jennison Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.218473592572552,
|
|
"corr_port": 0.027682586996486454,
|
|
"rets": {
|
|
"2022 bear mkt": -0.43323144098936306,
|
|
"2023 rate shock": -0.13503256070166814,
|
|
"2024 vol spike": -0.11771602068978293,
|
|
"2025 tariff crash": -0.2783206437750261,
|
|
"2026 Q1 drawdown": -0.1162554917201758
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.43323144098936306,
|
|
"max_ret": -0.1162554917201758,
|
|
"all_pos": false
|
|
},
|
|
"pgoax": {
|
|
"name": "PGIM JENNISON SMALL COMPANY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.692726780799233,
|
|
"corr_port": 0.27704460529005365,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23698635483012287,
|
|
"2023 rate shock": -0.15159712910018552,
|
|
"2024 vol spike": -0.07572046773156516,
|
|
"2025 tariff crash": -0.19404420208296747,
|
|
"2026 Q1 drawdown": -0.08071135430916554
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23698635483012287,
|
|
"max_ret": -0.07572046773156516,
|
|
"all_pos": false
|
|
},
|
|
"pgrnx": {
|
|
"name": "Impax Global Environmental Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7585470988594156,
|
|
"corr_port": 0.28908973826942125,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3322141210771429,
|
|
"2023 rate shock": -0.150483310837495,
|
|
"2024 vol spike": -0.056372676688318135,
|
|
"2025 tariff crash": -0.16349010135073372,
|
|
"2026 Q1 drawdown": -0.08725761663916687
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3322141210771429,
|
|
"max_ret": -0.056372676688318135,
|
|
"all_pos": false
|
|
},
|
|
"pgrox": {
|
|
"name": "BNY Mellon Worldwide Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.620460727022271,
|
|
"corr_port": 0.25372969602646644,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2595431644080478,
|
|
"2023 rate shock": -0.09570386482318038,
|
|
"2024 vol spike": -0.06917004276637351,
|
|
"2025 tariff crash": -0.17130831999717266,
|
|
"2026 Q1 drawdown": -0.10310891791729226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2595431644080478,
|
|
"max_ret": -0.06917004276637351,
|
|
"all_pos": false
|
|
},
|
|
"pgsix": {
|
|
"name": "PUTNAM MORTGAGE SECURITIES FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2931746338664741,
|
|
"corr_port": 0.03291500162663316,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14124546641411106,
|
|
"2023 rate shock": -0.05193763118218264,
|
|
"2024 vol spike": 0.027413331452320167,
|
|
"2025 tariff crash": 0.0019933014356736667,
|
|
"2026 Q1 drawdown": 0.003874241141622603
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.14124546641411106,
|
|
"max_ret": 0.027413331452320167,
|
|
"all_pos": false
|
|
},
|
|
"pgvax": {
|
|
"name": "PGIM GOVERNMENT INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1075971377715066,
|
|
"corr_port": -0.13365504927537805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.151961994450725,
|
|
"2023 rate shock": -0.039819216680307634,
|
|
"2024 vol spike": 0.02450132855734566,
|
|
"2025 tariff crash": 0.012408764633511149,
|
|
"2026 Q1 drawdown": -0.005543723552511648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.151961994450725,
|
|
"max_ret": 0.02450132855734566,
|
|
"all_pos": false
|
|
},
|
|
"pgwax": {
|
|
"name": "Virtus Silvant Focused Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1307944600072044,
|
|
"corr_port": 0.14337637652874352,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35141565213742143,
|
|
"2023 rate shock": -0.08365316855340577,
|
|
"2024 vol spike": -0.10174938009801637,
|
|
"2025 tariff crash": -0.21753724845344702,
|
|
"2026 Q1 drawdown": -0.13460564136421393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35141565213742143,
|
|
"max_ret": -0.08365316855340577,
|
|
"all_pos": false
|
|
},
|
|
"pheax": {
|
|
"name": "PGIM Global Total Return (USD Hedged) Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.128444235603477,
|
|
"corr_port": 0.007729324796808906,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19003910669475021,
|
|
"2023 rate shock": -0.028207802018244688,
|
|
"2024 vol spike": 0.012703355651653814,
|
|
"2025 tariff crash": 0.005360033650790408,
|
|
"2026 Q1 drawdown": -0.013692938128809673
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.19003910669475021,
|
|
"max_ret": 0.012703355651653814,
|
|
"all_pos": false
|
|
},
|
|
"phizx": {
|
|
"name": "PGIM Muni High Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6893606843082871,
|
|
"corr_port": 0.06294927896467394,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1547468889845749,
|
|
"2023 rate shock": -0.0580930729582656,
|
|
"2024 vol spike": 0.020536945626759007,
|
|
"2025 tariff crash": -0.029516914093892233,
|
|
"2026 Q1 drawdown": -0.011396533473599257
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1547468889845749,
|
|
"max_ret": 0.020536945626759007,
|
|
"all_pos": false
|
|
},
|
|
"phstx": {
|
|
"name": "PUTNAM GLOBAL HEALTH CARE FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.41334482537676615,
|
|
"corr_port": 0.2545256412608181,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12639394166075524,
|
|
"2023 rate shock": -0.0573583570665841,
|
|
"2024 vol spike": -0.01991718693029243,
|
|
"2025 tariff crash": -0.10946603694025614,
|
|
"2026 Q1 drawdown": -0.05632691611980256
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12639394166075524,
|
|
"max_ret": -0.01991718693029243,
|
|
"all_pos": false
|
|
},
|
|
"phyix": {
|
|
"name": "PUTNAM HIGH YIELD FUND",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.5042453583995471,
|
|
"corr_port": 0.3173759246439919,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14519581922212654,
|
|
"2023 rate shock": -0.025623323806284737,
|
|
"2024 vol spike": -0.004694785148299463,
|
|
"2025 tariff crash": -0.03815930921369193,
|
|
"2026 Q1 drawdown": -0.016374878681559957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14519581922212654,
|
|
"max_ret": -0.004694785148299463,
|
|
"all_pos": false
|
|
},
|
|
"phyl": {
|
|
"name": "PGIM Active High Yield Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.00022905775084075596,
|
|
"corr_port": 0.23769756784724355,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14922045263464234,
|
|
"2023 rate shock": -0.02793216645992469,
|
|
"2024 vol spike": -0.004557650260374468,
|
|
"2025 tariff crash": -0.040913534683168384,
|
|
"2026 Q1 drawdown": -0.02066172420182799
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14922045263464234,
|
|
"max_ret": -0.004557650260374468,
|
|
"all_pos": false
|
|
},
|
|
"physx": {
|
|
"name": "PIA High Yield Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.603314651747347,
|
|
"corr_port": 0.32596098530328316,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1302870147968953,
|
|
"2023 rate shock": -0.015427060642029256,
|
|
"2024 vol spike": -0.009731601242483512,
|
|
"2025 tariff crash": -0.05330306426869669,
|
|
"2026 Q1 drawdown": -0.02460886569066656
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1302870147968953,
|
|
"max_ret": -0.009731601242483512,
|
|
"all_pos": false
|
|
},
|
|
"piafx": {
|
|
"name": "Invesco Multi-Asset Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6870960946580325,
|
|
"corr_port": 0.2936242675533314,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18906457318243386,
|
|
"2023 rate shock": -0.058523633336901804,
|
|
"2024 vol spike": -0.02285079245065702,
|
|
"2025 tariff crash": -0.07104673200516542,
|
|
"2026 Q1 drawdown": -0.03858654118508853
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18906457318243386,
|
|
"max_ret": -0.02285079245065702,
|
|
"all_pos": false
|
|
},
|
|
"piamx": {
|
|
"name": "PIA High Yield (MACS) Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.109240435603496,
|
|
"corr_port": 0.32496370670834335,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12707654538293023,
|
|
"2023 rate shock": -0.01652456873781738,
|
|
"2024 vol spike": -0.009541728688546525,
|
|
"2025 tariff crash": -0.053660377684540794,
|
|
"2026 Q1 drawdown": -0.02305752866210853
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12707654538293023,
|
|
"max_ret": -0.009541728688546525,
|
|
"all_pos": false
|
|
},
|
|
"piasx": {
|
|
"name": "PIA Short-Term Securities Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.4017752578691653,
|
|
"corr_port": -0.03850980419266495,
|
|
"rets": {
|
|
"2022 bear mkt": -0.020355029864304486,
|
|
"2023 rate shock": 0.011090596369226713,
|
|
"2024 vol spike": 0.006410832680292966,
|
|
"2025 tariff crash": 0.005488692246058635,
|
|
"2026 Q1 drawdown": 0.0017912503187063056
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.020355029864304486,
|
|
"max_ret": 0.011090596369226713,
|
|
"all_pos": false
|
|
},
|
|
"pibax": {
|
|
"name": "PGIM BALANCED FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.42867863919699584,
|
|
"corr_port": 0.29353236941329236,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21204250098977784,
|
|
"2023 rate shock": -0.07578882436389933,
|
|
"2024 vol spike": -0.03966927678197596,
|
|
"2025 tariff crash": -0.11243037734809624,
|
|
"2026 Q1 drawdown": -0.05594783858685837
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21204250098977784,
|
|
"max_ret": -0.03966927678197596,
|
|
"all_pos": false
|
|
},
|
|
"piefx": {
|
|
"name": "Federated Hermes Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.20231919881624377,
|
|
"corr_port": 0.2069763289118946,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37097626567262343,
|
|
"2023 rate shock": -0.12638881179459327,
|
|
"2024 vol spike": -0.09475029590101036,
|
|
"2025 tariff crash": -0.16175580226936903,
|
|
"2026 Q1 drawdown": -0.11592962147146324
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37097626567262343,
|
|
"max_ret": -0.09475029590101036,
|
|
"all_pos": false
|
|
},
|
|
"pieqx": {
|
|
"name": "T. Rowe Price International Equity Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17727351715262274,
|
|
"corr_port": 0.3812007982122021,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28606062955417877,
|
|
"2023 rate shock": -0.10573811563116309,
|
|
"2024 vol spike": -0.06709828623954683,
|
|
"2025 tariff crash": -0.10863176771550842,
|
|
"2026 Q1 drawdown": -0.0760151085930123
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28606062955417877,
|
|
"max_ret": -0.06709828623954683,
|
|
"all_pos": false
|
|
},
|
|
"pigdx": {
|
|
"name": "Federated Hermes International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.459921058671588,
|
|
"corr_port": 0.2181459046319916,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3627287274022434,
|
|
"2023 rate shock": -0.13497846329524177,
|
|
"2024 vol spike": -0.08305661360653216,
|
|
"2025 tariff crash": -0.14702078819662,
|
|
"2026 Q1 drawdown": -0.11395348837209296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3627287274022434,
|
|
"max_ret": -0.08305661360653216,
|
|
"all_pos": false
|
|
},
|
|
"pincx": {
|
|
"name": "PUTNAM INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.141161076855564,
|
|
"corr_port": -0.04570700363792774,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15643033633309156,
|
|
"2023 rate shock": -0.039093543036798906,
|
|
"2024 vol spike": 0.021057285258302194,
|
|
"2025 tariff crash": 0.0035716245107517697,
|
|
"2026 Q1 drawdown": -0.0037703795117068895
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15643033633309156,
|
|
"max_ret": 0.021057285258302194,
|
|
"all_pos": false
|
|
},
|
|
"pisdx": {
|
|
"name": "Columbia Pyrford International Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1200523151544894,
|
|
"corr_port": 0.2289659175572172,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21872917487241583,
|
|
"2023 rate shock": -0.0838487388536231,
|
|
"2024 vol spike": -0.03902122706999789,
|
|
"2025 tariff crash": -0.08147633354211425,
|
|
"2026 Q1 drawdown": -0.040000000000000036
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21872917487241583,
|
|
"max_ret": -0.03902122706999789,
|
|
"all_pos": false
|
|
},
|
|
"pishx": {
|
|
"name": "Preferred Securities and Income SMA Shares",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 1.2146984373394836,
|
|
"corr_port": 0.3036180456843369,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1514924279388845,
|
|
"2023 rate shock": -0.022584589319534887,
|
|
"2024 vol spike": -0.004347035811000599,
|
|
"2025 tariff crash": -0.025165699274461106,
|
|
"2026 Q1 drawdown": -0.02276497141441669
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1514924279388845,
|
|
"max_ret": -0.004347035811000599,
|
|
"all_pos": false
|
|
},
|
|
"piuix": {
|
|
"name": "Federated Hermes International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8986407506882619,
|
|
"corr_port": 0.3660623641534356,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32505189115222277,
|
|
"2023 rate shock": -0.1171477759841354,
|
|
"2024 vol spike": -0.07798686183854209,
|
|
"2025 tariff crash": -0.12363950922739919,
|
|
"2026 Q1 drawdown": -0.0965092402464065
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32505189115222277,
|
|
"max_ret": -0.07798686183854209,
|
|
"all_pos": false
|
|
},
|
|
"pjdax": {
|
|
"name": "PGIM JENNISON RISING DIVIDEND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2948738098729123,
|
|
"corr_port": 0.3701518234364948,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17714460561301248,
|
|
"2023 rate shock": -0.08048257674380332,
|
|
"2024 vol spike": -0.06576200567199353,
|
|
"2025 tariff crash": -0.15552803002055837,
|
|
"2026 Q1 drawdown": -0.024066459325871148
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17714460561301248,
|
|
"max_ret": -0.024066459325871148,
|
|
"all_pos": false
|
|
},
|
|
"pjeax": {
|
|
"name": "PGIM US Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.689939100044958,
|
|
"corr_port": 0.24809897828753966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.339257762608168,
|
|
"2023 rate shock": -0.14091403797604363,
|
|
"2024 vol spike": -0.024882239312702725,
|
|
"2025 tariff crash": -0.14737512432810373,
|
|
"2026 Q1 drawdown": 0.015160979334252644
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.339257762608168,
|
|
"max_ret": 0.015160979334252644,
|
|
"all_pos": false
|
|
},
|
|
"pjgrx": {
|
|
"name": "PGIM JENNISON GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1064780323134427,
|
|
"corr_port": 0.10389450539478608,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37801326951843617,
|
|
"2023 rate shock": -0.09506356409288097,
|
|
"2024 vol spike": -0.09491453353013879,
|
|
"2025 tariff crash": -0.2305926349759535,
|
|
"2026 Q1 drawdown": -0.13180782307075922
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37801326951843617,
|
|
"max_ret": -0.09491453353013879,
|
|
"all_pos": false
|
|
},
|
|
"pjiax": {
|
|
"name": "PGIM JENNISON FOCUSED VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0305887616400875,
|
|
"corr_port": 0.3646155331018018,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21303902665327024,
|
|
"2023 rate shock": -0.08433741761317637,
|
|
"2024 vol spike": -0.06605596498918875,
|
|
"2025 tariff crash": -0.17059101177957559,
|
|
"2026 Q1 drawdown": -0.05234899328859066
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21303902665327024,
|
|
"max_ret": -0.05234899328859066,
|
|
"all_pos": false
|
|
},
|
|
"pjrax": {
|
|
"name": "PGIM QUANT SOLUTIONS INTERNATIONAL EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2502734368155664,
|
|
"corr_port": 0.41221789578212525,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2882882012952639,
|
|
"2023 rate shock": -0.09235207061339046,
|
|
"2024 vol spike": -0.07468354997700533,
|
|
"2025 tariff crash": -0.10861432578628083,
|
|
"2026 Q1 drawdown": -0.08187134502923976
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2882882012952639,
|
|
"max_ret": -0.07468354997700533,
|
|
"all_pos": false
|
|
},
|
|
"plbbx": {
|
|
"name": "Plumb Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7201029121529514,
|
|
"corr_port": 0.19757991275531636,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26755072677852365,
|
|
"2023 rate shock": -0.0654745066963146,
|
|
"2024 vol spike": -0.05552719663959016,
|
|
"2025 tariff crash": -0.12409545654692955,
|
|
"2026 Q1 drawdown": -0.0703820494405536
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26755072677852365,
|
|
"max_ret": -0.05552719663959016,
|
|
"all_pos": false
|
|
},
|
|
"plbex": {
|
|
"name": "Plumb Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3719402895585486,
|
|
"corr_port": 0.16104965543037375,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37019551567404074,
|
|
"2023 rate shock": -0.1036204206921224,
|
|
"2024 vol spike": -0.08761531998600824,
|
|
"2025 tariff crash": -0.19248367151489043,
|
|
"2026 Q1 drawdown": -0.14693249367684003
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37019551567404074,
|
|
"max_ret": -0.08761531998600824,
|
|
"all_pos": false
|
|
},
|
|
"plusx": {
|
|
"name": "DWS Multi-Asset Moderate Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.501985477291146,
|
|
"corr_port": 0.314050610220202,
|
|
"rets": {
|
|
"2022 bear mkt": -0.204022961531229,
|
|
"2023 rate shock": -0.07470642257724525,
|
|
"2024 vol spike": -0.041041127525619614,
|
|
"2025 tariff crash": -0.10792337116160677,
|
|
"2026 Q1 drawdown": -0.05465838509316778
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.204022961531229,
|
|
"max_ret": -0.041041127525619614,
|
|
"all_pos": false
|
|
},
|
|
"pmegx": {
|
|
"name": "T. Rowe Price Institutional Mid-Cap Equity Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.422982260493029,
|
|
"corr_port": 0.219901371065793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28473085129458775,
|
|
"2023 rate shock": -0.13933543771297285,
|
|
"2024 vol spike": -0.04979744909254613,
|
|
"2025 tariff crash": -0.1928082982246816,
|
|
"2026 Q1 drawdown": -0.07828573333333333
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28473085129458775,
|
|
"max_ret": -0.04979744909254613,
|
|
"all_pos": false
|
|
},
|
|
"pmtgx": {
|
|
"name": "PIA MBS Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.12571659361489895,
|
|
"corr_port": -0.10449523975284405,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1311020366933342,
|
|
"2023 rate shock": -0.05086764462829241,
|
|
"2024 vol spike": 0.022767478363743043,
|
|
"2025 tariff crash": 0.011011201464296017,
|
|
"2026 Q1 drawdown": -0.005851116416923485
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1311020366933342,
|
|
"max_ret": 0.022767478363743043,
|
|
"all_pos": false
|
|
},
|
|
"pmvax": {
|
|
"name": "Putnam Sustainable Future Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.0009644814547345,
|
|
"corr_port": 0.07997805413937256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34646373822742305,
|
|
"2023 rate shock": -0.12254089109192368,
|
|
"2024 vol spike": -0.06874436488099012,
|
|
"2025 tariff crash": -0.2460507294083384,
|
|
"2026 Q1 drawdown": -0.0949152542372882
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34646373822742305,
|
|
"max_ret": -0.06874436488099012,
|
|
"all_pos": false
|
|
},
|
|
"pnbax": {
|
|
"name": "Virtus NFJ Large-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.958290039932699,
|
|
"corr_port": 0.3409935266835361,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23835988282690057,
|
|
"2023 rate shock": -0.1476009881114272,
|
|
"2024 vol spike": -0.04508346319067169,
|
|
"2025 tariff crash": -0.1638079876188815,
|
|
"2026 Q1 drawdown": -0.0610004738156148
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23835988282690057,
|
|
"max_ret": -0.04508346319067169,
|
|
"all_pos": false
|
|
},
|
|
"pneax": {
|
|
"name": "Virtus NFJ Dividend Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1552536364874618,
|
|
"corr_port": 0.3445880684032292,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2342078566135436,
|
|
"2023 rate shock": -0.15063425996387003,
|
|
"2024 vol spike": -0.03551408173980619,
|
|
"2025 tariff crash": -0.15601978043815767,
|
|
"2026 Q1 drawdown": -0.03546710714485046
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2342078566135436,
|
|
"max_ret": -0.03546710714485046,
|
|
"all_pos": false
|
|
},
|
|
"pngax": {
|
|
"name": "Putnam International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.798907028318978,
|
|
"corr_port": 0.456500172262473,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24296055573828812,
|
|
"2023 rate shock": -0.09379843657093767,
|
|
"2024 vol spike": -0.06978370189430305,
|
|
"2025 tariff crash": -0.08134645638240601,
|
|
"2026 Q1 drawdown": -0.05891980360065463
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24296055573828812,
|
|
"max_ret": -0.05891980360065463,
|
|
"all_pos": false
|
|
},
|
|
"pnopx": {
|
|
"name": "PUTNAM SUSTAINABLE LEADERS FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.605814427275855,
|
|
"corr_port": 0.24102511009539707,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26636351771518363,
|
|
"2023 rate shock": -0.08699428670241949,
|
|
"2024 vol spike": -0.07442256591820484,
|
|
"2025 tariff crash": -0.2099049047722884,
|
|
"2026 Q1 drawdown": -0.10638475300803896
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26636351771518363,
|
|
"max_ret": -0.07442256591820484,
|
|
"all_pos": false
|
|
},
|
|
"pnrax": {
|
|
"name": "Putnam U.S. Research Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6819207949445134,
|
|
"corr_port": 0.276478412264447,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23246279456836594,
|
|
"2023 rate shock": -0.08416070424180655,
|
|
"2024 vol spike": -0.07322064247058102,
|
|
"2025 tariff crash": -0.19403809823324392,
|
|
"2026 Q1 drawdown": -0.08155406163027767
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23246279456836594,
|
|
"max_ret": -0.07322064247058102,
|
|
"all_pos": false
|
|
},
|
|
"pnsax": {
|
|
"name": "Putnam Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.38602354240621056,
|
|
"corr_port": 0.18048580695872893,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2874887782468566,
|
|
"2023 rate shock": -0.14290644592572244,
|
|
"2024 vol spike": -0.054714590603512914,
|
|
"2025 tariff crash": -0.1831217100957624,
|
|
"2026 Q1 drawdown": -0.11651502487788723
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2874887782468566,
|
|
"max_ret": -0.054714590603512914,
|
|
"all_pos": false
|
|
},
|
|
"pnvax": {
|
|
"name": "Putnam International Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7418658434781341,
|
|
"corr_port": 0.37843130784261586,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3419186514871566,
|
|
"2023 rate shock": -0.11725603659778927,
|
|
"2024 vol spike": -0.061468619318266415,
|
|
"2025 tariff crash": -0.07276763914567985,
|
|
"2026 Q1 drawdown": -0.10772879965457682
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3419186514871566,
|
|
"max_ret": -0.061468619318266415,
|
|
"all_pos": false
|
|
},
|
|
"pogax": {
|
|
"name": "Putnam Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.190143201327193,
|
|
"corr_port": 0.15037798580951137,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32144691264340963,
|
|
"2023 rate shock": -0.08738436424783913,
|
|
"2024 vol spike": -0.09254501269673476,
|
|
"2025 tariff crash": -0.22769110157502592,
|
|
"2026 Q1 drawdown": -0.1253008174017226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32144691264340963,
|
|
"max_ret": -0.08738436424783913,
|
|
"all_pos": false
|
|
},
|
|
"pomix": {
|
|
"name": "T. Rowe Price Total Equity Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.45004494071921014,
|
|
"corr_port": 0.27750396171977787,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2544684465556094,
|
|
"2023 rate shock": -0.10502844340336759,
|
|
"2024 vol spike": -0.07241027856647941,
|
|
"2025 tariff crash": -0.1907120895253277,
|
|
"2026 Q1 drawdown": -0.0865795020900344
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2544684465556094,
|
|
"max_ret": -0.07241027856647941,
|
|
"all_pos": false
|
|
},
|
|
"povsx": {
|
|
"name": "PUTNAM INTERNATIONAL EQUITY FUND /MA/",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.45391160669396213,
|
|
"corr_port": 0.3812505260466762,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28655428706614516,
|
|
"2023 rate shock": -0.0964733448669538,
|
|
"2024 vol spike": -0.08475193026635686,
|
|
"2025 tariff crash": -0.10541831788389622,
|
|
"2026 Q1 drawdown": -0.08900996333666245
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28655428706614516,
|
|
"max_ret": -0.08475193026635686,
|
|
"all_pos": false
|
|
},
|
|
"ppiax": {
|
|
"name": "DWS Short Duration Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 3.644510147313814,
|
|
"corr_port": 0.060166731590796295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.061113695909998045,
|
|
"2023 rate shock": -0.003067434501321409,
|
|
"2024 vol spike": 0.009967462144543582,
|
|
"2025 tariff crash": 0.003926994108487625,
|
|
"2026 Q1 drawdown": -0.005818938738308521
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.061113695909998045,
|
|
"max_ret": 0.009967462144543582,
|
|
"all_pos": false
|
|
},
|
|
"ppnax": {
|
|
"name": "Putnam Strategic Intermediate Municipal Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.0191118873201728,
|
|
"corr_port": 0.05979544508950956,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09336558412492402,
|
|
"2023 rate shock": -0.03798211009042396,
|
|
"2024 vol spike": 0.013236442497113643,
|
|
"2025 tariff crash": -0.01928337465254304,
|
|
"2026 Q1 drawdown": -0.007762354349822753
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09336558412492402,
|
|
"max_ret": 0.013236442497113643,
|
|
"all_pos": false
|
|
},
|
|
"ppqax": {
|
|
"name": "PIMCO REALPATH Blend 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5531597224081772,
|
|
"corr_port": 0.3203385256305766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25773553614691,
|
|
"2023 rate shock": -0.10265526341211006,
|
|
"2024 vol spike": -0.06028618174064204,
|
|
"2025 tariff crash": -0.14354232150346224,
|
|
"2026 Q1 drawdown": -0.07223301523691927
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25773553614691,
|
|
"max_ret": -0.06028618174064204,
|
|
"all_pos": false
|
|
},
|
|
"pqcnx": {
|
|
"name": "PGIM Core Conservative Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05243749088243829,
|
|
"corr_port": -0.12208725182398114,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15185071378947268,
|
|
"2023 rate shock": -0.04262263751533735,
|
|
"2024 vol spike": 0.02316388549277204,
|
|
"2025 tariff crash": 0.010425647899016566,
|
|
"2026 Q1 drawdown": -0.00478154937572961
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15185071378947268,
|
|
"max_ret": 0.02316388549277204,
|
|
"all_pos": false
|
|
},
|
|
"pqnax": {
|
|
"name": "Virtus NFJ Mid-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.618897430248418,
|
|
"corr_port": 0.3193668779213482,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22782608839814633,
|
|
"2023 rate shock": -0.18161523999196272,
|
|
"2024 vol spike": -0.04608298233346708,
|
|
"2025 tariff crash": -0.15805582658203254,
|
|
"2026 Q1 drawdown": -0.059439252336448645
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22782608839814633,
|
|
"max_ret": -0.04608298233346708,
|
|
"all_pos": false
|
|
},
|
|
"pqtsx": {
|
|
"name": "PGIM TIPS Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3513170989280061,
|
|
"corr_port": -0.05620344151323078,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12335761285109004,
|
|
"2023 rate shock": -0.030415121507784693,
|
|
"2024 vol spike": 0.012790791529879941,
|
|
"2025 tariff crash": 0.010135559406694084,
|
|
"2026 Q1 drawdown": -0.003567213286888249
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12335761285109004,
|
|
"max_ret": 0.012790791529879941,
|
|
"all_pos": false
|
|
},
|
|
"prafx": {
|
|
"name": "T. Rowe Price Real Assets Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1593583917602257,
|
|
"corr_port": 0.3616104070333625,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20865626306079776,
|
|
"2023 rate shock": -0.10774645696519147,
|
|
"2024 vol spike": -0.050331180638423345,
|
|
"2025 tariff crash": -0.13639391683983304,
|
|
"2026 Q1 drawdown": -0.06387230220198081
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20865626306079776,
|
|
"max_ret": -0.050331180638423345,
|
|
"all_pos": false
|
|
},
|
|
"prasx": {
|
|
"name": "T. Rowe Price New Asia Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.162621641080458,
|
|
"corr_port": 0.2270964862712669,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32461967320513896,
|
|
"2023 rate shock": -0.12901295683235237,
|
|
"2024 vol spike": -0.0675990634559599,
|
|
"2025 tariff crash": -0.1463413868430231,
|
|
"2026 Q1 drawdown": -0.0962897569032578
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32461967320513896,
|
|
"max_ret": -0.0675990634559599,
|
|
"all_pos": false
|
|
},
|
|
"prblx": {
|
|
"name": "Parnassus Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.765083373213355,
|
|
"corr_port": 0.2529541274621002,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2596432640966545,
|
|
"2023 rate shock": -0.098133345030749,
|
|
"2024 vol spike": -0.06060137575345392,
|
|
"2025 tariff crash": -0.15989143184314714,
|
|
"2026 Q1 drawdown": -0.10824014382724356
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2596432640966545,
|
|
"max_ret": -0.06060137575345392,
|
|
"all_pos": false
|
|
},
|
|
"prcix": {
|
|
"name": "T. Rowe Price New Income Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.13723433201003477,
|
|
"corr_port": -0.07390681462461982,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15507593405059794,
|
|
"2023 rate shock": -0.04238830151363149,
|
|
"2024 vol spike": 0.021334705536937504,
|
|
"2025 tariff crash": 0.008202610247211473,
|
|
"2026 Q1 drawdown": -0.006813100209668299
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15507593405059794,
|
|
"max_ret": 0.021334705536937504,
|
|
"all_pos": false
|
|
},
|
|
"prcox": {
|
|
"name": "T. Rowe Price U.S. Equity Research Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2514160392085182,
|
|
"corr_port": 0.2793212368117234,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24890057398755205,
|
|
"2023 rate shock": -0.09191003685831067,
|
|
"2024 vol spike": -0.07334659270821953,
|
|
"2025 tariff crash": -0.18790069122494923,
|
|
"2026 Q1 drawdown": -0.09290491557000458
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24890057398755205,
|
|
"max_ret": -0.07334659270821953,
|
|
"all_pos": false
|
|
},
|
|
"prcpx": {
|
|
"name": "T. Rowe Price Credit Opportunities Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.966352022579707,
|
|
"corr_port": 0.29507505709464416,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12517861179912038,
|
|
"2023 rate shock": -0.01919434113872376,
|
|
"2024 vol spike": -0.0026499302244193945,
|
|
"2025 tariff crash": -0.029247281875831033,
|
|
"2026 Q1 drawdown": -0.011891923206900468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12517861179912038,
|
|
"max_ret": -0.0026499302244193945,
|
|
"all_pos": false
|
|
},
|
|
"prdgx": {
|
|
"name": "T. Rowe Price Dividend Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05559737972462914,
|
|
"corr_port": 0.33565727897385983,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18948010622116462,
|
|
"2023 rate shock": -0.08844960947275371,
|
|
"2024 vol spike": -0.043615012229771266,
|
|
"2025 tariff crash": -0.13850746863391383,
|
|
"2026 Q1 drawdown": -0.04368176922170419
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18948010622116462,
|
|
"max_ret": -0.043615012229771266,
|
|
"all_pos": false
|
|
},
|
|
"prdmx": {
|
|
"name": "T. Rowe Price Diversified Mid-Cap Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6126165694919894,
|
|
"corr_port": 0.1684411951880748,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2735748064123368,
|
|
"2023 rate shock": -0.13777236134879134,
|
|
"2024 vol spike": -0.07319304512597868,
|
|
"2025 tariff crash": -0.22332103491193867,
|
|
"2026 Q1 drawdown": -0.10877336647955749
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2735748064123368,
|
|
"max_ret": -0.07319304512597868,
|
|
"all_pos": false
|
|
},
|
|
"prdsx": {
|
|
"name": "T. Rowe Price Integrated U.S. Small-Cap Growth Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9195925460289647,
|
|
"corr_port": 0.22615277703065123,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2667821452365089,
|
|
"2023 rate shock": -0.13615967392755735,
|
|
"2024 vol spike": -0.06764647592835082,
|
|
"2025 tariff crash": -0.20628105522510976,
|
|
"2026 Q1 drawdown": -0.10320130581297382
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2667821452365089,
|
|
"max_ret": -0.06764647592835082,
|
|
"all_pos": false
|
|
},
|
|
"prefx": {
|
|
"name": "T. Rowe Price Tax-Efficient Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0873421539216492,
|
|
"corr_port": 0.1609796336184138,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32205369246461646,
|
|
"2023 rate shock": -0.09195618755694812,
|
|
"2024 vol spike": -0.08537993283719847,
|
|
"2025 tariff crash": -0.22003600257109046,
|
|
"2026 Q1 drawdown": -0.12722262538081064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32205369246461646,
|
|
"max_ret": -0.08537993283719847,
|
|
"all_pos": false
|
|
},
|
|
"preix": {
|
|
"name": "T. Rowe Price Equity Index 500 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.15271533683191882,
|
|
"corr_port": 0.28552423571778457,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24562275474943007,
|
|
"2023 rate shock": -0.09740125560729984,
|
|
"2024 vol spike": -0.07168117909558702,
|
|
"2025 tariff crash": -0.1842562923102169,
|
|
"2026 Q1 drawdown": -0.08807730536334502
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24562275474943007,
|
|
"max_ret": -0.07168117909558702,
|
|
"all_pos": false
|
|
},
|
|
"premx": {
|
|
"name": "T. Rowe Price Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.5658470612262696,
|
|
"corr_port": 0.2151914326331403,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2545726712154056,
|
|
"2023 rate shock": -0.033434513602542126,
|
|
"2024 vol spike": -0.0007482355043331168,
|
|
"2025 tariff crash": -0.032040932372009334,
|
|
"2026 Q1 drawdown": -0.02617773955091962
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2545726712154056,
|
|
"max_ret": -0.0007482355043331168,
|
|
"all_pos": false
|
|
},
|
|
"presx": {
|
|
"name": "T. Rowe Price European Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3568772995283505,
|
|
"corr_port": 0.3143544878092174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3587278451001986,
|
|
"2023 rate shock": -0.13234701132026838,
|
|
"2024 vol spike": -0.053523300527595796,
|
|
"2025 tariff crash": -0.11382765545306894,
|
|
"2026 Q1 drawdown": -0.11081390905617128
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3587278451001986,
|
|
"max_ret": -0.053523300527595796,
|
|
"all_pos": false
|
|
},
|
|
"prfdx": {
|
|
"name": "T. Rowe Price Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8493285891163505,
|
|
"corr_port": 0.41059227467005194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1586814834609358,
|
|
"2023 rate shock": -0.1072974188517396,
|
|
"2024 vol spike": -0.04676163790027621,
|
|
"2025 tariff crash": -0.13494994639946734,
|
|
"2026 Q1 drawdown": -0.04432384121709576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1586814834609358,
|
|
"max_ret": -0.04432384121709576,
|
|
"all_pos": false
|
|
},
|
|
"prfhx": {
|
|
"name": "T. Rowe Price Tax-Free High Yield Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.9252909898532471,
|
|
"corr_port": 0.061850043959495386,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15025571469457333,
|
|
"2023 rate shock": -0.06406983086916018,
|
|
"2024 vol spike": 0.017407870648859403,
|
|
"2025 tariff crash": -0.0398202324802146,
|
|
"2026 Q1 drawdown": -0.005922814014280076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15025571469457333,
|
|
"max_ret": 0.017407870648859403,
|
|
"all_pos": false
|
|
},
|
|
"prfrx": {
|
|
"name": "T. Rowe Price Floating Rate Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.941659064754437,
|
|
"corr_port": 0.2690895919530133,
|
|
"rets": {
|
|
"2022 bear mkt": -0.030682407803128586,
|
|
"2023 rate shock": 0.009528294308679186,
|
|
"2024 vol spike": -0.00042555251337972333,
|
|
"2025 tariff crash": -0.0170466775053445,
|
|
"2026 Q1 drawdown": -0.005779852009588415
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.030682407803128586,
|
|
"max_ret": 0.009528294308679186,
|
|
"all_pos": false
|
|
},
|
|
"prfsx": {
|
|
"name": "T. Rowe Price Tax-Free Short-Intermediate Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.4082729119149122,
|
|
"corr_port": 0.02885677905964834,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05376250853605391,
|
|
"2023 rate shock": -0.01483887058579525,
|
|
"2024 vol spike": 0.009544894941554194,
|
|
"2025 tariff crash": -0.008253630780994614,
|
|
"2026 Q1 drawdown": -0.004175359613484031
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05376250853605391,
|
|
"max_ret": 0.009544894941554194,
|
|
"all_pos": false
|
|
},
|
|
"prfz": {
|
|
"name": "Invesco RAFI US 1500 Small-Mid ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7501722701733153,
|
|
"corr_port": 0.2959095779192841,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22847625184955256,
|
|
"2023 rate shock": -0.17030475696052527,
|
|
"2024 vol spike": -0.08190372181988281,
|
|
"2025 tariff crash": -0.2164458908903818,
|
|
"2026 Q1 drawdown": -0.07796656594057894
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22847625184955256,
|
|
"max_ret": -0.07796656594057894,
|
|
"all_pos": false
|
|
},
|
|
"prgfx": {
|
|
"name": "T. Rowe Price Growth Stock Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.8134703041451337,
|
|
"corr_port": 0.13003335259566215,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38746891020482743,
|
|
"2023 rate shock": -0.07970577339206841,
|
|
"2024 vol spike": -0.08596392232916983,
|
|
"2025 tariff crash": -0.22121710316685872,
|
|
"2026 Q1 drawdown": -0.1335406546645871
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38746891020482743,
|
|
"max_ret": -0.07970577339206841,
|
|
"all_pos": false
|
|
},
|
|
"prgmx": {
|
|
"name": "T. Rowe Price GNMA Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9840285049952521,
|
|
"corr_port": -0.0706605559505961,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13463147602917658,
|
|
"2023 rate shock": -0.048479797352809495,
|
|
"2024 vol spike": 0.02284004215504143,
|
|
"2025 tariff crash": 0.008449769852679312,
|
|
"2026 Q1 drawdown": -0.0035680952395075183
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13463147602917658,
|
|
"max_ret": 0.02284004215504143,
|
|
"all_pos": false
|
|
},
|
|
"prgsx": {
|
|
"name": "T. Rowe Price Global Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5198415816388946,
|
|
"corr_port": 0.22843565147246797,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33803920005682664,
|
|
"2023 rate shock": -0.10082040592137997,
|
|
"2024 vol spike": -0.07848747241115339,
|
|
"2025 tariff crash": -0.20603987915727584,
|
|
"2026 Q1 drawdown": -0.1207246164563387
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33803920005682664,
|
|
"max_ret": -0.07848747241115339,
|
|
"all_pos": false
|
|
},
|
|
"prgtx": {
|
|
"name": "T. Rowe Price Global Technology Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6585885458491253,
|
|
"corr_port": 0.025204360570885428,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5216801770996427,
|
|
"2023 rate shock": -0.11307901907356954,
|
|
"2024 vol spike": -0.11937278705108745,
|
|
"2025 tariff crash": -0.26205646041856223,
|
|
"2026 Q1 drawdown": -0.11014813614488494
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5216801770996427,
|
|
"max_ret": -0.11014813614488494,
|
|
"all_pos": false
|
|
},
|
|
"prhsx": {
|
|
"name": "T. Rowe Price Health Sciences Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.08281148720398579,
|
|
"corr_port": 0.16322865740056094,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16958363777838892,
|
|
"2023 rate shock": -0.09519048266442076,
|
|
"2024 vol spike": -0.03996331350349147,
|
|
"2025 tariff crash": -0.14306130960730457,
|
|
"2026 Q1 drawdown": -0.0907119481818589
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16958363777838892,
|
|
"max_ret": -0.03996331350349147,
|
|
"all_pos": false
|
|
},
|
|
"prhyx": {
|
|
"name": "T. Rowe Price High Yield Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7196655431233385,
|
|
"corr_port": 0.3039921344562706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.146887662607055,
|
|
"2023 rate shock": -0.02579216753597091,
|
|
"2024 vol spike": -0.0028834232336697463,
|
|
"2025 tariff crash": -0.02849825249456539,
|
|
"2026 Q1 drawdown": -0.012980873828518424
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.146887662607055,
|
|
"max_ret": -0.0028834232336697463,
|
|
"all_pos": false
|
|
},
|
|
"pridx": {
|
|
"name": "T. Rowe Price International Discovery Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3041902027684213,
|
|
"corr_port": 0.2886968205250515,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3814507094503704,
|
|
"2023 rate shock": -0.13095808010915977,
|
|
"2024 vol spike": -0.06322010726930738,
|
|
"2025 tariff crash": -0.11526097969796323,
|
|
"2026 Q1 drawdown": -0.10583987313758869
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3814507094503704,
|
|
"max_ret": -0.06322010726930738,
|
|
"all_pos": false
|
|
},
|
|
"prigx": {
|
|
"name": "T. Rowe Price Global Value Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4593446267140102,
|
|
"corr_port": 0.4001366014303038,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19721869681394089,
|
|
"2023 rate shock": -0.09974588862308165,
|
|
"2024 vol spike": -0.06204983544720666,
|
|
"2025 tariff crash": -0.13518003649870847,
|
|
"2026 Q1 drawdown": -0.08060230292294057
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19721869681394089,
|
|
"max_ret": -0.06204983544720666,
|
|
"all_pos": false
|
|
},
|
|
"prihx": {
|
|
"name": "T. Rowe Price Intermediate Tax-Free High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.27249664997420786,
|
|
"corr_port": 0.05114643882505112,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10577992772902556,
|
|
"2023 rate shock": -0.03230274763113894,
|
|
"2024 vol spike": 0.012295054782508252,
|
|
"2025 tariff crash": -0.018733638805218833,
|
|
"2026 Q1 drawdown": -0.006758576810831585
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10577992772902556,
|
|
"max_ret": 0.012295054782508252,
|
|
"all_pos": false
|
|
},
|
|
"prijx": {
|
|
"name": "T. Rowe Price Emerging Markets Discovery Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6440874397375941,
|
|
"corr_port": 0.3115481043672766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25067015666476467,
|
|
"2023 rate shock": -0.1115973709843947,
|
|
"2024 vol spike": -0.07783190450023425,
|
|
"2025 tariff crash": -0.15127173493068502,
|
|
"2026 Q1 drawdown": -0.09771820436507939
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25067015666476467,
|
|
"max_ret": -0.07783190450023425,
|
|
"all_pos": false
|
|
},
|
|
"prinx": {
|
|
"name": "T. Rowe Price Summit Municipal Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4669921937771193,
|
|
"corr_port": 0.03896594900073883,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1274624003098057,
|
|
"2023 rate shock": -0.057383588853553213,
|
|
"2024 vol spike": 0.015152525992846222,
|
|
"2025 tariff crash": -0.03468685262023208,
|
|
"2026 Q1 drawdown": -0.008287347894814667
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1274624003098057,
|
|
"max_ret": 0.015152525992846222,
|
|
"all_pos": false
|
|
},
|
|
"pripx": {
|
|
"name": "T. Rowe Price Inflation Protected Bond Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.06396117503791127,
|
|
"corr_port": -0.06251941913314667,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1316397017587232,
|
|
"2023 rate shock": -0.025233303880921487,
|
|
"2024 vol spike": 0.011363886701288406,
|
|
"2025 tariff crash": 0.010304847184349875,
|
|
"2026 Q1 drawdown": -0.0024456726951598284
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1316397017587232,
|
|
"max_ret": 0.011363886701288406,
|
|
"all_pos": false
|
|
},
|
|
"prisx": {
|
|
"name": "T. Rowe Price Financial Services Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3370959313865873,
|
|
"corr_port": 0.41080611841916165,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22973685778817632,
|
|
"2023 rate shock": -0.09440343991777822,
|
|
"2024 vol spike": -0.0749577545702943,
|
|
"2025 tariff crash": -0.1673695458504334,
|
|
"2026 Q1 drawdown": -0.09913154202778118
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22973685778817632,
|
|
"max_ret": -0.0749577545702943,
|
|
"all_pos": false
|
|
},
|
|
"pritx": {
|
|
"name": "T. Rowe Price International Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6371506790867947,
|
|
"corr_port": 0.3020770186310091,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2684396013766962,
|
|
"2023 rate shock": -0.12433858647558516,
|
|
"2024 vol spike": -0.05664072417512722,
|
|
"2025 tariff crash": -0.13206641316374124,
|
|
"2026 Q1 drawdown": -0.11390130555611222
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2684396013766962,
|
|
"max_ret": -0.05664072417512722,
|
|
"all_pos": false
|
|
},
|
|
"prjax": {
|
|
"name": "PGIM Jennison Global Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.808418507390307,
|
|
"corr_port": 0.10844358415893751,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4146452033955178,
|
|
"2023 rate shock": -0.09813212751685496,
|
|
"2024 vol spike": -0.08239693626232814,
|
|
"2025 tariff crash": -0.23347729099989312,
|
|
"2026 Q1 drawdown": -0.16034434545839904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4146452033955178,
|
|
"max_ret": -0.08239693626232814,
|
|
"all_pos": false
|
|
},
|
|
"prjpx": {
|
|
"name": "T. Rowe Price Japan Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2114201817483619,
|
|
"corr_port": 0.2589504178041694,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3398231033480652,
|
|
"2023 rate shock": -0.13957324214800526,
|
|
"2024 vol spike": -0.12867353520395697,
|
|
"2025 tariff crash": -0.0965910006380658,
|
|
"2026 Q1 drawdown": -0.08008356545960993
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3398231033480652,
|
|
"max_ret": -0.08008356545960993,
|
|
"all_pos": false
|
|
},
|
|
"prkax": {
|
|
"name": "PGIM Real Estate Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8213535881343723,
|
|
"corr_port": 0.28782008348335264,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25123430665059154,
|
|
"2023 rate shock": -0.1260117250284699,
|
|
"2024 vol spike": -0.00914835898709887,
|
|
"2025 tariff crash": -0.10872486109125279,
|
|
"2026 Q1 drawdown": -0.030955666518754255
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25123430665059154,
|
|
"max_ret": -0.00914835898709887,
|
|
"all_pos": false
|
|
},
|
|
"prlax": {
|
|
"name": "T. Rowe Price Latin America Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.18093671774474743,
|
|
"corr_port": 0.2639642700534686,
|
|
"rets": {
|
|
"2022 bear mkt": 0.06520488301007754,
|
|
"2023 rate shock": -0.1360511632457131,
|
|
"2024 vol spike": -0.07612977453176284,
|
|
"2025 tariff crash": -0.10752685264276773,
|
|
"2026 Q1 drawdown": -0.08835962011680287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1360511632457131,
|
|
"max_ret": 0.06520488301007754,
|
|
"all_pos": false
|
|
},
|
|
"prmdx": {
|
|
"name": "T. Rowe Price Maryland Short-Term Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.0996599140924417,
|
|
"corr_port": 0.06381874322112839,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03314245336312516,
|
|
"2023 rate shock": -0.0067240715468255274,
|
|
"2024 vol spike": 0.005882162345782094,
|
|
"2025 tariff crash": -0.003917806887107078,
|
|
"2026 Q1 drawdown": -0.0017595927451846682
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03314245336312516,
|
|
"max_ret": 0.005882162345782094,
|
|
"all_pos": false
|
|
},
|
|
"prmsx": {
|
|
"name": "T. Rowe Price Emerging Markets Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5207619964848047,
|
|
"corr_port": 0.26268027427304835,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32016677261910464,
|
|
"2023 rate shock": -0.13737751205594706,
|
|
"2024 vol spike": -0.06496456256128724,
|
|
"2025 tariff crash": -0.11979753738366994,
|
|
"2026 Q1 drawdown": -0.09400491243872522
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32016677261910464,
|
|
"max_ret": -0.06496456256128724,
|
|
"all_pos": false
|
|
},
|
|
"prmtx": {
|
|
"name": "T. Rowe Price Communications & Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.812216225248002,
|
|
"corr_port": 0.09362266575662449,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3949363391502574,
|
|
"2023 rate shock": -0.08340331677634139,
|
|
"2024 vol spike": -0.07085571429029824,
|
|
"2025 tariff crash": -0.19239035199994214,
|
|
"2026 Q1 drawdown": -0.09886337169466397
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3949363391502574,
|
|
"max_ret": -0.07085571429029824,
|
|
"all_pos": false
|
|
},
|
|
"prnex": {
|
|
"name": "T. Rowe Price New Era Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7091624838473614,
|
|
"corr_port": 0.39461346009344894,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05408701762383117,
|
|
"2023 rate shock": -0.06264455285654458,
|
|
"2024 vol spike": -0.06318882051571961,
|
|
"2025 tariff crash": -0.1675089083448591,
|
|
"2026 Q1 drawdown": 0.04502160075710804
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1675089083448591,
|
|
"max_ret": 0.04502160075710804,
|
|
"all_pos": false
|
|
},
|
|
"prnhx": {
|
|
"name": "T. Rowe Price New Horizons Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.1588297415137956,
|
|
"corr_port": 0.07001504200858648,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35671885039296924,
|
|
"2023 rate shock": -0.1656232891028303,
|
|
"2024 vol spike": -0.06560246571787298,
|
|
"2025 tariff crash": -0.23451797478376035,
|
|
"2026 Q1 drawdown": -0.1188118473233456
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35671885039296924,
|
|
"max_ret": -0.06560246571787298,
|
|
"all_pos": false
|
|
},
|
|
"prnyx": {
|
|
"name": "T. Rowe Price New York Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.603197034304182,
|
|
"corr_port": 0.0225160326168523,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12668432799224516,
|
|
"2023 rate shock": -0.06042865778613149,
|
|
"2024 vol spike": 0.016623517433972168,
|
|
"2025 tariff crash": -0.03749549558027698,
|
|
"2026 Q1 drawdown": -0.007254398523194094
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12668432799224516,
|
|
"max_ret": 0.016623517433972168,
|
|
"all_pos": false
|
|
},
|
|
"provx": {
|
|
"name": "Provident Trust Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2641552706687867,
|
|
"corr_port": 0.2528081890658962,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2537500335202697,
|
|
"2023 rate shock": -0.09628763669462848,
|
|
"2024 vol spike": -0.06433639530358015,
|
|
"2025 tariff crash": -0.13468179089076115,
|
|
"2026 Q1 drawdown": -0.10923935681470132
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2537500335202697,
|
|
"max_ret": -0.06433639530358015,
|
|
"all_pos": false
|
|
},
|
|
"prpax": {
|
|
"name": "PGIM Jennison Energy Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8033785446309913,
|
|
"corr_port": 0.3025424402149182,
|
|
"rets": {
|
|
"2022 bear mkt": 0.11661716915189735,
|
|
"2023 rate shock": 0.013635777163386154,
|
|
"2024 vol spike": -0.04494388338762756,
|
|
"2025 tariff crash": -0.14100483019992316,
|
|
"2026 Q1 drawdown": 0.12897831829407025
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.14100483019992316,
|
|
"max_ret": 0.12897831829407025,
|
|
"all_pos": false
|
|
},
|
|
"prpix": {
|
|
"name": "T. Rowe Price Corporate Income Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4945060678031237,
|
|
"corr_port": -0.030619609454478044,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19383639661954877,
|
|
"2023 rate shock": -0.04527045020814091,
|
|
"2024 vol spike": 0.016600001563695788,
|
|
"2025 tariff crash": -0.003752162497395406,
|
|
"2026 Q1 drawdown": -0.013875344207243234
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.19383639661954877,
|
|
"max_ret": 0.016600001563695788,
|
|
"all_pos": false
|
|
},
|
|
"prscx": {
|
|
"name": "T. Rowe Price Science & Technology Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0035932582306656604,
|
|
"corr_port": 0.11127326033787904,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38349179774107134,
|
|
"2023 rate shock": -0.12606343742779003,
|
|
"2024 vol spike": -0.1029762214750376,
|
|
"2025 tariff crash": -0.27310847484556955,
|
|
"2026 Q1 drawdown": -0.1781415795515714
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38349179774107134,
|
|
"max_ret": -0.1029762214750376,
|
|
"all_pos": false
|
|
},
|
|
"prsgx": {
|
|
"name": "T. Rowe Price Spectrum Diversified Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9885229652051408,
|
|
"corr_port": 0.3003703183425758,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25510198224532776,
|
|
"2023 rate shock": -0.09953003788066217,
|
|
"2024 vol spike": -0.06304268689067449,
|
|
"2025 tariff crash": -0.17104275056142781,
|
|
"2026 Q1 drawdown": -0.08529521420301045
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25510198224532776,
|
|
"max_ret": -0.06304268689067449,
|
|
"all_pos": false
|
|
},
|
|
"prsix": {
|
|
"name": "T. Rowe Price Spectrum Conservative Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.18091812923501277,
|
|
"corr_port": 0.30249819072080175,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17328656831204903,
|
|
"2023 rate shock": -0.05021631806946181,
|
|
"2024 vol spike": -0.024684974846729713,
|
|
"2025 tariff crash": -0.06750631769695159,
|
|
"2026 Q1 drawdown": -0.03881759670961715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17328656831204903,
|
|
"max_ret": -0.024684974846729713,
|
|
"all_pos": false
|
|
},
|
|
"prsmx": {
|
|
"name": "T. Rowe Price Summit Municipal Intermediate Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6398847899464606,
|
|
"corr_port": 0.037428885095898944,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09723545961849356,
|
|
"2023 rate shock": -0.035864294262336616,
|
|
"2024 vol spike": 0.010316903839298952,
|
|
"2025 tariff crash": -0.022514268053752562,
|
|
"2026 Q1 drawdown": -0.01057957092199624
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09723545961849356,
|
|
"max_ret": 0.010316903839298952,
|
|
"all_pos": false
|
|
},
|
|
"prsnx": {
|
|
"name": "T. Rowe Price Global Multi-Sector Bond Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7816898076518033,
|
|
"corr_port": 0.11480264680027129,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16227797867975324,
|
|
"2023 rate shock": -0.019380256025221643,
|
|
"2024 vol spike": 0.019141299068132556,
|
|
"2025 tariff crash": -0.004781564423497087,
|
|
"2026 Q1 drawdown": -0.012020483373285096
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16227797867975324,
|
|
"max_ret": 0.019141299068132556,
|
|
"all_pos": false
|
|
},
|
|
"prsvx": {
|
|
"name": "T. Rowe Price Small-Cap Value Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.16271865916575903,
|
|
"corr_port": 0.3129582719340149,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22264818238866269,
|
|
"2023 rate shock": -0.1506379545050165,
|
|
"2024 vol spike": -0.06915458152107301,
|
|
"2025 tariff crash": -0.1928584725128567,
|
|
"2026 Q1 drawdown": -0.05807387584198076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22264818238866269,
|
|
"max_ret": -0.05807387584198076,
|
|
"all_pos": false
|
|
},
|
|
"prtax": {
|
|
"name": "T. Rowe Price Tax-Free Income Fund, Inc.",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5586664889126662,
|
|
"corr_port": 0.03652415690347229,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12234631230444448,
|
|
"2023 rate shock": -0.055220905015687216,
|
|
"2024 vol spike": 0.016629345392338735,
|
|
"2025 tariff crash": -0.03491769726920324,
|
|
"2026 Q1 drawdown": -0.007847086233308431
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12234631230444448,
|
|
"max_ret": 0.016629345392338735,
|
|
"all_pos": false
|
|
},
|
|
"prtix": {
|
|
"name": "T. Rowe Price U.S. Treasury Intermediate Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7142949421806118,
|
|
"corr_port": -0.17484520489643376,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12756701895457878,
|
|
"2023 rate shock": -0.029860803668207647,
|
|
"2024 vol spike": 0.027166577099321465,
|
|
"2025 tariff crash": 0.028232108641456533,
|
|
"2026 Q1 drawdown": -0.002014190331886434
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12756701895457878,
|
|
"max_ret": 0.028232108641456533,
|
|
"all_pos": false
|
|
},
|
|
"pruax": {
|
|
"name": "PGIM Jennison Utility Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4620078736865295,
|
|
"corr_port": 0.24695883770855193,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0965210140523769,
|
|
"2023 rate shock": -0.0971490876896629,
|
|
"2024 vol spike": 0.014664807105733146,
|
|
"2025 tariff crash": -0.10249286148379366,
|
|
"2026 Q1 drawdown": 0.056903348050219904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10249286148379366,
|
|
"max_ret": 0.056903348050219904,
|
|
"all_pos": false
|
|
},
|
|
"prulx": {
|
|
"name": "T. Rowe Price U.S. Treasury Long-Term Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8691385650874103,
|
|
"corr_port": -0.18938618092441037,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2829796397779005,
|
|
"2023 rate shock": -0.12558668850961607,
|
|
"2024 vol spike": 0.051104740750584465,
|
|
"2025 tariff crash": 0.007569602917998575,
|
|
"2026 Q1 drawdown": -0.0036071084938585907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2829796397779005,
|
|
"max_ret": 0.051104740750584465,
|
|
"all_pos": false
|
|
},
|
|
"prvax": {
|
|
"name": "T. Rowe Price Virginia Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.3024311287754445,
|
|
"corr_port": 0.02707648109290171,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12643014397362473,
|
|
"2023 rate shock": -0.06205038510172434,
|
|
"2024 vol spike": 0.014204074294383418,
|
|
"2025 tariff crash": -0.03965610923505214,
|
|
"2026 Q1 drawdown": -0.008021752029087836
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12643014397362473,
|
|
"max_ret": 0.014204074294383418,
|
|
"all_pos": false
|
|
},
|
|
"prvbx": {
|
|
"name": "Versatile Bond Portfolio",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 3.8266912042014902,
|
|
"corr_port": 0.16349827035446948,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06572905382568628,
|
|
"2023 rate shock": 0.00031988107380476194,
|
|
"2024 vol spike": 0.007104195032743288,
|
|
"2025 tariff crash": -0.001396874035889284,
|
|
"2026 Q1 drawdown": -0.008272074268873775
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06572905382568628,
|
|
"max_ret": 0.007104195032743288,
|
|
"all_pos": false
|
|
},
|
|
"prwax": {
|
|
"name": "T. Rowe Price All-Cap Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4376113825709051,
|
|
"corr_port": 0.22719629213673218,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26395196643794605,
|
|
"2023 rate shock": -0.07900499131093874,
|
|
"2024 vol spike": -0.07003787538498518,
|
|
"2025 tariff crash": -0.18335502268915904,
|
|
"2026 Q1 drawdown": -0.12806958176201577
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26395196643794605,
|
|
"max_ret": -0.07003787538498518,
|
|
"all_pos": false
|
|
},
|
|
"prwbx": {
|
|
"name": "T. Rowe Price Short-Term Bond Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.257466873159423,
|
|
"corr_port": -0.013774754886392203,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05548905891455436,
|
|
"2023 rate shock": 0.003357875914560937,
|
|
"2024 vol spike": 0.012269636075689094,
|
|
"2025 tariff crash": 0.010901482062712908,
|
|
"2026 Q1 drawdown": 0.00019830253034025525
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.05548905891455436,
|
|
"max_ret": 0.012269636075689094,
|
|
"all_pos": false
|
|
},
|
|
"prwcx": {
|
|
"name": "T. Rowe Price Capital Appreciation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.497036930177046,
|
|
"corr_port": 0.2700802494999485,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16616899279105546,
|
|
"2023 rate shock": -0.06168454247421873,
|
|
"2024 vol spike": -0.025432800804346734,
|
|
"2025 tariff crash": -0.08787195770052358,
|
|
"2026 Q1 drawdown": -0.05746804553026108
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16616899279105546,
|
|
"max_ret": -0.025432800804346734,
|
|
"all_pos": false
|
|
},
|
|
"prxcx": {
|
|
"name": "T. Rowe Price California Tax-Free Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6742572951902659,
|
|
"corr_port": 0.021894240595151666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11963815383775422,
|
|
"2023 rate shock": -0.05608920758664604,
|
|
"2024 vol spike": 0.014737906093315711,
|
|
"2025 tariff crash": -0.032929065878616104,
|
|
"2026 Q1 drawdown": -0.00835848008384954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11963815383775422,
|
|
"max_ret": 0.014737906093315711,
|
|
"all_pos": false
|
|
},
|
|
"pscc": {
|
|
"name": "Invesco S&P SmallCap Consumer Staples ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.49442303284485795,
|
|
"corr_port": 0.22111650097711708,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12703635481037312,
|
|
"2023 rate shock": -0.10968562614913646,
|
|
"2024 vol spike": -0.041355122876776895,
|
|
"2025 tariff crash": -0.11522078928308743,
|
|
"2026 Q1 drawdown": -0.059932293519259106
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12703635481037312,
|
|
"max_ret": -0.041355122876776895,
|
|
"all_pos": false
|
|
},
|
|
"pscd": {
|
|
"name": "Invesco S&P SmallCap Consumer Discretionary ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4521254730705201,
|
|
"corr_port": 0.24590999162651103,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33456832517523105,
|
|
"2023 rate shock": -0.17345250187977024,
|
|
"2024 vol spike": -0.0577534508451788,
|
|
"2025 tariff crash": -0.2637268520199275,
|
|
"2026 Q1 drawdown": -0.09640572303225192
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33456832517523105,
|
|
"max_ret": -0.0577534508451788,
|
|
"all_pos": false
|
|
},
|
|
"psce": {
|
|
"name": "Invesco S&P SmallCap Energy ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.14379709039845345,
|
|
"corr_port": 0.27287692029994404,
|
|
"rets": {
|
|
"2022 bear mkt": 0.24222494265004935,
|
|
"2023 rate shock": -0.0080447264067256,
|
|
"2024 vol spike": -0.12562636478253142,
|
|
"2025 tariff crash": -0.3139699021439539,
|
|
"2026 Q1 drawdown": 0.23070400710123184
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.3139699021439539,
|
|
"max_ret": 0.24222494265004935,
|
|
"all_pos": false
|
|
},
|
|
"psch": {
|
|
"name": "Invesco S&P SmallCap Health Care ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8526892285627284,
|
|
"corr_port": 0.16749046987568175,
|
|
"rets": {
|
|
"2022 bear mkt": -0.278705218769575,
|
|
"2023 rate shock": -0.2094503883876595,
|
|
"2024 vol spike": -0.053170624605393124,
|
|
"2025 tariff crash": -0.21291139288533778,
|
|
"2026 Q1 drawdown": -0.11856019980741961
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.278705218769575,
|
|
"max_ret": -0.053170624605393124,
|
|
"all_pos": false
|
|
},
|
|
"psci": {
|
|
"name": "Invesco S&P SmallCap Industrials ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4477600957764276,
|
|
"corr_port": 0.3348767944662836,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19343592817926158,
|
|
"2023 rate shock": -0.12720171738311925,
|
|
"2024 vol spike": -0.07820378261679806,
|
|
"2025 tariff crash": -0.2219994088624465,
|
|
"2026 Q1 drawdown": -0.09091981453790399
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2219994088624465,
|
|
"max_ret": -0.07820378261679806,
|
|
"all_pos": false
|
|
},
|
|
"pscm": {
|
|
"name": "Invesco S&P SmallCap Materials ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.010696629894784896,
|
|
"corr_port": 0.3054291724058675,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15304778398604546,
|
|
"2023 rate shock": -0.18600377268428858,
|
|
"2024 vol spike": -0.08466656753779878,
|
|
"2025 tariff crash": -0.2419877941725258,
|
|
"2026 Q1 drawdown": 0.035104183205873385
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.2419877941725258,
|
|
"max_ret": 0.035104183205873385,
|
|
"all_pos": false
|
|
},
|
|
"psct": {
|
|
"name": "Invesco S&P SmallCap Information Technology ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.22888983813093297,
|
|
"corr_port": 0.20000656591873878,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2944871558224891,
|
|
"2023 rate shock": -0.1992628918864724,
|
|
"2024 vol spike": -0.1346269673585584,
|
|
"2025 tariff crash": -0.2700383247680357,
|
|
"2026 Q1 drawdown": -0.058669734575416466
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2944871558224891,
|
|
"max_ret": -0.058669734575416466,
|
|
"all_pos": false
|
|
},
|
|
"psecx": {
|
|
"name": "1789 Growth and Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.24627239975227347,
|
|
"corr_port": 0.3663360488284164,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18353343783109388,
|
|
"2023 rate shock": -0.07988425219255713,
|
|
"2024 vol spike": -0.029310610730404085,
|
|
"2025 tariff crash": -0.10344821965371276,
|
|
"2026 Q1 drawdown": -0.047741233249600556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18353343783109388,
|
|
"max_ret": -0.029310610730404085,
|
|
"all_pos": false
|
|
},
|
|
"psgix": {
|
|
"name": "BLACKROCK ADVANTAGE SMALL CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2241231255011897,
|
|
"corr_port": 0.19187645951143711,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2848399012375755,
|
|
"2023 rate shock": -0.17348617282551937,
|
|
"2024 vol spike": -0.08574143749272722,
|
|
"2025 tariff crash": -0.23262158207782058,
|
|
"2026 Q1 drawdown": -0.11055658773729693
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2848399012375755,
|
|
"max_ret": -0.08574143749272722,
|
|
"all_pos": false
|
|
},
|
|
"psiax": {
|
|
"name": "PGIM QUANT SOLUTIONS LARGE-CAP INDEX FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6873353303917802,
|
|
"corr_port": 0.2779716920570887,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2475728592239469,
|
|
"2023 rate shock": -0.09810860055340631,
|
|
"2024 vol spike": -0.0717446841811532,
|
|
"2025 tariff crash": -0.18452377536690123,
|
|
"2026 Q1 drawdown": -0.08837011254689453
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2475728592239469,
|
|
"max_ret": -0.0717446841811532,
|
|
"all_pos": false
|
|
},
|
|
"psilx": {
|
|
"name": "T. Rowe Price Spectrum International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8692435969250436,
|
|
"corr_port": 0.3488392123650639,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2977147346232475,
|
|
"2023 rate shock": -0.11979900068537508,
|
|
"2024 vol spike": -0.06399997990439521,
|
|
"2025 tariff crash": -0.11490475455528626,
|
|
"2026 Q1 drawdown": -0.09684333350222918
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2977147346232475,
|
|
"max_ret": -0.06399997990439521,
|
|
"all_pos": false
|
|
},
|
|
"pslax": {
|
|
"name": "Putnam Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3047967198375092,
|
|
"corr_port": 0.3423957118076743,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19263819674925542,
|
|
"2023 rate shock": -0.1288982474044008,
|
|
"2024 vol spike": -0.09481744173689699,
|
|
"2025 tariff crash": -0.21401993570102318,
|
|
"2026 Q1 drawdown": -0.06982386580594213
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21401993570102318,
|
|
"max_ret": -0.06982386580594213,
|
|
"all_pos": false
|
|
},
|
|
"psnyx": {
|
|
"name": "BNY Mellon New York AMT-Free Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.0535054353421678,
|
|
"corr_port": 0.030790299320097442,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12838918903084162,
|
|
"2023 rate shock": -0.05073993584024139,
|
|
"2024 vol spike": 0.011783615804130898,
|
|
"2025 tariff crash": -0.03392081146200843,
|
|
"2026 Q1 drawdown": -0.007000211128800227
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12838918903084162,
|
|
"max_ret": 0.011783615804130898,
|
|
"all_pos": false
|
|
},
|
|
"pstax": {
|
|
"name": "Virtus KAR Capital Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3185071604676306,
|
|
"corr_port": 0.12212040676148986,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37303373251300154,
|
|
"2023 rate shock": -0.1295081787301683,
|
|
"2024 vol spike": -0.07703348090476658,
|
|
"2025 tariff crash": -0.1957672861853288,
|
|
"2026 Q1 drawdown": -0.16042510121457498
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37303373251300154,
|
|
"max_ret": -0.07703348090476658,
|
|
"all_pos": false
|
|
},
|
|
"ptebx": {
|
|
"name": "BNY Mellon Opportunistic Municipal Securities Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.36009723510483954,
|
|
"corr_port": 0.030865747406853918,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11985932353525286,
|
|
"2023 rate shock": -0.05549378854363929,
|
|
"2024 vol spike": 0.014211550923822314,
|
|
"2025 tariff crash": -0.03290227827737602,
|
|
"2026 Q1 drawdown": -0.008527500650793107
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11985932353525286,
|
|
"max_ret": 0.014211550923822314,
|
|
"all_pos": false
|
|
},
|
|
"ptmax": {
|
|
"name": "PGIM QUANT SOLUTIONS LARGE-CAP CORE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.031342220335521635,
|
|
"corr_port": 0.2978803783863442,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23109465061154566,
|
|
"2023 rate shock": -0.09400766764969692,
|
|
"2024 vol spike": -0.07574392134456764,
|
|
"2025 tariff crash": -0.2011943464029734,
|
|
"2026 Q1 drawdown": -0.0828138505259951
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23109465061154566,
|
|
"max_ret": -0.07574392134456764,
|
|
"all_pos": false
|
|
},
|
|
"pttfx": {
|
|
"name": "T. Rowe Price Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3388228260218528,
|
|
"corr_port": -0.0795830761065578,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16508365799714853,
|
|
"2023 rate shock": -0.04317193844892209,
|
|
"2024 vol spike": 0.023405842892385342,
|
|
"2025 tariff crash": 0.004744790477113181,
|
|
"2026 Q1 drawdown": -0.006736247530109707
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16508365799714853,
|
|
"max_ret": 0.023405842892385342,
|
|
"all_pos": false
|
|
},
|
|
"pucax": {
|
|
"name": "PGIM Strategic Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.818925016836537,
|
|
"corr_port": 0.15911867688103165,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15424225666776126,
|
|
"2023 rate shock": -0.03000615085489977,
|
|
"2024 vol spike": 0.0118909710661117,
|
|
"2025 tariff crash": 0.0009931267359137852,
|
|
"2026 Q1 drawdown": -0.009761202999476137
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15424225666776126,
|
|
"max_ret": 0.0118909710661117,
|
|
"all_pos": false
|
|
},
|
|
"pudax": {
|
|
"name": "PGIM Real Assets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.18208537496841123,
|
|
"corr_port": 0.3257886475180679,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0805243358691935,
|
|
"2023 rate shock": -0.05298018916498948,
|
|
"2024 vol spike": -0.029210936258263098,
|
|
"2025 tariff crash": -0.07740612376956524,
|
|
"2026 Q1 drawdown": 0.011707274764393594
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0805243358691935,
|
|
"max_ret": 0.011707274764393594,
|
|
"all_pos": false
|
|
},
|
|
"puls": {
|
|
"name": "PGIM Ultra Short Bond ETF",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.834216426215935,
|
|
"corr_port": 0.09687214369181021,
|
|
"rets": {
|
|
"2022 bear mkt": 0.003637359929839157,
|
|
"2023 rate shock": 0.013910249365426175,
|
|
"2024 vol spike": 0.0025616376377906036,
|
|
"2025 tariff crash": 0.0026318629410739813,
|
|
"2026 Q1 drawdown": 0.004617556157326952
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.0025616376377906036,
|
|
"max_ret": 0.013910249365426175,
|
|
"all_pos": true
|
|
},
|
|
"purcx": {
|
|
"name": "PGIM GLOBAL REAL ESTATE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.519850965295717,
|
|
"corr_port": 0.29633371988243534,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3480184127601549,
|
|
"2023 rate shock": -0.1411774702470836,
|
|
"2024 vol spike": -0.027971463241798333,
|
|
"2025 tariff crash": -0.12545751521308757,
|
|
"2026 Q1 drawdown": -0.03169182709266627
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3480184127601549,
|
|
"max_ret": -0.027971463241798333,
|
|
"all_pos": false
|
|
},
|
|
"pvfax": {
|
|
"name": "Paradigm Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.10407233244823162,
|
|
"corr_port": 0.2553389631927727,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2912203455452519,
|
|
"2023 rate shock": -0.12280377877138315,
|
|
"2024 vol spike": -0.08350631135861408,
|
|
"2025 tariff crash": -0.22597550036182257,
|
|
"2026 Q1 drawdown": -0.07851235733963002
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2912203455452519,
|
|
"max_ret": -0.07851235733963002,
|
|
"all_pos": false
|
|
},
|
|
"pvfix": {
|
|
"name": "Pinnacle Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4972828952679593,
|
|
"corr_port": 0.26004502957055886,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08322824460768907,
|
|
"2023 rate shock": 0.006169034830067366,
|
|
"2024 vol spike": -0.03825125593204437,
|
|
"2025 tariff crash": -0.12143285309412488,
|
|
"2026 Q1 drawdown": -0.014354008035526888
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12143285309412488,
|
|
"max_ret": 0.006169034830067366,
|
|
"all_pos": false
|
|
},
|
|
"pvivx": {
|
|
"name": "Paradigm Micro-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1344168341287318,
|
|
"corr_port": 0.2021265401538122,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3162968126434246,
|
|
"2023 rate shock": -0.16669941820652656,
|
|
"2024 vol spike": -0.09648823447449517,
|
|
"2025 tariff crash": -0.25305605430902955,
|
|
"2026 Q1 drawdown": -0.057598279651397966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3162968126434246,
|
|
"max_ret": -0.057598279651397966,
|
|
"all_pos": false
|
|
},
|
|
"pwjax": {
|
|
"name": "PGIM Jennison International Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.0056937528187198,
|
|
"corr_port": 0.1485942633159084,
|
|
"rets": {
|
|
"2022 bear mkt": -0.41857223670637533,
|
|
"2023 rate shock": -0.128888906009753,
|
|
"2024 vol spike": -0.07400187728483087,
|
|
"2025 tariff crash": -0.1915023341528599,
|
|
"2026 Q1 drawdown": -0.16821644585987905
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.41857223670637533,
|
|
"max_ret": -0.07400187728483087,
|
|
"all_pos": false
|
|
},
|
|
"pwtax": {
|
|
"name": "UBS U.S. Allocation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5980021331424188,
|
|
"corr_port": 0.2534107357306364,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21527263589086332,
|
|
"2023 rate shock": -0.08667843434548239,
|
|
"2024 vol spike": -0.04411762793649088,
|
|
"2025 tariff crash": -0.12898095070348636,
|
|
"2026 Q1 drawdown": -0.07759291795665635
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21527263589086332,
|
|
"max_ret": -0.04411762793649088,
|
|
"all_pos": false
|
|
},
|
|
"pxbix": {
|
|
"name": "Impax Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.06981107835048943,
|
|
"corr_port": -0.12270355732331227,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13979005686161783,
|
|
"2023 rate shock": -0.03974182452289776,
|
|
"2024 vol spike": 0.021294799932653374,
|
|
"2025 tariff crash": 0.0075408372948113644,
|
|
"2026 Q1 drawdown": -0.00591746750353106
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13979005686161783,
|
|
"max_ret": 0.021294799932653374,
|
|
"all_pos": false
|
|
},
|
|
"pxgox": {
|
|
"name": "Impax Global Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.131147771251523,
|
|
"corr_port": 0.23325021785817743,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2953998015967343,
|
|
"2023 rate shock": -0.13063068535211397,
|
|
"2024 vol spike": -0.039458258341498964,
|
|
"2025 tariff crash": -0.15869305088790553,
|
|
"2026 Q1 drawdown": -0.10470583023272084
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2953998015967343,
|
|
"max_ret": -0.039458258341498964,
|
|
"all_pos": false
|
|
},
|
|
"pxlix": {
|
|
"name": "Impax Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5070702520779335,
|
|
"corr_port": 0.2459024657886835,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2602409460968279,
|
|
"2023 rate shock": -0.12009068628047515,
|
|
"2024 vol spike": -0.06540804250679311,
|
|
"2025 tariff crash": -0.18735725310019957,
|
|
"2026 Q1 drawdown": -0.10388435757381287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2602409460968279,
|
|
"max_ret": -0.06540804250679311,
|
|
"all_pos": false
|
|
},
|
|
"pxnix": {
|
|
"name": "Impax International Sustainable Economy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3503682998657958,
|
|
"corr_port": 0.3595703611054983,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3115719388278244,
|
|
"2023 rate shock": -0.10903446159694286,
|
|
"2024 vol spike": -0.05882368534573512,
|
|
"2025 tariff crash": -0.1018182002272564,
|
|
"2026 Q1 drawdown": -0.0878011266629879
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3115719388278244,
|
|
"max_ret": -0.05882368534573512,
|
|
"all_pos": false
|
|
},
|
|
"pxsix": {
|
|
"name": "Impax Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5622349649772583,
|
|
"corr_port": 0.2562559234296981,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2639074984259897,
|
|
"2023 rate shock": -0.16968187813697688,
|
|
"2024 vol spike": -0.07304634790057218,
|
|
"2025 tariff crash": -0.2175593262550931,
|
|
"2026 Q1 drawdown": -0.07763975155279501
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2639074984259897,
|
|
"max_ret": -0.07304634790057218,
|
|
"all_pos": false
|
|
},
|
|
"pxwgx": {
|
|
"name": "Impax US Sustainable Economy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.34813188392631045,
|
|
"corr_port": 0.2835235107332352,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25499415073063103,
|
|
"2023 rate shock": -0.11106192072614907,
|
|
"2024 vol spike": -0.06995406302958829,
|
|
"2025 tariff crash": -0.19182652360992414,
|
|
"2026 Q1 drawdown": -0.09111795344098439
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25499415073063103,
|
|
"max_ret": -0.06995406302958829,
|
|
"all_pos": false
|
|
},
|
|
"pxwix": {
|
|
"name": "Impax Global Women's Leadership Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.437969492965448,
|
|
"corr_port": 0.31139912512039786,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2804326393182406,
|
|
"2023 rate shock": -0.09758503512950212,
|
|
"2024 vol spike": -0.06942786047757477,
|
|
"2025 tariff crash": -0.1650970056030302,
|
|
"2026 Q1 drawdown": -0.08345086182727424
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2804326393182406,
|
|
"max_ret": -0.06942786047757477,
|
|
"all_pos": false
|
|
},
|
|
"pyaix": {
|
|
"name": "Payden Absolute Return Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.784530488694529,
|
|
"corr_port": 0.12526637204534918,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04847778192753993,
|
|
"2023 rate shock": 0.006516035620686145,
|
|
"2024 vol spike": 0.0002915783626122881,
|
|
"2025 tariff crash": 0.0018728036277388949,
|
|
"2026 Q1 drawdown": -0.015804605847658415
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04847778192753993,
|
|
"max_ret": 0.006516035620686145,
|
|
"all_pos": false
|
|
},
|
|
"pycix": {
|
|
"name": "Payden Emerging Markets Corporate Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6328940046317238,
|
|
"corr_port": 0.230286091920182,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16558888902436775,
|
|
"2023 rate shock": -0.018702891032622126,
|
|
"2024 vol spike": 0.00470535308991038,
|
|
"2025 tariff crash": -0.015283477523747813,
|
|
"2026 Q1 drawdown": -0.01602957443092512
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16558888902436775,
|
|
"max_ret": 0.00470535308991038,
|
|
"all_pos": false
|
|
},
|
|
"pycsx": {
|
|
"name": "Payden Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.48845206180549,
|
|
"corr_port": -0.09098688448639893,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15042274777284592,
|
|
"2023 rate shock": -0.03859865395513584,
|
|
"2024 vol spike": 0.020785913960450486,
|
|
"2025 tariff crash": -0.002047789955860635,
|
|
"2026 Q1 drawdown": -0.00980623931078295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15042274777284592,
|
|
"max_ret": 0.020785913960450486,
|
|
"all_pos": false
|
|
},
|
|
"pyeix": {
|
|
"name": "Payden Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3441594965578717,
|
|
"corr_port": 0.24792164015207357,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2547395559422917,
|
|
"2023 rate shock": -0.054270301493516304,
|
|
"2024 vol spike": -0.0030757444628868313,
|
|
"2025 tariff crash": -0.029471598568661106,
|
|
"2026 Q1 drawdown": -0.03161615940107387
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2547395559422917,
|
|
"max_ret": -0.0030757444628868313,
|
|
"all_pos": false
|
|
},
|
|
"pyfix": {
|
|
"name": "Payden Floating Rate Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 7.97894303657406,
|
|
"corr_port": 0.30142074688661386,
|
|
"rets": {
|
|
"2022 bear mkt": -0.022297666481315592,
|
|
"2023 rate shock": 0.01879117032658084,
|
|
"2024 vol spike": -0.002881796234129874,
|
|
"2025 tariff crash": -0.022776489019249446,
|
|
"2026 Q1 drawdown": -0.003009700040012997
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.022776489019249446,
|
|
"max_ret": 0.01879117032658084,
|
|
"all_pos": false
|
|
},
|
|
"pygix": {
|
|
"name": "Payden Global Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9460936641979769,
|
|
"corr_port": -0.11480852972088013,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1358072991989574,
|
|
"2023 rate shock": -0.02600489592272015,
|
|
"2024 vol spike": 0.016402512499874122,
|
|
"2025 tariff crash": -0.0024073978247221017,
|
|
"2026 Q1 drawdown": -0.01394750882466933
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1358072991989574,
|
|
"max_ret": 0.016402512499874122,
|
|
"all_pos": false
|
|
},
|
|
"pysix": {
|
|
"name": "Payden Strategic Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 3.65427226582417,
|
|
"corr_port": 0.1060950436468034,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08547223181369523,
|
|
"2023 rate shock": -0.007750954300644541,
|
|
"2024 vol spike": 0.011067792367974727,
|
|
"2025 tariff crash": -0.00893420622429042,
|
|
"2026 Q1 drawdown": -0.008076960279092993
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08547223181369523,
|
|
"max_ret": 0.011067792367974727,
|
|
"all_pos": false
|
|
},
|
|
"pyvsx": {
|
|
"name": "Payden Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5566227681040532,
|
|
"corr_port": 0.40600984307453913,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1522224038214398,
|
|
"2023 rate shock": -0.09422982032103977,
|
|
"2024 vol spike": -0.05248899686334407,
|
|
"2025 tariff crash": -0.14777708968443626,
|
|
"2026 Q1 drawdown": -0.03501979898518259
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1522224038214398,
|
|
"max_ret": -0.03501979898518259,
|
|
"all_pos": false
|
|
},
|
|
"pzrmx": {
|
|
"name": "PIMCO Inflation Response Multi-Asset Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1936313085675903,
|
|
"corr_port": 0.24194658407323663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09091308379590368,
|
|
"2023 rate shock": -0.022309737720492717,
|
|
"2024 vol spike": -0.012330383122913902,
|
|
"2025 tariff crash": -0.03365399639647959,
|
|
"2026 Q1 drawdown": -0.01170210400044669
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09091308379590368,
|
|
"max_ret": -0.01170210400044669,
|
|
"all_pos": false
|
|
},
|
|
"qaacx": {
|
|
"name": "Federated Hermes MDT All Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5485839387269356,
|
|
"corr_port": 0.28820387408659404,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21217519642197058,
|
|
"2023 rate shock": -0.10155147066611314,
|
|
"2024 vol spike": -0.06376751150825266,
|
|
"2025 tariff crash": -0.18809173380827127,
|
|
"2026 Q1 drawdown": -0.07720444892576916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21217519642197058,
|
|
"max_ret": -0.06376751150825266,
|
|
"all_pos": false
|
|
},
|
|
"qabgx": {
|
|
"name": "Federated Hermes MDT Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8770076650605156,
|
|
"corr_port": 0.2925555523569823,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18590922894183037,
|
|
"2023 rate shock": -0.08076136417340651,
|
|
"2024 vol spike": -0.03617687948408954,
|
|
"2025 tariff crash": -0.11650051310210041,
|
|
"2026 Q1 drawdown": -0.05389759225400492
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18590922894183037,
|
|
"max_ret": -0.03617687948408954,
|
|
"all_pos": false
|
|
},
|
|
"qalgx": {
|
|
"name": "Federated Hermes MDT Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09132579568016104,
|
|
"corr_port": 0.17575857658870161,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2726296836882308,
|
|
"2023 rate shock": -0.09362055393793489,
|
|
"2024 vol spike": -0.07657654541143133,
|
|
"2025 tariff crash": -0.22437354683424904,
|
|
"2026 Q1 drawdown": -0.10794405141050556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2726296836882308,
|
|
"max_ret": -0.07657654541143133,
|
|
"all_pos": false
|
|
},
|
|
"qascx": {
|
|
"name": "Federated Hermes MDT Small Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2173670424796172,
|
|
"corr_port": 0.25814681433836045,
|
|
"rets": {
|
|
"2022 bear mkt": -0.286671908859251,
|
|
"2023 rate shock": -0.16247041181448196,
|
|
"2024 vol spike": -0.06999599289654279,
|
|
"2025 tariff crash": -0.21646698552416777,
|
|
"2026 Q1 drawdown": -0.09978991946043136
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.286671908859251,
|
|
"max_ret": -0.06999599289654279,
|
|
"all_pos": false
|
|
},
|
|
"qasgx": {
|
|
"name": "Federated Hermes MDT Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10375647296323885,
|
|
"corr_port": 0.1898189507923645,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32967846664909084,
|
|
"2023 rate shock": -0.19427030786065203,
|
|
"2024 vol spike": -0.07018957369471168,
|
|
"2025 tariff crash": -0.21882170942374624,
|
|
"2026 Q1 drawdown": -0.11697993788140193
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32967846664909084,
|
|
"max_ret": -0.07018957369471168,
|
|
"all_pos": false
|
|
},
|
|
"qbdsx": {
|
|
"name": "Quantified Managed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3024524292550805,
|
|
"corr_port": 0.20671682055193985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.027397278117268442,
|
|
"2023 rate shock": -0.017857183872909577,
|
|
"2024 vol spike": -0.004854479597915962,
|
|
"2025 tariff crash": 0.002493804556044088,
|
|
"2026 Q1 drawdown": -0.01622971285892638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.027397278117268442,
|
|
"max_ret": 0.002493804556044088,
|
|
"all_pos": false
|
|
},
|
|
"qcbmrx": {
|
|
"name": "Core Bond Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6799038582688277,
|
|
"corr_port": -0.06151783360619771,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14823635948993152,
|
|
"2023 rate shock": -0.03805727406270221,
|
|
"2024 vol spike": 0.020186252566487095,
|
|
"2025 tariff crash": 0.00714740825425797,
|
|
"2026 Q1 drawdown": -0.00545339802909639
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14823635948993152,
|
|
"max_ret": 0.020186252566487095,
|
|
"all_pos": false
|
|
},
|
|
"qceqrx": {
|
|
"name": "S&P 500 Index Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6604600263836424,
|
|
"corr_port": 0.2157357670725372,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25111962114537456,
|
|
"2023 rate shock": -0.10525037781129265,
|
|
"2024 vol spike": -0.07254229824685243,
|
|
"2025 tariff crash": -0.1890787824027289,
|
|
"2026 Q1 drawdown": -0.08817222684234371
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25111962114537456,
|
|
"max_ret": -0.07254229824685243,
|
|
"all_pos": false
|
|
},
|
|
"qcgdx": {
|
|
"name": "Quantified Common Ground Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.032687733924103214,
|
|
"corr_port": 0.2951975166190455,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1292134075320306,
|
|
"2023 rate shock": -0.11665443482680249,
|
|
"2024 vol spike": -0.07066912750200349,
|
|
"2025 tariff crash": -0.13581033428721845,
|
|
"2026 Q1 drawdown": -0.005148005148005064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13581033428721845,
|
|
"max_ret": -0.005148005148005064,
|
|
"all_pos": false
|
|
},
|
|
"qcglrx": {
|
|
"name": "Global Equities Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1495208492201114,
|
|
"corr_port": 0.2573468130163028,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26827209520860296,
|
|
"2023 rate shock": -0.10130612218410873,
|
|
"2024 vol spike": -0.0778221608694517,
|
|
"2025 tariff crash": -0.17762547952746932,
|
|
"2026 Q1 drawdown": -0.09255755041336033
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26827209520860296,
|
|
"max_ret": -0.0778221608694517,
|
|
"all_pos": false
|
|
},
|
|
"qcgrrx": {
|
|
"name": "Growth Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.362806460682149,
|
|
"corr_port": 0.06475399800760005,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35174502147800135,
|
|
"2023 rate shock": -0.09225570344376377,
|
|
"2024 vol spike": -0.09348214686744394,
|
|
"2025 tariff crash": -0.22962929254796594,
|
|
"2026 Q1 drawdown": -0.12731946416257856
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35174502147800135,
|
|
"max_ret": -0.09225570344376377,
|
|
"all_pos": false
|
|
},
|
|
"qcilrx": {
|
|
"name": "Inflation-Linked Bond Account",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.877964262221375,
|
|
"corr_port": -0.007228130350860066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07132185154809534,
|
|
"2023 rate shock": -0.00909490360881915,
|
|
"2024 vol spike": 0.00977429698987664,
|
|
"2025 tariff crash": 0.014051384308021664,
|
|
"2026 Q1 drawdown": 0.0002572954574977526
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.07132185154809534,
|
|
"max_ret": 0.014051384308021664,
|
|
"all_pos": false
|
|
},
|
|
"qcmmrx": {
|
|
"name": "Money Market Account",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 17.646678252310693,
|
|
"corr_port": 0.08172221740535204,
|
|
"rets": {
|
|
"2022 bear mkt": 0.003507615099611394,
|
|
"2023 rate shock": 0.011728821159727065,
|
|
"2024 vol spike": 0.002555589442650774,
|
|
"2025 tariff crash": 0.005241854199661944,
|
|
"2026 Q1 drawdown": 0.005546253500825937
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.002555589442650774,
|
|
"max_ret": 0.011728821159727065,
|
|
"all_pos": true
|
|
},
|
|
"qcscrx": {
|
|
"name": "Responsible Balanced Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.542652690470012,
|
|
"corr_port": 0.24538815600841646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21815879355326406,
|
|
"2023 rate shock": -0.0787165418197402,
|
|
"2024 vol spike": -0.0342409008038822,
|
|
"2025 tariff crash": -0.08922473839494116,
|
|
"2026 Q1 drawdown": -0.05382739231273126
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21815879355326406,
|
|
"max_ret": -0.0342409008038822,
|
|
"all_pos": false
|
|
},
|
|
"qcstrx": {
|
|
"name": "Total Global Stock Account",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9403787313028396,
|
|
"corr_port": 0.2576979026833857,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2649736132874444,
|
|
"2023 rate shock": -0.10544912668314932,
|
|
"2024 vol spike": -0.0726507147328721,
|
|
"2025 tariff crash": -0.1664962220353896,
|
|
"2026 Q1 drawdown": -0.08708320214657295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2649736132874444,
|
|
"max_ret": -0.0726507147328721,
|
|
"all_pos": false
|
|
},
|
|
"qefa": {
|
|
"name": "State Street(R) SPDR(R) MSCI EAFE StrategicFactors(SM) ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4184743424773536,
|
|
"corr_port": 0.31330528018662124,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26929872210742456,
|
|
"2023 rate shock": -0.0920365947858176,
|
|
"2024 vol spike": -0.051855885465941,
|
|
"2025 tariff crash": -0.0873450698678524,
|
|
"2026 Q1 drawdown": -0.04726542711842874
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26929872210742456,
|
|
"max_ret": -0.04726542711842874,
|
|
"all_pos": false
|
|
},
|
|
"qemm": {
|
|
"name": "State Street(R) SPDR(R) MSCI Emerging Markets StrategicFactors(SM) ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.47642911790632303,
|
|
"corr_port": 0.27537768296033055,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24494503149449243,
|
|
"2023 rate shock": -0.08625807943309416,
|
|
"2024 vol spike": -0.050620280447370325,
|
|
"2025 tariff crash": -0.11991879703003239,
|
|
"2026 Q1 drawdown": -0.0622302987286566
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24494503149449243,
|
|
"max_ret": -0.050620280447370325,
|
|
"all_pos": false
|
|
},
|
|
"qevox": {
|
|
"name": "Quantified Evolution Plus Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6378926003016437,
|
|
"corr_port": 0.10341344803964338,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12419709541158652,
|
|
"2023 rate shock": -0.061679653494884024,
|
|
"2024 vol spike": -0.10635149845481406,
|
|
"2025 tariff crash": -0.1478259916674468,
|
|
"2026 Q1 drawdown": 0.07115384615384612
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1478259916674468,
|
|
"max_ret": 0.07115384615384612,
|
|
"all_pos": false
|
|
},
|
|
"qfvox": {
|
|
"name": "Pear Tree Polaris Foreign Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6588856126057041,
|
|
"corr_port": 0.4819421180430373,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30822761588167447,
|
|
"2023 rate shock": -0.10013342875416054,
|
|
"2024 vol spike": -0.07559314748315737,
|
|
"2025 tariff crash": -0.08933837940171208,
|
|
"2026 Q1 drawdown": -0.034774098147546284
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30822761588167447,
|
|
"max_ret": -0.034774098147546284,
|
|
"all_pos": false
|
|
},
|
|
"qgitx": {
|
|
"name": "Quantified Government Income Tactical Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7971255808552912,
|
|
"corr_port": -0.11598039824241559,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1665098519968211,
|
|
"2023 rate shock": -0.08669100729393953,
|
|
"2024 vol spike": -0.004267363721897066,
|
|
"2025 tariff crash": 0.013313564230559738,
|
|
"2026 Q1 drawdown": -0.005780346820809301
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1665098519968211,
|
|
"max_ret": 0.013313564230559738,
|
|
"all_pos": false
|
|
},
|
|
"qgro": {
|
|
"name": "American Century U.S. Quality Growth ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6284032041167844,
|
|
"corr_port": 0.13672810741386313,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27645448561271246,
|
|
"2023 rate shock": -0.08415390141140444,
|
|
"2024 vol spike": -0.06914159782205764,
|
|
"2025 tariff crash": -0.22000271570939745,
|
|
"2026 Q1 drawdown": -0.11511499093944266
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27645448561271246,
|
|
"max_ret": -0.06914159782205764,
|
|
"all_pos": false
|
|
},
|
|
"qgrpx": {
|
|
"name": "UBS US Quality Growth At Reasonable Price Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.842223579761648,
|
|
"corr_port": 0.006582596539856888,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2934173146517004,
|
|
"2023 rate shock": -0.06374820275090454,
|
|
"2024 vol spike": -0.07322931390520149,
|
|
"2025 tariff crash": -0.19619892020583685,
|
|
"2026 Q1 drawdown": -0.13336938444924407
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2934173146517004,
|
|
"max_ret": -0.06374820275090454,
|
|
"all_pos": false
|
|
},
|
|
"qlenx": {
|
|
"name": "AQR Long-Short Equity Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.333243493367011,
|
|
"corr_port": 0.7066792887973038,
|
|
"rets": {
|
|
"2022 bear mkt": 0.023368191924094672,
|
|
"2023 rate shock": 0.0674156231749834,
|
|
"2024 vol spike": -0.04777276723083568,
|
|
"2025 tariff crash": -0.034172644002615105,
|
|
"2026 Q1 drawdown": -0.020689656191608563
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.04777276723083568,
|
|
"max_ret": 0.0674156231749834,
|
|
"all_pos": false
|
|
},
|
|
"qlmlfx": {
|
|
"name": "Franklin Multi-Asset Variable Conservative Growth",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.0476916517805264,
|
|
"corr_port": 0.2545525127077821,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24861883065568868,
|
|
"2023 rate shock": -0.07173295454545447,
|
|
"2024 vol spike": -0.029581993569131937,
|
|
"2025 tariff crash": -0.09687699171446784,
|
|
"2026 Q1 drawdown": -0.05246113989637302
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24861883065568868,
|
|
"max_ret": -0.029581993569131937,
|
|
"all_pos": false
|
|
},
|
|
"qlmlsx": {
|
|
"name": "Franklin Multi-Asset Variable Moderate Growth",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.1722719668471915,
|
|
"corr_port": 0.27919907115483544,
|
|
"rets": {
|
|
"2022 bear mkt": -0.277490297542044,
|
|
"2023 rate shock": -0.08150943396226418,
|
|
"2024 vol spike": -0.04723346828609998,
|
|
"2025 tariff crash": -0.132,
|
|
"2026 Q1 drawdown": -0.06934058463630188
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.277490297542044,
|
|
"max_ret": -0.04723346828609998,
|
|
"all_pos": false
|
|
},
|
|
"qlmltx": {
|
|
"name": "Franklin Multi-Asset Variable Growth",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.053868262362495,
|
|
"corr_port": 0.28945980833369467,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3116801998750782,
|
|
"2023 rate shock": -0.08642911296436684,
|
|
"2024 vol spike": -0.05953991880920151,
|
|
"2025 tariff crash": -0.15704697986577176,
|
|
"2026 Q1 drawdown": -0.08192281651997291
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3116801998750782,
|
|
"max_ret": -0.05953991880920151,
|
|
"all_pos": false
|
|
},
|
|
"qmnix": {
|
|
"name": "AQR Equity Market Neutral Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.603367997108109,
|
|
"corr_port": 0.606529943249583,
|
|
"rets": {
|
|
"2022 bear mkt": 0.13733323286118804,
|
|
"2023 rate shock": 0.11416493199593947,
|
|
"2024 vol spike": -0.025201578674507563,
|
|
"2025 tariff crash": 0.031279607550002364,
|
|
"2026 Q1 drawdown": 0.0008291873963515162
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.025201578674507563,
|
|
"max_ret": 0.13733323286118804,
|
|
"all_pos": false
|
|
},
|
|
"qqqm": {
|
|
"name": "Invesco NASDAQ 100 ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5395683993368726,
|
|
"corr_port": -0.05597997583315415,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33356307461573276,
|
|
"2023 rate shock": -0.09633200784626195,
|
|
"2024 vol spike": -0.09551199173062719,
|
|
"2025 tariff crash": -0.22381893704587097,
|
|
"2026 Q1 drawdown": -0.11173488692855038
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33356307461573276,
|
|
"max_ret": -0.09551199173062719,
|
|
"all_pos": false
|
|
},
|
|
"qspmx": {
|
|
"name": "Quantified Pattern Recognition Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3002297301991839,
|
|
"corr_port": 0.11069339661718501,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2728069497343498,
|
|
"2023 rate shock": -0.039180733656120736,
|
|
"2024 vol spike": -0.04892700162750896,
|
|
"2025 tariff crash": -0.09362055788477164,
|
|
"2026 Q1 drawdown": -0.12458581842279648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2728069497343498,
|
|
"max_ret": -0.039180733656120736,
|
|
"all_pos": false
|
|
},
|
|
"qstax": {
|
|
"name": "Quantified STF Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4755427168998746,
|
|
"corr_port": 0.05137473027453916,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3806532364436098,
|
|
"2023 rate shock": -0.1882972099416984,
|
|
"2024 vol spike": -0.11589213926515918,
|
|
"2025 tariff crash": -0.2370326094441091,
|
|
"2026 Q1 drawdown": -0.16184971098265888
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3806532364436098,
|
|
"max_ret": -0.11589213926515918,
|
|
"all_pos": false
|
|
},
|
|
"quasx": {
|
|
"name": "AB Small Cap Growth Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.213013857656312,
|
|
"corr_port": 0.14416944487191602,
|
|
"rets": {
|
|
"2022 bear mkt": -0.40186661707020155,
|
|
"2023 rate shock": -0.19437719594818836,
|
|
"2024 vol spike": -0.0911230497646267,
|
|
"2025 tariff crash": -0.25157929564118753,
|
|
"2026 Q1 drawdown": -0.12819423258960172
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.40186661707020155,
|
|
"max_ret": -0.0911230497646267,
|
|
"all_pos": false
|
|
},
|
|
"qusox": {
|
|
"name": "Pear Tree Polaris Foreign Value Small Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3810550067223092,
|
|
"corr_port": 0.44386193314850486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30165295415300075,
|
|
"2023 rate shock": -0.11103814593223837,
|
|
"2024 vol spike": -0.0696013552543796,
|
|
"2025 tariff crash": -0.0593548443452232,
|
|
"2026 Q1 drawdown": -0.08535954474909457
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30165295415300075,
|
|
"max_ret": -0.0593548443452232,
|
|
"all_pos": false
|
|
},
|
|
"qwld": {
|
|
"name": "State Street(R) SPDR(R) MSCI World StrategicFactors(SM) ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.636634018048203,
|
|
"corr_port": 0.2973682109571012,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22804043477954705,
|
|
"2023 rate shock": -0.08145881889727946,
|
|
"2024 vol spike": -0.0504730010603176,
|
|
"2025 tariff crash": -0.12404140231206551,
|
|
"2026 Q1 drawdown": -0.05206825167219764
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22804043477954705,
|
|
"max_ret": -0.0504730010603176,
|
|
"all_pos": false
|
|
},
|
|
"qwvox": {
|
|
"name": "Clearwater Select Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3916354231700783,
|
|
"corr_port": 0.2713559983225675,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2863591130211076,
|
|
"2023 rate shock": -0.15241424360591949,
|
|
"2024 vol spike": -0.07602035714285715,
|
|
"2025 tariff crash": -0.2187812187812187,
|
|
"2026 Q1 drawdown": -0.10046728971962615
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2863591130211076,
|
|
"max_ret": -0.07602035714285715,
|
|
"all_pos": false
|
|
},
|
|
"raax": {
|
|
"name": "VanEck Real Assets ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.21515978838141853,
|
|
"corr_port": 0.31781265331078756,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06969339274493447,
|
|
"2023 rate shock": -0.034759384988969355,
|
|
"2024 vol spike": -0.04518996611130954,
|
|
"2025 tariff crash": -0.09904565462539539,
|
|
"2026 Q1 drawdown": -0.0037295125875308477
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09904565462539539,
|
|
"max_ret": -0.0037295125875308477,
|
|
"all_pos": false
|
|
},
|
|
"raghx": {
|
|
"name": "Virtus KAR Health Sciences Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.952382426012316,
|
|
"corr_port": 0.22831230875522945,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18916496434817065,
|
|
"2023 rate shock": -0.12051646773731961,
|
|
"2024 vol spike": -0.059481931563799106,
|
|
"2025 tariff crash": -0.1461457970003488,
|
|
"2026 Q1 drawdown": -0.08659507839989333
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18916496434817065,
|
|
"max_ret": -0.059481931563799106,
|
|
"all_pos": false
|
|
},
|
|
"ragtx": {
|
|
"name": "Virtus Zevenbergen Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5597046189953375,
|
|
"corr_port": 0.07846992304041289,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39260967637058586,
|
|
"2023 rate shock": -0.12408091010870592,
|
|
"2024 vol spike": -0.11378090170958866,
|
|
"2025 tariff crash": -0.2691231327337301,
|
|
"2026 Q1 drawdown": -0.1673574935501616
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39260967637058586,
|
|
"max_ret": -0.11378090170958866,
|
|
"all_pos": false
|
|
},
|
|
"ralax": {
|
|
"name": "Aggressive Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7264226794693941,
|
|
"corr_port": 0.3022366416652295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24241544453769315,
|
|
"2023 rate shock": -0.09355123604624338,
|
|
"2024 vol spike": -0.0511590148493869,
|
|
"2025 tariff crash": -0.1341509147999339,
|
|
"2026 Q1 drawdown": -0.06715869061879243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24241544453769315,
|
|
"max_ret": -0.0511590148493869,
|
|
"all_pos": false
|
|
},
|
|
"rapax": {
|
|
"name": "Cohen & Steers Real Assets Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.10085747821065565,
|
|
"corr_port": 0.38056818356690264,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09088931887805429,
|
|
"2023 rate shock": -0.059776960370880095,
|
|
"2024 vol spike": -0.03143442344338765,
|
|
"2025 tariff crash": -0.07897236423719267,
|
|
"2026 Q1 drawdown": 0.01166661387681267
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09088931887805429,
|
|
"max_ret": 0.01166661387681267,
|
|
"all_pos": false
|
|
},
|
|
"ravi": {
|
|
"name": "FlexShares Ultra-Short Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.1578996409664244,
|
|
"corr_port": 0.05942262171747824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.008170968748311358,
|
|
"2023 rate shock": 0.012457453712817035,
|
|
"2024 vol spike": 0.003815069562772777,
|
|
"2025 tariff crash": 0.0031234627046612395,
|
|
"2026 Q1 drawdown": 0.0036082686371512462
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.008170968748311358,
|
|
"max_ret": 0.012457453712817035,
|
|
"all_pos": false
|
|
},
|
|
"rbbax": {
|
|
"name": "Columbia Income Builder Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6969051744620036,
|
|
"corr_port": 0.2819816606519108,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17039234266034586,
|
|
"2023 rate shock": -0.062200057099152106,
|
|
"2024 vol spike": -0.0011991195060790938,
|
|
"2025 tariff crash": -0.04237558371316985,
|
|
"2026 Q1 drawdown": -0.01664639805278012
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17039234266034586,
|
|
"max_ret": -0.0011991195060790938,
|
|
"all_pos": false
|
|
},
|
|
"rbcgx": {
|
|
"name": "REYNOLDS BLUE CHIP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8751427444204318,
|
|
"corr_port": 0.16011640513963807,
|
|
"rets": {
|
|
"2022 bear mkt": -0.300786084360401,
|
|
"2023 rate shock": -0.11645816129968223,
|
|
"2024 vol spike": -0.10795893897948572,
|
|
"2025 tariff crash": -0.15729862044317966,
|
|
"2026 Q1 drawdown": -0.0949595202544542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.300786084360401,
|
|
"max_ret": -0.0949595202544542,
|
|
"all_pos": false
|
|
},
|
|
"rblax": {
|
|
"name": "Balanced Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9657103447413325,
|
|
"corr_port": 0.3391361870208502,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2227487933429303,
|
|
"2023 rate shock": -0.08154171704957669,
|
|
"2024 vol spike": -0.03373943395280865,
|
|
"2025 tariff crash": -0.102846063193752,
|
|
"2026 Q1 drawdown": -0.051694963008641515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2227487933429303,
|
|
"max_ret": -0.03373943395280865,
|
|
"all_pos": false
|
|
},
|
|
"rcbax": {
|
|
"name": "AMERICAN FUNDS CORPORATE BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9688613300010493,
|
|
"corr_port": -0.040754077751630334,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1858134143937421,
|
|
"2023 rate shock": -0.05014705772553507,
|
|
"2024 vol spike": 0.017672795515029316,
|
|
"2025 tariff crash": -0.0037049450326162026,
|
|
"2026 Q1 drawdown": -0.011387746099576601
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1858134143937421,
|
|
"max_ret": 0.017672795515029316,
|
|
"all_pos": false
|
|
},
|
|
"rcjtx": {
|
|
"name": "American Funds 2015 Target Date Retirement Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6319305373807538,
|
|
"corr_port": 0.330624809689852,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16178729535028757,
|
|
"2023 rate shock": -0.05536626832242031,
|
|
"2024 vol spike": -0.011191055000848382,
|
|
"2025 tariff crash": -0.051916976632554346,
|
|
"2026 Q1 drawdown": -0.031538461538461515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16178729535028757,
|
|
"max_ret": -0.011191055000848382,
|
|
"all_pos": false
|
|
},
|
|
"rclax": {
|
|
"name": "Conservative Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6953432709496168,
|
|
"corr_port": 0.23369545812904702,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1751072602357273,
|
|
"2023 rate shock": -0.05612355122025248,
|
|
"2024 vol spike": 0.0011310555737493733,
|
|
"2025 tariff crash": -0.030987817400849327,
|
|
"2026 Q1 drawdown": -0.019586434182334633
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1751072602357273,
|
|
"max_ret": 0.0011310555737493733,
|
|
"all_pos": false
|
|
},
|
|
"rcmcx": {
|
|
"name": "Royce Capital Fund - Micro-Cap Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5804919733725784,
|
|
"corr_port": 0.2482786009897491,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3194350908088739,
|
|
"2023 rate shock": -0.1642295470609768,
|
|
"2024 vol spike": -0.11057235646844177,
|
|
"2025 tariff crash": -0.2523171638981341,
|
|
"2026 Q1 drawdown": -0.04011461318051579
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3194350908088739,
|
|
"max_ret": -0.04011461318051579,
|
|
"all_pos": false
|
|
},
|
|
"rctix": {
|
|
"name": "River Canyon Total Return Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.633674810785656,
|
|
"corr_port": 0.09628859734864363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05588752922880558,
|
|
"2023 rate shock": 0.0013025698240729522,
|
|
"2024 vol spike": 0.014077833298053122,
|
|
"2025 tariff crash": 4.094822852551694e-05,
|
|
"2026 Q1 drawdown": 0.0009930276007561467
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.05588752922880558,
|
|
"max_ret": 0.014077833298053122,
|
|
"all_pos": false
|
|
},
|
|
"rdccx": {
|
|
"name": "Columbia Disciplined Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5927788113836125,
|
|
"corr_port": 0.40051764726032113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16441437378040735,
|
|
"2023 rate shock": -0.10572145999291371,
|
|
"2024 vol spike": -0.04645767929452593,
|
|
"2025 tariff crash": -0.14716517851123334,
|
|
"2026 Q1 drawdown": -0.03214285714285714
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16441437378040735,
|
|
"max_ret": -0.03214285714285714,
|
|
"all_pos": false
|
|
},
|
|
"rdiv": {
|
|
"name": "Invesco S&P Ultra Dividend Revenue ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.638555758559509,
|
|
"corr_port": 0.3939137087076264,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0803195953448993,
|
|
"2023 rate shock": -0.1523595834693402,
|
|
"2024 vol spike": -0.04988624339319092,
|
|
"2025 tariff crash": -0.15063329873027165,
|
|
"2026 Q1 drawdown": 0.0372246239237084
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1523595834693402,
|
|
"max_ret": 0.0372246239237084,
|
|
"all_pos": false
|
|
},
|
|
"rdlax": {
|
|
"name": "Columbia Disciplined Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7143142739261468,
|
|
"corr_port": 0.19326467403078917,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2948838213643056,
|
|
"2023 rate shock": -0.10836914824715027,
|
|
"2024 vol spike": -0.09686097412902461,
|
|
"2025 tariff crash": -0.2335437221958706,
|
|
"2026 Q1 drawdown": -0.13423959218351744
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2948838213643056,
|
|
"max_ret": -0.09686097412902461,
|
|
"all_pos": false
|
|
},
|
|
"rdwbx": {
|
|
"name": "AMERICAN FUNDS DEVELOPING WORLD GROWTH & INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.48372674888925027,
|
|
"corr_port": 0.2904207955476652,
|
|
"rets": {
|
|
"2022 bear mkt": -0.320222024983313,
|
|
"2023 rate shock": -0.11974367089139482,
|
|
"2024 vol spike": -0.06647680019781932,
|
|
"2025 tariff crash": -0.11833766101279442,
|
|
"2026 Q1 drawdown": -0.09700994553756037
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.320222024983313,
|
|
"max_ret": -0.06647680019781932,
|
|
"all_pos": false
|
|
},
|
|
"reaax": {
|
|
"name": "Equity Aggressive Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.911927345239089,
|
|
"corr_port": 0.3121804216018028,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2539529653712107,
|
|
"2023 rate shock": -0.10000699542347602,
|
|
"2024 vol spike": -0.060350449204313095,
|
|
"2025 tariff crash": -0.1495597903377205,
|
|
"2026 Q1 drawdown": -0.07290476010939573
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2539529653712107,
|
|
"max_ret": -0.060350449204313095,
|
|
"all_pos": false
|
|
},
|
|
"rebax": {
|
|
"name": "Columbia Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.24392893109766392,
|
|
"corr_port": 0.22768778982893756,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22776524186508162,
|
|
"2023 rate shock": -0.04333733353438962,
|
|
"2024 vol spike": 0.000757444760160153,
|
|
"2025 tariff crash": -0.023816759868223847,
|
|
"2026 Q1 drawdown": -0.02669949657501325
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.22776524186508162,
|
|
"max_ret": 0.000757444760160153,
|
|
"all_pos": false
|
|
},
|
|
"rebyx": {
|
|
"name": "U.S. Small Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9235971133421599,
|
|
"corr_port": 0.2850392009124828,
|
|
"rets": {
|
|
"2022 bear mkt": -0.220204706938687,
|
|
"2023 rate shock": -0.1649756376539674,
|
|
"2024 vol spike": -0.07936506137989541,
|
|
"2025 tariff crash": -0.21545029547885453,
|
|
"2026 Q1 drawdown": -0.06139060423851306
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.220204706938687,
|
|
"max_ret": -0.06139060423851306,
|
|
"all_pos": false
|
|
},
|
|
"recs": {
|
|
"name": "Columbia Research Enhanced Core ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0764599322764894,
|
|
"corr_port": 0.2545670731647488,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21007060540039024,
|
|
"2023 rate shock": -0.09479040317953058,
|
|
"2024 vol spike": -0.06820252838599139,
|
|
"2025 tariff crash": -0.1828794138498666,
|
|
"2026 Q1 drawdown": -0.08421810048788847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21007060540039024,
|
|
"max_ret": -0.06820252838599139,
|
|
"all_pos": false
|
|
},
|
|
"redwx": {
|
|
"name": "GreenFi Redwood Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3304577755135993,
|
|
"corr_port": 0.2434499340781259,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25782578507370224,
|
|
"2023 rate shock": -0.11555271734443717,
|
|
"2024 vol spike": -0.09021737949972408,
|
|
"2025 tariff crash": -0.17325059151661704,
|
|
"2026 Q1 drawdown": -0.11344294460822146
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25782578507370224,
|
|
"max_ret": -0.09021737949972408,
|
|
"all_pos": false
|
|
},
|
|
"remsx": {
|
|
"name": "Emerging Markets Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.203151473092633,
|
|
"corr_port": 0.3216163479976866,
|
|
"rets": {
|
|
"2022 bear mkt": -0.303430144581071,
|
|
"2023 rate shock": -0.11596959776355364,
|
|
"2024 vol spike": -0.08303250028997156,
|
|
"2025 tariff crash": -0.14168133460153554,
|
|
"2026 Q1 drawdown": -0.09863360375747232
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.303430144581071,
|
|
"max_ret": -0.08303250028997156,
|
|
"all_pos": false
|
|
},
|
|
"remx": {
|
|
"name": "VanEck Rare Earth and Strategic Metals ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.6065574528581363,
|
|
"corr_port": 0.18584936522214107,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2976231077763847,
|
|
"2023 rate shock": -0.2708958217357236,
|
|
"2024 vol spike": -0.13942423714825714,
|
|
"2025 tariff crash": -0.2228040067606517,
|
|
"2026 Q1 drawdown": -0.08606859923092702
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2976231077763847,
|
|
"max_ret": -0.08606859923092702,
|
|
"all_pos": false
|
|
},
|
|
"retsx": {
|
|
"name": "Tax-Managed U.S. Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.713171620503713,
|
|
"corr_port": 0.2829792955352158,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25311079518701396,
|
|
"2023 rate shock": -0.09223020566122053,
|
|
"2024 vol spike": -0.0710622459933744,
|
|
"2025 tariff crash": -0.18302289202373767,
|
|
"2026 Q1 drawdown": -0.08693872168404027
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25311079518701396,
|
|
"max_ret": -0.0710622459933744,
|
|
"all_pos": false
|
|
},
|
|
"reuyx": {
|
|
"name": "Sustainable Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0398235007776877,
|
|
"corr_port": 0.3005329808930533,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2102564174095467,
|
|
"2023 rate shock": -0.09778734987645532,
|
|
"2024 vol spike": -0.05754953041185529,
|
|
"2025 tariff crash": -0.16167685209471416,
|
|
"2026 Q1 drawdown": -0.09264805527211895
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2102564174095467,
|
|
"max_ret": -0.05754953041185529,
|
|
"all_pos": false
|
|
},
|
|
"revs": {
|
|
"name": "Columbia Research Enhanced Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7201977587604507,
|
|
"corr_port": 0.3823377405862101,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1589647986455377,
|
|
"2023 rate shock": -0.10775848920854447,
|
|
"2024 vol spike": -0.04732619563403262,
|
|
"2025 tariff crash": -0.14826057299039974,
|
|
"2026 Q1 drawdown": -0.04399723738062766
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1589647986455377,
|
|
"max_ret": -0.04399723738062766,
|
|
"all_pos": false
|
|
},
|
|
"rfayx": {
|
|
"name": "Investment Grade Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6702934916056605,
|
|
"corr_port": -0.10162455579807453,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15321193040596515,
|
|
"2023 rate shock": -0.03638446406142637,
|
|
"2024 vol spike": 0.019808090901469955,
|
|
"2025 tariff crash": 0.007543490892311322,
|
|
"2026 Q1 drawdown": -0.0061710644762309474
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15321193040596515,
|
|
"max_ret": 0.019808090901469955,
|
|
"all_pos": false
|
|
},
|
|
"rfbsx": {
|
|
"name": "Short Duration Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.647376692506757,
|
|
"corr_port": -0.004165975491361336,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0610789576014279,
|
|
"2023 rate shock": 0.003073027726657962,
|
|
"2024 vol spike": 0.009629784033706734,
|
|
"2025 tariff crash": 0.009282947119650276,
|
|
"2026 Q1 drawdown": -0.00203506953199295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0610789576014279,
|
|
"max_ret": 0.009629784033706734,
|
|
"all_pos": false
|
|
},
|
|
"rfcyx": {
|
|
"name": "Strategic Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.023114708549170627,
|
|
"corr_port": -0.069717658319351,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1529613155091274,
|
|
"2023 rate shock": -0.03973778485039425,
|
|
"2024 vol spike": 0.021098302477399633,
|
|
"2025 tariff crash": 0.00641524405646865,
|
|
"2026 Q1 drawdown": -0.007468864078804871
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1529613155091274,
|
|
"max_ret": 0.021098302477399633,
|
|
"all_pos": false
|
|
},
|
|
"rfrax": {
|
|
"name": "Columbia Floating Rate Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.108467104707222,
|
|
"corr_port": 0.3216202051593705,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0486538874048581,
|
|
"2023 rate shock": 0.010501159989077635,
|
|
"2024 vol spike": -0.0017911256786753427,
|
|
"2025 tariff crash": -0.01862201969541033,
|
|
"2026 Q1 drawdown": -0.0016615910531418976
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0486538874048581,
|
|
"max_ret": 0.010501159989077635,
|
|
"all_pos": false
|
|
},
|
|
"rgcyx": {
|
|
"name": "Opportunistic Credit Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.718938910466566,
|
|
"corr_port": 0.25965817797288643,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14116532436048512,
|
|
"2023 rate shock": -0.011902305721806172,
|
|
"2024 vol spike": 0.0029189417352362135,
|
|
"2025 tariff crash": -0.01821303063334645,
|
|
"2026 Q1 drawdown": -0.012147078756091778
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14116532436048512,
|
|
"max_ret": 0.0029189417352362135,
|
|
"all_pos": false
|
|
},
|
|
"rgeax": {
|
|
"name": "Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4843319608524486,
|
|
"corr_port": 0.35005470755765083,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25802988481680744,
|
|
"2023 rate shock": -0.09572075954051629,
|
|
"2024 vol spike": -0.06557371545405566,
|
|
"2025 tariff crash": -0.1655438349791053,
|
|
"2026 Q1 drawdown": -0.09114811568799308
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25802988481680744,
|
|
"max_ret": -0.06557371545405566,
|
|
"all_pos": false
|
|
},
|
|
"rgiax": {
|
|
"name": "Global Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.45773601885692694,
|
|
"corr_port": 0.3617432528033279,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14837853319288152,
|
|
"2023 rate shock": -0.11819072293954158,
|
|
"2024 vol spike": -0.01986770204489896,
|
|
"2025 tariff crash": -0.05902862516535612,
|
|
"2026 Q1 drawdown": 0.029922868916100187
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14837853319288152,
|
|
"max_ret": 0.029922868916100187,
|
|
"all_pos": false
|
|
},
|
|
"rgsax": {
|
|
"name": "Virtus KAR Global Small-Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5643369969501386,
|
|
"corr_port": 0.3257729814894868,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3383418946563511,
|
|
"2023 rate shock": -0.09436272839100013,
|
|
"2024 vol spike": -0.05672799178108601,
|
|
"2025 tariff crash": -0.10951517148835599,
|
|
"2026 Q1 drawdown": -0.11448453148372761
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3383418946563511,
|
|
"max_ret": -0.05672799178108601,
|
|
"all_pos": false
|
|
},
|
|
"rgwfx": {
|
|
"name": "American Funds Growth Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5920290779000825,
|
|
"corr_port": 0.23291306628594832,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30907718743043544,
|
|
"2023 rate shock": -0.1105482639780172,
|
|
"2024 vol spike": -0.07032461366026577,
|
|
"2025 tariff crash": -0.18761593512677077,
|
|
"2026 Q1 drawdown": -0.11518152195318554
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30907718743043544,
|
|
"max_ret": -0.07032461366026577,
|
|
"all_pos": false
|
|
},
|
|
"rhltx": {
|
|
"name": "American Funds 2065 Target Date Retirement Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1042353352206669,
|
|
"corr_port": 0.14850669816893586,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26159339648906965,
|
|
"2023 rate shock": -0.09700990967574719,
|
|
"2024 vol spike": -0.05702757888526333,
|
|
"2025 tariff crash": -0.15144884448385654,
|
|
"2026 Q1 drawdown": -0.09430345113946625
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26159339648906965,
|
|
"max_ret": -0.05702757888526333,
|
|
"all_pos": false
|
|
},
|
|
"rimox": {
|
|
"name": "City National Rochdale Fixed Income Opportunities Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.4135583072767286,
|
|
"corr_port": 0.32423120824442364,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14200302154706645,
|
|
"2023 rate shock": -0.00321571050613767,
|
|
"2024 vol spike": -0.007131984402641844,
|
|
"2025 tariff crash": -0.022155376101786195,
|
|
"2026 Q1 drawdown": -0.013808941287931198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14200302154706645,
|
|
"max_ret": -0.00321571050613767,
|
|
"all_pos": false
|
|
},
|
|
"rinyx": {
|
|
"name": "International Developed Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.23394303667103178,
|
|
"corr_port": 0.4305475111042152,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27928557113212826,
|
|
"2023 rate shock": -0.11081480687415646,
|
|
"2024 vol spike": -0.06336275134356484,
|
|
"2025 tariff crash": -0.10908272170381161,
|
|
"2026 Q1 drawdown": -0.08151756492149542
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27928557113212826,
|
|
"max_ret": -0.06336275134356484,
|
|
"all_pos": false
|
|
},
|
|
"rivjx": {
|
|
"name": "American Funds International Vantage Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7156998921543987,
|
|
"corr_port": 0.23871083542100527,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2855504695807426,
|
|
"2023 rate shock": -0.11543217861519539,
|
|
"2024 vol spike": -0.05784640669147734,
|
|
"2025 tariff crash": -0.10085469984765272,
|
|
"2026 Q1 drawdown": -0.10188678764684966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2855504695807426,
|
|
"max_ret": -0.05784640669147734,
|
|
"all_pos": false
|
|
},
|
|
"rlvsx": {
|
|
"name": "Tax-Exempt Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8905486968810639,
|
|
"corr_port": 0.04867067174009816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09848645998746586,
|
|
"2023 rate shock": -0.03510640317328595,
|
|
"2024 vol spike": 0.010651798239123655,
|
|
"2025 tariff crash": -0.02094273283323378,
|
|
"2026 Q1 drawdown": -0.009495555844396986
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09848645998746586,
|
|
"max_ret": 0.010651798239123655,
|
|
"all_pos": false
|
|
},
|
|
"rmbhx": {
|
|
"name": "RMB Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8595742747159927,
|
|
"corr_port": 0.20160167121440212,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2556607469516021,
|
|
"2023 rate shock": -0.08877619876759812,
|
|
"2024 vol spike": -0.07134982778427801,
|
|
"2025 tariff crash": -0.173716830449264,
|
|
"2026 Q1 drawdown": -0.11819466521312649
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2556607469516021,
|
|
"max_ret": -0.07134982778427801,
|
|
"all_pos": false
|
|
},
|
|
"rmdax": {
|
|
"name": "Virtus Silvant Mid-Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4095325802884515,
|
|
"corr_port": 0.16138592176180297,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34396369304453556,
|
|
"2023 rate shock": -0.16253448441879992,
|
|
"2024 vol spike": -0.08915666837374614,
|
|
"2025 tariff crash": -0.23711340465968123,
|
|
"2026 Q1 drawdown": -0.10864745011086485
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34396369304453556,
|
|
"max_ret": -0.08915666837374614,
|
|
"all_pos": false
|
|
},
|
|
"rmeax": {
|
|
"name": "Aspiriant Risk-Managed Equity Allocation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6593146942192202,
|
|
"corr_port": 0.3321602753243598,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21638920758083424,
|
|
"2023 rate shock": -0.05630938540837338,
|
|
"2024 vol spike": -0.04036695383270983,
|
|
"2025 tariff crash": -0.12515259701845516,
|
|
"2026 Q1 drawdown": -0.08183990442054956
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21638920758083424,
|
|
"max_ret": -0.04036695383270983,
|
|
"all_pos": false
|
|
},
|
|
"rmgsx": {
|
|
"name": "Multi-Asset Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3998648993322759,
|
|
"corr_port": 0.28617694427432555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22447481536021285,
|
|
"2023 rate shock": -0.07408297687849752,
|
|
"2024 vol spike": -0.023496353712642692,
|
|
"2025 tariff crash": -0.08596262274875477,
|
|
"2026 Q1 drawdown": -0.045864067625337235
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22447481536021285,
|
|
"max_ret": -0.023496353712642692,
|
|
"all_pos": false
|
|
},
|
|
"rmhyx": {
|
|
"name": "Long Duration Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.49537319051201556,
|
|
"corr_port": -0.07219643445808555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13840653412145099,
|
|
"2023 rate shock": -0.0654087140460331,
|
|
"2024 vol spike": 0.03976808264314169,
|
|
"2025 tariff crash": 0.013064250513304732,
|
|
"2026 Q1 drawdown": -0.003359938444191357
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13840653412145099,
|
|
"max_ret": 0.03976808264314169,
|
|
"all_pos": false
|
|
},
|
|
"rmlax": {
|
|
"name": "Moderate Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1604141703729591,
|
|
"corr_port": 0.29934569908521036,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20097594291420517,
|
|
"2023 rate shock": -0.06831671392279559,
|
|
"2024 vol spike": -0.016771520006142904,
|
|
"2025 tariff crash": -0.06876545064226414,
|
|
"2026 Q1 drawdown": -0.03732054036588517
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20097594291420517,
|
|
"max_ret": -0.016771520006142904,
|
|
"all_pos": false
|
|
},
|
|
"rmmbx": {
|
|
"name": "Aspiriant Risk-Managed Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0892084060168123,
|
|
"corr_port": 0.04501592008273409,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1048413136394255,
|
|
"2023 rate shock": -0.04592686019516501,
|
|
"2024 vol spike": 0.011689790899148678,
|
|
"2025 tariff crash": -0.030571767324352517,
|
|
"2026 Q1 drawdown": -0.004808409181758289
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1048413136394255,
|
|
"max_ret": 0.011689790899148678,
|
|
"all_pos": false
|
|
},
|
|
"rmqhx": {
|
|
"name": "Monthly Rebalance NASDAQ-100 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6086127147161065,
|
|
"corr_port": 0.1349769275905362,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5999145807108918,
|
|
"2023 rate shock": -0.20122326158780313,
|
|
"2024 vol spike": -0.19175403057448748,
|
|
"2025 tariff crash": -0.41836219585883927,
|
|
"2026 Q1 drawdown": -0.22547420351045688
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5999145807108918,
|
|
"max_ret": -0.19175403057448748,
|
|
"all_pos": false
|
|
},
|
|
"rmtbx": {
|
|
"name": "Aspiriant Risk-Managed Taxable Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0060301175861963,
|
|
"corr_port": -0.03208952070353721,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13548084500071844,
|
|
"2023 rate shock": -0.03258119590637654,
|
|
"2024 vol spike": 0.017502876518392663,
|
|
"2025 tariff crash": 0.0034829890943963715,
|
|
"2026 Q1 drawdown": -0.005139357699248892
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13548084500071844,
|
|
"max_ret": 0.017502876518392663,
|
|
"all_pos": false
|
|
},
|
|
"rmuyx": {
|
|
"name": "Invesco Rochester New York Municipals Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.21181630538143653,
|
|
"corr_port": 0.03663158362547584,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17131893699643175,
|
|
"2023 rate shock": -0.08890226828920156,
|
|
"2024 vol spike": 0.0179942209973869,
|
|
"2025 tariff crash": -0.05594891660885648,
|
|
"2026 Q1 drawdown": -0.007985592167081612
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17131893699643175,
|
|
"max_ret": 0.0179942209973869,
|
|
"all_pos": false
|
|
},
|
|
"rmycx": {
|
|
"name": "Multi-Strategy Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0728969047601793,
|
|
"corr_port": 0.3005398554233332,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21628328346290515,
|
|
"2023 rate shock": -0.07142236667532043,
|
|
"2024 vol spike": -0.0063559329300618694,
|
|
"2025 tariff crash": -0.05103989869936987,
|
|
"2026 Q1 drawdown": -0.028292639563592403
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21628328346290515,
|
|
"max_ret": -0.0063559329300618694,
|
|
"all_pos": false
|
|
},
|
|
"roam": {
|
|
"name": "Hartford Multifactor Emerging Markets ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.1876208342084675,
|
|
"corr_port": 0.2847443427038812,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23523571403600063,
|
|
"2023 rate shock": -0.08392477754092442,
|
|
"2024 vol spike": -0.06948282300510233,
|
|
"2025 tariff crash": -0.12853985234747034,
|
|
"2026 Q1 drawdown": -0.0547294742638037
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23523571403600063,
|
|
"max_ret": -0.0547294742638037,
|
|
"all_pos": false
|
|
},
|
|
"rodm": {
|
|
"name": "Hartford Multifactor Developed Markets (ex-US) ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.0170960364106034,
|
|
"corr_port": 0.3714959774555879,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2689680303330161,
|
|
"2023 rate shock": -0.09090915517730302,
|
|
"2024 vol spike": -0.04720433499723997,
|
|
"2025 tariff crash": -0.07015812333613314,
|
|
"2026 Q1 drawdown": -0.006448288508022371
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2689680303330161,
|
|
"max_ret": -0.006448288508022371,
|
|
"all_pos": false
|
|
},
|
|
"rokt": {
|
|
"name": "State Street(R) SPDR(R) S&P Kensho Final Frontiers ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3089426026863578,
|
|
"corr_port": 0.2584759111568887,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15765196209195287,
|
|
"2023 rate shock": -0.1330917210801147,
|
|
"2024 vol spike": -0.04677622895784983,
|
|
"2025 tariff crash": -0.17837092430779355,
|
|
"2026 Q1 drawdown": -0.07493142848618772
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17837092430779355,
|
|
"max_ret": -0.04677622895784983,
|
|
"all_pos": false
|
|
},
|
|
"rosc": {
|
|
"name": "Hartford Multifactor Small Cap ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.0542571269524377,
|
|
"corr_port": 0.33489167379260476,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1844913550396261,
|
|
"2023 rate shock": -0.11092652474371723,
|
|
"2024 vol spike": -0.06035391890650976,
|
|
"2025 tariff crash": -0.17879820654246248,
|
|
"2026 Q1 drawdown": -0.025907117970145888
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1844913550396261,
|
|
"max_ret": -0.025907117970145888,
|
|
"all_pos": false
|
|
},
|
|
"rous": {
|
|
"name": "Hartford Multifactor US Equity ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3817054346400137,
|
|
"corr_port": 0.3294209282506615,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1829304837028134,
|
|
"2023 rate shock": -0.08069171092382477,
|
|
"2024 vol spike": -0.04701622726518084,
|
|
"2025 tariff crash": -0.15001147486089317,
|
|
"2026 Q1 drawdown": -0.04044763720011357
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1829304837028134,
|
|
"max_ret": -0.04044763720011357,
|
|
"all_pos": false
|
|
},
|
|
"rpbax": {
|
|
"name": "T. Rowe Price Balanced Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.981976917272869,
|
|
"corr_port": 0.30741828004474064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22777081002730803,
|
|
"2023 rate shock": -0.0751983062466619,
|
|
"2024 vol spike": -0.038838601585425514,
|
|
"2025 tariff crash": -0.10330134114070055,
|
|
"2026 Q1 drawdown": -0.058029100836209824
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22777081002730803,
|
|
"max_ret": -0.038838601585425514,
|
|
"all_pos": false
|
|
},
|
|
"rpfix": {
|
|
"name": "Royce Premier Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4768309072703876,
|
|
"corr_port": 0.28508784181307295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22607381832030926,
|
|
"2023 rate shock": -0.14768988866900912,
|
|
"2024 vol spike": -0.08596229437018377,
|
|
"2025 tariff crash": -0.21089627169030445,
|
|
"2026 Q1 drawdown": -0.08426483233018056
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22607381832030926,
|
|
"max_ret": -0.08426483233018056,
|
|
"all_pos": false
|
|
},
|
|
"rpgax": {
|
|
"name": "T. Rowe Price Global Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.009957199311058712,
|
|
"corr_port": 0.32895422170119604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2030948564194811,
|
|
"2023 rate shock": -0.06671409289915742,
|
|
"2024 vol spike": -0.03920314240491163,
|
|
"2025 tariff crash": -0.09449840825416533,
|
|
"2026 Q1 drawdown": -0.05218446601941751
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2030948564194811,
|
|
"max_ret": -0.03920314240491163,
|
|
"all_pos": false
|
|
},
|
|
"rpgex": {
|
|
"name": "T. Rowe Price Global Growth Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7353639013522235,
|
|
"corr_port": 0.2226134934664939,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3316147845067863,
|
|
"2023 rate shock": -0.10393257199951367,
|
|
"2024 vol spike": -0.06835144172069263,
|
|
"2025 tariff crash": -0.17124355612208209,
|
|
"2026 Q1 drawdown": -0.09971576645528091
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3316147845067863,
|
|
"max_ret": -0.06835144172069263,
|
|
"all_pos": false
|
|
},
|
|
"rpgix": {
|
|
"name": "T. Rowe Price Global Industrials Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0048247399895274,
|
|
"corr_port": 0.33349915902714317,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3166838113591287,
|
|
"2023 rate shock": -0.14602480808870355,
|
|
"2024 vol spike": -0.07879089949193496,
|
|
"2025 tariff crash": -0.20321354658516733,
|
|
"2026 Q1 drawdown": -0.09999992181069639
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3166838113591287,
|
|
"max_ret": -0.07879089949193496,
|
|
"all_pos": false
|
|
},
|
|
"rpgrx": {
|
|
"name": "T. Rowe Price Target 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8121941930140097,
|
|
"corr_port": 0.2999280457369745,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21919504830826764,
|
|
"2023 rate shock": -0.07670659097876009,
|
|
"2024 vol spike": -0.03905249154479273,
|
|
"2025 tariff crash": -0.10183430593501919,
|
|
"2026 Q1 drawdown": -0.05322960844674696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21919504830826764,
|
|
"max_ret": -0.03905249154479273,
|
|
"all_pos": false
|
|
},
|
|
"rpibx": {
|
|
"name": "T. Rowe Price International Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.1473517321439317,
|
|
"corr_port": 0.026761721306655967,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2674976635976084,
|
|
"2023 rate shock": -0.056574384704266234,
|
|
"2024 vol spike": 0.02707376183982202,
|
|
"2025 tariff crash": 0.015257975434622928,
|
|
"2026 Q1 drawdown": -0.049557890595363197
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.2674976635976084,
|
|
"max_ret": 0.02707376183982202,
|
|
"all_pos": false
|
|
},
|
|
"rpidx": {
|
|
"name": "T. Rowe Price Dynamic Credit Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.161165801638646,
|
|
"corr_port": 0.12417678734045792,
|
|
"rets": {
|
|
"2022 bear mkt": -0.024172063195096127,
|
|
"2023 rate shock": 0.025164392856826368,
|
|
"2024 vol spike": -0.002948917362194048,
|
|
"2025 tariff crash": -0.01011357408974789,
|
|
"2026 Q1 drawdown": -0.0014831779474409057
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.024172063195096127,
|
|
"max_ret": 0.025164392856826368,
|
|
"all_pos": false
|
|
},
|
|
"rpiex": {
|
|
"name": "T. Rowe Price Dynamic Global Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9828166083813038,
|
|
"corr_port": 0.11667815308115295,
|
|
"rets": {
|
|
"2022 bear mkt": 0.06533910725175551,
|
|
"2023 rate shock": 0.00981704793081195,
|
|
"2024 vol spike": -0.002344176468930592,
|
|
"2025 tariff crash": -0.0010703173130161003,
|
|
"2026 Q1 drawdown": -0.03189148714491552
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.03189148714491552,
|
|
"max_ret": 0.06533910725175551,
|
|
"all_pos": false
|
|
},
|
|
"rpifx": {
|
|
"name": "T. Rowe Price Institutional Floating Rate Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 5.031975934378061,
|
|
"corr_port": 0.26976022394127364,
|
|
"rets": {
|
|
"2022 bear mkt": -0.030476422175760298,
|
|
"2023 rate shock": 0.011290502962320259,
|
|
"2024 vol spike": -0.00010604080775045155,
|
|
"2025 tariff crash": -0.016213068346760284,
|
|
"2026 Q1 drawdown": -0.005239536890614738
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.030476422175760298,
|
|
"max_ret": 0.011290502962320259,
|
|
"all_pos": false
|
|
},
|
|
"rpihx": {
|
|
"name": "T. Rowe Price Global High Income Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1741468777703847,
|
|
"corr_port": 0.2781893824459559,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16336056617050165,
|
|
"2023 rate shock": -0.01766802624393249,
|
|
"2024 vol spike": 0.00010394801845037271,
|
|
"2025 tariff crash": -0.028218411522060505,
|
|
"2026 Q1 drawdown": -0.02387013442722752
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16336056617050165,
|
|
"max_ret": 0.00010394801845037271,
|
|
"all_pos": false
|
|
},
|
|
"rplcx": {
|
|
"name": "T. Rowe Price Institutional Long Duration Credit Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.24246358670425341,
|
|
"corr_port": -0.06594248358859238,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28445286044201945,
|
|
"2023 rate shock": -0.0989691612826219,
|
|
"2024 vol spike": 0.0240466443347771,
|
|
"2025 tariff crash": -0.02367571161815485,
|
|
"2026 Q1 drawdown": -0.021997074980749654
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.28445286044201945,
|
|
"max_ret": 0.0240466443347771,
|
|
"all_pos": false
|
|
},
|
|
"rpmgx": {
|
|
"name": "T. Rowe Price Mid-Cap Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3986375568638834,
|
|
"corr_port": 0.218945077621003,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2774020931873926,
|
|
"2023 rate shock": -0.13829479034714254,
|
|
"2024 vol spike": -0.04862616477214854,
|
|
"2025 tariff crash": -0.18999700423958765,
|
|
"2026 Q1 drawdown": -0.07839952190109145
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2774020931873926,
|
|
"max_ret": -0.04862616477214854,
|
|
"all_pos": false
|
|
},
|
|
"rpsix": {
|
|
"name": "T. Rowe Price Spectrum Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3976900068211224,
|
|
"corr_port": 0.262270579680245,
|
|
"rets": {
|
|
"2022 bear mkt": -0.145598352393003,
|
|
"2023 rate shock": -0.04312590454743992,
|
|
"2024 vol spike": 0.004525020963578319,
|
|
"2025 tariff crash": -0.008543974751966221,
|
|
"2026 Q1 drawdown": -0.01441693768976715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.145598352393003,
|
|
"max_ret": 0.004525020963578319,
|
|
"all_pos": false
|
|
},
|
|
"rpxfx": {
|
|
"name": "RiverPark Large Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.181444433881348,
|
|
"corr_port": 0.0843260902763514,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4868735072996261,
|
|
"2023 rate shock": -0.1342251227033835,
|
|
"2024 vol spike": -0.08669192011529514,
|
|
"2025 tariff crash": -0.21382979662949475,
|
|
"2026 Q1 drawdown": -0.12677602452546355
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4868735072996261,
|
|
"max_ret": -0.08669192011529514,
|
|
"all_pos": false
|
|
},
|
|
"rresx": {
|
|
"name": "Global Real Estate Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5394071290278877,
|
|
"corr_port": 0.2940919552597706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3383989052298757,
|
|
"2023 rate shock": -0.14201918930498658,
|
|
"2024 vol spike": -0.026121897134338323,
|
|
"2025 tariff crash": -0.1178612522948208,
|
|
"2026 Q1 drawdown": -0.03400704568412849
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3383989052298757,
|
|
"max_ret": -0.026121897134338323,
|
|
"all_pos": false
|
|
},
|
|
"rrfax": {
|
|
"name": "Federated Hermes Inflation Protected Securities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3830360871268895,
|
|
"corr_port": -0.060654328894196155,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12178643529975708,
|
|
"2023 rate shock": -0.0239760752325886,
|
|
"2024 vol spike": 0.014358825933522557,
|
|
"2025 tariff crash": 0.011918739767652786,
|
|
"2026 Q1 drawdown": -0.004598937925763491
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12178643529975708,
|
|
"max_ret": 0.014358825933522557,
|
|
"all_pos": false
|
|
},
|
|
"rrgax": {
|
|
"name": "DWS RREEF Global Real Estate Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0673062623643665,
|
|
"corr_port": 0.2993945116733992,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3371922958700897,
|
|
"2023 rate shock": -0.12839887444205356,
|
|
"2024 vol spike": -0.025423698717865317,
|
|
"2025 tariff crash": -0.11911349502839486,
|
|
"2026 Q1 drawdown": -0.028608701070006237
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3371922958700897,
|
|
"max_ret": -0.025423698717865317,
|
|
"all_pos": false
|
|
},
|
|
"rrpax": {
|
|
"name": "SIIT Real Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.584930522788122,
|
|
"corr_port": 0.00768717905343307,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04622185061757256,
|
|
"2023 rate shock": 0.004996597820444926,
|
|
"2024 vol spike": 0.006586221493060984,
|
|
"2025 tariff crash": 0.01862818038231895,
|
|
"2026 Q1 drawdown": 0.0032154223626112977
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04622185061757256,
|
|
"max_ret": 0.01862818038231895,
|
|
"all_pos": false
|
|
},
|
|
"rrrax": {
|
|
"name": "DWS RREEF Real Estate Securities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1303606130404842,
|
|
"corr_port": 0.2349872403414556,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32891302689676716,
|
|
"2023 rate shock": -0.13366308170447028,
|
|
"2024 vol spike": -0.010087112107648677,
|
|
"2025 tariff crash": -0.12540667603563826,
|
|
"2026 Q1 drawdown": 0.0072504805684183715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.32891302689676716,
|
|
"max_ret": 0.0072504805684183715,
|
|
"all_pos": false
|
|
},
|
|
"rseax": {
|
|
"name": "U.S. Strategic Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.961984162222252,
|
|
"corr_port": 0.2747160915435948,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26682831037801014,
|
|
"2023 rate shock": -0.09133195676882766,
|
|
"2024 vol spike": -0.07458408000904948,
|
|
"2025 tariff crash": -0.18397945516117475,
|
|
"2026 Q1 drawdown": -0.08652139992849128
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26682831037801014,
|
|
"max_ret": -0.07458408000904948,
|
|
"all_pos": false
|
|
},
|
|
"rseix": {
|
|
"name": "Royce Small-Cap Special Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3805350334535482,
|
|
"corr_port": 0.31448821921016257,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14940140433025295,
|
|
"2023 rate shock": -0.09090914167942443,
|
|
"2024 vol spike": -0.04072397188064003,
|
|
"2025 tariff crash": -0.15724976881114816,
|
|
"2026 Q1 drawdown": -0.031186440677966165
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15724976881114816,
|
|
"max_ret": -0.031186440677966165,
|
|
"all_pos": false
|
|
},
|
|
"rsqax": {
|
|
"name": "Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7792484576516301,
|
|
"corr_port": 0.38271519676565846,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19705500076836358,
|
|
"2023 rate shock": -0.09911539019883109,
|
|
"2024 vol spike": -0.052031841874096374,
|
|
"2025 tariff crash": -0.1345436153601991,
|
|
"2026 Q1 drawdown": -0.030962345455592843
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19705500076836358,
|
|
"max_ret": -0.030962345455592843,
|
|
"all_pos": false
|
|
},
|
|
"rtdyx": {
|
|
"name": "Multifactor U.S. Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.052677299378899534,
|
|
"corr_port": 0.30100765120358636,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22774016195518842,
|
|
"2023 rate shock": -0.0987055602893454,
|
|
"2024 vol spike": -0.07413241310680896,
|
|
"2025 tariff crash": -0.18850681936605007,
|
|
"2026 Q1 drawdown": -0.07853397800762996
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22774016195518842,
|
|
"max_ret": -0.07413241310680896,
|
|
"all_pos": false
|
|
},
|
|
"rthax": {
|
|
"name": "Tax-Exempt High Yield Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3600991735872957,
|
|
"corr_port": 0.06617165726326281,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1569979914687818,
|
|
"2023 rate shock": -0.06791034105014326,
|
|
"2024 vol spike": 0.01587264779374231,
|
|
"2025 tariff crash": -0.03291704257929651,
|
|
"2026 Q1 drawdown": -0.01173155382497848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1569979914687818,
|
|
"max_ret": 0.01587264779374231,
|
|
"all_pos": false
|
|
},
|
|
"rtiyx": {
|
|
"name": "Multifactor International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.992571404147704,
|
|
"corr_port": 0.4133232703624738,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26609835093008094,
|
|
"2023 rate shock": -0.10020043276879431,
|
|
"2024 vol spike": -0.06795226963193834,
|
|
"2025 tariff crash": -0.0994423630257456,
|
|
"2026 Q1 drawdown": -0.06607275426874537
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26609835093008094,
|
|
"max_ret": -0.06607275426874537,
|
|
"all_pos": false
|
|
},
|
|
"rtnax": {
|
|
"name": "Tax-Managed International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6177883526985378,
|
|
"corr_port": 0.3973499471047391,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28958149012905354,
|
|
"2023 rate shock": -0.1130898276243063,
|
|
"2024 vol spike": -0.06968929875698082,
|
|
"2025 tariff crash": -0.12046204897973456,
|
|
"2026 Q1 drawdown": -0.09155844155844162
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28958149012905354,
|
|
"max_ret": -0.06968929875698082,
|
|
"all_pos": false
|
|
},
|
|
"rtrix": {
|
|
"name": "Royce Small-Cap Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.681302264208844,
|
|
"corr_port": 0.3573449035149145,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2266125453478851,
|
|
"2023 rate shock": -0.12741433275806613,
|
|
"2024 vol spike": -0.0945082558542305,
|
|
"2025 tariff crash": -0.21399125189314638,
|
|
"2026 Q1 drawdown": -0.0768005332813132
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2266125453478851,
|
|
"max_ret": -0.0768005332813132,
|
|
"all_pos": false
|
|
},
|
|
"rtssx": {
|
|
"name": "Tax-Managed U.S. Mid & Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1984252307460443,
|
|
"corr_port": 0.28233009025913663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2491000327566466,
|
|
"2023 rate shock": -0.15698298562768054,
|
|
"2024 vol spike": -0.07022129956680323,
|
|
"2025 tariff crash": -0.2081230598427115,
|
|
"2026 Q1 drawdown": -0.07152176086956519
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2491000327566466,
|
|
"max_ret": -0.07022129956680323,
|
|
"all_pos": false
|
|
},
|
|
"rtxax": {
|
|
"name": "Tax-Managed Real Assets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7862016401733928,
|
|
"corr_port": 0.34985879855115104,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20858008658787963,
|
|
"2023 rate shock": -0.12571891311847028,
|
|
"2024 vol spike": -0.04625201998667561,
|
|
"2025 tariff crash": -0.14422306774705618,
|
|
"2026 Q1 drawdown": 0.030534378229820414
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.20858008658787963,
|
|
"max_ret": 0.030534378229820414,
|
|
"all_pos": false
|
|
},
|
|
"rvpix": {
|
|
"name": "Royce Smaller-Companies Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.35937910018731867,
|
|
"corr_port": 0.14144256632363947,
|
|
"rets": {
|
|
"2022 bear mkt": -0.339100529590026,
|
|
"2023 rate shock": -0.22028977773778613,
|
|
"2024 vol spike": -0.08421056131297167,
|
|
"2025 tariff crash": -0.2209025913861905,
|
|
"2026 Q1 drawdown": -0.11901983663943994
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.339100529590026,
|
|
"max_ret": -0.08421056131297167,
|
|
"all_pos": false
|
|
},
|
|
"ryaix": {
|
|
"name": "Inverse NASDAQ-100 Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.6134896074534435,
|
|
"corr_port": -0.14345208469683174,
|
|
"rets": {
|
|
"2022 bear mkt": 0.3894065892198777,
|
|
"2023 rate shock": 0.12322516770692604,
|
|
"2024 vol spike": 0.10712021952052075,
|
|
"2025 tariff crash": 0.28191721815381854,
|
|
"2026 Q1 drawdown": 0.13082018020793207
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.10712021952052075,
|
|
"max_ret": 0.3894065892198777,
|
|
"all_pos": true
|
|
},
|
|
"ryavx": {
|
|
"name": "S&P MidCap 400 Pure Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6099437667122483,
|
|
"corr_port": 0.35832085443134803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1596650590341988,
|
|
"2023 rate shock": -0.15992548875234225,
|
|
"2024 vol spike": -0.06793003269323195,
|
|
"2025 tariff crash": -0.20940802418018678,
|
|
"2026 Q1 drawdown": -0.04874142338670506
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20940802418018678,
|
|
"max_ret": -0.04874142338670506,
|
|
"all_pos": false
|
|
},
|
|
"ryawx": {
|
|
"name": "S&P 500 Pure Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2201145109335263,
|
|
"corr_port": 0.2153057360716118,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30765480408455625,
|
|
"2023 rate shock": -0.08419435447634116,
|
|
"2024 vol spike": -0.10023891191528711,
|
|
"2025 tariff crash": -0.2329097554174563,
|
|
"2026 Q1 drawdown": -0.10459493094312422
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30765480408455625,
|
|
"max_ret": -0.08419435447634116,
|
|
"all_pos": false
|
|
},
|
|
"ryazx": {
|
|
"name": "S&P SmallCap 600 Pure Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.504530456102741,
|
|
"corr_port": 0.32527134668447655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2011582628769104,
|
|
"2023 rate shock": -0.16269387589850814,
|
|
"2024 vol spike": -0.07594128305310721,
|
|
"2025 tariff crash": -0.2313510820856043,
|
|
"2026 Q1 drawdown": -0.04896790092012271
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2313510820856043,
|
|
"max_ret": -0.04896790092012271,
|
|
"all_pos": false
|
|
},
|
|
"rybhx": {
|
|
"name": "S&P MidCap 400 Pure Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7432392408393506,
|
|
"corr_port": 0.24623365890269988,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24632165626798708,
|
|
"2023 rate shock": -0.09618988409966667,
|
|
"2024 vol spike": -0.09010088052771359,
|
|
"2025 tariff crash": -0.19741885460778386,
|
|
"2026 Q1 drawdown": -0.057450945730952774
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24632165626798708,
|
|
"max_ret": -0.057450945730952774,
|
|
"all_pos": false
|
|
},
|
|
"rybix": {
|
|
"name": "Basic Materials Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9325810724262884,
|
|
"corr_port": 0.3154888059401679,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19718477105567744,
|
|
"2023 rate shock": -0.12834366774544403,
|
|
"2024 vol spike": -0.06370305282239108,
|
|
"2025 tariff crash": -0.1636548950474851,
|
|
"2026 Q1 drawdown": -0.09681747507668714
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19718477105567744,
|
|
"max_ret": -0.06370305282239108,
|
|
"all_pos": false
|
|
},
|
|
"rycix": {
|
|
"name": "Consumer Products Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4888140805589718,
|
|
"corr_port": 0.1674674490504737,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10315791814167785,
|
|
"2023 rate shock": -0.12722249422074772,
|
|
"2024 vol spike": -0.002293642191812939,
|
|
"2025 tariff crash": -0.6798417274987765,
|
|
"2026 Q1 drawdown": -0.03340392090805233
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.6798417274987765,
|
|
"max_ret": -0.002293642191812939,
|
|
"all_pos": false
|
|
},
|
|
"rydhx": {
|
|
"name": "Dow Jones Industrial Average Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9000054436345931,
|
|
"corr_port": 0.33960340278126827,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2081284485379049,
|
|
"2023 rate shock": -0.08915500263167742,
|
|
"2024 vol spike": -0.060816986931421124,
|
|
"2025 tariff crash": -0.14829324376751307,
|
|
"2026 Q1 drawdown": -0.07829917101632677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2081284485379049,
|
|
"max_ret": -0.060816986931421124,
|
|
"all_pos": false
|
|
},
|
|
"rydvx": {
|
|
"name": "Royce Smid-Cap Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6667601863173457,
|
|
"corr_port": 0.35390008751342444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24421894812887945,
|
|
"2023 rate shock": -0.11497652361664501,
|
|
"2024 vol spike": -0.06293691009168967,
|
|
"2025 tariff crash": -0.20017831309087242,
|
|
"2026 Q1 drawdown": -0.05849979668706007
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24421894812887945,
|
|
"max_ret": -0.05849979668706007,
|
|
"all_pos": false
|
|
},
|
|
"ryeix": {
|
|
"name": "Energy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.41296859633852423,
|
|
"corr_port": 0.3368011644876891,
|
|
"rets": {
|
|
"2022 bear mkt": 0.3300115297967774,
|
|
"2023 rate shock": -0.02648795812258642,
|
|
"2024 vol spike": -0.09137696053351374,
|
|
"2025 tariff crash": -0.21277490433325463,
|
|
"2026 Q1 drawdown": 0.2073187217537944
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.21277490433325463,
|
|
"max_ret": 0.3300115297967774,
|
|
"all_pos": false
|
|
},
|
|
"ryeux": {
|
|
"name": "Europe 1.25x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.37486517444399464,
|
|
"corr_port": 0.3521791290910052,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3163518916042073,
|
|
"2023 rate shock": -0.1252513519708296,
|
|
"2024 vol spike": -0.06483126820730778,
|
|
"2025 tariff crash": -0.14078410440924793,
|
|
"2026 Q1 drawdown": -0.11422191809175908
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3163518916042073,
|
|
"max_ret": -0.06483126820730778,
|
|
"all_pos": false
|
|
},
|
|
"ryfix": {
|
|
"name": "Financial Services Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.44859349894505623,
|
|
"corr_port": 0.3726882686308296,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2623968909646124,
|
|
"2023 rate shock": -0.13068417603802152,
|
|
"2024 vol spike": -0.06065740074626891,
|
|
"2025 tariff crash": -0.16265305936746888,
|
|
"2026 Q1 drawdown": -0.101859728122345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2623968909646124,
|
|
"max_ret": -0.06065740074626891,
|
|
"all_pos": false
|
|
},
|
|
"rygbx": {
|
|
"name": "Government Long Bond 1.2x Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.435423990998694,
|
|
"corr_port": -0.17097221281463235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37355067619917126,
|
|
"2023 rate shock": -0.16947281687697746,
|
|
"2024 vol spike": 0.06436314110465191,
|
|
"2025 tariff crash": -0.4963074857830444,
|
|
"2026 Q1 drawdown": -0.0077446841229490415
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.4963074857830444,
|
|
"max_ret": 0.06436314110465191,
|
|
"all_pos": false
|
|
},
|
|
"ryhdx": {
|
|
"name": "High Yield Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6497212136714676,
|
|
"corr_port": 0.18512632316184438,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16487652542336007,
|
|
"2023 rate shock": -0.034533180628453675,
|
|
"2024 vol spike": -0.004977139921172324,
|
|
"2025 tariff crash": -0.041814729122952476,
|
|
"2026 Q1 drawdown": -0.034669523038078576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16487652542336007,
|
|
"max_ret": -0.004977139921172324,
|
|
"all_pos": false
|
|
},
|
|
"ryhix": {
|
|
"name": "Health Care Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.17939710291982044,
|
|
"corr_port": 0.2195172773444874,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18853973130024637,
|
|
"2023 rate shock": -0.10297484010417668,
|
|
"2024 vol spike": -0.02180830851443838,
|
|
"2025 tariff crash": -0.130404801503619,
|
|
"2026 Q1 drawdown": -0.08066610380142658
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18853973130024637,
|
|
"max_ret": -0.02180830851443838,
|
|
"all_pos": false
|
|
},
|
|
"ryhrx": {
|
|
"name": "Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.374524963874497,
|
|
"corr_port": 0.2599069449746933,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32734173123905974,
|
|
"2023 rate shock": -0.16364128792767907,
|
|
"2024 vol spike": -0.020743668253737746,
|
|
"2025 tariff crash": -0.13473782779847499,
|
|
"2026 Q1 drawdown": -0.043920596623339914
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32734173123905974,
|
|
"max_ret": -0.020743668253737746,
|
|
"all_pos": false
|
|
},
|
|
"ryidx": {
|
|
"name": "Inverse Dow 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.220122370021935,
|
|
"corr_port": -0.3568752990730586,
|
|
"rets": {
|
|
"2022 bear mkt": 0.4238858300403854,
|
|
"2023 rate shock": 0.22947429623101057,
|
|
"2024 vol spike": 0.13495929473702373,
|
|
"2025 tariff crash": 0.3620702166008125,
|
|
"2026 Q1 drawdown": 0.167892466726562
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.13495929473702373,
|
|
"max_ret": 0.4238858300403854,
|
|
"all_pos": true
|
|
},
|
|
"ryiex": {
|
|
"name": "Emerging Markets Bond Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.140128466035155,
|
|
"corr_port": 0.14761560540438484,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25096695499101074,
|
|
"2023 rate shock": -0.05225492124145359,
|
|
"2024 vol spike": 0.0034019395720730206,
|
|
"2025 tariff crash": -0.02776778094661514,
|
|
"2026 Q1 drawdown": -0.026032901813354048
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.25096695499101074,
|
|
"max_ret": 0.0034019395720730206,
|
|
"all_pos": false
|
|
},
|
|
"ryiix": {
|
|
"name": "Internet Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8019264242630315,
|
|
"corr_port": 0.05676830455644713,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4359493209789733,
|
|
"2023 rate shock": -0.14509091847744193,
|
|
"2024 vol spike": -0.08376962235405272,
|
|
"2025 tariff crash": -0.22743520333810374,
|
|
"2026 Q1 drawdown": -0.13305131224392175
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4359493209789733,
|
|
"max_ret": -0.08376962235405272,
|
|
"all_pos": false
|
|
},
|
|
"ryilx": {
|
|
"name": "Inverse High Yield Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1612234689552092,
|
|
"corr_port": -0.15955843994481447,
|
|
"rets": {
|
|
"2022 bear mkt": 0.14633107623013908,
|
|
"2023 rate shock": 0.05335456898267976,
|
|
"2024 vol spike": 0.009107824278455245,
|
|
"2025 tariff crash": 0.04621761658031076,
|
|
"2026 Q1 drawdown": 0.0379420348149182
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.009107824278455245,
|
|
"max_ret": 0.14633107623013908,
|
|
"all_pos": true
|
|
},
|
|
"ryipx": {
|
|
"name": "Royce International Premier Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.379627638081399,
|
|
"corr_port": 0.30479252192677375,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36141170519311816,
|
|
"2023 rate shock": -0.14358324639357156,
|
|
"2024 vol spike": -0.06894369939012213,
|
|
"2025 tariff crash": -0.10576275495298415,
|
|
"2026 Q1 drawdown": -0.11836212412028158
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36141170519311816,
|
|
"max_ret": -0.06894369939012213,
|
|
"all_pos": false
|
|
},
|
|
"ryiux": {
|
|
"name": "Inverse Russell 2000 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.9274570625676057,
|
|
"corr_port": -0.2554876338696516,
|
|
"rets": {
|
|
"2022 bear mkt": 0.48322164958460334,
|
|
"2023 rate shock": 0.49165731572144766,
|
|
"2024 vol spike": 0.19650656308583203,
|
|
"2025 tariff crash": 0.6007974108430003,
|
|
"2026 Q1 drawdown": 0.17736131314385006
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.17736131314385006,
|
|
"max_ret": 0.6007974108430003,
|
|
"all_pos": true
|
|
},
|
|
"ryjsx": {
|
|
"name": "Japan 2x Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8452500499750751,
|
|
"corr_port": 0.2875627431646096,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5164859779234956,
|
|
"2023 rate shock": -0.2314400314534244,
|
|
"2024 vol spike": -0.200874970603514,
|
|
"2025 tariff crash": -0.2680245271663898,
|
|
"2026 Q1 drawdown": -0.17814029580787283
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5164859779234956,
|
|
"max_ret": -0.17814029580787283,
|
|
"all_pos": false
|
|
},
|
|
"ryjux": {
|
|
"name": "Inverse Government Long Bond Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 4.541176470517858,
|
|
"corr_port": 0.20208840195214578,
|
|
"rets": {
|
|
"2022 bear mkt": 0.3911649405335196,
|
|
"2023 rate shock": 0.1700892566890846,
|
|
"2024 vol spike": -0.04808865100609738,
|
|
"2025 tariff crash": -0.004115838209893918,
|
|
"2026 Q1 drawdown": 0.00592444487185384
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.04808865100609738,
|
|
"max_ret": 0.3911649405335196,
|
|
"all_pos": false
|
|
},
|
|
"rykix": {
|
|
"name": "Banking Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.46965001790839084,
|
|
"corr_port": 0.38267717342243734,
|
|
"rets": {
|
|
"2022 bear mkt": -0.242669400227428,
|
|
"2023 rate shock": -0.16824583654762204,
|
|
"2024 vol spike": -0.08669426101287725,
|
|
"2025 tariff crash": -0.20645701225144242,
|
|
"2026 Q1 drawdown": -0.10562320594233976
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.242669400227428,
|
|
"max_ret": -0.08669426101287725,
|
|
"all_pos": false
|
|
},
|
|
"ryldx": {
|
|
"name": "Dow 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.567283404372811,
|
|
"corr_port": 0.35751826009469634,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3850976818358254,
|
|
"2023 rate shock": -0.1813070625846087,
|
|
"2024 vol spike": -0.1222647679374389,
|
|
"2025 tariff crash": -0.28378602561767363,
|
|
"2026 Q1 drawdown": -0.15656024248705935
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3850976818358254,
|
|
"max_ret": -0.1222647679374389,
|
|
"all_pos": false
|
|
},
|
|
"rylix": {
|
|
"name": "Leisure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5119449542450152,
|
|
"corr_port": 0.23045275092025286,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32109784339822245,
|
|
"2023 rate shock": -0.15207022340508392,
|
|
"2024 vol spike": -0.05920174323584626,
|
|
"2025 tariff crash": -0.18175359634223187,
|
|
"2026 Q1 drawdown": -0.08828537841181106
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32109784339822245,
|
|
"max_ret": -0.05920174323584626,
|
|
"all_pos": false
|
|
},
|
|
"rymbx": {
|
|
"name": "Commodities Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.22402059234708635,
|
|
"corr_port": 0.2291732820433703,
|
|
"rets": {
|
|
"2022 bear mkt": 0.24867195820795351,
|
|
"2023 rate shock": 0.021656017989738485,
|
|
"2024 vol spike": -0.06163938297748661,
|
|
"2025 tariff crash": -0.12652423305498206,
|
|
"2026 Q1 drawdown": 0.24608537168430344
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.12652423305498206,
|
|
"max_ret": 0.24867195820795351,
|
|
"all_pos": false
|
|
},
|
|
"rymdx": {
|
|
"name": "Mid-Cap 1.5x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5694091553857659,
|
|
"corr_port": 0.32280134827174517,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3195756012997921,
|
|
"2023 rate shock": -0.21628541787886935,
|
|
"2024 vol spike": -0.09996207611198049,
|
|
"2025 tariff crash": -0.28100034263975093,
|
|
"2026 Q1 drawdown": -0.08506475697973692
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3195756012997921,
|
|
"max_ret": -0.08506475697973692,
|
|
"all_pos": false
|
|
},
|
|
"rymfx": {
|
|
"name": "Guggenheim Managed Futures Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5003121906583069,
|
|
"corr_port": 0.23525317740277807,
|
|
"rets": {
|
|
"2022 bear mkt": 0.1936000873622532,
|
|
"2023 rate shock": -0.0027957199700955337,
|
|
"2024 vol spike": -0.0970215760698846,
|
|
"2025 tariff crash": -0.10166072680400362,
|
|
"2026 Q1 drawdown": -0.009367681498829161
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10166072680400362,
|
|
"max_ret": 0.1936000873622532,
|
|
"all_pos": false
|
|
},
|
|
"rymhx": {
|
|
"name": "Inverse Mid-Cap Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.2706926454714722,
|
|
"corr_port": -0.2905723379884204,
|
|
"rets": {
|
|
"2022 bear mkt": 0.1919683129614307,
|
|
"2023 rate shock": 0.18449377150895074,
|
|
"2024 vol spike": 0.07212235644433695,
|
|
"2025 tariff crash": 0.22941184888357058,
|
|
"2026 Q1 drawdown": 0.05719990023279009
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.05719990023279009,
|
|
"max_ret": 0.22941184888357058,
|
|
"all_pos": true
|
|
},
|
|
"rymix": {
|
|
"name": "Telecommunications Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.27195084178361273,
|
|
"corr_port": 0.2732146889858176,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31801688250019267,
|
|
"2023 rate shock": -0.10011480746673751,
|
|
"2024 vol spike": -0.030362607348500492,
|
|
"2025 tariff crash": -0.15681608127500501,
|
|
"2026 Q1 drawdown": 0.061207436031510465
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.31801688250019267,
|
|
"max_ret": 0.061207436031510465,
|
|
"all_pos": false
|
|
},
|
|
"rymkx": {
|
|
"name": "Russell 2000 1.5x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.010849589366597,
|
|
"corr_port": 0.255169331373576,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37836173421949437,
|
|
"2023 rate shock": -0.26176877348779226,
|
|
"2024 vol spike": -0.13501025503486686,
|
|
"2025 tariff crash": -0.3181818101708873,
|
|
"2026 Q1 drawdown": -0.13828865278849478
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37836173421949437,
|
|
"max_ret": -0.13501025503486686,
|
|
"all_pos": false
|
|
},
|
|
"rynvx": {
|
|
"name": "Nova Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -4.306225981925257,
|
|
"corr_port": 0.28498562811044514,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3722492320572005,
|
|
"2023 rate shock": -0.15272557040260515,
|
|
"2024 vol spike": -0.10814497325184835,
|
|
"2025 tariff crash": -0.2702528918205055,
|
|
"2026 Q1 drawdown": -0.13525694644556652
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3722492320572005,
|
|
"max_ret": -0.10814497325184835,
|
|
"all_pos": false
|
|
},
|
|
"ryocx": {
|
|
"name": "NASDAQ-100 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3634706060062602,
|
|
"corr_port": 0.14597551062388175,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3407850693601615,
|
|
"2023 rate shock": -0.09888286173368299,
|
|
"2024 vol spike": -0.0965260142581923,
|
|
"2025 tariff crash": -0.2260678638868271,
|
|
"2026 Q1 drawdown": -0.11373277803164994
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3407850693601615,
|
|
"max_ret": -0.0965260142581923,
|
|
"all_pos": false
|
|
},
|
|
"ryoix": {
|
|
"name": "Biotechnology Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3129834978229511,
|
|
"corr_port": 0.10528910999963037,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18469827873487332,
|
|
"2023 rate shock": -0.10302767735789431,
|
|
"2024 vol spike": -0.043445926644720356,
|
|
"2025 tariff crash": -0.1971403794019967,
|
|
"2026 Q1 drawdown": -0.0568093010845474
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1971403794019967,
|
|
"max_ret": -0.043445926644720356,
|
|
"all_pos": false
|
|
},
|
|
"ryotx": {
|
|
"name": "Royce Micro-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6644401556583814,
|
|
"corr_port": 0.24814508679151426,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3197631989276287,
|
|
"2023 rate shock": -0.16315794229535452,
|
|
"2024 vol spike": -0.11093119631997184,
|
|
"2025 tariff crash": -0.2502249677058741,
|
|
"2026 Q1 drawdown": -0.03934426229508181
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3197631989276287,
|
|
"max_ret": -0.03934426229508181,
|
|
"all_pos": false
|
|
},
|
|
"rypix": {
|
|
"name": "Transportation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.489435915336236,
|
|
"corr_port": 0.25272060030799515,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3553826391583048,
|
|
"2023 rate shock": -0.22473633715446373,
|
|
"2024 vol spike": -0.126307047329835,
|
|
"2025 tariff crash": -0.24757441400100333,
|
|
"2026 Q1 drawdown": -0.08990234984273715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3553826391583048,
|
|
"max_ret": -0.08990234984273715,
|
|
"all_pos": false
|
|
},
|
|
"rypmx": {
|
|
"name": "Precious Metals Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8511020811066404,
|
|
"corr_port": 0.05781558178393666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24277892319273364,
|
|
"2023 rate shock": -0.07054433141890648,
|
|
"2024 vol spike": -0.10145608835925457,
|
|
"2025 tariff crash": -0.05291826741550032,
|
|
"2026 Q1 drawdown": -0.20758127371176427
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24277892319273364,
|
|
"max_ret": -0.05291826741550032,
|
|
"all_pos": false
|
|
},
|
|
"rypnx": {
|
|
"name": "Royce Small-Cap Opportunity Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.7794189674178307,
|
|
"corr_port": 0.27796828260420947,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2691859802246831,
|
|
"2023 rate shock": -0.16880619333501212,
|
|
"2024 vol spike": -0.10900471225673458,
|
|
"2025 tariff crash": -0.26181353767560667
|
|
},
|
|
"n_avail": 4,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2691859802246831,
|
|
"max_ret": -0.10900471225673458,
|
|
"all_pos": false
|
|
},
|
|
"ryrix": {
|
|
"name": "Retailing Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1592339731246428,
|
|
"corr_port": 0.1822096063892944,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29204200923662815,
|
|
"2023 rate shock": -0.14790137400787806,
|
|
"2024 vol spike": -0.0704802692780504,
|
|
"2025 tariff crash": -0.1741602976261446,
|
|
"2026 Q1 drawdown": -0.10409102778111234
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29204200923662815,
|
|
"max_ret": -0.0704802692780504,
|
|
"all_pos": false
|
|
},
|
|
"ryrrx": {
|
|
"name": "Russell 2000 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5051093883632731,
|
|
"corr_port": 0.25681968779650605,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2576057388003826,
|
|
"2023 rate shock": -0.1791871703492992,
|
|
"2024 vol spike": -0.09025992914088965,
|
|
"2025 tariff crash": -0.22158989931406892,
|
|
"2026 Q1 drawdown": -0.09258968095134013
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2576057388003826,
|
|
"max_ret": -0.09025992914088965,
|
|
"all_pos": false
|
|
},
|
|
"ryrux": {
|
|
"name": "Russell 2000 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7941569420818566,
|
|
"corr_port": 0.2562007727194706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4840685114628862,
|
|
"2023 rate shock": -0.3369544030826105,
|
|
"2024 vol spike": -0.17646738162512066,
|
|
"2025 tariff crash": -0.4053389438456385,
|
|
"2026 Q1 drawdown": -0.18447703306206142
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4840685114628862,
|
|
"max_ret": -0.17646738162512066,
|
|
"all_pos": false
|
|
},
|
|
"rysbx": {
|
|
"name": "Strengthening Dollar 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4477537805281133,
|
|
"corr_port": -0.0667983806177908,
|
|
"rets": {
|
|
"2022 bear mkt": 0.3639764436020758,
|
|
"2023 rate shock": 0.10224950391337573,
|
|
"2024 vol spike": -0.017888497648731017,
|
|
"2025 tariff crash": -0.05662385285115035,
|
|
"2026 Q1 drawdown": 0.08977980256390361
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05662385285115035,
|
|
"max_ret": 0.3639764436020758,
|
|
"all_pos": false
|
|
},
|
|
"ryshx": {
|
|
"name": "Inverse Russell 2000 Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9811003548128563,
|
|
"corr_port": -0.19579499771322045,
|
|
"rets": {
|
|
"2022 bear mkt": 0.24557014369282482,
|
|
"2023 rate shock": 0.23106122219043446,
|
|
"2024 vol spike": 0.09886658061250508,
|
|
"2025 tariff crash": -0.2383307157426262,
|
|
"2026 Q1 drawdown": -0.6345050694662973
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.6345050694662973,
|
|
"max_ret": 0.24557014369282482,
|
|
"all_pos": false
|
|
},
|
|
"rysix": {
|
|
"name": "Electronics Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3995724282536766,
|
|
"corr_port": 0.12777787799977566,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4198556594064258,
|
|
"2023 rate shock": -0.18556702207007547,
|
|
"2024 vol spike": -0.17037939071170893,
|
|
"2025 tariff crash": -0.3327353569286392,
|
|
"2026 Q1 drawdown": -0.1236738245451654
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4198556594064258,
|
|
"max_ret": -0.1236738245451654,
|
|
"all_pos": false
|
|
},
|
|
"rysox": {
|
|
"name": "S&P 500 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4945028543380454,
|
|
"corr_port": 0.2852270368846363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25396617411219047,
|
|
"2023 rate shock": -0.10080597363573385,
|
|
"2024 vol spike": -0.07256187081590137,
|
|
"2025 tariff crash": -0.18586073853340912,
|
|
"2026 Q1 drawdown": -0.08913401347261551
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25396617411219047,
|
|
"max_ret": -0.07256187081590137,
|
|
"all_pos": false
|
|
},
|
|
"rytix": {
|
|
"name": "Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09465059347843452,
|
|
"corr_port": 0.12741626128723035,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3859631104344231,
|
|
"2023 rate shock": -0.13127115599468242,
|
|
"2024 vol spike": -0.11915350266647617,
|
|
"2025 tariff crash": -0.27139864559339255,
|
|
"2026 Q1 drawdown": -0.13952622433924788
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3859631104344231,
|
|
"max_ret": -0.11915350266647617,
|
|
"all_pos": false
|
|
},
|
|
"rytmx": {
|
|
"name": "Inverse S&P 500 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 5.055520599209906,
|
|
"corr_port": -0.284245892017383,
|
|
"rets": {
|
|
"2022 bear mkt": 0.5478372746054212,
|
|
"2023 rate shock": 0.2569036525109294,
|
|
"2024 vol spike": 0.16015936844152434,
|
|
"2025 tariff crash": 0.47828689986973294,
|
|
"2026 Q1 drawdown": 0.20293063051869686
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.16015936844152434,
|
|
"max_ret": 0.5478372746054212,
|
|
"all_pos": true
|
|
},
|
|
"ryttx": {
|
|
"name": "S&P 500 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -6.0174543534761025,
|
|
"corr_port": 0.28470964445484487,
|
|
"rets": {
|
|
"2022 bear mkt": -0.46941512822509124,
|
|
"2023 rate shock": -0.2036564193202023,
|
|
"2024 vol spike": -0.14400282111519136,
|
|
"2025 tariff crash": -0.3480048247447036,
|
|
"2026 Q1 drawdown": -0.17879648614052257
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.46941512822509124,
|
|
"max_ret": -0.14400282111519136,
|
|
"all_pos": false
|
|
},
|
|
"ryuix": {
|
|
"name": "Utilities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6491379747971484,
|
|
"corr_port": 0.2455620082943161,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10679612957572204,
|
|
"2023 rate shock": -0.11353624165520226,
|
|
"2024 vol spike": 0.021304923362409856,
|
|
"2025 tariff crash": -0.07105483883439911,
|
|
"2026 Q1 drawdown": 0.046080224181940466
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11353624165520226,
|
|
"max_ret": 0.046080224181940466,
|
|
"all_pos": false
|
|
},
|
|
"ryurx": {
|
|
"name": "Inverse S&P 500 Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 6.117834130171873,
|
|
"corr_port": -0.2826423000308707,
|
|
"rets": {
|
|
"2022 bear mkt": 0.2708630499996765,
|
|
"2023 rate shock": 0.1294860942044811,
|
|
"2024 vol spike": 0.08055898882559998,
|
|
"2025 tariff crash": 0.2240707181383994,
|
|
"2026 Q1 drawdown": 0.10244886958723409
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.08055898882559998,
|
|
"max_ret": 0.2708630499996765,
|
|
"all_pos": true
|
|
},
|
|
"ryvfx": {
|
|
"name": "Royce Small-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.5389077453284092,
|
|
"corr_port": 0.32764867717673873,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1899334375750098,
|
|
"2023 rate shock": -0.09072781216326331,
|
|
"2024 vol spike": -0.07472323992241237,
|
|
"2025 tariff crash": -0.20162923108431252,
|
|
"2026 Q1 drawdown": -0.02832031250000011
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20162923108431252,
|
|
"max_ret": -0.02832031250000011,
|
|
"all_pos": false
|
|
},
|
|
"ryvix": {
|
|
"name": "Energy Services Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6185327046293816,
|
|
"corr_port": 0.32025058229380876,
|
|
"rets": {
|
|
"2022 bear mkt": 0.034264940972855706,
|
|
"2023 rate shock": -0.047110246366605324,
|
|
"2024 vol spike": -0.12178714404455071,
|
|
"2025 tariff crash": -0.3138480031160521,
|
|
"2026 Q1 drawdown": 0.15054298770426233
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.3138480031160521,
|
|
"max_ret": 0.15054298770426233,
|
|
"all_pos": false
|
|
},
|
|
"ryvlx": {
|
|
"name": "NASDAQ-100(R) 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.568793243115005,
|
|
"corr_port": 0.14647623538912158,
|
|
"rets": {
|
|
"2022 bear mkt": -0.6024835553105894,
|
|
"2023 rate shock": -0.20446013306013666,
|
|
"2024 vol spike": -0.19042686257091657,
|
|
"2025 tariff crash": -0.41353683763660265,
|
|
"2026 Q1 drawdown": -0.2239372803806382
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.6024835553105894,
|
|
"max_ret": -0.19042686257091657,
|
|
"all_pos": false
|
|
},
|
|
"ryvtx": {
|
|
"name": "Inverse NASDAQ-100(R) 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 5.0787653149344925,
|
|
"corr_port": -0.14654220268983334,
|
|
"rets": {
|
|
"2022 bear mkt": 0.7806934261947154,
|
|
"2023 rate shock": 0.2397875908508489,
|
|
"2024 vol spike": 0.21456180768844546,
|
|
"2025 tariff crash": 0.6154894922138954,
|
|
"2026 Q1 drawdown": 0.26586316154059286
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.21456180768844546,
|
|
"max_ret": 0.7806934261947154,
|
|
"all_pos": true
|
|
},
|
|
"rywax": {
|
|
"name": "S&P SmallCap 600 Pure Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6595793701177869,
|
|
"corr_port": 0.25610757581323246,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32988872957171356,
|
|
"2023 rate shock": -0.13457306208130415,
|
|
"2024 vol spike": -0.06427589551206647,
|
|
"2025 tariff crash": -0.19281738044939511,
|
|
"2026 Q1 drawdown": -0.05570700075456558
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32988872957171356,
|
|
"max_ret": -0.05570700075456558,
|
|
"all_pos": false
|
|
},
|
|
"rywbx": {
|
|
"name": "Weakening Dollar 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.083554019560076,
|
|
"corr_port": 0.06903658353343442,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3032534341061396,
|
|
"2023 rate shock": -0.08001627280081858,
|
|
"2024 vol spike": 0.02007671239861497,
|
|
"2025 tariff crash": 0.06273120666726584,
|
|
"2026 Q1 drawdown": -0.08660285536699541
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.3032534341061396,
|
|
"max_ret": 0.06273120666726584,
|
|
"all_pos": false
|
|
},
|
|
"rywtx": {
|
|
"name": "Emerging Markets 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7834801592052778,
|
|
"corr_port": 0.20977572793784346,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5034438714237642,
|
|
"2023 rate shock": -0.24665100919922156,
|
|
"2024 vol spike": -0.1443565012692284,
|
|
"2025 tariff crash": -0.3392882449968032,
|
|
"2026 Q1 drawdown": -0.27840710466204366
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.5034438714237642,
|
|
"max_ret": -0.1443565012692284,
|
|
"all_pos": false
|
|
},
|
|
"rywwx": {
|
|
"name": "Inverse Emerging Markets 2x Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.670681383712185,
|
|
"corr_port": -0.21040111796011587,
|
|
"rets": {
|
|
"2022 bear mkt": 0.4036817923725837,
|
|
"2023 rate shock": 0.2954349184139111,
|
|
"2024 vol spike": 0.158221301128749,
|
|
"2025 tariff crash": 0.4204643450485128,
|
|
"2026 Q1 drawdown": 0.30057108054446835
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.158221301128749,
|
|
"max_ret": 0.4204643450485128,
|
|
"all_pos": true
|
|
},
|
|
"ryzax": {
|
|
"name": "S&P 500 Pure Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7171323274217006,
|
|
"corr_port": 0.4226849604598691,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1418816256765707,
|
|
"2023 rate shock": -0.15429236110210587,
|
|
"2024 vol spike": -0.07551177348072702,
|
|
"2025 tariff crash": -0.12051969988550948,
|
|
"2026 Q1 drawdown": -0.008557182541456099
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15429236110210587,
|
|
"max_ret": -0.008557182541456099,
|
|
"all_pos": false
|
|
},
|
|
"saaax": {
|
|
"name": "SIMT MULTI-ASSET ACCUMULATION FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8151456022211179,
|
|
"corr_port": 0.23065879638217016,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23466085419506477,
|
|
"2023 rate shock": -0.07549853717179622,
|
|
"2024 vol spike": -0.03778673879907046,
|
|
"2025 tariff crash": -0.09932886647938854,
|
|
"2026 Q1 drawdown": -0.03676470588235292
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23466085419506477,
|
|
"max_ret": -0.03676470588235292,
|
|
"all_pos": false
|
|
},
|
|
"safex": {
|
|
"name": "Ultra Short Government Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.73973011918959,
|
|
"corr_port": 0.03968032167838505,
|
|
"rets": {
|
|
"2022 bear mkt": 0.004521528478539816,
|
|
"2023 rate shock": 0.008267392365563397,
|
|
"2024 vol spike": 0.005126037229833402,
|
|
"2025 tariff crash": 0.00633615856473857,
|
|
"2026 Q1 drawdown": 0.005432953168570842
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.004521528478539816,
|
|
"max_ret": 0.008267392365563397,
|
|
"all_pos": true
|
|
},
|
|
"sagwx": {
|
|
"name": "Touchstone Small Company Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8127693577500559,
|
|
"corr_port": 0.28916407505635383,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22619031819885094,
|
|
"2023 rate shock": -0.12382742916265932,
|
|
"2024 vol spike": -0.05048860794561505,
|
|
"2025 tariff crash": -0.19512205182143239,
|
|
"2026 Q1 drawdown": -0.0719874804381847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22619031819885094,
|
|
"max_ret": -0.05048860794561505,
|
|
"all_pos": false
|
|
},
|
|
"saoox": {
|
|
"name": "Overlay A Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.651292913416648,
|
|
"corr_port": 0.0798294688842596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25313945803040316,
|
|
"2023 rate shock": -0.12016460905349802,
|
|
"2024 vol spike": -0.05708245243128951,
|
|
"2025 tariff crash": -0.11267605633802824,
|
|
"2026 Q1 drawdown": -0.06964746345657791
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25313945803040316,
|
|
"max_ret": -0.05708245243128951,
|
|
"all_pos": false
|
|
},
|
|
"satox": {
|
|
"name": "Tax-Aware Overlay A Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8647531807057829,
|
|
"corr_port": 0.08066742482730875,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2553582363747703,
|
|
"2023 rate shock": -0.12423312883435578,
|
|
"2024 vol spike": -0.05723684210526314,
|
|
"2025 tariff crash": -0.11102106969205827,
|
|
"2026 Q1 drawdown": -0.06821705426356595
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2553582363747703,
|
|
"max_ret": -0.05723684210526314,
|
|
"all_pos": false
|
|
},
|
|
"sbhex": {
|
|
"name": "Segall Bryant & Hamill Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8855961745795422,
|
|
"corr_port": 0.3107619684458237,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2562162298320344,
|
|
"2023 rate shock": -0.0740305310938999,
|
|
"2024 vol spike": -0.06938780973862235,
|
|
"2025 tariff crash": -0.13080164206923595,
|
|
"2026 Q1 drawdown": -0.08384615384615379
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2562162298320344,
|
|
"max_ret": -0.06938780973862235,
|
|
"all_pos": false
|
|
},
|
|
"sboox": {
|
|
"name": "Overlay B Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.774689719027336,
|
|
"corr_port": 0.035698196085811935,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18017159199237376,
|
|
"2023 rate shock": -0.06531531531531531,
|
|
"2024 vol spike": -0.011615628299894487,
|
|
"2025 tariff crash": -0.038918918918918854,
|
|
"2026 Q1 drawdown": -0.030456852791878042
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18017159199237376,
|
|
"max_ret": -0.011615628299894487,
|
|
"all_pos": false
|
|
},
|
|
"sbstx": {
|
|
"name": "Western Asset Short-Term Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.43042486035346,
|
|
"corr_port": 0.01610282245849208,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06497937122041197,
|
|
"2023 rate shock": -0.0022217672007480704,
|
|
"2024 vol spike": 0.011503905709457252,
|
|
"2025 tariff crash": 0.00953584067059765,
|
|
"2026 Q1 drawdown": -0.0013769432577842577
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06497937122041197,
|
|
"max_ret": 0.011503905709457252,
|
|
"all_pos": false
|
|
},
|
|
"sbtox": {
|
|
"name": "Tax-Aware Overlay B Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.9196109441228133,
|
|
"corr_port": 0.07341859600501481,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1485232067510548,
|
|
"2023 rate shock": -0.06261859582542684,
|
|
"2024 vol spike": -0.016934046345811193,
|
|
"2025 tariff crash": -0.06000000000000005,
|
|
"2026 Q1 drawdown": -0.029385574354407806
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1485232067510548,
|
|
"max_ret": -0.016934046345811193,
|
|
"all_pos": false
|
|
},
|
|
"scaux": {
|
|
"name": "Invesco Income Advantage U.S. Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.30762742587171643,
|
|
"corr_port": 0.32956669188027876,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19633188348271413,
|
|
"2023 rate shock": -0.06579513959046202,
|
|
"2024 vol spike": -0.05855428692283737,
|
|
"2025 tariff crash": -0.15272383669598266,
|
|
"2026 Q1 drawdown": -0.06897736509491592
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19633188348271413,
|
|
"max_ret": -0.05855428692283737,
|
|
"all_pos": false
|
|
},
|
|
"scavx": {
|
|
"name": "AB Small Cap Value Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.22936172932049853,
|
|
"corr_port": 0.3480601202460406,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23672963628928045,
|
|
"2023 rate shock": -0.1622022928341893,
|
|
"2024 vol spike": -0.07271516707555248,
|
|
"2025 tariff crash": -0.21629021438660145,
|
|
"2026 Q1 drawdown": -0.024487094639311646
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23672963628928045,
|
|
"max_ret": -0.024487094639311646,
|
|
"all_pos": false
|
|
},
|
|
"scfzx": {
|
|
"name": "PGIM Securitized Credit Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 8.424091987702978,
|
|
"corr_port": 0.15922289408319823,
|
|
"rets": {
|
|
"2022 bear mkt": -0.025852114755975264,
|
|
"2023 rate shock": 0.013753910385216894,
|
|
"2024 vol spike": 0.0036249706643260993,
|
|
"2025 tariff crash": -0.004843715661420944,
|
|
"2026 Q1 drawdown": 0.003892554897974021
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.025852114755975264,
|
|
"max_ret": 0.013753910385216894,
|
|
"all_pos": false
|
|
},
|
|
"scjax": {
|
|
"name": "Steward Covered Call Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.0958803490725306,
|
|
"corr_port": 0.1963444479727745,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18199253815164884,
|
|
"2023 rate shock": -0.061209955484696765,
|
|
"2024 vol spike": -0.05970947168307117,
|
|
"2025 tariff crash": -0.14955532078751532,
|
|
"2026 Q1 drawdown": -0.07751559857420576
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18199253815164884,
|
|
"max_ret": -0.05970947168307117,
|
|
"all_pos": false
|
|
},
|
|
"sclax": {
|
|
"name": "SIMT MULTI-ASSET CAPITAL STABILITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 3.49032252606009,
|
|
"corr_port": 0.21106826154893404,
|
|
"rets": {
|
|
"2022 bear mkt": -0.046692526298824144,
|
|
"2023 rate shock": -0.011881450847026187,
|
|
"2024 vol spike": -0.008628969480806048,
|
|
"2025 tariff crash": -0.017241539648070403,
|
|
"2026 Q1 drawdown": -0.014634146341463428
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.046692526298824144,
|
|
"max_ret": -0.008628969480806048,
|
|
"all_pos": false
|
|
},
|
|
"scoax": {
|
|
"name": "SIIT CORE FIXED INCOME",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4820513090004915,
|
|
"corr_port": -0.08720308411450203,
|
|
"rets": {
|
|
"2022 bear mkt": -0.157146563502222,
|
|
"2023 rate shock": -0.0459013271823564,
|
|
"2024 vol spike": 0.023929994914917874,
|
|
"2025 tariff crash": 0.01245921120595117,
|
|
"2026 Q1 drawdown": -0.005543466832454991
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.157146563502222,
|
|
"max_ret": 0.023929994914917874,
|
|
"all_pos": false
|
|
},
|
|
"scorx": {
|
|
"name": "Saturna Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4064221203423685,
|
|
"corr_port": 0.30580988136909126,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16419761991009574,
|
|
"2023 rate shock": -0.06462134135229736,
|
|
"2024 vol spike": -0.02689768680671778,
|
|
"2025 tariff crash": -0.09607493829624236,
|
|
"2026 Q1 drawdown": -0.046305881701658946
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16419761991009574,
|
|
"max_ret": -0.02689768680671778,
|
|
"all_pos": false
|
|
},
|
|
"scpax": {
|
|
"name": "SIIT LARGE CAP DISCIPLINED EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4508826744206362,
|
|
"corr_port": 0.3216860808966367,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22681827120521825,
|
|
"2023 rate shock": -0.08832864413562713,
|
|
"2024 vol spike": -0.07184612407102764,
|
|
"2025 tariff crash": -0.1779196258205913,
|
|
"2026 Q1 drawdown": -0.07894736842105254
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22681827120521825,
|
|
"max_ret": -0.07184612407102764,
|
|
"all_pos": false
|
|
},
|
|
"scrsx": {
|
|
"name": "Small Cap Core Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09689003710915127,
|
|
"corr_port": 0.28972332925909167,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24610382233113448,
|
|
"2023 rate shock": -0.14996177193495597,
|
|
"2024 vol spike": -0.08369721952053555,
|
|
"2025 tariff crash": -0.21846662941916184,
|
|
"2026 Q1 drawdown": -0.0794165316045381
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24610382233113448,
|
|
"max_ret": -0.0794165316045381,
|
|
"all_pos": false
|
|
},
|
|
"scvax": {
|
|
"name": "Allspring Small Company Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6986570234297794,
|
|
"corr_port": 0.34342920998581844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2012728655518775,
|
|
"2023 rate shock": -0.12957508996237332,
|
|
"2024 vol spike": -0.07880649642180071,
|
|
"2025 tariff crash": -0.19695711220295775,
|
|
"2026 Q1 drawdown": -0.023047775947728555
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2012728655518775,
|
|
"max_ret": -0.023047775947728555,
|
|
"all_pos": false
|
|
},
|
|
"scvex": {
|
|
"name": "Hartford Schroders International Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5806817103552901,
|
|
"corr_port": 0.32273250464421954,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3122993618648713,
|
|
"2023 rate shock": -0.11347530783754345,
|
|
"2024 vol spike": -0.05470811751117499,
|
|
"2025 tariff crash": -0.11949367972989366,
|
|
"2026 Q1 drawdown": -0.09599655617735692
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3122993618648713,
|
|
"max_ret": -0.05470811751117499,
|
|
"all_pos": false
|
|
},
|
|
"sdgax": {
|
|
"name": "DWS Capital Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.71859640652727,
|
|
"corr_port": 0.15446765288205425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33006884957724925,
|
|
"2023 rate shock": -0.09929762335651615,
|
|
"2024 vol spike": -0.08190651615439759,
|
|
"2025 tariff crash": -0.2130845681276905,
|
|
"2026 Q1 drawdown": -0.13541666183471668
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33006884957724925,
|
|
"max_ret": -0.08190651615439759,
|
|
"all_pos": false
|
|
},
|
|
"sdhax": {
|
|
"name": "Lord Abbett Short Duration High Income Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3627684104835704,
|
|
"corr_port": 0.11826372356936564,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11013564231035688,
|
|
"2023 rate shock": -0.027039021404650088,
|
|
"2024 vol spike": 0.010357064176391706,
|
|
"2025 tariff crash": -0.01645511387797305,
|
|
"2026 Q1 drawdown": -0.009089194865464112
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11013564231035688,
|
|
"max_ret": 0.010357064176391706,
|
|
"all_pos": false
|
|
},
|
|
"sdlax": {
|
|
"name": "SIIT Dynamic Asset Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3603284780128675,
|
|
"corr_port": 0.29988360817414167,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22204091162292583,
|
|
"2023 rate shock": -0.09103986089522353,
|
|
"2024 vol spike": -0.09126976781371487,
|
|
"2025 tariff crash": -0.1880565745918651,
|
|
"2026 Q1 drawdown": -0.09432989690721638
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22204091162292583,
|
|
"max_ret": -0.09103986089522353,
|
|
"all_pos": false
|
|
},
|
|
"sdmax": {
|
|
"name": "PGIM Short Duration Multi-Sector Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6719234234378397,
|
|
"corr_port": 0.12595435359044413,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0700482580164613,
|
|
"2023 rate shock": 0.002564464987992343,
|
|
"2024 vol spike": 0.008504966938550629,
|
|
"2025 tariff crash": 0.004856402401630877,
|
|
"2026 Q1 drawdown": -0.003162827034105642
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0700482580164613,
|
|
"max_ret": 0.008504966938550629,
|
|
"all_pos": false
|
|
},
|
|
"sdsax": {
|
|
"name": "Western Asset Income Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6283861733698317,
|
|
"corr_port": 0.2146807270098967,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1524928982063838,
|
|
"2023 rate shock": -0.035814835475684315,
|
|
"2024 vol spike": 0.004396926472716389,
|
|
"2025 tariff crash": -0.016486864136128876,
|
|
"2026 Q1 drawdown": -0.01560144599068547
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1524928982063838,
|
|
"max_ret": 0.004396926472716389,
|
|
"all_pos": false
|
|
},
|
|
"sdscx": {
|
|
"name": "BNY Mellon Small/Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.2876560135672004,
|
|
"corr_port": 0.09931337202700996,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3535714203711722,
|
|
"2023 rate shock": -0.18143133124979782,
|
|
"2024 vol spike": -0.09306709859913387,
|
|
"2025 tariff crash": -0.2279895387067603,
|
|
"2026 Q1 drawdown": -0.16367521367521365
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3535714203711722,
|
|
"max_ret": -0.09306709859913387,
|
|
"all_pos": false
|
|
},
|
|
"sdyax": {
|
|
"name": "SIMT Dynamic Asset Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0986240953576454,
|
|
"corr_port": 0.2834891637326368,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22461038820875712,
|
|
"2023 rate shock": -0.09228835091502563,
|
|
"2024 vol spike": -0.09101320755715125,
|
|
"2025 tariff crash": -0.18938970210327077,
|
|
"2026 Q1 drawdown": -0.09626960912938565
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22461038820875712,
|
|
"max_ret": -0.09101320755715125,
|
|
"all_pos": false
|
|
},
|
|
"seacx": {
|
|
"name": "Steward Select Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.27950488769498305,
|
|
"corr_port": -0.04872292973547669,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13220616433918453,
|
|
"2023 rate shock": -0.01938939586472266,
|
|
"2024 vol spike": 0.01258446091194676,
|
|
"2025 tariff crash": 0.004628172498506222,
|
|
"2026 Q1 drawdown": -0.007190619829727463
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13220616433918453,
|
|
"max_ret": 0.01258446091194676,
|
|
"all_pos": false
|
|
},
|
|
"sebfx": {
|
|
"name": "Saturna Global Sustainable Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2621409854129534,
|
|
"corr_port": 0.13600899211033232,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10285129212449706,
|
|
"2023 rate shock": -0.03965718986859568,
|
|
"2024 vol spike": -0.00645863143771197,
|
|
"2025 tariff crash": -0.0044198895027625085,
|
|
"2026 Q1 drawdown": -0.025000000000000022
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.10285129212449706,
|
|
"max_ret": -0.0044198895027625085,
|
|
"all_pos": false
|
|
},
|
|
"seblx": {
|
|
"name": "Touchstone Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2328328206792656,
|
|
"corr_port": 0.2616792659257007,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21147538193856796,
|
|
"2023 rate shock": -0.07795151096561515,
|
|
"2024 vol spike": -0.030481047905054903,
|
|
"2025 tariff crash": -0.11415972991537249,
|
|
"2026 Q1 drawdown": -0.07905052016528935
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21147538193856796,
|
|
"max_ret": -0.030481047905054903,
|
|
"all_pos": false
|
|
},
|
|
"secax": {
|
|
"name": "SIIT Small Cap II Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5395662087290222,
|
|
"corr_port": 0.3055607444103034,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22482993006134488,
|
|
"2023 rate shock": -0.14977198160131777,
|
|
"2024 vol spike": -0.07936510172515587,
|
|
"2025 tariff crash": -0.20771915148633568,
|
|
"2026 Q1 drawdown": -0.07584503727886482
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22482993006134488,
|
|
"max_ret": -0.07584503727886482,
|
|
"all_pos": false
|
|
},
|
|
"secex": {
|
|
"name": "NAA LARGE CORE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3018762144208165,
|
|
"corr_port": 0.29076407431436513,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2749741152211507,
|
|
"2023 rate shock": -0.09933777022546475,
|
|
"2024 vol spike": -0.0712191665803642,
|
|
"2025 tariff crash": -0.1780498605478178,
|
|
"2026 Q1 drawdown": -0.09540034071550263
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2749741152211507,
|
|
"max_ret": -0.0712191665803642,
|
|
"all_pos": false
|
|
},
|
|
"secpx": {
|
|
"name": "SDIT ULTRA SHORT DURATION BOND FUND",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.1753221321148086,
|
|
"corr_port": 0.0653688824180498,
|
|
"rets": {
|
|
"2022 bear mkt": -0.017733900676496273,
|
|
"2023 rate shock": 0.008317808493714107,
|
|
"2024 vol spike": 0.007011010543283458,
|
|
"2025 tariff crash": 0.007204415234723038,
|
|
"2026 Q1 drawdown": 0.0032089154763212946
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.017733900676496273,
|
|
"max_ret": 0.008317808493714107,
|
|
"all_pos": false
|
|
},
|
|
"sedax": {
|
|
"name": "SIIT EMERGING MARKETS DEBT FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9284536839142974,
|
|
"corr_port": 0.26206859698627566,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21812426148556507,
|
|
"2023 rate shock": -0.05808539459397155,
|
|
"2024 vol spike": -0.002344602415364827,
|
|
"2025 tariff crash": -0.026537033300090274,
|
|
"2026 Q1 drawdown": -0.04000007844498499
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21812426148556507,
|
|
"max_ret": -0.002344602415364827,
|
|
"all_pos": false
|
|
},
|
|
"seekx": {
|
|
"name": "Steward Values Enhanced Large Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.08766857086018053,
|
|
"corr_port": 0.2310765364429176,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25622475353017515,
|
|
"2023 rate shock": -0.09956420635042862,
|
|
"2024 vol spike": -0.07169178932013054,
|
|
"2025 tariff crash": -0.18390160451764803,
|
|
"2026 Q1 drawdown": -0.09042553191489366
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25622475353017515,
|
|
"max_ret": -0.07169178932013054,
|
|
"all_pos": false
|
|
},
|
|
"sefix": {
|
|
"name": "SIT INTERNATIONAL FIXED INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.11439483992160832,
|
|
"corr_port": -0.06249269984844923,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10406345594924848,
|
|
"2023 rate shock": -0.016766532082046703,
|
|
"2024 vol spike": 0.014874140799908231,
|
|
"2025 tariff crash": 0.002232036841456786,
|
|
"2026 Q1 drawdown": -0.01449275362318847
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10406345594924848,
|
|
"max_ret": 0.014874140799908231,
|
|
"all_pos": false
|
|
},
|
|
"segmx": {
|
|
"name": "SDIT GNMA FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5620670485485593,
|
|
"corr_port": -0.08346133110711698,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1288746003390152,
|
|
"2023 rate shock": -0.04532320704194215,
|
|
"2024 vol spike": 0.02308383730191954,
|
|
"2025 tariff crash": 0.009985617608628816,
|
|
"2026 Q1 drawdown": -0.001251154269159005
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1288746003390152,
|
|
"max_ret": 0.02308383730191954,
|
|
"all_pos": false
|
|
},
|
|
"sehax": {
|
|
"name": "SIIT U.S. Equity Factor Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.2775110622374335,
|
|
"corr_port": 0.30231953506887727,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2232941830886619,
|
|
"2023 rate shock": -0.09416668267589734,
|
|
"2024 vol spike": -0.0623269275724192,
|
|
"2025 tariff crash": -0.17129381634457808,
|
|
"2026 Q1 drawdown": -0.07129913394071663
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2232941830886619,
|
|
"max_ret": -0.0623269275724192,
|
|
"all_pos": false
|
|
},
|
|
"seiax": {
|
|
"name": "SIIT Multi-Asset Real Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 3.1751919551670036,
|
|
"corr_port": 0.3128935530074972,
|
|
"rets": {
|
|
"2022 bear mkt": 0.06330745448571928,
|
|
"2023 rate shock": 0.009655232910273481,
|
|
"2024 vol spike": -0.004064975636410617,
|
|
"2025 tariff crash": -0.012278281689412918,
|
|
"2026 Q1 drawdown": 0.051948051948051965
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.012278281689412918,
|
|
"max_ret": 0.06330745448571928,
|
|
"all_pos": false
|
|
},
|
|
"seimx": {
|
|
"name": "STET INTERMEDIATE TERM MUNICIPAL FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.4442051646889346,
|
|
"corr_port": 0.04405973064368222,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10534871741290197,
|
|
"2023 rate shock": -0.039480465921058916,
|
|
"2024 vol spike": 0.012158482744642818,
|
|
"2025 tariff crash": -0.024238483934174493,
|
|
"2026 Q1 drawdown": -0.013178792444331955
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10534871741290197,
|
|
"max_ret": 0.012158482744642818,
|
|
"all_pos": false
|
|
},
|
|
"seitx": {
|
|
"name": "SIT INTERNATIONAL EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8052214051840997,
|
|
"corr_port": 0.4288837542768118,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29330073020403136,
|
|
"2023 rate shock": -0.11149527187102382,
|
|
"2024 vol spike": -0.06912790967859195,
|
|
"2025 tariff crash": -0.11166246261814217,
|
|
"2026 Q1 drawdown": -0.06540697674418605
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29330073020403136,
|
|
"max_ret": -0.06540697674418605,
|
|
"all_pos": false
|
|
},
|
|
"sekax": {
|
|
"name": "DWS Emerging Markets Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.0908652249148645,
|
|
"corr_port": 0.2695593489825829,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28282346489820376,
|
|
"2023 rate shock": -0.11297799709101675,
|
|
"2024 vol spike": -0.0813449071030683,
|
|
"2025 tariff crash": -0.16395167271322342,
|
|
"2026 Q1 drawdown": -0.11538461995973914
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28282346489820376,
|
|
"max_ret": -0.0813449071030683,
|
|
"all_pos": false
|
|
},
|
|
"selcx": {
|
|
"name": "SIMT LARGE CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7632852519567954,
|
|
"corr_port": 0.18849138746371302,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3107499844560293,
|
|
"2023 rate shock": -0.08884768122852205,
|
|
"2024 vol spike": -0.08299990488260567,
|
|
"2025 tariff crash": -0.21684066145793202,
|
|
"2026 Q1 drawdown": -0.1079532149021547
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3107499844560293,
|
|
"max_ret": -0.08299990488260567,
|
|
"all_pos": false
|
|
},
|
|
"semcx": {
|
|
"name": "SIMT MID CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.15758553700264447,
|
|
"corr_port": 0.32456600604764446,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20703743802616326,
|
|
"2023 rate shock": -0.12643327261583426,
|
|
"2024 vol spike": -0.05072684256475524,
|
|
"2025 tariff crash": -0.17236953372718344,
|
|
"2026 Q1 drawdown": -0.0320605391615556
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20703743802616326,
|
|
"max_ret": -0.0320605391615556,
|
|
"all_pos": false
|
|
},
|
|
"semvx": {
|
|
"name": "Hartford Schroders Emerging Markets Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4867193199728393,
|
|
"corr_port": 0.2925145883835023,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3009355405132068,
|
|
"2023 rate shock": -0.11692313264449605,
|
|
"2024 vol spike": -0.07926476083570333,
|
|
"2025 tariff crash": -0.13605440192358886,
|
|
"2026 Q1 drawdown": -0.09662394256887863
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3009355405132068,
|
|
"max_ret": -0.07926476083570333,
|
|
"all_pos": false
|
|
},
|
|
"sencx": {
|
|
"name": "Touchstone Large Cap Focused Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8368794063037144,
|
|
"corr_port": 0.2779910136529435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23867263966428987,
|
|
"2023 rate shock": -0.09612727345008465,
|
|
"2024 vol spike": -0.058989565682622036,
|
|
"2025 tariff crash": -0.18548936761629387,
|
|
"2026 Q1 drawdown": -0.11852031747300751
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23867263966428987,
|
|
"max_ret": -0.058989565682622036,
|
|
"all_pos": false
|
|
},
|
|
"sequx": {
|
|
"name": "SEQUOIA FUND INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3066582397791132,
|
|
"corr_port": 0.261736351513361,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36957376388389296,
|
|
"2023 rate shock": -0.10286345086906346,
|
|
"2024 vol spike": -0.05379990483974373,
|
|
"2025 tariff crash": -0.10610896717180163,
|
|
"2026 Q1 drawdown": -0.12822029955670877
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36957376388389296,
|
|
"max_ret": -0.05379990483974373,
|
|
"all_pos": false
|
|
},
|
|
"sesvx": {
|
|
"name": "SIMT SMALL CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2919861327868791,
|
|
"corr_port": 0.3545420642471649,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20964540728693826,
|
|
"2023 rate shock": -0.13732139772509389,
|
|
"2024 vol spike": -0.0756899328476679,
|
|
"2025 tariff crash": -0.19565488486689964,
|
|
"2026 Q1 drawdown": -0.052740119669723806
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20964540728693826,
|
|
"max_ret": -0.052740119669723806,
|
|
"all_pos": false
|
|
},
|
|
"setax": {
|
|
"name": "SIMT REAL ESTATE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.1140317039483745,
|
|
"corr_port": 0.23948114174407492,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31416953553785876,
|
|
"2023 rate shock": -0.15156247908069265,
|
|
"2024 vol spike": -0.0225000858579808,
|
|
"2025 tariff crash": -0.12428770703350434,
|
|
"2026 Q1 drawdown": -0.007357845597892432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31416953553785876,
|
|
"max_ret": -0.007357845597892432,
|
|
"all_pos": false
|
|
},
|
|
"sfrex": {
|
|
"name": "Schwab Fundamental Global Real Estate Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8329092928298129,
|
|
"corr_port": 0.3352236988605986,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29441990708269405,
|
|
"2023 rate shock": -0.15010400313923877,
|
|
"2024 vol spike": -0.03369565483716752,
|
|
"2025 tariff crash": -0.10198601480937053,
|
|
"2026 Q1 drawdown": -0.08398130137167192
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29441990708269405,
|
|
"max_ret": -0.03369565483716752,
|
|
"all_pos": false
|
|
},
|
|
"sgffx": {
|
|
"name": "Sparrow Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2745082724741263,
|
|
"corr_port": 0.13256091003923617,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27631576304600003,
|
|
"2023 rate shock": -0.0848014879186928,
|
|
"2024 vol spike": -0.07802774241330146,
|
|
"2025 tariff crash": -0.18656107131794852,
|
|
"2026 Q1 drawdown": -0.119232945480651
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27631576304600003,
|
|
"max_ret": -0.07802774241330146,
|
|
"all_pos": false
|
|
},
|
|
"sggax": {
|
|
"name": "DWS Large Cap Focus Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0173600434049375,
|
|
"corr_port": 0.1336717075352616,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34072239041824426,
|
|
"2023 rate shock": -0.09984492557911762,
|
|
"2024 vol spike": -0.08846342712971988,
|
|
"2025 tariff crash": -0.22482379069048064,
|
|
"2026 Q1 drawdown": -0.1411498462989016
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34072239041824426,
|
|
"max_ret": -0.08846342712971988,
|
|
"all_pos": false
|
|
},
|
|
"sghax": {
|
|
"name": "DWS Global High Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.769083709498682,
|
|
"corr_port": 0.32649369270149314,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13999201782966397,
|
|
"2023 rate shock": -0.026204310812527942,
|
|
"2024 vol spike": -0.0031049923492989517,
|
|
"2025 tariff crash": -0.03247463579216925,
|
|
"2026 Q1 drawdown": -0.015633934872565702
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13999201782966397,
|
|
"max_ret": -0.0031049923492989517,
|
|
"all_pos": false
|
|
},
|
|
"sgidx": {
|
|
"name": "Steward Global Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.15538098068766076,
|
|
"corr_port": 0.3915294827505413,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20646343229653075,
|
|
"2023 rate shock": -0.09340045811561659,
|
|
"2024 vol spike": -0.061933803161540846,
|
|
"2025 tariff crash": -0.1471177737110696,
|
|
"2026 Q1 drawdown": -0.05989846814542166
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20646343229653075,
|
|
"max_ret": -0.05989846814542166,
|
|
"all_pos": false
|
|
},
|
|
"sginx": {
|
|
"name": "DWS GNMA Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.21059370841182606,
|
|
"corr_port": -0.08335630353527378,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13670043674300103,
|
|
"2023 rate shock": -0.050468015208291694,
|
|
"2024 vol spike": 0.0221182647427296,
|
|
"2025 tariff crash": 0.010354116343172626,
|
|
"2026 Q1 drawdown": 0.001242876505865631
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.13670043674300103,
|
|
"max_ret": 0.0221182647427296,
|
|
"all_pos": false
|
|
},
|
|
"sgmax": {
|
|
"name": "SIIT Global Managed Volatility Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.4648275786253753,
|
|
"corr_port": 0.43515673435682833,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13677306568601022,
|
|
"2023 rate shock": -0.05719381542660873,
|
|
"2024 vol spike": -0.0333054979826527,
|
|
"2025 tariff crash": -0.0770548622352849,
|
|
"2026 Q1 drawdown": -0.0077054794520547976
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13677306568601022,
|
|
"max_ret": -0.0077054794520547976,
|
|
"all_pos": false
|
|
},
|
|
"sgoax": {
|
|
"name": "SAAT MARKET GROWTH STRATEGY ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4312989177518883,
|
|
"corr_port": 0.36735511954119016,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2310445021241717,
|
|
"2023 rate shock": -0.10066558887687382,
|
|
"2024 vol spike": -0.05671536697633128,
|
|
"2025 tariff crash": -0.1395889870017506,
|
|
"2026 Q1 drawdown": -0.06655517166578362
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2310445021241717,
|
|
"max_ret": -0.05671536697633128,
|
|
"all_pos": false
|
|
},
|
|
"sgovx": {
|
|
"name": "First Eagle Overseas Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2340326831112887,
|
|
"corr_port": 0.37131659810360335,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18899805041036366,
|
|
"2023 rate shock": -0.07101808086296335,
|
|
"2024 vol spike": -0.041413315711246956,
|
|
"2025 tariff crash": -0.06223426670515719,
|
|
"2026 Q1 drawdown": -0.07172998794454488
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18899805041036366,
|
|
"max_ret": -0.041413315711246956,
|
|
"all_pos": false
|
|
},
|
|
"sgqax": {
|
|
"name": "DWS International Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.4776180297675996,
|
|
"corr_port": 0.2663337154031754,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37447079589325816,
|
|
"2023 rate shock": -0.1410117647556146,
|
|
"2024 vol spike": -0.05833722171546163,
|
|
"2025 tariff crash": -0.15222482240847468,
|
|
"2026 Q1 drawdown": -0.11302475537083412
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37447079589325816,
|
|
"max_ret": -0.05833722171546163,
|
|
"all_pos": false
|
|
},
|
|
"sgvax": {
|
|
"name": "Western Asset Mortgage Total Return Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3697019815036992,
|
|
"corr_port": -0.0901440891516294,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14622325216529364,
|
|
"2023 rate shock": -0.05520061128350051,
|
|
"2024 vol spike": 0.02682364065662224,
|
|
"2025 tariff crash": 0.005413400945286195,
|
|
"2026 Q1 drawdown": -0.005098685783846091
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14622325216529364,
|
|
"max_ret": 0.02682364065662224,
|
|
"all_pos": false
|
|
},
|
|
"sgyax": {
|
|
"name": "SIIT HIGH YIELD BOND FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.911021913457134,
|
|
"corr_port": 0.31694171278908323,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13447839839282272,
|
|
"2023 rate shock": -0.017704158591542618,
|
|
"2024 vol spike": -0.0012990246764044144,
|
|
"2025 tariff crash": -0.0341847141480921,
|
|
"2026 Q1 drawdown": -0.021185470294347253
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13447839839282272,
|
|
"max_ret": -0.0012990246764044144,
|
|
"all_pos": false
|
|
},
|
|
"shgtx": {
|
|
"name": "Columbia Seligman Global Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8222177761177385,
|
|
"corr_port": 0.17537329316549405,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3688974660545652,
|
|
"2023 rate shock": -0.13860186262721186,
|
|
"2024 vol spike": -0.10730950394606475,
|
|
"2025 tariff crash": -0.2780987860619668,
|
|
"2026 Q1 drawdown": -0.11334319704549889
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3688974660545652,
|
|
"max_ret": -0.10730950394606475,
|
|
"all_pos": false
|
|
},
|
|
"shrix": {
|
|
"name": "Stone Ridge High Yield Reinsurance Risk Premium Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 4.709731685755113,
|
|
"corr_port": 0.016399634028212557,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09052775849557393,
|
|
"2023 rate shock": 0.056614495888184235,
|
|
"2024 vol spike": 0.01108638083969593,
|
|
"2025 tariff crash": 0.010265725498637357,
|
|
"2026 Q1 drawdown": 0.011249468029721932
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.09052775849557393,
|
|
"max_ret": 0.056614495888184235,
|
|
"all_pos": false
|
|
},
|
|
"shssx": {
|
|
"name": "BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.03927557377478763,
|
|
"corr_port": 0.2451418425430114,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13792481439865734,
|
|
"2023 rate shock": -0.07143887393328607,
|
|
"2024 vol spike": -0.031065141486597114,
|
|
"2025 tariff crash": -0.12390735613957515,
|
|
"2026 Q1 drawdown": -0.06807846065960321
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13792481439865734,
|
|
"max_ret": -0.031065141486597114,
|
|
"all_pos": false
|
|
},
|
|
"shtix": {
|
|
"name": "INVESCO Short Duration Inflation Protected Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 2.0542828458402895,
|
|
"corr_port": 0.01602722882002604,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04836031841138233,
|
|
"2023 rate shock": 0.004315630549123872,
|
|
"2024 vol spike": 0.006054572485891585,
|
|
"2025 tariff crash": 0.017453599121770358,
|
|
"2026 Q1 drawdown": 0.003505251320644387
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04836031841138233,
|
|
"max_ret": 0.017453599121770358,
|
|
"all_pos": false
|
|
},
|
|
"shyd": {
|
|
"name": "VanEck Short High Yield Muni ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.19850730486628096,
|
|
"corr_port": 0.13146992836280838,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10851157097138808,
|
|
"2023 rate shock": -0.019532705805315298,
|
|
"2024 vol spike": 0.010835952876283361,
|
|
"2025 tariff crash": -0.0285942586844512,
|
|
"2026 Q1 drawdown": -0.012200047763829547
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10851157097138808,
|
|
"max_ret": 0.010835952876283361,
|
|
"all_pos": false
|
|
},
|
|
"sibax": {
|
|
"name": "Sit Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8873957050471799,
|
|
"corr_port": 0.20595504782556587,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23382280166199643,
|
|
"2023 rate shock": -0.07297459008381912,
|
|
"2024 vol spike": -0.04666677569834021,
|
|
"2025 tariff crash": -0.1286937288430554,
|
|
"2026 Q1 drawdown": -0.07483340665561955
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23382280166199643,
|
|
"max_ret": -0.04666677569834021,
|
|
"all_pos": false
|
|
},
|
|
"sidcx": {
|
|
"name": "SIIT Intermediate Duration Credit Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2390508719872269,
|
|
"corr_port": -0.04716926592943582,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16882018450984992,
|
|
"2023 rate shock": -0.042640338576464876,
|
|
"2024 vol spike": 0.017457203519768205,
|
|
"2025 tariff crash": -0.0004237803259770079,
|
|
"2026 Q1 drawdown": -0.010510747973704104
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16882018450984992,
|
|
"max_ret": 0.017457203519768205,
|
|
"all_pos": false
|
|
},
|
|
"sidvx": {
|
|
"name": "Hartford Schroders International Multi-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.5208601250854312,
|
|
"corr_port": 0.4478606181489313,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24747572736908885,
|
|
"2023 rate shock": -0.09201102803045946,
|
|
"2024 vol spike": -0.06807300748505063,
|
|
"2025 tariff crash": -0.09292079314907209,
|
|
"2026 Q1 drawdown": -0.05205780869198373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24747572736908885,
|
|
"max_ret": -0.05205780869198373,
|
|
"all_pos": false
|
|
},
|
|
"siemx": {
|
|
"name": "SIT EMERGING MARKETS EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6326914996034602,
|
|
"corr_port": 0.32515372380281793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2973805639137743,
|
|
"2023 rate shock": -0.11663648904557289,
|
|
"2024 vol spike": -0.07611558318767064,
|
|
"2025 tariff crash": -0.13073593057951338,
|
|
"2026 Q1 drawdown": -0.0900958466453674
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2973805639137743,
|
|
"max_ret": -0.07611558318767064,
|
|
"all_pos": false
|
|
},
|
|
"sifax": {
|
|
"name": "SIMT MULTI-ASSET INFLATION MANAGED FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.695956862306355,
|
|
"corr_port": 0.3187087270083986,
|
|
"rets": {
|
|
"2022 bear mkt": 0.05755384218959381,
|
|
"2023 rate shock": 0.007643346845475518,
|
|
"2024 vol spike": -0.0037783508912029307,
|
|
"2025 tariff crash": -0.01374998562318519,
|
|
"2026 Q1 drawdown": 0.050970873786407855
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.01374998562318519,
|
|
"max_ret": 0.05755384218959381,
|
|
"all_pos": false
|
|
},
|
|
"sigax": {
|
|
"name": "Western Asset Corporate Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.22388717231266664,
|
|
"corr_port": 0.05656468513916306,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1949386778831229,
|
|
"2023 rate shock": -0.053340254776830465,
|
|
"2024 vol spike": 0.015335509246281909,
|
|
"2025 tariff crash": -0.0069740436034595454,
|
|
"2026 Q1 drawdown": -0.01572973095630037
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1949386778831229,
|
|
"max_ret": 0.015335509246281909,
|
|
"all_pos": false
|
|
},
|
|
"sihax": {
|
|
"name": "Guggenheim High Yield Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 0.9338443074925127,
|
|
"corr_port": 0.30376366375251307,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1236903151978519,
|
|
"2023 rate shock": -0.025004416074638325,
|
|
"2024 vol spike": -0.003757556237403814,
|
|
"2025 tariff crash": -0.027290228193129096,
|
|
"2026 Q1 drawdown": -0.02161823921717443
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1236903151978519,
|
|
"max_ret": -0.003757556237403814,
|
|
"all_pos": false
|
|
},
|
|
"sims": {
|
|
"name": "State Street(R) SPDR(R) S&P Kensho Intelligent Structures ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.1329911451118977,
|
|
"corr_port": 0.20143190197643304,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30698811369248435,
|
|
"2023 rate shock": -0.2525495062431685,
|
|
"2024 vol spike": -0.0996407462052844,
|
|
"2025 tariff crash": -0.21682875222517106,
|
|
"2026 Q1 drawdown": -0.08803423066079707
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30698811369248435,
|
|
"max_ret": -0.08803423066079707,
|
|
"all_pos": false
|
|
},
|
|
"sioax": {
|
|
"name": "SIMT MULTI-ASSET INCOME FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8693036401798908,
|
|
"corr_port": 0.2938126221954463,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16815771006505809,
|
|
"2023 rate shock": -0.035179342757219234,
|
|
"2024 vol spike": -0.0016291133130642566,
|
|
"2025 tariff crash": -0.025777423982856207,
|
|
"2026 Q1 drawdown": -0.010000394900889442
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16815771006505809,
|
|
"max_ret": -0.0016291133130642566,
|
|
"all_pos": false
|
|
},
|
|
"sisax": {
|
|
"name": "SAAT TAX-MANAGED AGGRESSIVE STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10656625670630157,
|
|
"corr_port": 0.36808917357934706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2313825909064462,
|
|
"2023 rate shock": -0.10059339942468781,
|
|
"2024 vol spike": -0.05683959403107164,
|
|
"2025 tariff crash": -0.13975858268162322,
|
|
"2026 Q1 drawdown": -0.0665251785887695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2313825909064462,
|
|
"max_ret": -0.05683959403107164,
|
|
"all_pos": false
|
|
},
|
|
"sislx": {
|
|
"name": "Shelton International Select Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.27063925848643,
|
|
"corr_port": 0.3563906502442917,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31922656184661713,
|
|
"2023 rate shock": -0.11741426147662382,
|
|
"2024 vol spike": -0.06337446171781014,
|
|
"2025 tariff crash": -0.10260649879158845,
|
|
"2026 Q1 drawdown": -0.060268586299751514
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31922656184661713,
|
|
"max_ret": -0.060268586299751514,
|
|
"all_pos": false
|
|
},
|
|
"sitex": {
|
|
"name": "SIT EMERGING MARKETS DEBT FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5333867654597558,
|
|
"corr_port": 0.2615833697542279,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2277432064509548,
|
|
"2023 rate shock": -0.060142402286459284,
|
|
"2024 vol spike": -0.0023120530069267176,
|
|
"2025 tariff crash": -0.0287572983185016,
|
|
"2026 Q1 drawdown": -0.041067795125429685
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2277432064509548,
|
|
"max_ret": -0.0023120530069267176,
|
|
"all_pos": false
|
|
},
|
|
"siusx": {
|
|
"name": "Guggenheim Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8764831555536474,
|
|
"corr_port": -0.1089439163270465,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17346255807076538,
|
|
"2023 rate shock": -0.04236601165221898,
|
|
"2024 vol spike": 0.023057348975540792,
|
|
"2025 tariff crash": 0.009502493272036228,
|
|
"2026 Q1 drawdown": -0.00753124529475746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17346255807076538,
|
|
"max_ret": 0.023057348975540792,
|
|
"all_pos": false
|
|
},
|
|
"sivix": {
|
|
"name": "State Street Institutional Small-Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6196249243058183,
|
|
"corr_port": 0.28430092024388015,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21297678648583385,
|
|
"2023 rate shock": -0.1595628292726845,
|
|
"2024 vol spike": -0.06785146882541304,
|
|
"2025 tariff crash": -0.20687677930328674,
|
|
"2026 Q1 drawdown": -0.08150064683053049
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21297678648583385,
|
|
"max_ret": -0.06785146882541304,
|
|
"all_pos": false
|
|
},
|
|
"sjnk": {
|
|
"name": "State Street(R) SPDR Bloomberg Short Term High Yield Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5894079098061572,
|
|
"corr_port": 0.2587047113092735,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08745869981966159,
|
|
"2023 rate shock": -0.009401761904509143,
|
|
"2024 vol spike": -0.00809126383186598,
|
|
"2025 tariff crash": -0.04429910542049853,
|
|
"2026 Q1 drawdown": -0.01376042272112954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.08745869981966159,
|
|
"max_ret": -0.00809126383186598,
|
|
"all_pos": false
|
|
},
|
|
"skirx": {
|
|
"name": "DWS Enhanced Commodity Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2193854783646904,
|
|
"corr_port": 0.22790620018233054,
|
|
"rets": {
|
|
"2022 bear mkt": 0.06971719330251092,
|
|
"2023 rate shock": -0.012245700151477301,
|
|
"2024 vol spike": -0.04020981319179284,
|
|
"2025 tariff crash": -0.09007803743101905,
|
|
"2026 Q1 drawdown": 0.05392261927211317
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.09007803743101905,
|
|
"max_ret": 0.06971719330251092,
|
|
"all_pos": false
|
|
},
|
|
"sktax": {
|
|
"name": "SAAT CORE MARKET STRATEGY ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.14143143667420138,
|
|
"corr_port": 0.3679266651230321,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23121297254012219,
|
|
"2023 rate shock": -0.10059861595248065,
|
|
"2024 vol spike": -0.05658605252114546,
|
|
"2025 tariff crash": -0.13970036475688452,
|
|
"2026 Q1 drawdown": -0.06627403000943366
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23121297254012219,
|
|
"max_ret": -0.05658605252114546,
|
|
"all_pos": false
|
|
},
|
|
"slanx": {
|
|
"name": "DWS Latin America Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.18551198452510057,
|
|
"corr_port": 0.28544211376499207,
|
|
"rets": {
|
|
"2022 bear mkt": 0.10251605650465345,
|
|
"2023 rate shock": -0.11298446200492407,
|
|
"2024 vol spike": -0.08221861379808548,
|
|
"2025 tariff crash": -0.07558773626067461,
|
|
"2026 Q1 drawdown": -0.08061056522776056
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11298446200492407,
|
|
"max_ret": 0.10251605650465345,
|
|
"all_pos": false
|
|
},
|
|
"slasx": {
|
|
"name": "SELECTED AMERICAN SHARES",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3197627642982426,
|
|
"corr_port": 0.32202831188452274,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2948957898615079,
|
|
"2023 rate shock": -0.11471983083839588,
|
|
"2024 vol spike": -0.09028259911524306,
|
|
"2025 tariff crash": -0.1690869606932056,
|
|
"2026 Q1 drawdown": -0.0660742627034604
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2948957898615079,
|
|
"max_ret": -0.0660742627034604,
|
|
"all_pos": false
|
|
},
|
|
"slcax": {
|
|
"name": "SIIT LARGE CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5891436028748195,
|
|
"corr_port": 0.3296386208769951,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22455305984574914,
|
|
"2023 rate shock": -0.10048972250371757,
|
|
"2024 vol spike": -0.0629677343694095,
|
|
"2025 tariff crash": -0.16909094943885228,
|
|
"2026 Q1 drawdown": -0.07524453986740876
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22455305984574914,
|
|
"max_ret": -0.0629677343694095,
|
|
"all_pos": false
|
|
},
|
|
"sldax": {
|
|
"name": "SIIT Long Duration Credit Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1373512509689739,
|
|
"corr_port": -0.059043176036376,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2789388862942117,
|
|
"2023 rate shock": -0.09822278572150733,
|
|
"2024 vol spike": 0.02287248703669431,
|
|
"2025 tariff crash": -0.01797427476332869,
|
|
"2026 Q1 drawdown": -0.018970065024712435
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.2789388862942117,
|
|
"max_ret": 0.02287248703669431,
|
|
"all_pos": false
|
|
},
|
|
"sldbx": {
|
|
"name": "SIIT Limited Duration Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5875316906430302,
|
|
"corr_port": -0.026996617428932335,
|
|
"rets": {
|
|
"2022 bear mkt": -0.045985152193765866,
|
|
"2023 rate shock": 0.002664926655253419,
|
|
"2024 vol spike": 0.012176029996434634,
|
|
"2025 tariff crash": 0.012662130149415418,
|
|
"2026 Q1 drawdown": 0.0006047260955206468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.045985152193765866,
|
|
"max_ret": 0.012662130149415418,
|
|
"all_pos": false
|
|
},
|
|
"slgax": {
|
|
"name": "SIMT Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7123069955189603,
|
|
"corr_port": 0.3123137860479798,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2390373997203703,
|
|
"2023 rate shock": -0.10626307127065293,
|
|
"2024 vol spike": -0.06535146319761886,
|
|
"2025 tariff crash": -0.17886039926401964,
|
|
"2026 Q1 drawdown": -0.07557728281058973
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2390373997203703,
|
|
"max_ret": -0.06535146319761886,
|
|
"all_pos": false
|
|
},
|
|
"slgfx": {
|
|
"name": "SIMT Large Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9994050909887745,
|
|
"corr_port": 0.23869840728892297,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25111847315877156,
|
|
"2023 rate shock": -0.10115385551685718,
|
|
"2024 vol spike": -0.07168670161373103,
|
|
"2025 tariff crash": -0.18781649319147253,
|
|
"2026 Q1 drawdown": -0.0869564610305068
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25111847315877156,
|
|
"max_ret": -0.07168670161373103,
|
|
"all_pos": false
|
|
},
|
|
"sllax": {
|
|
"name": "SIMT Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.46755099328358524,
|
|
"corr_port": 0.3015590967313962,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22087748141323083,
|
|
"2023 rate shock": -0.14933428958207084,
|
|
"2024 vol spike": -0.0824022331733969,
|
|
"2025 tariff crash": -0.19968667316885225,
|
|
"2026 Q1 drawdown": -0.0690935925740701
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22087748141323083,
|
|
"max_ret": -0.0690935925740701,
|
|
"all_pos": false
|
|
},
|
|
"slmcx": {
|
|
"name": "Columbia Seligman Technology and Information Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.2123239619128605,
|
|
"corr_port": 0.18027465173793542,
|
|
"rets": {
|
|
"2022 bear mkt": -0.363944783814688,
|
|
"2023 rate shock": -0.13555058026982325,
|
|
"2024 vol spike": -0.10449354035285685,
|
|
"2025 tariff crash": -0.27752558390977844,
|
|
"2026 Q1 drawdown": -0.11024825541603278
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.363944783814688,
|
|
"max_ret": -0.10449354035285685,
|
|
"all_pos": false
|
|
},
|
|
"slpax": {
|
|
"name": "SIIT SMALL CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5417221393777442,
|
|
"corr_port": 0.30217925633534237,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22976349166837284,
|
|
"2023 rate shock": -0.1391670315533109,
|
|
"2024 vol spike": -0.0739687865002393,
|
|
"2025 tariff crash": -0.18771449571599996,
|
|
"2026 Q1 drawdown": -0.07499994295014478
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22976349166837284,
|
|
"max_ret": -0.0739687865002393,
|
|
"all_pos": false
|
|
},
|
|
"slvax": {
|
|
"name": "Columbia Select Large Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2166271283456036,
|
|
"corr_port": 0.40474225510179673,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14541958506896913,
|
|
"2023 rate shock": -0.1111825381796101,
|
|
"2024 vol spike": -0.0646287509269764,
|
|
"2025 tariff crash": -0.13416401913187614,
|
|
"2026 Q1 drawdown": -0.047151324971725916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14541958506896913,
|
|
"max_ret": -0.047151324971725916,
|
|
"all_pos": false
|
|
},
|
|
"slyg": {
|
|
"name": "State Street(R) SPDR(R) S & P 600(TM) Small Cap Growth ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.08322922429816759,
|
|
"corr_port": 0.2790211314587813,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25746735299559,
|
|
"2023 rate shock": -0.1375801592683582,
|
|
"2024 vol spike": -0.07317603609544154,
|
|
"2025 tariff crash": -0.20897022700760337,
|
|
"2026 Q1 drawdown": -0.06180220205704967
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25746735299559,
|
|
"max_ret": -0.06180220205704967,
|
|
"all_pos": false
|
|
},
|
|
"slyv": {
|
|
"name": "State Street(R) SPDR(R) S & P 600(TM) Small Cap Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2058393927806388,
|
|
"corr_port": 0.33661155658601183,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19875200493468115,
|
|
"2023 rate shock": -0.17794374875577124,
|
|
"2024 vol spike": -0.07399235704620111,
|
|
"2025 tariff crash": -0.22612706825540396,
|
|
"2026 Q1 drawdown": -0.043852245032804826
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22612706825540396,
|
|
"max_ret": -0.043852245032804826,
|
|
"all_pos": false
|
|
},
|
|
"smcwx": {
|
|
"name": "SMALLCAP WORLD FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.264819091361225,
|
|
"corr_port": 0.23297212930815756,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34384048551612434,
|
|
"2023 rate shock": -0.15385796741788615,
|
|
"2024 vol spike": -0.08141208011937318,
|
|
"2025 tariff crash": -0.17898552890241404,
|
|
"2026 Q1 drawdown": -0.09080296229357698
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34384048551612434,
|
|
"max_ret": -0.08141208011937318,
|
|
"all_pos": false
|
|
},
|
|
"smeax": {
|
|
"name": "INVESCO Small Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8790523123780202,
|
|
"corr_port": 0.256338128891895,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26214230942795747,
|
|
"2023 rate shock": -0.13063415372696618,
|
|
"2024 vol spike": -0.07318686354147419,
|
|
"2025 tariff crash": -0.20159146401717232,
|
|
"2026 Q1 drawdown": -0.11814073595868302
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26214230942795747,
|
|
"max_ret": -0.07318686354147419,
|
|
"all_pos": false
|
|
},
|
|
"smgax": {
|
|
"name": "SAAT CONSERVATIVE STRATEGY ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.9839894093355184,
|
|
"corr_port": 0.37479404130265315,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13434294647490397,
|
|
"2023 rate shock": -0.050187774999592705,
|
|
"2024 vol spike": -0.012335468766898505,
|
|
"2025 tariff crash": -0.06532177381035276,
|
|
"2026 Q1 drawdown": -0.015164263380159304
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13434294647490397,
|
|
"max_ret": -0.012335468766898505,
|
|
"all_pos": false
|
|
},
|
|
"smgix": {
|
|
"name": "Columbia Contrarian Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8818074348824432,
|
|
"corr_port": 0.2544668595159661,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24307419327637325,
|
|
"2023 rate shock": -0.0889107113141977,
|
|
"2024 vol spike": -0.07363606755270269
|
|
},
|
|
"n_avail": 3,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24307419327637325,
|
|
"max_ret": -0.07363606755270269,
|
|
"all_pos": false
|
|
},
|
|
"sminx": {
|
|
"name": "SIMT Tax-Managed International Managed Volatility Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4810579893415465,
|
|
"corr_port": 0.43262753932353454,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23716816782460903,
|
|
"2023 rate shock": -0.06798865035353374,
|
|
"2024 vol spike": -0.050043907470275206,
|
|
"2025 tariff crash": -0.0434396377289773,
|
|
"2026 Q1 drawdown": -0.012802275960170695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23716816782460903,
|
|
"max_ret": -0.012802275960170695,
|
|
"all_pos": false
|
|
},
|
|
"smlax": {
|
|
"name": "DWS Managed Municipal Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.06124668217873252,
|
|
"corr_port": 0.02475018068507235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14143323522931095,
|
|
"2023 rate shock": -0.05833009264075373,
|
|
"2024 vol spike": 0.016453554877506438,
|
|
"2025 tariff crash": -0.03331583634198099,
|
|
"2026 Q1 drawdown": -0.008602034461601571
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14143323522931095,
|
|
"max_ret": 0.016453554877506438,
|
|
"all_pos": false
|
|
},
|
|
"smlv": {
|
|
"name": "State Street(R) SPDR(R) US Small Cap Low Volatility Index ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8651960579143094,
|
|
"corr_port": 0.3372659559702666,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1553483937616651,
|
|
"2023 rate shock": -0.13559408372974258,
|
|
"2024 vol spike": -0.05606423047987441,
|
|
"2025 tariff crash": -0.16058666966616864,
|
|
"2026 Q1 drawdown": -0.016070374996701275
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16058666966616864,
|
|
"max_ret": -0.016070374996701275,
|
|
"all_pos": false
|
|
},
|
|
"smoax": {
|
|
"name": "SAAT MODERATE STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6077613366167701,
|
|
"corr_port": 0.3537561971539901,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13793672691118986,
|
|
"2023 rate shock": -0.04281386093963324,
|
|
"2024 vol spike": -0.016322811655301694,
|
|
"2025 tariff crash": -0.047025691950943416,
|
|
"2026 Q1 drawdown": -0.019017399050189954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13793672691118986,
|
|
"max_ret": -0.016322811655301694,
|
|
"all_pos": false
|
|
},
|
|
"smog": {
|
|
"name": "VanEck Low Carbon Energy ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4380513874929006,
|
|
"corr_port": 0.12288284768677182,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33810331826445117,
|
|
"2023 rate shock": -0.2611250173899814,
|
|
"2024 vol spike": -0.06269951684978492,
|
|
"2025 tariff crash": -0.13239162163202522,
|
|
"2026 Q1 drawdown": -0.04989308517691193
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33810331826445117,
|
|
"max_ret": -0.04989308517691193,
|
|
"all_pos": false
|
|
},
|
|
"smqfx": {
|
|
"name": "SIIT EMERGING MARKETS EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0518377716550413,
|
|
"corr_port": 0.35312890706253586,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2749762838748576,
|
|
"2023 rate shock": -0.10355993705806721,
|
|
"2024 vol spike": -0.0910001991245506,
|
|
"2025 tariff crash": -0.13641018620229461,
|
|
"2026 Q1 drawdown": -0.09485094850948517
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2749762838748576,
|
|
"max_ret": -0.0910001991245506,
|
|
"all_pos": false
|
|
},
|
|
"smsax": {
|
|
"name": "SIMT Multi-Strategy Alternative Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.564490845308455,
|
|
"corr_port": 0.2729803768339342,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07527963319731168,
|
|
"2023 rate shock": -0.020191056052976997,
|
|
"2024 vol spike": -0.01639349476393681,
|
|
"2025 tariff crash": -0.05833340264574971,
|
|
"2026 Q1 drawdown": -0.018572825024438022
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.07527963319731168,
|
|
"max_ret": -0.01639349476393681,
|
|
"all_pos": false
|
|
},
|
|
"smxax": {
|
|
"name": "SIIT Extended Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.231250734709682,
|
|
"corr_port": 0.2247238584135127,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28196038644333365,
|
|
"2023 rate shock": -0.15417530808448765,
|
|
"2024 vol spike": -0.08045351247778254,
|
|
"2025 tariff crash": -0.22867509606595193,
|
|
"2026 Q1 drawdown": -0.08216979830307936
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28196038644333365,
|
|
"max_ret": -0.08045351247778254,
|
|
"all_pos": false
|
|
},
|
|
"sngvx": {
|
|
"name": "SIT U S GOVERNMENT SECURITIES FUND INC",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 2.364427494172982,
|
|
"corr_port": -0.11713183173217045,
|
|
"rets": {
|
|
"2022 bear mkt": -0.049993530939798636,
|
|
"2023 rate shock": -0.023606798618357572,
|
|
"2024 vol spike": 0.01796921306008037,
|
|
"2025 tariff crash": 0.014294934715055607,
|
|
"2026 Q1 drawdown": -0.0033087047074296105
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.049993530939798636,
|
|
"max_ret": 0.01796921306008037,
|
|
"all_pos": false
|
|
},
|
|
"snidx": {
|
|
"name": "AB Core Bond Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.21993466163798703,
|
|
"corr_port": -0.09989990156377518,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15151982980940137,
|
|
"2023 rate shock": -0.04104580076177744,
|
|
"2024 vol spike": 0.02307957332134425,
|
|
"2025 tariff crash": 0.008686851126903816,
|
|
"2026 Q1 drawdown": -0.005499855422784972
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15151982980940137,
|
|
"max_ret": 0.02307957332134425,
|
|
"all_pos": false
|
|
},
|
|
"sniex": {
|
|
"name": "BNY Mellon International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.42514548299929333,
|
|
"corr_port": 0.37460342680580283,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3138657689333645,
|
|
"2023 rate shock": -0.1357012771079511,
|
|
"2024 vol spike": -0.052322984554763696,
|
|
"2025 tariff crash": -0.06996150631069464,
|
|
"2026 Q1 drawdown": -0.07310262276785717
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3138657689333645,
|
|
"max_ret": -0.052322984554763696,
|
|
"all_pos": false
|
|
},
|
|
"snsax": {
|
|
"name": "SAAT DEFENSIVE STRATEGY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 4.250900411199324,
|
|
"corr_port": 0.27058429615623636,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05597311093232471,
|
|
"2023 rate shock": -0.007258920634618304,
|
|
"2024 vol spike": 0.0,
|
|
"2025 tariff crash": -0.006941499627852399,
|
|
"2026 Q1 drawdown": -0.0010172921129287804
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.05597311093232471,
|
|
"max_ret": 0.0,
|
|
"all_pos": false
|
|
},
|
|
"sntix": {
|
|
"name": "Sit Tax-Free Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16392477527139787,
|
|
"corr_port": 0.09416053986311125,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14873521540587265,
|
|
"2023 rate shock": -0.062387902756896096,
|
|
"2024 vol spike": 0.017143739418214343,
|
|
"2025 tariff crash": -0.041729672485586566,
|
|
"2026 Q1 drawdown": -0.006489205645647589
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14873521540587265,
|
|
"max_ret": 0.017143739418214343,
|
|
"all_pos": false
|
|
},
|
|
"sntkx": {
|
|
"name": "Steward Values Enhanced International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2719392479341588,
|
|
"corr_port": 0.36074730866871024,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24649608489942487,
|
|
"2023 rate shock": -0.09558508181694658,
|
|
"2024 vol spike": -0.06773054781648702,
|
|
"2025 tariff crash": -0.13390197848052454,
|
|
"2026 Q1 drawdown": -0.08306937697993666
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24649608489942487,
|
|
"max_ret": -0.06773054781648702,
|
|
"all_pos": false
|
|
},
|
|
"soaix": {
|
|
"name": "Spirit of America Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4407569605541185,
|
|
"corr_port": 0.12389553914793835,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14683398904324207,
|
|
"2023 rate shock": -0.05564336313295515,
|
|
"2024 vol spike": 0.011923802829346686,
|
|
"2025 tariff crash": -0.01865638496958888,
|
|
"2026 Q1 drawdown": -0.01005007623466092
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14683398904324207,
|
|
"max_ret": 0.011923802829346686,
|
|
"all_pos": false
|
|
},
|
|
"sokax": {
|
|
"name": "SAAT CORE MARKET STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5667852324097084,
|
|
"corr_port": 0.344520093729418,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19480165340031463,
|
|
"2023 rate shock": -0.06468541597286614,
|
|
"2024 vol spike": -0.029355959770005047,
|
|
"2025 tariff crash": -0.07936466492685801,
|
|
"2026 Q1 drawdown": -0.03743757023964911
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19480165340031463,
|
|
"max_ret": -0.029355959770005047,
|
|
"all_pos": false
|
|
},
|
|
"spab": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Aggregate Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9068203123160998,
|
|
"corr_port": -0.08888726589607811,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14474012437182082,
|
|
"2023 rate shock": -0.03897901689215588,
|
|
"2024 vol spike": 0.021362833750760535,
|
|
"2025 tariff crash": 0.008041331077011327,
|
|
"2026 Q1 drawdown": -0.004144883024807311
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14474012437182082,
|
|
"max_ret": 0.021362833750760535,
|
|
"all_pos": false
|
|
},
|
|
"spbo": {
|
|
"name": "State Street(R) SPDR Portfolio Corporate Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.37660085425460554,
|
|
"corr_port": -0.017453918791769562,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18555228094373477,
|
|
"2023 rate shock": -0.04357450956440723,
|
|
"2024 vol spike": 0.01296707902981864,
|
|
"2025 tariff crash": -0.013387419534619305,
|
|
"2026 Q1 drawdown": -0.012191928892182124
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18555228094373477,
|
|
"max_ret": 0.01296707902981864,
|
|
"all_pos": false
|
|
},
|
|
"spdax": {
|
|
"name": "DWS Multi-Asset Conservative Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.212205306714407,
|
|
"corr_port": 0.2846451716501803,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18975516504126555,
|
|
"2023 rate shock": -0.058746983193560975,
|
|
"2024 vol spike": -0.02100512179320635,
|
|
"2025 tariff crash": -0.0728499719451352,
|
|
"2026 Q1 drawdown": -0.02907254358777356
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18975516504126555,
|
|
"max_ret": -0.02100512179320635,
|
|
"all_pos": false
|
|
},
|
|
"spdw": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Developed World ex-US ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.04602209761126445,
|
|
"corr_port": 0.3666720952997476,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2869054611937386,
|
|
"2023 rate shock": -0.11291771860356437,
|
|
"2024 vol spike": -0.07052332360092173,
|
|
"2025 tariff crash": -0.11442524910661733,
|
|
"2026 Q1 drawdown": -0.07241817843388831
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2869054611937386,
|
|
"max_ret": -0.07052332360092173,
|
|
"all_pos": false
|
|
},
|
|
"specx": {
|
|
"name": "Alger Spectra Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.35039100314095806,
|
|
"corr_port": 0.10154250257861976,
|
|
"rets": {
|
|
"2022 bear mkt": -0.376245772525561,
|
|
"2023 rate shock": -0.09603353116059699,
|
|
"2024 vol spike": -0.0979102349777895,
|
|
"2025 tariff crash": -0.26331451287685415,
|
|
"2026 Q1 drawdown": -0.15731314793001305
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.376245772525561,
|
|
"max_ret": -0.09603353116059699,
|
|
"all_pos": false
|
|
},
|
|
"spegx": {
|
|
"name": "Alger Responsible Investing Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4912892301576242,
|
|
"corr_port": 0.16534361471522863,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3384425660498279,
|
|
"2023 rate shock": -0.09829344119810124,
|
|
"2024 vol spike": -0.09486615437584978,
|
|
"2025 tariff crash": -0.23488865418120353,
|
|
"2026 Q1 drawdown": -0.12372142602428515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3384425660498279,
|
|
"max_ret": -0.09486615437584978,
|
|
"all_pos": false
|
|
},
|
|
"spem": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Emerging Markets ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.592431503983361,
|
|
"corr_port": 0.2671702087606569,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2520917568613653,
|
|
"2023 rate shock": -0.09902377653946115,
|
|
"2024 vol spike": -0.06538661994948913,
|
|
"2025 tariff crash": -0.14101926358495875,
|
|
"2026 Q1 drawdown": -0.09458383633728507
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2520917568613653,
|
|
"max_ret": -0.06538661994948913,
|
|
"all_pos": false
|
|
},
|
|
"speu": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Europe ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17120943070116046,
|
|
"corr_port": 0.35389156420011014,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31589787435314265,
|
|
"2023 rate shock": -0.1164245024916899,
|
|
"2024 vol spike": -0.053575550635535096,
|
|
"2025 tariff crash": -0.09952018582016875,
|
|
"2026 Q1 drawdown": -0.09375791702255387
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31589787435314265,
|
|
"max_ret": -0.053575550635535096,
|
|
"all_pos": false
|
|
},
|
|
"spfax": {
|
|
"name": "PGIM JENNISON FOCUSED GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4896623333840404,
|
|
"corr_port": 0.07841243536706055,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3936507174544509,
|
|
"2023 rate shock": -0.08826691031694256,
|
|
"2024 vol spike": -0.0952573842627451,
|
|
"2025 tariff crash": -0.2374594319140798,
|
|
"2026 Q1 drawdown": -0.1375643567753001
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3936507174544509,
|
|
"max_ret": -0.08826691031694256,
|
|
"all_pos": false
|
|
},
|
|
"spgbx": {
|
|
"name": "Symmetry Panoramic Global Systematic Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.38735219621085737,
|
|
"corr_port": -0.14366390427942927,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1366285887307661,
|
|
"2023 rate shock": -0.023160887036651756,
|
|
"2024 vol spike": 0.01881091660064871,
|
|
"2025 tariff crash": 0.0009834526579324265,
|
|
"2026 Q1 drawdown": -0.008752735229759279
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1366285887307661,
|
|
"max_ret": 0.01881091660064871,
|
|
"all_pos": false
|
|
},
|
|
"spgex": {
|
|
"name": "Symmetry Panoramic Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.43297184687245494,
|
|
"corr_port": 0.2883422078162079,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22977819691316337,
|
|
"2023 rate shock": -0.09859142161194279,
|
|
"2024 vol spike": -0.06749316003508299,
|
|
"2025 tariff crash": -0.15477994575957477,
|
|
"2026 Q1 drawdown": -0.06703524533517624
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22977819691316337,
|
|
"max_ret": -0.06703524533517624,
|
|
"all_pos": false
|
|
},
|
|
"spgm": {
|
|
"name": "State Street(R) SPDR(R) Portfolio MSCI Global Stock Market ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.0319330104434332,
|
|
"corr_port": 0.28698717938703766,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25923594314366083,
|
|
"2023 rate shock": -0.10849380665277186,
|
|
"2024 vol spike": -0.07484410764915339,
|
|
"2025 tariff crash": -0.1672918784655545,
|
|
"2026 Q1 drawdown": -0.08150749748837105
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25923594314366083,
|
|
"max_ret": -0.07484410764915339,
|
|
"all_pos": false
|
|
},
|
|
"spgp": {
|
|
"name": "Invesco S&P 500 GARP ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.48385991687579066,
|
|
"corr_port": 0.31920069445985383,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20769365948408025,
|
|
"2023 rate shock": -0.09523466531159774,
|
|
"2024 vol spike": -0.08555689281662893,
|
|
"2025 tariff crash": -0.2041015653620738,
|
|
"2026 Q1 drawdown": -0.10306028096747066
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20769365948408025,
|
|
"max_ret": -0.08555689281662893,
|
|
"all_pos": false
|
|
},
|
|
"spgsx": {
|
|
"name": "State Street Premier Growth Equity V.I.S. Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.13959023670532883,
|
|
"corr_port": 0.145695220626689,
|
|
"rets": {
|
|
"2022 bear mkt": -0.331311564647193,
|
|
"2023 rate shock": -0.0907346022076384,
|
|
"2024 vol spike": -0.08495045412070301,
|
|
"2025 tariff crash": -0.22033611082668436,
|
|
"2026 Q1 drawdown": -0.1465651730997547
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.331311564647193,
|
|
"max_ret": -0.08495045412070301,
|
|
"all_pos": false
|
|
},
|
|
"spgtx": {
|
|
"name": "Symmetry Panoramic Tax Managed Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7073390114098607,
|
|
"corr_port": 0.2920889423806638,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23134834882631838,
|
|
"2023 rate shock": -0.09726214051178106,
|
|
"2024 vol spike": -0.06931319623083898,
|
|
"2025 tariff crash": -0.1493828217362324,
|
|
"2026 Q1 drawdown": -0.06517205422314909
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23134834882631838,
|
|
"max_ret": -0.06517205422314909,
|
|
"all_pos": false
|
|
},
|
|
"sphb": {
|
|
"name": "Invesco S&P 500 High Beta ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5535842063737886,
|
|
"corr_port": 0.25071422153532463,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2903098144146695,
|
|
"2023 rate shock": -0.20567143314199077,
|
|
"2024 vol spike": -0.10694679198910761,
|
|
"2025 tariff crash": -0.28362273622421175,
|
|
"2026 Q1 drawdown": -0.09938797824897938
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2903098144146695,
|
|
"max_ret": -0.09938797824897938,
|
|
"all_pos": false
|
|
},
|
|
"sphd": {
|
|
"name": "Invesco S&P 500 High Dividend Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7503653309984901,
|
|
"corr_port": 0.4030764787926089,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12356849698167172,
|
|
"2023 rate shock": -0.10515184454871063,
|
|
"2024 vol spike": -0.0037242481953290163,
|
|
"2025 tariff crash": -0.10801276957517347,
|
|
"2026 Q1 drawdown": 0.003609011234672277
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12356849698167172,
|
|
"max_ret": 0.003609011234672277,
|
|
"all_pos": false
|
|
},
|
|
"sphq": {
|
|
"name": "Invesco S&P 500 Quality ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4099641938590608,
|
|
"corr_port": 0.2989056662430717,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2455136126032268,
|
|
"2023 rate shock": -0.07923549839359079,
|
|
"2024 vol spike": -0.05080311201322085,
|
|
"2025 tariff crash": -0.16251184992040568,
|
|
"2026 Q1 drawdown": -0.06028659168307515
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2455136126032268,
|
|
"max_ret": -0.05080311201322085,
|
|
"all_pos": false
|
|
},
|
|
"sphy": {
|
|
"name": "State Street(R) SPDR(R) Portfolio High Yield Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5110209415629007,
|
|
"corr_port": 0.1697475904406023,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14229255764124749,
|
|
"2023 rate shock": -0.021086034308627877,
|
|
"2024 vol spike": -0.007220112208139784,
|
|
"2025 tariff crash": -0.04571836856151357,
|
|
"2026 Q1 drawdown": -0.01796736265650478
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14229255764124749,
|
|
"max_ret": -0.007220112208139784,
|
|
"all_pos": false
|
|
},
|
|
"spiax": {
|
|
"name": "INVESCO S&P 500 INDEX FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6944919032379421,
|
|
"corr_port": 0.2811324033552422,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2476227528302165,
|
|
"2023 rate shock": -0.09828973703185795,
|
|
"2024 vol spike": -0.07180259200633055,
|
|
"2025 tariff crash": -0.18500703045514422,
|
|
"2026 Q1 drawdown": -0.0884846927591072
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2476227528302165,
|
|
"max_ret": -0.07180259200633055,
|
|
"all_pos": false
|
|
},
|
|
"spib": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Intermediate Term Corporate Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1637786917384991,
|
|
"corr_port": 0.005872417331564821,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12153373332116257,
|
|
"2023 rate shock": -0.01805296559398406,
|
|
"2024 vol spike": 0.012607799246976192,
|
|
"2025 tariff crash": -0.0004792963835719144,
|
|
"2026 Q1 drawdown": -0.007052591970403421
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12153373332116257,
|
|
"max_ret": 0.012607799246976192,
|
|
"all_pos": false
|
|
},
|
|
"spilx": {
|
|
"name": "Symmetry Panoramic International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4726004726186001,
|
|
"corr_port": 0.29779517726539106,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26220479248316675,
|
|
"2023 rate shock": -0.09090909991311824,
|
|
"2024 vol spike": -0.07091633059612545,
|
|
"2025 tariff crash": -0.10522089606564666,
|
|
"2026 Q1 drawdown": -0.07334183673469385
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26220479248316675,
|
|
"max_ret": -0.07091633059612545,
|
|
"all_pos": false
|
|
},
|
|
"spinx": {
|
|
"name": "SIIT S&P 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.13585439226678814,
|
|
"corr_port": 0.28227146598425684,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24526089676406104,
|
|
"2023 rate shock": -0.09696440664722283,
|
|
"2024 vol spike": -0.07142854584398928,
|
|
"2025 tariff crash": -0.18387830984785125,
|
|
"2026 Q1 drawdown": -0.0879173576147887
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24526089676406104,
|
|
"max_ret": -0.07142854584398928,
|
|
"all_pos": false
|
|
},
|
|
"spip": {
|
|
"name": "State Street(R) SPDR(R) Portfolio TIPS ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.32220832572127733,
|
|
"corr_port": -0.05338143466673184,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1297677455596471,
|
|
"2023 rate shock": -0.0269813072668611,
|
|
"2024 vol spike": 0.012957439910608493,
|
|
"2025 tariff crash": 0.00911707697097186,
|
|
"2026 Q1 drawdown": -0.0018839929570489966
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1297677455596471,
|
|
"max_ret": 0.012957439910608493,
|
|
"all_pos": false
|
|
},
|
|
"splb": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Long Term Corporate Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4317825828448587,
|
|
"corr_port": -0.024592984363954094,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29209913994868053,
|
|
"2023 rate shock": -0.0914587840779979,
|
|
"2024 vol spike": 0.01629511765715952,
|
|
"2025 tariff crash": -0.03696438386728629,
|
|
"2026 Q1 drawdown": -0.02210161875861305
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.29209913994868053,
|
|
"max_ret": 0.01629511765715952,
|
|
"all_pos": false
|
|
},
|
|
"splv": {
|
|
"name": "Invesco S&P 500 Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.17736471807650087,
|
|
"corr_port": 0.34073076944107844,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14977592193504863,
|
|
"2023 rate shock": -0.08187655835992924,
|
|
"2024 vol spike": -0.010332264048202866,
|
|
"2025 tariff crash": -0.06404928620951911,
|
|
"2026 Q1 drawdown": 8.122228421081346e-05
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14977592193504863,
|
|
"max_ret": 8.122228421081346e-05,
|
|
"all_pos": false
|
|
},
|
|
"spmb": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Mortgage Backed Bond ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.22129291632316742,
|
|
"corr_port": -0.011845346050258483,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1426012590427823,
|
|
"2023 rate shock": -0.051653669077046827,
|
|
"2024 vol spike": 0.022198902595698566,
|
|
"2025 tariff crash": 0.007989222289067621,
|
|
"2026 Q1 drawdown": -0.004893188804212967
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1426012590427823,
|
|
"max_ret": 0.022198902595698566,
|
|
"all_pos": false
|
|
},
|
|
"spmd": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 400(TM) Mid Cap ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4022105835846416,
|
|
"corr_port": 0.3071831547947461,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20384377381590435,
|
|
"2023 rate shock": -0.14142516543172856,
|
|
"2024 vol spike": -0.06593618416713154,
|
|
"2025 tariff crash": -0.19184327940796075,
|
|
"2026 Q1 drawdown": -0.05140141465057124
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20384377381590435,
|
|
"max_ret": -0.05140141465057124,
|
|
"all_pos": false
|
|
},
|
|
"spmfx": {
|
|
"name": "Symmetry Panoramic Municipal Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0467430435487861,
|
|
"corr_port": 0.042020657455235706,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04198378143596826,
|
|
"2023 rate shock": -0.011339534889782232,
|
|
"2024 vol spike": 0.006211212863761473,
|
|
"2025 tariff crash": -0.02154103237580751,
|
|
"2026 Q1 drawdown": -0.00966069956297777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04198378143596826,
|
|
"max_ret": 0.006211212863761473,
|
|
"all_pos": false
|
|
},
|
|
"spmo": {
|
|
"name": "Invesco S&P 500 Momentum ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.015274765737807,
|
|
"corr_port": 0.23439672328782793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1987084951256245,
|
|
"2023 rate shock": -0.021225807960589704,
|
|
"2024 vol spike": -0.08654743816127919,
|
|
"2025 tariff crash": -0.1873483052866487,
|
|
"2026 Q1 drawdown": -0.10267918283368516
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1987084951256245,
|
|
"max_ret": -0.021225807960589704,
|
|
"all_pos": false
|
|
},
|
|
"spqax": {
|
|
"name": "PGIM JENNISON GLOBAL EQUITY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6271697771167869,
|
|
"corr_port": 0.3930154358289163,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2378103710810966,
|
|
"2023 rate shock": -0.10942039608648646,
|
|
"2024 vol spike": -0.039454867686279704,
|
|
"2025 tariff crash": -0.11021248741407308,
|
|
"2026 Q1 drawdown": -0.015790906360115042
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2378103710810966,
|
|
"max_ret": -0.015790906360115042,
|
|
"all_pos": false
|
|
},
|
|
"sprax": {
|
|
"name": "PGIM QUANT SOLUTIONS MID-CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0973369444871144,
|
|
"corr_port": 0.3959868143618255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19761003425760015,
|
|
"2023 rate shock": -0.14798006424511,
|
|
"2024 vol spike": -0.05594400547425349,
|
|
"2025 tariff crash": -0.1785998891962125,
|
|
"2026 Q1 drawdown": -0.029835064935064937
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19761003425760015,
|
|
"max_ret": -0.029835064935064937,
|
|
"all_pos": false
|
|
},
|
|
"spsb": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Short Term Corporate Bond ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7929908817243594,
|
|
"corr_port": 0.049795381631569616,
|
|
"rets": {
|
|
"2022 bear mkt": -0.047989582251791174,
|
|
"2023 rate shock": 0.00522807662148117,
|
|
"2024 vol spike": 0.008258985336972113,
|
|
"2025 tariff crash": 0.004655458228221443,
|
|
"2026 Q1 drawdown": -0.001880387954010243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.047989582251791174,
|
|
"max_ret": 0.008258985336972113,
|
|
"all_pos": false
|
|
},
|
|
"spsm": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 600(TM) Small Cap ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9361649162082183,
|
|
"corr_port": 0.30816582262298364,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2277746209412339,
|
|
"2023 rate shock": -0.15738834051482853,
|
|
"2024 vol spike": -0.07557990718721042,
|
|
"2025 tariff crash": -0.21687351765733542,
|
|
"2026 Q1 drawdown": -0.053469458149475346
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2277746209412339,
|
|
"max_ret": -0.053469458149475346,
|
|
"all_pos": false
|
|
},
|
|
"spti": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Intermediate Term Treasury ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0031586192808715,
|
|
"corr_port": -0.1952352553666767,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11305132958848718,
|
|
"2023 rate shock": -0.02001410070945686,
|
|
"2024 vol spike": 0.023681929804734825,
|
|
"2025 tariff crash": 0.024214381260090123,
|
|
"2026 Q1 drawdown": -0.0008560307306406667
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11305132958848718,
|
|
"max_ret": 0.024214381260090123,
|
|
"all_pos": false
|
|
},
|
|
"sptl": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Long Term Treasury ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3549666029043947,
|
|
"corr_port": -0.19950584867724785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27797730837813794,
|
|
"2023 rate shock": -0.1215845808685736,
|
|
"2024 vol spike": 0.0492541253759744,
|
|
"2025 tariff crash": 0.0075894837856325115,
|
|
"2026 Q1 drawdown": -0.003248587701447647
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.27797730837813794,
|
|
"max_ret": 0.0492541253759744,
|
|
"all_pos": false
|
|
},
|
|
"sptm": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 1500(R) Composite Stock Market ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2919787170691888,
|
|
"corr_port": 0.2862996281271352,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2414078371444468,
|
|
"2023 rate shock": -0.10061423403084058,
|
|
"2024 vol spike": -0.07077804599723725,
|
|
"2025 tariff crash": -0.1845015341282863,
|
|
"2026 Q1 drawdown": -0.08433879560944535
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2414078371444468,
|
|
"max_ret": -0.07077804599723725,
|
|
"all_pos": false
|
|
},
|
|
"spts": {
|
|
"name": "State Street(R) SPDR(R) Portfolio Short Term Treasury ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -4.714810594075649,
|
|
"corr_port": -0.09368465015055957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.044320978378701636,
|
|
"2023 rate shock": 0.008810195062480819,
|
|
"2024 vol spike": 0.011266162834651094,
|
|
"2025 tariff crash": 0.01499749941207229,
|
|
"2026 Q1 drawdown": 0.0012158746542434429
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.044320978378701636,
|
|
"max_ret": 0.01499749941207229,
|
|
"all_pos": false
|
|
},
|
|
"spubx": {
|
|
"name": "Symmetry Panoramic US Systematic Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8723485903447492,
|
|
"corr_port": -0.1258995576029626,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10549839831262753,
|
|
"2023 rate shock": -0.017415371697811377,
|
|
"2024 vol spike": 0.01984588948712185,
|
|
"2025 tariff crash": 0.004072076408375702,
|
|
"2026 Q1 drawdown": -0.00692747743943789
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10549839831262753,
|
|
"max_ret": 0.01984588948712185,
|
|
"all_pos": false
|
|
},
|
|
"spusx": {
|
|
"name": "Symmetry Panoramic US Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.45223875658056695,
|
|
"corr_port": 0.26030140869221235,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20773920834311388,
|
|
"2023 rate shock": -0.10241387877946773,
|
|
"2024 vol spike": -0.06550225525582443,
|
|
"2025 tariff crash": -0.18303276999504992,
|
|
"2026 Q1 drawdown": -0.06691919191919193
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20773920834311388,
|
|
"max_ret": -0.06550225525582443,
|
|
"all_pos": false
|
|
},
|
|
"spvm": {
|
|
"name": "Invesco S&P 500 Value with Momentum ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7108945149785649,
|
|
"corr_port": 0.4377787450216702,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13532070712517774,
|
|
"2023 rate shock": -0.08138333618136118,
|
|
"2024 vol spike": -0.0634864402734806,
|
|
"2025 tariff crash": -0.14312729746009245,
|
|
"2026 Q1 drawdown": -0.020670865586625897
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14312729746009245,
|
|
"max_ret": -0.020670865586625897,
|
|
"all_pos": false
|
|
},
|
|
"spyd": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 500(R) High Dividend ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1619569433460835,
|
|
"corr_port": 0.3941741109813434,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14631474874656814,
|
|
"2023 rate shock": -0.13304092288064928,
|
|
"2024 vol spike": -0.023570421648276607,
|
|
"2025 tariff crash": -0.12342372372286892,
|
|
"2026 Q1 drawdown": 0.015350987890397683
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14631474874656814,
|
|
"max_ret": 0.015350987890397683,
|
|
"all_pos": false
|
|
},
|
|
"spyg": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 500(R) Growth ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.007285806198007,
|
|
"corr_port": 0.18670656459837065,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3130103370858116,
|
|
"2023 rate shock": -0.08764090183101969,
|
|
"2024 vol spike": -0.09160666979806731,
|
|
"2025 tariff crash": -0.21565466078463724,
|
|
"2026 Q1 drawdown": -0.1292951798479598
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3130103370858116,
|
|
"max_ret": -0.08764090183101969,
|
|
"all_pos": false
|
|
},
|
|
"spygx": {
|
|
"name": "Spyglass Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4559329850696823,
|
|
"corr_port": 0.04561194125639754,
|
|
"rets": {
|
|
"2022 bear mkt": -0.46149460295773936,
|
|
"2023 rate shock": -0.1377388535031847,
|
|
"2024 vol spike": -0.07399864222674812,
|
|
"2025 tariff crash": -0.28407460545193686,
|
|
"2026 Q1 drawdown": -0.21719030578513432
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.46149460295773936,
|
|
"max_ret": -0.07399864222674812,
|
|
"all_pos": false
|
|
},
|
|
"spyv": {
|
|
"name": "State Street(R) SPDR(R) Portfolio S&P 500(R) Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.100421105856186,
|
|
"corr_port": 0.37915651896427016,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16985816892589756,
|
|
"2023 rate shock": -0.10688181454779888,
|
|
"2024 vol spike": -0.04293279209519152,
|
|
"2025 tariff crash": -0.14890625964654225,
|
|
"2026 Q1 drawdown": -0.03826361692705216
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16985816892589756,
|
|
"max_ret": -0.03826361692705216,
|
|
"all_pos": false
|
|
},
|
|
"spyx": {
|
|
"name": "State Street(R) SPDR(R) S&P(R) 500 Fossil Fuel Reserves Free ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.013158363033658065,
|
|
"corr_port": 0.24389944389714724,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2607167104390957,
|
|
"2023 rate shock": -0.09971908577235555,
|
|
"2024 vol spike": -0.07142851234478576,
|
|
"2025 tariff crash": -0.1838240324155076,
|
|
"2026 Q1 drawdown": -0.09444844597784496
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2607167104390957,
|
|
"max_ret": -0.07142851234478576,
|
|
"all_pos": false
|
|
},
|
|
"sqmax": {
|
|
"name": "DWS Massachusetts Tax-Free Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2894403884861981,
|
|
"corr_port": 0.013999399708583974,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1268078770443931,
|
|
"2023 rate shock": -0.048097954839273926,
|
|
"2024 vol spike": 0.013594021076041685,
|
|
"2025 tariff crash": -0.029102877009087647,
|
|
"2026 Q1 drawdown": -0.007143831304184389
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1268078770443931,
|
|
"max_ret": 0.013594021076041685,
|
|
"all_pos": false
|
|
},
|
|
"sraax": {
|
|
"name": "SIMT Real Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.0037851517991414,
|
|
"corr_port": 0.010490632838661624,
|
|
"rets": {
|
|
"2022 bear mkt": -0.049109124401211735,
|
|
"2023 rate shock": 0.003710020337476694,
|
|
"2024 vol spike": 0.006315845220246308,
|
|
"2025 tariff crash": 0.01778000454850237,
|
|
"2026 Q1 drawdown": 0.0030801496764696346
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.049109124401211735,
|
|
"max_ret": 0.01778000454850237,
|
|
"all_pos": false
|
|
},
|
|
"sreax": {
|
|
"name": "PGIM Select Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5387402649127849,
|
|
"corr_port": 0.2825879100269735,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3346246529977508,
|
|
"2023 rate shock": -0.13112757935016284,
|
|
"2024 vol spike": -0.028025366939227303,
|
|
"2025 tariff crash": -0.12772359547289436,
|
|
"2026 Q1 drawdown": -0.021231373904768924
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3346246529977508,
|
|
"max_ret": -0.021231373904768924,
|
|
"all_pos": false
|
|
},
|
|
"srigx": {
|
|
"name": "Gabelli SRI Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2131564409076485,
|
|
"corr_port": 0.36907937245040595,
|
|
"rets": {
|
|
"2022 bear mkt": -0.294660484942201,
|
|
"2023 rate shock": -0.13260524097993442,
|
|
"2024 vol spike": -0.0681492053882915,
|
|
"2025 tariff crash": -0.14705879890062212,
|
|
"2026 Q1 drawdown": -0.08173784977908682
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.294660484942201,
|
|
"max_ret": -0.0681492053882915,
|
|
"all_pos": false
|
|
},
|
|
"srmax": {
|
|
"name": "DWS Short-Term Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2277596923710755,
|
|
"corr_port": 0.03804659058127346,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04453306607263974,
|
|
"2023 rate shock": -0.0071172009515394485,
|
|
"2024 vol spike": 0.0073461465886728305,
|
|
"2025 tariff crash": -0.0035718358963799934,
|
|
"2026 Q1 drawdown": -0.0036495675209340384
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04453306607263974,
|
|
"max_ret": 0.0073461465886728305,
|
|
"all_pos": false
|
|
},
|
|
"srtmx": {
|
|
"name": "Series M",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.17451528215262035,
|
|
"corr_port": 0.03270307035529143,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08736070450638522,
|
|
"2023 rate shock": -0.030686532563517832,
|
|
"2024 vol spike": 0.010716707873096976,
|
|
"2025 tariff crash": -0.017821989831499185,
|
|
"2026 Q1 drawdown": -0.017704891224930908
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.08736070450638522,
|
|
"max_ret": 0.010716707873096976,
|
|
"all_pos": false
|
|
},
|
|
"srwax": {
|
|
"name": "SAAT MARKET GROWTH STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.18147238805472687,
|
|
"corr_port": 0.3643840773435107,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20714470348434755,
|
|
"2023 rate shock": -0.07300553915723318,
|
|
"2024 vol spike": -0.03980891274078324,
|
|
"2025 tariff crash": -0.09918435013701432,
|
|
"2026 Q1 drawdown": -0.04567806540658825
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20714470348434755,
|
|
"max_ret": -0.03980891274078324,
|
|
"all_pos": false
|
|
},
|
|
"sscgx": {
|
|
"name": "SIMT SMALL CAP GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5776211903947412,
|
|
"corr_port": 0.24243021398862255,
|
|
"rets": {
|
|
"2022 bear mkt": -0.268860386448904,
|
|
"2023 rate shock": -0.17339960842869706,
|
|
"2024 vol spike": -0.08212819398945259,
|
|
"2025 tariff crash": -0.21250000957370363,
|
|
"2026 Q1 drawdown": -0.09907389561959323
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.268860386448904,
|
|
"max_ret": -0.08212819398945259,
|
|
"all_pos": false
|
|
},
|
|
"sscvx": {
|
|
"name": "Columbia Select Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3707849364397383,
|
|
"corr_port": 0.33938820135445363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21903050280347514,
|
|
"2023 rate shock": -0.17065862270680188,
|
|
"2024 vol spike": -0.06420236197835294,
|
|
"2025 tariff crash": -0.21375353931587804,
|
|
"2026 Q1 drawdown": -0.015616285554935883
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21903050280347514,
|
|
"max_ret": -0.015616285554935883,
|
|
"all_pos": false
|
|
},
|
|
"ssdix": {
|
|
"name": "DWS Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4952752921299277,
|
|
"corr_port": 0.2212854711937069,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2902506016703933,
|
|
"2023 rate shock": -0.1516770323152996,
|
|
"2024 vol spike": -0.06829788861083774,
|
|
"2025 tariff crash": -0.1911272607537975,
|
|
"2026 Q1 drawdown": -0.09877793021328729
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2902506016703933,
|
|
"max_ret": -0.06829788861083774,
|
|
"all_pos": false
|
|
},
|
|
"sseax": {
|
|
"name": "SIIT Screened World Equity Ex-US Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17852363301291138,
|
|
"corr_port": 0.4083339772115271,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25817257866901167,
|
|
"2023 rate shock": -0.10521416453388432,
|
|
"2024 vol spike": -0.06782601539493516,
|
|
"2025 tariff crash": -0.12224100413872152,
|
|
"2026 Q1 drawdown": -0.08608205953338699
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25817257866901167,
|
|
"max_ret": -0.06782601539493516,
|
|
"all_pos": false
|
|
},
|
|
"ssgax": {
|
|
"name": "SAAT AGGRESSIVE STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1971000497069089,
|
|
"corr_port": 0.3703961304881523,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2404116950281351,
|
|
"2023 rate shock": -0.0951084462315307,
|
|
"2024 vol spike": -0.05751914294752569,
|
|
"2025 tariff crash": -0.12820229491575696,
|
|
"2026 Q1 drawdown": -0.06623300777630192
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2404116950281351,
|
|
"max_ret": -0.05751914294752569,
|
|
"all_pos": false
|
|
},
|
|
"ssgfx": {
|
|
"name": "SATURNA GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9452443123224552,
|
|
"corr_port": 0.1942736215050734,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2864765051630721,
|
|
"2023 rate shock": -0.10786092448373807,
|
|
"2024 vol spike": -0.0810760760750977,
|
|
"2025 tariff crash": -0.19522123980134465,
|
|
"2026 Q1 drawdown": -0.1128628820750196
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2864765051630721,
|
|
"max_ret": -0.0810760760750977,
|
|
"all_pos": false
|
|
},
|
|
"sshfx": {
|
|
"name": "Sound Shore Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5166236996552483,
|
|
"corr_port": 0.37518854442834615,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21353116436856068,
|
|
"2023 rate shock": -0.09872355470908967,
|
|
"2024 vol spike": -0.05053349066903379,
|
|
"2025 tariff crash": -0.15652842751598883,
|
|
"2026 Q1 drawdown": -0.0741289518984285
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21353116436856068,
|
|
"max_ret": -0.05053349066903379,
|
|
"all_pos": false
|
|
},
|
|
"ssifx": {
|
|
"name": "Saturna International Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5938541094052124,
|
|
"corr_port": 0.21056869713557577,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3023361478171973,
|
|
"2023 rate shock": -0.0822878530638812,
|
|
"2024 vol spike": -0.05841924744933236,
|
|
"2025 tariff crash": -0.18440015601723714,
|
|
"2026 Q1 drawdown": -0.06989137636974418
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3023361478171973,
|
|
"max_ret": -0.05841924744933236,
|
|
"all_pos": false
|
|
},
|
|
"ssmax": {
|
|
"name": "SIIT SMALL MID CAP EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8577849649269798,
|
|
"corr_port": 0.31147828706163755,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23371984638738108,
|
|
"2023 rate shock": -0.14625214778874318,
|
|
"2024 vol spike": -0.06296305171178629,
|
|
"2025 tariff crash": -0.1839085177766555,
|
|
"2026 Q1 drawdown": -0.06182525213590506
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23371984638738108,
|
|
"max_ret": -0.06182525213590506,
|
|
"all_pos": false
|
|
},
|
|
"sspix": {
|
|
"name": "SIMT S&P 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.40447978741656776,
|
|
"corr_port": 0.28268726919998716,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24611828147054715,
|
|
"2023 rate shock": -0.09745630445105591,
|
|
"2024 vol spike": -0.07170064010731736,
|
|
"2025 tariff crash": -0.18446562815412892,
|
|
"2026 Q1 drawdown": -0.0884143844244557
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24611828147054715,
|
|
"max_ret": -0.07170064010731736,
|
|
"all_pos": false
|
|
},
|
|
"stbax": {
|
|
"name": "INVESCO Short Term Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.8251898904617645,
|
|
"corr_port": 0.07409511028295458,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0638935710057984,
|
|
"2023 rate shock": 0.00393001872477905,
|
|
"2024 vol spike": 0.011852690403281407,
|
|
"2025 tariff crash": 0.007703033046149166,
|
|
"2026 Q1 drawdown": -0.004334948257439963
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0638935710057984,
|
|
"max_ret": 0.011852690403281407,
|
|
"all_pos": false
|
|
},
|
|
"stdax": {
|
|
"name": "SAAT DEFENSIVE STRATEGY ALLOCATION FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 7.7397807503997775,
|
|
"corr_port": 0.2997942396937014,
|
|
"rets": {
|
|
"2022 bear mkt": -0.023874378835881505,
|
|
"2023 rate shock": 0.006464460375171566,
|
|
"2024 vol spike": 0.0008976772515283393,
|
|
"2025 tariff crash": -0.004048727999998447,
|
|
"2026 Q1 drawdown": -0.0008951836509235589
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.023874378835881505,
|
|
"max_ret": 0.006464460375171566,
|
|
"all_pos": false
|
|
},
|
|
"stesx": {
|
|
"name": "International Strategic Equities Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.6242830440630632,
|
|
"corr_port": 0.36473982533080646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28689126933706977,
|
|
"2023 rate shock": -0.1008620831585113,
|
|
"2024 vol spike": -0.0886075775703341,
|
|
"2025 tariff crash": -0.12490972884020823,
|
|
"2026 Q1 drawdown": -0.06968838526912169
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28689126933706977,
|
|
"max_ret": -0.06968838526912169,
|
|
"all_pos": false
|
|
},
|
|
"sthyx": {
|
|
"name": "AB Sustainable Thematic Credit Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.420027999027345,
|
|
"corr_port": -0.07957782730036313,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20502356886284712,
|
|
"2023 rate shock": -0.050374385349149176,
|
|
"2024 vol spike": 0.01545573201609085,
|
|
"2025 tariff crash": -0.005393544625252211,
|
|
"2026 Q1 drawdown": -0.010718945059854823
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.20502356886284712,
|
|
"max_ret": 0.01545573201609085,
|
|
"all_pos": false
|
|
},
|
|
"stiax": {
|
|
"name": "Federated Hermes Strategic Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.06365827499313467,
|
|
"corr_port": 0.25381585705098425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17096000079921636,
|
|
"2023 rate shock": -0.04609392112745936,
|
|
"2024 vol spike": 0.002445230157928302,
|
|
"2025 tariff crash": -0.02238086460154265,
|
|
"2026 Q1 drawdown": -0.008958075963278134
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17096000079921636,
|
|
"max_ret": 0.002445230157928302,
|
|
"all_pos": false
|
|
},
|
|
"stmsx": {
|
|
"name": "SIMT TAX-MANAGED SMALL/MID CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2647628491319508,
|
|
"corr_port": 0.3180557327903571,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23041961480225415,
|
|
"2023 rate shock": -0.13819001679234177,
|
|
"2024 vol spike": -0.06822323760815419,
|
|
"2025 tariff crash": -0.18429262459477613,
|
|
"2026 Q1 drawdown": -0.07532880516930607
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23041961480225415,
|
|
"max_ret": -0.06822323760815419,
|
|
"all_pos": false
|
|
},
|
|
"stsvx": {
|
|
"name": "BNY Mellon Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.2590203891118895,
|
|
"corr_port": 0.3313703865662111,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1625843817722762,
|
|
"2023 rate shock": -0.15114580090965068,
|
|
"2024 vol spike": -0.08086125682030099,
|
|
"2025 tariff crash": -0.21621631681488973,
|
|
"2026 Q1 drawdown": -0.06048906048906044
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21621631681488973,
|
|
"max_ret": -0.06048906048906044,
|
|
"all_pos": false
|
|
},
|
|
"suhax": {
|
|
"name": "DWS Health and Wellness Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.343145089199666,
|
|
"corr_port": 0.22652269774731623,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14431384084978605,
|
|
"2023 rate shock": -0.07887474877687162,
|
|
"2024 vol spike": -0.03175002897216683,
|
|
"2025 tariff crash": -0.10863945663930163,
|
|
"2026 Q1 drawdown": -0.08157407040849818
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14431384084978605,
|
|
"max_ret": -0.03175002897216683,
|
|
"all_pos": false
|
|
},
|
|
"suiax": {
|
|
"name": "DWS CROCI International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.7778146106420047,
|
|
"corr_port": 0.4209251849996812,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2841336476689553,
|
|
"2023 rate shock": -0.09869517998165467,
|
|
"2024 vol spike": -0.07392762849327683,
|
|
"2025 tariff crash": -0.09429703416142032,
|
|
"2026 Q1 drawdown": -0.05263889577047465
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2841336476689553,
|
|
"max_ret": -0.05263889577047465,
|
|
"all_pos": false
|
|
},
|
|
"supax": {
|
|
"name": "DWS Equity Sector Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5423585648131964,
|
|
"corr_port": 0.2921579422460209,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2340837183280834,
|
|
"2023 rate shock": -0.07608700675568647,
|
|
"2024 vol spike": -0.0606919158094108,
|
|
"2025 tariff crash": -0.16798315562427024,
|
|
"2026 Q1 drawdown": -0.09828674481514876
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2340837183280834,
|
|
"max_ret": -0.0606919158094108,
|
|
"all_pos": false
|
|
},
|
|
"susax": {
|
|
"name": "SIIT Ultra Short Duration Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.3765936769399478,
|
|
"corr_port": 0.061993289840728334,
|
|
"rets": {
|
|
"2022 bear mkt": -0.018808387958679007,
|
|
"2023 rate shock": 0.008501573618722835,
|
|
"2024 vol spike": 0.0071797277078051724,
|
|
"2025 tariff crash": 0.007768303010489586,
|
|
"2026 Q1 drawdown": 0.0029082403285762837
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.018808387958679007,
|
|
"max_ret": 0.008501573618722835,
|
|
"all_pos": false
|
|
},
|
|
"suvax": {
|
|
"name": "PGIM QUANT SOLUTIONS LARGE-CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2767384278222496,
|
|
"corr_port": 0.41165082045003365,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1927119485365364,
|
|
"2023 rate shock": -0.12238332504682936,
|
|
"2024 vol spike": -0.05951506795108641,
|
|
"2025 tariff crash": -0.15635182943304993,
|
|
"2026 Q1 drawdown": -0.03594771241830064
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1927119485365364,
|
|
"max_ret": -0.03594771241830064,
|
|
"all_pos": false
|
|
},
|
|
"suwax": {
|
|
"name": "DWS Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5642872784024214,
|
|
"corr_port": 0.29197188686979636,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22049555442549873,
|
|
"2023 rate shock": -0.09314108343598515,
|
|
"2024 vol spike": -0.07047840213373824,
|
|
"2025 tariff crash": -0.1950954720413024,
|
|
"2026 Q1 drawdown": -0.09120423821218271
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22049555442549873,
|
|
"max_ret": -0.07047840213373824,
|
|
"all_pos": false
|
|
},
|
|
"svaax": {
|
|
"name": "Federated Hermes Strategic Value Dividend Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.6622925991950765,
|
|
"corr_port": 0.42668603626810436,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08024302216589152,
|
|
"2023 rate shock": -0.09503433069748257,
|
|
"2024 vol spike": -0.010628915998672772,
|
|
"2025 tariff crash": -0.09957386205282004,
|
|
"2026 Q1 drawdown": 0.029600540765746697
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09957386205282004,
|
|
"max_ret": 0.029600540765746697,
|
|
"all_pos": false
|
|
},
|
|
"svoax": {
|
|
"name": "SIMT US MANAGED VOLATILITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.470508989163689,
|
|
"corr_port": 0.3898118314406364,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12083484152419965,
|
|
"2023 rate shock": -0.07517070544448123,
|
|
"2024 vol spike": -0.023452782325403376,
|
|
"2025 tariff crash": -0.10575717760449532,
|
|
"2026 Q1 drawdown": -0.024737648509500887
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12083484152419965,
|
|
"max_ret": -0.023452782325403376,
|
|
"all_pos": false
|
|
},
|
|
"svsax": {
|
|
"name": "SAAT CONSERVATIVE STRATEGY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.761271897129269,
|
|
"corr_port": 0.3430520842416221,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0913716905155344,
|
|
"2023 rate shock": -0.023060602084962967,
|
|
"2024 vol spike": -0.005791173864661769,
|
|
"2025 tariff crash": -0.022638836466798096,
|
|
"2026 Q1 drawdown": -0.008287174950456833
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.0913716905155344,
|
|
"max_ret": -0.005791173864661769,
|
|
"all_pos": false
|
|
},
|
|
"svspx": {
|
|
"name": "State Street S&P 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1445445713044132,
|
|
"corr_port": 0.2853088097503285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24545847112086294,
|
|
"2023 rate shock": -0.09755005895099278,
|
|
"2024 vol spike": -0.0718151519561947,
|
|
"2025 tariff crash": -0.18452449013296346,
|
|
"2026 Q1 drawdown": -0.08795997151400337
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24545847112086294,
|
|
"max_ret": -0.0718151519561947,
|
|
"all_pos": false
|
|
},
|
|
"svtax": {
|
|
"name": "SIMT GLOBAL MANAGED VOLATILITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.7797121240185362,
|
|
"corr_port": 0.408274099173005,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1608083578571351,
|
|
"2023 rate shock": -0.06069653472452208,
|
|
"2024 vol spike": -0.03183538902819083,
|
|
"2025 tariff crash": -0.07822818617393912,
|
|
"2026 Q1 drawdown": -0.013084112149532645
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1608083578571351,
|
|
"max_ret": -0.013084112149532645,
|
|
"all_pos": false
|
|
},
|
|
"svyax": {
|
|
"name": "SIIT U.S. Managed Volatility Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.0168446441531735,
|
|
"corr_port": 0.40285544921308425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12013792208070495,
|
|
"2023 rate shock": -0.07227443746461637,
|
|
"2024 vol spike": -0.022708285824447394,
|
|
"2025 tariff crash": -0.1065235993721555,
|
|
"2026 Q1 drawdown": -0.015455797170185082
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12013792208070495,
|
|
"max_ret": -0.015455797170185082,
|
|
"all_pos": false
|
|
},
|
|
"swasx": {
|
|
"name": "Schwab Global Real Estate Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0827761421347397,
|
|
"corr_port": 0.3269993025732362,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3169975455357067,
|
|
"2023 rate shock": -0.13561136072741609,
|
|
"2024 vol spike": -0.0342681257979538,
|
|
"2025 tariff crash": -0.11269415989185028,
|
|
"2026 Q1 drawdown": -0.04680864975132615
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3169975455357067,
|
|
"max_ret": -0.0342681257979538,
|
|
"all_pos": false
|
|
},
|
|
"swrlx": {
|
|
"name": "Touchstone International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.814616159722308,
|
|
"corr_port": 0.37510261553513957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2500000977633696,
|
|
"2023 rate shock": -0.12708594052548627,
|
|
"2024 vol spike": -0.06683163130689618,
|
|
"2025 tariff crash": -0.08494200545484432,
|
|
"2026 Q1 drawdown": -0.06179009541117686
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2500000977633696,
|
|
"max_ret": -0.06179009541117686,
|
|
"all_pos": false
|
|
},
|
|
"sxmax": {
|
|
"name": "SAAT MODERATE STRATEGY ALLOCATION FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9977662296983482,
|
|
"corr_port": 0.40463158712067815,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1386643569774525,
|
|
"2023 rate shock": -0.06111761670491467,
|
|
"2024 vol spike": -0.022969376861528557,
|
|
"2025 tariff crash": -0.08526047220081001,
|
|
"2026 Q1 drawdown": -0.026429136363865346
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1386643569774525,
|
|
"max_ret": -0.022969376861528557,
|
|
"all_pos": false
|
|
},
|
|
"sxpax": {
|
|
"name": "DWS S&P 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0155405875893648,
|
|
"corr_port": 0.2828495808179668,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24787135069838995,
|
|
"2023 rate shock": -0.09799503355354755,
|
|
"2024 vol spike": -0.07192439505814752,
|
|
"2025 tariff crash": -0.1846596686158417,
|
|
"2026 Q1 drawdown": -0.08857702339503337
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24787135069838995,
|
|
"max_ret": -0.07192439505814752,
|
|
"all_pos": false
|
|
},
|
|
"szcax": {
|
|
"name": "DWS Small Cap Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0259831129314807,
|
|
"corr_port": 0.31285570819166586,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15909081814006165,
|
|
"2023 rate shock": -0.05258120619788231,
|
|
"2024 vol spike": -0.05699148447157121,
|
|
"2025 tariff crash": -0.15436514181805028,
|
|
"2026 Q1 drawdown": -0.04666289832352455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15909081814006165,
|
|
"max_ret": -0.04666289832352455,
|
|
"all_pos": false
|
|
},
|
|
"szeax": {
|
|
"name": "DWS Emerging Markets Fixed Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.10126020406194948,
|
|
"corr_port": 0.2707928490772545,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28777001185507467,
|
|
"2023 rate shock": -0.03466333817180889,
|
|
"2024 vol spike": -0.006896403331771439,
|
|
"2025 tariff crash": -0.030957676161584846,
|
|
"2026 Q1 drawdown": -0.02269160139897497
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28777001185507467,
|
|
"max_ret": -0.006896403331771439,
|
|
"all_pos": false
|
|
},
|
|
"sziax": {
|
|
"name": "DWS Total Return Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.306214913266044,
|
|
"corr_port": -0.04056781209155129,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1659387120444461,
|
|
"2023 rate shock": -0.04330324386102402,
|
|
"2024 vol spike": 0.014183934301408518,
|
|
"2025 tariff crash": -0.0017718373735503556,
|
|
"2026 Q1 drawdown": -0.011532923279625296
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1659387120444461,
|
|
"max_ret": 0.014183934301408518,
|
|
"all_pos": false
|
|
},
|
|
"szmax": {
|
|
"name": "DWS Intermediate Tax-Free Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6396519258380753,
|
|
"corr_port": 0.02402987923937379,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09847253486212404,
|
|
"2023 rate shock": -0.03793483869370118,
|
|
"2024 vol spike": 0.013304155003816875,
|
|
"2025 tariff crash": -0.021516219237609602,
|
|
"2026 Q1 drawdown": -0.011978823289246043
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09847253486212404,
|
|
"max_ret": 0.013304155003816875,
|
|
"all_pos": false
|
|
},
|
|
"taclx": {
|
|
"name": "Touchstone Large Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5952412188732562,
|
|
"corr_port": 0.3243297340692296,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23084939343864153,
|
|
"2023 rate shock": -0.10947238101576873,
|
|
"2024 vol spike": -0.04347824892835117,
|
|
"2025 tariff crash": -0.14243751567408258,
|
|
"2026 Q1 drawdown": -0.041666712042295884
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23084939343864153,
|
|
"max_ret": -0.041666712042295884,
|
|
"all_pos": false
|
|
},
|
|
"taftx": {
|
|
"name": "Tax-Exempt Fund of California",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2594376407676425,
|
|
"corr_port": 0.028709077056261162,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11792994803016399,
|
|
"2023 rate shock": -0.05060361239823841,
|
|
"2024 vol spike": 0.014944716014195336,
|
|
"2025 tariff crash": -0.03003266597901677,
|
|
"2026 Q1 drawdown": -0.010596295742416495
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11792994803016399,
|
|
"max_ret": 0.014944716014195336,
|
|
"all_pos": false
|
|
},
|
|
"taiax": {
|
|
"name": "American Funds Tax-Aware Conservative Growth and Income Portfolio",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4309902820994365,
|
|
"corr_port": 0.3521310821607113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16258484316492128,
|
|
"2023 rate shock": -0.0673289570187986,
|
|
"2024 vol spike": -0.016239858135909224,
|
|
"2025 tariff crash": -0.08394154545538113,
|
|
"2026 Q1 drawdown": -0.044198507170402856
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16258484316492128,
|
|
"max_ret": -0.016239858135909224,
|
|
"all_pos": false
|
|
},
|
|
"taibx": {
|
|
"name": "PGIM CORE BOND FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0665376565596445,
|
|
"corr_port": -0.0850546256840323,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1570044455838947,
|
|
"2023 rate shock": -0.04096324690495301,
|
|
"2024 vol spike": 0.02210338488008623,
|
|
"2025 tariff crash": 0.007380729755857907,
|
|
"2026 Q1 drawdown": -0.005641914167615725
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1570044455838947,
|
|
"max_ret": 0.02210338488008623,
|
|
"all_pos": false
|
|
},
|
|
"tarkx": {
|
|
"name": "Tarkio Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.21810948177913095,
|
|
"corr_port": 0.28391285261238003,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3773824486025449,
|
|
"2023 rate shock": -0.20008173353797554,
|
|
"2024 vol spike": -0.048294414026242904,
|
|
"2025 tariff crash": -0.2558539778330098,
|
|
"2026 Q1 drawdown": -0.08170899648307073
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3773824486025449,
|
|
"max_ret": -0.048294414026242904,
|
|
"all_pos": false
|
|
},
|
|
"tasvx": {
|
|
"name": "PGIM QUANT SOLUTIONS SMALL-CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.105621250208785,
|
|
"corr_port": 0.35819479431526535,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20026113933301992,
|
|
"2023 rate shock": -0.13806816239329212,
|
|
"2024 vol spike": -0.07798170340290056,
|
|
"2025 tariff crash": -0.1910713642133517,
|
|
"2026 Q1 drawdown": -0.03566131571761677
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20026113933301992,
|
|
"max_ret": -0.03566131571761677,
|
|
"all_pos": false
|
|
},
|
|
"tavfx": {
|
|
"name": "THIRD AVENUE VALUE FUND",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 2.0724260850576557,
|
|
"corr_port": 0.44203657808898966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0643735680765325,
|
|
"2023 rate shock": -0.1219217930570583,
|
|
"2024 vol spike": -0.08321789661814538,
|
|
"2025 tariff crash": -0.1361977550462512,
|
|
"2026 Q1 drawdown": -0.04837901677228251
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1361977550462512,
|
|
"max_ret": -0.04837901677228251,
|
|
"all_pos": false
|
|
},
|
|
"tbdax": {
|
|
"name": "PGIM JENNISON DIVERSIFIED GROWTH FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.0106120989381515,
|
|
"corr_port": 0.15200958847314588,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34221687642304566,
|
|
"2023 rate shock": -0.09907523832663478,
|
|
"2024 vol spike": -0.09884023789778196,
|
|
"2025 tariff crash": -0.22340966446309318,
|
|
"2026 Q1 drawdown": -0.12606630331753566
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34221687642304566,
|
|
"max_ret": -0.09884023789778196,
|
|
"all_pos": false
|
|
},
|
|
"tbhdx": {
|
|
"name": "TWEEDY, BROWNE WORLDWIDE HIGH DIVIDEND YIELD VALUE FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3476093300112919,
|
|
"corr_port": 0.4263484857615368,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24415509014413705,
|
|
"2023 rate shock": -0.09154925266971525,
|
|
"2024 vol spike": -0.054455431398006016,
|
|
"2025 tariff crash": -0.07256637202655825,
|
|
"2026 Q1 drawdown": -0.08307218136874661
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24415509014413705,
|
|
"max_ret": -0.054455431398006016,
|
|
"all_pos": false
|
|
},
|
|
"tbirx": {
|
|
"name": "Nuveen Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4765583192730879,
|
|
"corr_port": -0.11611449689917872,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1469106220135391,
|
|
"2023 rate shock": -0.04095988033973963,
|
|
"2024 vol spike": 0.022408028513758005,
|
|
"2025 tariff crash": 0.009937757892131138,
|
|
"2026 Q1 drawdown": -0.005274543657803887
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1469106220135391,
|
|
"max_ret": 0.022408028513758005,
|
|
"all_pos": false
|
|
},
|
|
"tblpx": {
|
|
"name": "T. Rowe Price Retirement Blend 2005 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.044055664745590334,
|
|
"corr_port": 0.10016570657235478,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1738691864723847,
|
|
"2023 rate shock": -0.055432153995863986,
|
|
"2024 vol spike": -0.021472326899164895,
|
|
"2025 tariff crash": -0.06493512675239299,
|
|
"2026 Q1 drawdown": -0.03548085901027087
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1738691864723847,
|
|
"max_ret": -0.021472326899164895,
|
|
"all_pos": false
|
|
},
|
|
"tblqx": {
|
|
"name": "T. Rowe Price Retirement Blend 2010 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.025319626929851784,
|
|
"corr_port": 0.10585784989135748,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17953858780246212,
|
|
"2023 rate shock": -0.05986698797831147,
|
|
"2024 vol spike": -0.02441508064999509,
|
|
"2025 tariff crash": -0.07114225190112422,
|
|
"2026 Q1 drawdown": -0.03899721448467963
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17953858780246212,
|
|
"max_ret": -0.02441508064999509,
|
|
"all_pos": false
|
|
},
|
|
"tblsx": {
|
|
"name": "T. Rowe Price Retirement Blend 2015 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.31587934890614816,
|
|
"corr_port": 0.10430425667502596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18618620482901427,
|
|
"2023 rate shock": -0.06284447983417207,
|
|
"2024 vol spike": -0.02628921971433107,
|
|
"2025 tariff crash": -0.07654083007690615,
|
|
"2026 Q1 drawdown": -0.04136029411764719
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18618620482901427,
|
|
"max_ret": -0.02628921971433107,
|
|
"all_pos": false
|
|
},
|
|
"tblvx": {
|
|
"name": "T. Rowe Price Retirement Blend 2025 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8907726774267013,
|
|
"corr_port": 0.10859316746514451,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2053837874818628,
|
|
"2023 rate shock": -0.07127186479470926,
|
|
"2024 vol spike": -0.03286848423412536,
|
|
"2025 tariff crash": -0.08932037279568728,
|
|
"2026 Q1 drawdown": -0.047111111111111104
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2053837874818628,
|
|
"max_ret": -0.03286848423412536,
|
|
"all_pos": false
|
|
},
|
|
"tblwx": {
|
|
"name": "T. Rowe Price Retirement Blend 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.678682072572642,
|
|
"corr_port": 0.11335122354226923,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22376240792679014,
|
|
"2023 rate shock": -0.08242940082820205,
|
|
"2024 vol spike": -0.040856028938783484,
|
|
"2025 tariff crash": -0.10650325632571767,
|
|
"2026 Q1 drawdown": -0.05428329092451223
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22376240792679014,
|
|
"max_ret": -0.040856028938783484,
|
|
"all_pos": false
|
|
},
|
|
"tblyx": {
|
|
"name": "T. Rowe Price Retirement Blend 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4536513189122251,
|
|
"corr_port": 0.11863649102272891,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23684220034592673,
|
|
"2023 rate shock": -0.09302336860386717,
|
|
"2024 vol spike": -0.05056177133293793,
|
|
"2025 tariff crash": -0.12781280254212213,
|
|
"2026 Q1 drawdown": -0.06438791732909388
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23684220034592673,
|
|
"max_ret": -0.05056177133293793,
|
|
"all_pos": false
|
|
},
|
|
"tcelx": {
|
|
"name": "T. Rowe Price China Evolution Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.251875838059757,
|
|
"corr_port": 0.08615435524847269,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32656822537210173,
|
|
"2023 rate shock": -0.14078501961590728,
|
|
"2024 vol spike": -0.06673122910072327,
|
|
"2025 tariff crash": -0.11811716300746877,
|
|
"2026 Q1 drawdown": -0.018750000000000044
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32656822537210173,
|
|
"max_ret": -0.018750000000000044,
|
|
"all_pos": false
|
|
},
|
|
"tcpax": {
|
|
"name": "Touchstone US Quality Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3811079626281761,
|
|
"corr_port": -0.14387340994997028,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14004989955328073,
|
|
"2023 rate shock": -0.03474496673660088,
|
|
"2024 vol spike": 0.021633825308204235,
|
|
"2025 tariff crash": 0.010368126459188609,
|
|
"2026 Q1 drawdown": -0.0017790727652794436
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14004989955328073,
|
|
"max_ret": 0.021633825308204235,
|
|
"all_pos": false
|
|
},
|
|
"tcsgx": {
|
|
"name": "SDIT SHORT DURATION GOVERNMENT FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.445989086226643,
|
|
"corr_port": -0.10498261954722136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0491209183504544,
|
|
"2023 rate shock": 0.003794555748327433,
|
|
"2024 vol spike": 0.01262744079896394,
|
|
"2025 tariff crash": 0.013518019062089603,
|
|
"2026 Q1 drawdown": -0.0005023101198698976
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.0491209183504544,
|
|
"max_ret": 0.013518019062089603,
|
|
"all_pos": false
|
|
},
|
|
"tebix": {
|
|
"name": "FRANKLIN MUTUAL BEACON FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0841479490659667,
|
|
"corr_port": 0.3837118821281761,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2524272958496747,
|
|
"2023 rate shock": -0.09603616286185512,
|
|
"2024 vol spike": -0.050837263646846265,
|
|
"2025 tariff crash": -0.12649157955463752,
|
|
"2026 Q1 drawdown": -0.07356815167797404
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2524272958496747,
|
|
"max_ret": -0.050837263646846265,
|
|
"all_pos": false
|
|
},
|
|
"tedix": {
|
|
"name": "FRANKLIN MUTUAL GLOBAL DISCOVERY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8761692653128392,
|
|
"corr_port": 0.4235693500039823,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18103928486413723,
|
|
"2023 rate shock": -0.0811953125309054,
|
|
"2024 vol spike": -0.05370606988864868,
|
|
"2025 tariff crash": -0.11766650878409246,
|
|
"2026 Q1 drawdown": -0.07185443765753252
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18103928486413723,
|
|
"max_ret": -0.05370606988864868,
|
|
"all_pos": false
|
|
},
|
|
"tedmx": {
|
|
"name": "Templeton Emerging Markets Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4512436851048521,
|
|
"corr_port": 0.28043500878377614,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3214582771336373,
|
|
"2023 rate shock": -0.12089094063434769,
|
|
"2024 vol spike": -0.07955132754310912,
|
|
"2025 tariff crash": -0.14630610516480214,
|
|
"2026 Q1 drawdown": -0.10672850513755394
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3214582771336373,
|
|
"max_ret": -0.07955132754310912,
|
|
"all_pos": false
|
|
},
|
|
"tedpx": {
|
|
"name": "Nuveen Emerging Markets Debt Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9313818781848877,
|
|
"corr_port": 0.2789774978816627,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21322949793682755,
|
|
"2023 rate shock": -0.047140318032713346,
|
|
"2024 vol spike": -0.001172249597113817,
|
|
"2025 tariff crash": -0.02938930159727382,
|
|
"2026 Q1 drawdown": -0.027778191408071584
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21322949793682755,
|
|
"max_ret": -0.001172249597113817,
|
|
"all_pos": false
|
|
},
|
|
"tegax": {
|
|
"name": "Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.454363477068035,
|
|
"corr_port": 0.19116207790398057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29031389122165563,
|
|
"2023 rate shock": -0.13495778024636818,
|
|
"2024 vol spike": -0.09247552907783163,
|
|
"2025 tariff crash": -0.24932058850963013,
|
|
"2026 Q1 drawdown": -0.07515817906952416
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29031389122165563,
|
|
"max_ret": -0.07515817906952416,
|
|
"all_pos": false
|
|
},
|
|
"temfx": {
|
|
"name": "Templeton Foreign Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10140632502530547,
|
|
"corr_port": 0.3990984384394927,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23473540309331253,
|
|
"2023 rate shock": -0.1148146804522644,
|
|
"2024 vol spike": -0.06611576052262924,
|
|
"2025 tariff crash": -0.1521997825800232,
|
|
"2026 Q1 drawdown": -0.09589041095890416
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23473540309331253,
|
|
"max_ret": -0.06611576052262924,
|
|
"all_pos": false
|
|
},
|
|
"temgx": {
|
|
"name": "Templeton Global Smaller Companies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4846401574738293,
|
|
"corr_port": 0.33887596024747985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33992802430318814,
|
|
"2023 rate shock": -0.14770238782647604,
|
|
"2024 vol spike": -0.06567175160852012,
|
|
"2025 tariff crash": -0.19062504497251942,
|
|
"2026 Q1 drawdown": -0.1124260355029586
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33992802430318814,
|
|
"max_ret": -0.06567175160852012,
|
|
"all_pos": false
|
|
},
|
|
"temix": {
|
|
"name": "FRANKLIN MUTUAL INTERNATIONAL VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6481296644997292,
|
|
"corr_port": 0.4002518463070662,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17710474669107912,
|
|
"2023 rate shock": -0.0954762139045815,
|
|
"2024 vol spike": -0.06969461168819091,
|
|
"2025 tariff crash": -0.11804771062998054,
|
|
"2026 Q1 drawdown": -0.08370839581707801
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17710474669107912,
|
|
"max_ret": -0.06969461168819091,
|
|
"all_pos": false
|
|
},
|
|
"temmx": {
|
|
"name": "Templeton Emerging Markets Small Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.46424482596185634,
|
|
"corr_port": 0.30572138870935517,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27408858267167413,
|
|
"2023 rate shock": -0.1030111095103966,
|
|
"2024 vol spike": -0.06091375562895618,
|
|
"2025 tariff crash": -0.10471975608893569,
|
|
"2026 Q1 drawdown": -0.07014157014157019
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27408858267167413,
|
|
"max_ret": -0.06091375562895618,
|
|
"all_pos": false
|
|
},
|
|
"temux": {
|
|
"name": "Emerging Markets Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6513148204568083,
|
|
"corr_port": 0.2959677158429232,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3038779392257044,
|
|
"2023 rate shock": -0.12146047585985553,
|
|
"2024 vol spike": -0.08108110520620193,
|
|
"2025 tariff crash": -0.14025249936604622,
|
|
"2026 Q1 drawdown": -0.08601036715079624
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3038779392257044,
|
|
"max_ret": -0.08108110520620193,
|
|
"all_pos": false
|
|
},
|
|
"temwx": {
|
|
"name": "Templeton World Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8039321754569646,
|
|
"corr_port": 0.28443345631858785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3020353947563149,
|
|
"2023 rate shock": -0.11016953383532169,
|
|
"2024 vol spike": -0.06670496098026746,
|
|
"2025 tariff crash": -0.15942855927298627,
|
|
"2026 Q1 drawdown": -0.1282608152173912
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3020353947563149,
|
|
"max_ret": -0.06670496098026746,
|
|
"all_pos": false
|
|
},
|
|
"tepax": {
|
|
"name": "American Funds Tax-Exempt Preservation Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.5905103162898044,
|
|
"corr_port": 0.018190050463802218,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05888353353048581,
|
|
"2023 rate shock": -0.018037862451263487,
|
|
"2024 vol spike": 0.008253726371484804,
|
|
"2025 tariff crash": -0.009376387512198825,
|
|
"2026 Q1 drawdown": -0.0061485564645088475
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.05888353353048581,
|
|
"max_ret": 0.008253726371484804,
|
|
"all_pos": false
|
|
},
|
|
"teplx": {
|
|
"name": "Templeton Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.2713642023393974,
|
|
"corr_port": 0.3736562489361961,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23396541598656984,
|
|
"2023 rate shock": -0.10887905353915894,
|
|
"2024 vol spike": -0.07337154954684766,
|
|
"2025 tariff crash": -0.1428571310059955,
|
|
"2026 Q1 drawdown": -0.11672355347179353
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23396541598656984,
|
|
"max_ret": -0.07337154954684766,
|
|
"all_pos": false
|
|
},
|
|
"teqix": {
|
|
"name": "FRANKLIN MUTUAL QUEST FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3769901582594574,
|
|
"corr_port": 0.35896953202970655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16791063237192683,
|
|
"2023 rate shock": -0.06415663193152565,
|
|
"2024 vol spike": -0.04787953857207716,
|
|
"2025 tariff crash": -0.10714281206865861,
|
|
"2026 Q1 drawdown": -0.04371921182266003
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16791063237192683,
|
|
"max_ret": -0.04371921182266003,
|
|
"all_pos": false
|
|
},
|
|
"tesix": {
|
|
"name": "FRANKLIN MUTUAL SHARES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.14161931309174003,
|
|
"corr_port": 0.40843876205205004,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19180660932676163,
|
|
"2023 rate shock": -0.09606274464562492,
|
|
"2024 vol spike": -0.05162017582476219,
|
|
"2025 tariff crash": -0.14164081590038813,
|
|
"2026 Q1 drawdown": -0.06834673278553904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19180660932676163,
|
|
"max_ret": -0.05162017582476219,
|
|
"all_pos": false
|
|
},
|
|
"tfcax": {
|
|
"name": "SIMT Tax-Free Conservative Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 6.67387933446532,
|
|
"corr_port": 0.04910903071653832,
|
|
"rets": {
|
|
"2022 bear mkt": 0.002906706295829675,
|
|
"2023 rate shock": 0.00562368843453287,
|
|
"2024 vol spike": 0.003408360583095238,
|
|
"2025 tariff crash": 0.00441437402220779,
|
|
"2026 Q1 drawdown": 0.0031073350503485475
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.002906706295829675,
|
|
"max_ret": 0.00562368843453287,
|
|
"all_pos": true
|
|
},
|
|
"tfoax": {
|
|
"name": "Touchstone Focused Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6520009420340115,
|
|
"corr_port": 0.27267459755885776,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23990013349768113,
|
|
"2023 rate shock": -0.10763709838100566,
|
|
"2024 vol spike": -0.054391557067156815,
|
|
"2025 tariff crash": -0.18064600513465323,
|
|
"2026 Q1 drawdown": -0.11239943607664826
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23990013349768113,
|
|
"max_ret": -0.054391557067156815,
|
|
"all_pos": false
|
|
},
|
|
"tfscx": {
|
|
"name": "Foreign Smaller Companies Series",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.172021970665015,
|
|
"corr_port": 0.3552470610263158,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3459819604332055,
|
|
"2023 rate shock": -0.12195594612649108,
|
|
"2024 vol spike": -0.06536291735597821,
|
|
"2025 tariff crash": -0.14663458961401676,
|
|
"2026 Q1 drawdown": -0.08054298642533941
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3459819604332055,
|
|
"max_ret": -0.06536291735597821,
|
|
"all_pos": false
|
|
},
|
|
"tgfrx": {
|
|
"name": "TANAKA Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4617191740935512,
|
|
"corr_port": 0.16079718476127808,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2574339817788982,
|
|
"2023 rate shock": -0.1332478321252889,
|
|
"2024 vol spike": -0.11616491139442064,
|
|
"2025 tariff crash": -0.17460653027305173,
|
|
"2026 Q1 drawdown": -0.1227564063219101
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2574339817788982,
|
|
"max_ret": -0.11616491139442064,
|
|
"all_pos": false
|
|
},
|
|
"tggbx": {
|
|
"name": "TCW Global Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7920582747084447,
|
|
"corr_port": -0.006292855876287324,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22029313020916186,
|
|
"2023 rate shock": -0.05221504343235717,
|
|
"2024 vol spike": 0.032883629391222025,
|
|
"2025 tariff crash": 0.015919198674276602,
|
|
"2026 Q1 drawdown": -0.029224144861603185
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.22029313020916186,
|
|
"max_ret": 0.032883629391222025,
|
|
"all_pos": false
|
|
},
|
|
"tgpex": {
|
|
"name": "T. Rowe Price Global Impact Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3999971622198637,
|
|
"corr_port": -0.0010356133121334652,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30446676314470467,
|
|
"2023 rate shock": -0.15736049477084302,
|
|
"2024 vol spike": -0.056137021452993596,
|
|
"2025 tariff crash": -0.1595546430842243,
|
|
"2026 Q1 drawdown": -0.1023489932885907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30446676314470467,
|
|
"max_ret": -0.056137021452993596,
|
|
"all_pos": false
|
|
},
|
|
"tgrnx": {
|
|
"name": "Nuveen Green Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7116859300842213,
|
|
"corr_port": -0.05616261698686053,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14123499555263375,
|
|
"2023 rate shock": -0.027814832226409902,
|
|
"2024 vol spike": 0.01577556552291637,
|
|
"2025 tariff crash": 0.005160991371360835,
|
|
"2026 Q1 drawdown": -0.006154286659398767
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14123499555263375,
|
|
"max_ret": 0.01577556552291637,
|
|
"all_pos": false
|
|
},
|
|
"tgtrx": {
|
|
"name": "Templeton Global Bond Enhanced Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.22899886205154804,
|
|
"corr_port": 0.17533529892107785,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2084286343216415,
|
|
"2023 rate shock": -0.06687004673368036,
|
|
"2024 vol spike": 0.013503909153374627,
|
|
"2025 tariff crash": -0.024033234599592168,
|
|
"2026 Q1 drawdown": -0.05590023954581691
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.2084286343216415,
|
|
"max_ret": 0.013503909153374627,
|
|
"all_pos": false
|
|
},
|
|
"tgvfx": {
|
|
"name": "Touchstone Dynamic Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1469107004173302,
|
|
"corr_port": 0.1800202215553992,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29595012595142345,
|
|
"2023 rate shock": -0.09364465810674805,
|
|
"2024 vol spike": -0.09033054067327762,
|
|
"2025 tariff crash": -0.2217726765739112,
|
|
"2026 Q1 drawdown": -0.1259244278617715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29595012595142345,
|
|
"max_ret": -0.09033054067327762,
|
|
"all_pos": false
|
|
},
|
|
"thcgx": {
|
|
"name": "Thornburg Focus Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4857622425130415,
|
|
"corr_port": 0.11814944682682724,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35459021425108495,
|
|
"2023 rate shock": -0.16177610038610035,
|
|
"2024 vol spike": -0.06760463512713222,
|
|
"2025 tariff crash": -0.25233046440596385,
|
|
"2026 Q1 drawdown": -0.11312075760639972
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35459021425108495,
|
|
"max_ret": -0.06760463512713222,
|
|
"all_pos": false
|
|
},
|
|
"thyax": {
|
|
"name": "Touchstone High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.02555199056866782,
|
|
"corr_port": 0.320674482590304,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14258302000668988,
|
|
"2023 rate shock": -0.015067877576304345,
|
|
"2024 vol spike": -0.004598373109268361,
|
|
"2025 tariff crash": -0.032628855644618704,
|
|
"2026 Q1 drawdown": -0.01231214153772986
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14258302000668988,
|
|
"max_ret": -0.004598373109268361,
|
|
"all_pos": false
|
|
},
|
|
"tiagx": {
|
|
"name": "Timothy Plan Small/Mid Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.22162144275150283,
|
|
"corr_port": 0.1800611481886855,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29632658820173063,
|
|
"2023 rate shock": -0.1505969108488967,
|
|
"2024 vol spike": -0.06245237554020511,
|
|
"2025 tariff crash": -0.2237871637843084,
|
|
"2026 Q1 drawdown": -0.03768844221105527
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29632658820173063,
|
|
"max_ret": -0.03768844221105527,
|
|
"all_pos": false
|
|
},
|
|
"tibdx": {
|
|
"name": "Nuveen Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8640076120153619,
|
|
"corr_port": -0.04336856780608212,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14962834543677594,
|
|
"2023 rate shock": -0.042486991162870025,
|
|
"2024 vol spike": 0.020076587726055584,
|
|
"2025 tariff crash": 0.00513211450647133,
|
|
"2026 Q1 drawdown": -0.0068855573567426775
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14962834543677594,
|
|
"max_ret": 0.020076587726055584,
|
|
"all_pos": false
|
|
},
|
|
"tibfx": {
|
|
"name": "Nuveen Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1809584090247767,
|
|
"corr_port": -0.010280208636048872,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1511736788954603,
|
|
"2023 rate shock": -0.0407296176849018,
|
|
"2024 vol spike": 0.019252084121641033,
|
|
"2025 tariff crash": 0.005438628639343301,
|
|
"2026 Q1 drawdown": -0.007420734446047184
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1511736788954603,
|
|
"max_ret": 0.019252084121641033,
|
|
"all_pos": false
|
|
},
|
|
"tibnx": {
|
|
"name": "Nuveen International Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3196637301267803,
|
|
"corr_port": 0.02307543932768409,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13816902825842292,
|
|
"2023 rate shock": -0.01616908792859395,
|
|
"2024 vol spike": 0.01048981600737342,
|
|
"2025 tariff crash": -0.0011534739137163408,
|
|
"2026 Q1 drawdown": -0.012543111784702243
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13816902825842292,
|
|
"max_ret": 0.01048981600737342,
|
|
"all_pos": false
|
|
},
|
|
"ticix": {
|
|
"name": "Timothy Plan Israel Common Values Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5902255525178538,
|
|
"corr_port": 0.20518213328979942,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24228769518523952,
|
|
"2023 rate shock": -0.23921205037112414,
|
|
"2024 vol spike": -0.1152466294365454,
|
|
"2025 tariff crash": -0.12667393636166813,
|
|
"2026 Q1 drawdown": -0.05616692013220814
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24228769518523952,
|
|
"max_ret": -0.05616692013220814,
|
|
"all_pos": false
|
|
},
|
|
"tigix": {
|
|
"name": "Timothy Plan Growth & Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6806277851193054,
|
|
"corr_port": 0.3667809432258915,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13486302841862874,
|
|
"2023 rate shock": -0.06668755034094076,
|
|
"2024 vol spike": -0.012059289472818535,
|
|
"2025 tariff crash": -0.06435572105221965,
|
|
"2026 Q1 drawdown": 0.006668166284812926
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13486302841862874,
|
|
"max_ret": 0.006668166284812926,
|
|
"all_pos": false
|
|
},
|
|
"tihyx": {
|
|
"name": "Nuveen High Yield Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5866068372937635,
|
|
"corr_port": 0.31299117388435915,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1319299180729947,
|
|
"2023 rate shock": -0.027538576695512407,
|
|
"2024 vol spike": -0.003671313285270039,
|
|
"2025 tariff crash": -0.0345204204553371,
|
|
"2026 Q1 drawdown": -0.014065611983342441
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1319299180729947,
|
|
"max_ret": -0.003671313285270039,
|
|
"all_pos": false
|
|
},
|
|
"tiilx": {
|
|
"name": "Nuveen Inflation Linked Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.5581912291704827,
|
|
"corr_port": -0.04128237922594017,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07712147190046448,
|
|
"2023 rate shock": -0.008845153699385544,
|
|
"2024 vol spike": 0.009496770116030229,
|
|
"2025 tariff crash": 0.015788391972609173,
|
|
"2026 Q1 drawdown": 0.0015766427732828436
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.07712147190046448,
|
|
"max_ret": 0.015788391972609173,
|
|
"all_pos": false
|
|
},
|
|
"tilcx": {
|
|
"name": "T. Rowe Price Large-Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7139132106461206,
|
|
"corr_port": 0.4042023819321801,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16625480613299992,
|
|
"2023 rate shock": -0.10089767514768588,
|
|
"2024 vol spike": -0.04908216306871238,
|
|
"2025 tariff crash": -0.14052281646030917,
|
|
"2026 Q1 drawdown": -0.03730100430423278
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16625480613299992,
|
|
"max_ret": -0.03730100430423278,
|
|
"all_pos": false
|
|
},
|
|
"tipx": {
|
|
"name": "State Street(R) SPDR(R) Bloomberg 1-10 Year TIPS ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.19762711473857,
|
|
"corr_port": -0.006429401727302882,
|
|
"rets": {
|
|
"2022 bear mkt": -0.08086667737368902,
|
|
"2023 rate shock": -0.007385181237049121,
|
|
"2024 vol spike": 0.009484910916329081,
|
|
"2025 tariff crash": 0.016624680342583575,
|
|
"2026 Q1 drawdown": 0.0005687194550259012
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.08086667737368902,
|
|
"max_ret": 0.016624680342583575,
|
|
"all_pos": false
|
|
},
|
|
"tiqix": {
|
|
"name": "Touchstone Non-US Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.40234520814625546,
|
|
"corr_port": 0.3407998897004793,
|
|
"rets": {
|
|
"2022 bear mkt": -0.29816511472724616,
|
|
"2023 rate shock": -0.1131510398091049,
|
|
"2024 vol spike": -0.06634909235891562,
|
|
"2025 tariff crash": -0.133753468445714,
|
|
"2026 Q1 drawdown": -0.10173913043478267
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.29816511472724616,
|
|
"max_ret": -0.06634909235891562,
|
|
"all_pos": false
|
|
},
|
|
"tirex": {
|
|
"name": "Nuveen Real Estate Securities Select Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.02048939042945083,
|
|
"corr_port": 0.22950083016247208,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34018433050912467,
|
|
"2023 rate shock": -0.14283480891124445,
|
|
"2024 vol spike": -0.010608640995202423,
|
|
"2025 tariff crash": -0.1371651903900194,
|
|
"2026 Q1 drawdown": 0.0032491767115181425
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.34018433050912467,
|
|
"max_ret": 0.0032491767115181425,
|
|
"all_pos": false
|
|
},
|
|
"tisix": {
|
|
"name": "Nuveen Short Term Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.971462640166521,
|
|
"corr_port": 0.007121416958294401,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03884091745593288,
|
|
"2023 rate shock": 0.0024533819565648596,
|
|
"2024 vol spike": 0.011684402893628043,
|
|
"2025 tariff crash": 0.011134825825081185,
|
|
"2026 Q1 drawdown": 7.964029501650316e-05
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.03884091745593288,
|
|
"max_ret": 0.011684402893628043,
|
|
"all_pos": false
|
|
},
|
|
"tixrx": {
|
|
"name": "Nuveen 5-15 Year Laddered Tax Exempt Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.2610791221091159,
|
|
"corr_port": 0.03944421174667722,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11824029160498362,
|
|
"2023 rate shock": -0.04364277679243689,
|
|
"2024 vol spike": 0.012608688365123744,
|
|
"2025 tariff crash": -0.027882634807334217,
|
|
"2026 Q1 drawdown": -0.01626982764452023
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11824029160498362,
|
|
"max_ret": 0.012608688365123744,
|
|
"all_pos": false
|
|
},
|
|
"tlbdx": {
|
|
"name": "Nuveen Life Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11048848183816641,
|
|
"corr_port": -0.043818996075680405,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17428574137412534,
|
|
"2023 rate shock": -0.03778714992768262,
|
|
"2024 vol spike": 0.019292731050071676,
|
|
"2025 tariff crash": 0.0032787972818948408,
|
|
"2026 Q1 drawdown": -0.005359056806002238
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17428574137412534,
|
|
"max_ret": 0.019292731050071676,
|
|
"all_pos": false
|
|
},
|
|
"tlchx": {
|
|
"name": "Nuveen Life Large Cap Responsible Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8884769447178457,
|
|
"corr_port": 0.25990003486132357,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36187969693914945,
|
|
"2023 rate shock": -0.10329332051127993,
|
|
"2024 vol spike": -0.07431482243674703,
|
|
"2025 tariff crash": -0.1678192831399884,
|
|
"2026 Q1 drawdown": -0.08298941233330648
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36187969693914945,
|
|
"max_ret": -0.07431482243674703,
|
|
"all_pos": false
|
|
},
|
|
"tldtx": {
|
|
"name": "T. Rowe Price U.S. Limited Duration TIPS Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.320147912799162,
|
|
"corr_port": 0.027216011407627073,
|
|
"rets": {
|
|
"2022 bear mkt": -0.055718169303689,
|
|
"2023 rate shock": 0.00434298003370559,
|
|
"2024 vol spike": 0.006465324748326617,
|
|
"2025 tariff crash": 0.019279052267701546,
|
|
"2026 Q1 drawdown": 0.0034814720137221755
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.055718169303689,
|
|
"max_ret": 0.019279052267701546,
|
|
"all_pos": false
|
|
},
|
|
"tleqx": {
|
|
"name": "Nuveen Life Small Cap Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.019916370826630683,
|
|
"corr_port": 0.2653844323587489,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36312221178920845,
|
|
"2023 rate shock": -0.16057514237557613,
|
|
"2024 vol spike": -0.08642763443407364,
|
|
"2025 tariff crash": -0.22062500907277227,
|
|
"2026 Q1 drawdown": -0.07692307692307687
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36312221178920845,
|
|
"max_ret": -0.07692307692307687,
|
|
"all_pos": false
|
|
},
|
|
"tlgqx": {
|
|
"name": "Nuveen Life Growth Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7657494282331627,
|
|
"corr_port": 0.10384148549279063,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4312499272723762,
|
|
"2023 rate shock": -0.10158126402064627,
|
|
"2024 vol spike": -0.09467169835073252,
|
|
"2025 tariff crash": -0.22472390606276615,
|
|
"2026 Q1 drawdown": -0.11539957115009747
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4312499272723762,
|
|
"max_ret": -0.09467169835073252,
|
|
"all_pos": false
|
|
},
|
|
"tlgwx": {
|
|
"name": "Nuveen Life Core Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1710751884683765,
|
|
"corr_port": 0.2430914031430581,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36645015423280625,
|
|
"2023 rate shock": -0.0874145630221207,
|
|
"2024 vol spike": -0.0706521231920404,
|
|
"2025 tariff crash": -0.19497398740048033,
|
|
"2026 Q1 drawdown": -0.10776044823771391
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.36645015423280625,
|
|
"max_ret": -0.0706521231920404,
|
|
"all_pos": false
|
|
},
|
|
"tlinx": {
|
|
"name": "Nuveen Life International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8038464038380451,
|
|
"corr_port": 0.3539921991152976,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32485328798716573,
|
|
"2023 rate shock": -0.09660362512359155,
|
|
"2024 vol spike": -0.07767002647118704,
|
|
"2025 tariff crash": -0.13769527851505303,
|
|
"2026 Q1 drawdown": -0.10522273425499229
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32485328798716573,
|
|
"max_ret": -0.07767002647118704,
|
|
"all_pos": false
|
|
},
|
|
"tllvx": {
|
|
"name": "Nuveen Life Large Cap Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.348027278934356,
|
|
"corr_port": 0.38124394624928964,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23886018042696733,
|
|
"2023 rate shock": -0.10166055909677962,
|
|
"2024 vol spike": -0.04983230285331908,
|
|
"2025 tariff crash": -0.14299518661244548,
|
|
"2026 Q1 drawdown": -0.053206002728512836
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23886018042696733,
|
|
"max_ret": -0.04983230285331908,
|
|
"all_pos": false
|
|
},
|
|
"tlrsx": {
|
|
"name": "Nuveen Life Real Estate Securities Select Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0062017001835746,
|
|
"corr_port": 0.20292871672635387,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4181817904998031,
|
|
"2023 rate shock": -0.14290871569373342,
|
|
"2024 vol spike": -0.010660949727651081,
|
|
"2025 tariff crash": -0.13819444755408705,
|
|
"2026 Q1 drawdown": 0.003668378576669129
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.4181817904998031,
|
|
"max_ret": 0.003668378576669129,
|
|
"all_pos": false
|
|
},
|
|
"tlstx": {
|
|
"name": "Nuveen Life Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.22489951037951747,
|
|
"corr_port": 0.23957837233438792,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2783305218246721,
|
|
"2023 rate shock": -0.10475346056615087,
|
|
"2024 vol spike": -0.07241296277511344,
|
|
"2025 tariff crash": -0.18874851983119234,
|
|
"2026 Q1 drawdown": -0.08633631918799389
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2783305218246721,
|
|
"max_ret": -0.07241296277511344,
|
|
"all_pos": false
|
|
},
|
|
"tmarx": {
|
|
"name": "Touchstone Ares Credit Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.8568457669417275,
|
|
"corr_port": 0.3027543651853113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10829201928179677,
|
|
"2023 rate shock": -0.019319028875566358,
|
|
"2024 vol spike": -0.004682068985410459,
|
|
"2025 tariff crash": -0.03612770485156669,
|
|
"2026 Q1 drawdown": -0.01665389703767617
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.10829201928179677,
|
|
"max_ret": -0.004682068985410459,
|
|
"all_pos": false
|
|
},
|
|
"tmcpx": {
|
|
"name": "TOUCHSTONE MID CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6931031516449628,
|
|
"corr_port": 0.2976946409215874,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19476871779061888,
|
|
"2023 rate shock": -0.12240777609336428,
|
|
"2024 vol spike": -0.049151058953575966,
|
|
"2025 tariff crash": -0.15820624546380913,
|
|
"2026 Q1 drawdown": -0.09974120621671778
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19476871779061888,
|
|
"max_ret": -0.049151058953575966,
|
|
"all_pos": false
|
|
},
|
|
"tmfcx": {
|
|
"name": "Touchstone Mid Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6953657720888093,
|
|
"corr_port": 0.37987062403937333,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16978723587445654,
|
|
"2023 rate shock": -0.12781240398149785,
|
|
"2024 vol spike": -0.05528088534330933,
|
|
"2025 tariff crash": -0.14732960760185942,
|
|
"2026 Q1 drawdown": -0.0004257130693910982
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16978723587445654,
|
|
"max_ret": -0.0004257130693910982,
|
|
"all_pos": false
|
|
},
|
|
"tmlcx": {
|
|
"name": "SIMT TAX-MANAGED LARGE CAP FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7468696655305765,
|
|
"corr_port": 0.33370898890783685,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22352041701662606,
|
|
"2023 rate shock": -0.1013831338100406,
|
|
"2024 vol spike": -0.06074292139611981,
|
|
"2025 tariff crash": -0.15870427165604262,
|
|
"2026 Q1 drawdown": -0.07194256089373907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22352041701662606,
|
|
"max_ret": -0.06074292139611981,
|
|
"all_pos": false
|
|
},
|
|
"tmmax": {
|
|
"name": "SIMT Tax-Managed Managed Volatility Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9325264440046499,
|
|
"corr_port": 0.36035076159362317,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11697992719149508,
|
|
"2023 rate shock": -0.05039958032605352,
|
|
"2024 vol spike": -0.025490431522877555,
|
|
"2025 tariff crash": -0.0782038180429181,
|
|
"2026 Q1 drawdown": -0.020156060856744373
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11697992719149508,
|
|
"max_ret": -0.020156060856744373,
|
|
"all_pos": false
|
|
},
|
|
"tmvix": {
|
|
"name": "Timothy Plan Large/Mid Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6495505888258627,
|
|
"corr_port": 0.31243241681877615,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20134238209761857,
|
|
"2023 rate shock": -0.11701644389413524,
|
|
"2024 vol spike": -0.030696578100138927,
|
|
"2025 tariff crash": -0.14369497779281204,
|
|
"2026 Q1 drawdown": -0.04508715440238198
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20134238209761857,
|
|
"max_ret": -0.030696578100138927,
|
|
"all_pos": false
|
|
},
|
|
"tnbix": {
|
|
"name": "1290 SmartBeta Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.49387446948171415,
|
|
"corr_port": 0.33473219274093285,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22855462043312857,
|
|
"2023 rate shock": -0.08736063222646917,
|
|
"2024 vol spike": -0.050106534504824385,
|
|
"2025 tariff crash": -0.11931827931692818,
|
|
"2026 Q1 drawdown": -0.054987788563882534
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22855462043312857,
|
|
"max_ret": -0.050106534504824385,
|
|
"all_pos": false
|
|
},
|
|
"tnhax": {
|
|
"name": "1290 High Yield Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9701098315741103,
|
|
"corr_port": 0.2958297036916569,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12648740513904821,
|
|
"2023 rate shock": -0.022421526658537694,
|
|
"2024 vol spike": -0.002756850264667543,
|
|
"2025 tariff crash": -0.02766558272225772,
|
|
"2026 Q1 drawdown": -0.01583946708829853
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12648740513904821,
|
|
"max_ret": -0.002756850264667543,
|
|
"all_pos": false
|
|
},
|
|
"tnibx": {
|
|
"name": "T. Rowe Price International Bond Fund (USD Hedged)",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.16194230998861409,
|
|
"corr_port": -0.030490805905260605,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13304106735025645,
|
|
"2023 rate shock": -0.013286049634416819,
|
|
"2024 vol spike": 0.012110931372698142,
|
|
"2025 tariff crash": 0.002474275574831486,
|
|
"2026 Q1 drawdown": -0.01372206273733878
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13304106735025645,
|
|
"max_ret": 0.012110931372698142,
|
|
"all_pos": false
|
|
},
|
|
"tnmax": {
|
|
"name": "1290 Multi-Alternative Strategies Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.599318726816767,
|
|
"corr_port": 0.24045439049591852,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1223458594595741,
|
|
"2023 rate shock": -0.040133896432745786,
|
|
"2024 vol spike": -0.03739318938528302,
|
|
"2025 tariff crash": -0.0717948230071288,
|
|
"2026 Q1 drawdown": -0.021621621621621623
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1223458594595741,
|
|
"max_ret": -0.021621621621621623,
|
|
"all_pos": false
|
|
},
|
|
"tnshx": {
|
|
"name": "Nuveen Short Term Bond Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4604468879132155,
|
|
"corr_port": -0.10127732887790011,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04564460133345305,
|
|
"2023 rate shock": 0.004987386388983106,
|
|
"2024 vol spike": 0.012128941857939113,
|
|
"2025 tariff crash": 0.013476853443810777,
|
|
"2026 Q1 drawdown": 0.0002977910870916034
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04564460133345305,
|
|
"max_ret": 0.013476853443810777,
|
|
"all_pos": false
|
|
},
|
|
"tnuax": {
|
|
"name": "1290 Diversified Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.10043392229097409,
|
|
"corr_port": 0.057081448626015774,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17987897034925104,
|
|
"2023 rate shock": -0.09485683525373556,
|
|
"2024 vol spike": 0.03542263779097432,
|
|
"2025 tariff crash": -0.0008741304931380034,
|
|
"2026 Q1 drawdown": -0.02375282601448614
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.17987897034925104,
|
|
"max_ret": 0.03542263779097432,
|
|
"all_pos": false
|
|
},
|
|
"tnvax": {
|
|
"name": "1290 GAMCO Small/Mid Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9303992628405936,
|
|
"corr_port": 0.3340503279585454,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22727257126162714,
|
|
"2023 rate shock": -0.14020377831247377,
|
|
"2024 vol spike": -0.07504174911121098,
|
|
"2025 tariff crash": -0.18390806240638835,
|
|
"2026 Q1 drawdown": -0.027555061500754596
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22727257126162714,
|
|
"max_ret": -0.027555061500754596,
|
|
"all_pos": false
|
|
},
|
|
"tnxax": {
|
|
"name": "1290 Loomis Sayles Multi-Asset Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3020021935073658,
|
|
"corr_port": 0.25219895347897514,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15074514462601274,
|
|
"2023 rate shock": -0.046459489713540525,
|
|
"2024 vol spike": -0.012688634324324544,
|
|
"2025 tariff crash": -0.061273827157367955,
|
|
"2026 Q1 drawdown": -0.03475201471758138
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15074514462601274,
|
|
"max_ret": -0.012688634324324544,
|
|
"all_pos": false
|
|
},
|
|
"tnxix": {
|
|
"name": "1290 Avantis U.S. Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.627872518765756,
|
|
"corr_port": 0.26613514353586765,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22164276011153017,
|
|
"2023 rate shock": -0.09377236725859972,
|
|
"2024 vol spike": -0.08536578857357824,
|
|
"2025 tariff crash": -0.21659700085912603,
|
|
"2026 Q1 drawdown": -0.11418043803777356
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22164276011153017,
|
|
"max_ret": -0.08536578857357824,
|
|
"all_pos": false
|
|
},
|
|
"tobax": {
|
|
"name": "Touchstone Active Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3383540738917819,
|
|
"corr_port": -0.056222711394749054,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16113632473399564,
|
|
"2023 rate shock": -0.038771200070582656,
|
|
"2024 vol spike": 0.020062994495597453,
|
|
"2025 tariff crash": 0.005109314954768518,
|
|
"2026 Q1 drawdown": -0.009619211120448834
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16113632473399564,
|
|
"max_ret": 0.020062994495597453,
|
|
"all_pos": false
|
|
},
|
|
"tohax": {
|
|
"name": "Touchstone Core Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.12617208093564694,
|
|
"corr_port": 0.023993278218285938,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1104288739619973,
|
|
"2023 rate shock": -0.04692582159547909,
|
|
"2024 vol spike": 0.013503551375000367,
|
|
"2025 tariff crash": -0.021538220574208178,
|
|
"2026 Q1 drawdown": -0.011720546787756803
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1104288739619973,
|
|
"max_ret": 0.013503551375000367,
|
|
"all_pos": false
|
|
},
|
|
"tollx": {
|
|
"name": "DWS RREEF Global Infrastructure Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.1497164555623005,
|
|
"corr_port": 0.3221941272851716,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18967077691614764,
|
|
"2023 rate shock": -0.11011284692472934,
|
|
"2024 vol spike": -0.004554382286768299,
|
|
"2025 tariff crash": -0.020048178266657724,
|
|
"2026 Q1 drawdown": 0.045623664570626055
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.18967077691614764,
|
|
"max_ret": 0.045623664570626055,
|
|
"all_pos": false
|
|
},
|
|
"tortx": {
|
|
"name": "Tortoise Energy Infrastructure Total Return Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.723798871226977,
|
|
"corr_port": 0.31465409468814814,
|
|
"rets": {
|
|
"2022 bear mkt": 0.11011621343704148,
|
|
"2023 rate shock": -0.012906967029918115,
|
|
"2024 vol spike": -0.037394496325916626,
|
|
"2025 tariff crash": -0.12898995578605454,
|
|
"2026 Q1 drawdown": 0.13867970933929485
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12898995578605454,
|
|
"max_ret": 0.13867970933929485,
|
|
"all_pos": false
|
|
},
|
|
"tpdix": {
|
|
"name": "Timothy Plan Defensive Strategies Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3000700082642354,
|
|
"corr_port": 0.2665273578608807,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1137808243715841,
|
|
"2023 rate shock": -0.030596921352185502,
|
|
"2024 vol spike": -0.016925269485219552,
|
|
"2025 tariff crash": -0.04488948180065344,
|
|
"2026 Q1 drawdown": -0.03641166034766963
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1137808243715841,
|
|
"max_ret": -0.016925269485219552,
|
|
"all_pos": false
|
|
},
|
|
"tpfix": {
|
|
"name": "Timothy Plan Fixed Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.19471159124578566,
|
|
"corr_port": -0.13888873413936428,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1294860985951629,
|
|
"2023 rate shock": -0.043299026241038985,
|
|
"2024 vol spike": 0.021064065777334218,
|
|
"2025 tariff crash": 0.008949611213038056,
|
|
"2026 Q1 drawdown": -0.005170906268718967
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1294860985951629,
|
|
"max_ret": 0.021064065777334218,
|
|
"all_pos": false
|
|
},
|
|
"tphix": {
|
|
"name": "Timothy Plan High Yield Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1664481876656019,
|
|
"corr_port": 0.3195654863368166,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14990609668427324,
|
|
"2023 rate shock": -0.030846702221629996,
|
|
"2024 vol spike": -0.0022393835813967478,
|
|
"2025 tariff crash": -0.03215548815683145,
|
|
"2026 Q1 drawdown": -0.01646291882734907
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14990609668427324,
|
|
"max_ret": -0.0022393835813967478,
|
|
"all_pos": false
|
|
},
|
|
"tpiix": {
|
|
"name": "Timothy Plan International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7253140073091687,
|
|
"corr_port": 0.3486736982037281,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2984615721421595,
|
|
"2023 rate shock": -0.11195933745716513,
|
|
"2024 vol spike": -0.07663135148226674,
|
|
"2025 tariff crash": -0.13066071409350888,
|
|
"2026 Q1 drawdown": -0.08545994065281903
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2984615721421595,
|
|
"max_ret": -0.07663135148226674,
|
|
"all_pos": false
|
|
},
|
|
"tpinx": {
|
|
"name": "Templeton Global Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.04853255583887242,
|
|
"corr_port": 0.13685293887770406,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13001922294474078,
|
|
"2023 rate shock": -0.08435497036379691,
|
|
"2024 vol spike": 0.025600645855246462,
|
|
"2025 tariff crash": -0.009306329865239493,
|
|
"2026 Q1 drawdown": -0.0518258606418498
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13001922294474078,
|
|
"max_ret": 0.025600645855246462,
|
|
"all_pos": false
|
|
},
|
|
"tplgx": {
|
|
"name": "T. Rowe Price Institutional Large-Cap Core Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.607428860786856,
|
|
"corr_port": 0.1305940109278208,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3781608468748481,
|
|
"2023 rate shock": -0.08044973719801207,
|
|
"2024 vol spike": -0.08619303122819122,
|
|
"2025 tariff crash": -0.21746666770041423,
|
|
"2026 Q1 drawdown": -0.13411159265693595
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3781608468748481,
|
|
"max_ret": -0.08044973719801207,
|
|
"all_pos": false
|
|
},
|
|
"tplix": {
|
|
"name": "Timothy Plan Large/Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3898086675999111,
|
|
"corr_port": 0.23073911702831057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2707874344298339,
|
|
"2023 rate shock": -0.11693908517893903,
|
|
"2024 vol spike": -0.06170045145863057,
|
|
"2025 tariff crash": -0.18731787245753373,
|
|
"2026 Q1 drawdown": -0.06869125090383221
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2707874344298339,
|
|
"max_ret": -0.06170045145863057,
|
|
"all_pos": false
|
|
},
|
|
"tpvix": {
|
|
"name": "Timothy Plan Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0662103074597405,
|
|
"corr_port": 0.327551138338135,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23055557232235835,
|
|
"2023 rate shock": -0.12363065032088738,
|
|
"2024 vol spike": -0.0737744760968484,
|
|
"2025 tariff crash": -0.19042717447246515,
|
|
"2026 Q1 drawdown": -0.043788087769250916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23055557232235835,
|
|
"max_ret": -0.043788087769250916,
|
|
"all_pos": false
|
|
},
|
|
"tpyax": {
|
|
"name": "TOUCHSTONE SANDS CAPITAL INTERNATIONAL GROWTH EQUITY FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.759826657290623,
|
|
"corr_port": 0.30223032176668474,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33707865467380116,
|
|
"2023 rate shock": -0.16835429932259893,
|
|
"2024 vol spike": -0.07050535164197902,
|
|
"2025 tariff crash": -0.16930022573363435,
|
|
"2026 Q1 drawdown": -0.1662763466042153
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33707865467380116,
|
|
"max_ret": -0.07050535164197902,
|
|
"all_pos": false
|
|
},
|
|
"tqccx": {
|
|
"name": "Touchstone Dividend Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.36014902769043217,
|
|
"corr_port": 0.3641196313451587,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19087553641806876,
|
|
"2023 rate shock": -0.11394511995068335,
|
|
"2024 vol spike": -0.04769651890599136,
|
|
"2025 tariff crash": -0.1591906399961649,
|
|
"2026 Q1 drawdown": -0.0541750766551391
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19087553641806876,
|
|
"max_ret": -0.04769651890599136,
|
|
"all_pos": false
|
|
},
|
|
"tqgex": {
|
|
"name": "T. Rowe Price Integrated Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.33803733133314856,
|
|
"corr_port": 0.3060388732998692,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2524726094140458,
|
|
"2023 rate shock": -0.0855091269043341,
|
|
"2024 vol spike": -0.06607433086550318,
|
|
"2025 tariff crash": -0.1577837066891452,
|
|
"2026 Q1 drawdown": -0.08001812477314074
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2524726094140458,
|
|
"max_ret": -0.06607433086550318,
|
|
"all_pos": false
|
|
},
|
|
"tqmvx": {
|
|
"name": "T. Rowe Price Integrated U.S. Large-Cap Value Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.794566777383293,
|
|
"corr_port": 0.42737758258647374,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15838140103722775,
|
|
"2023 rate shock": -0.0931639512864767,
|
|
"2024 vol spike": -0.04989036214359632,
|
|
"2025 tariff crash": -0.13852103173216024,
|
|
"2026 Q1 drawdown": -0.0465473169589421
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15838140103722775,
|
|
"max_ret": -0.0465473169589421,
|
|
"all_pos": false
|
|
},
|
|
"tqpix": {
|
|
"name": "Touchstone Strategic Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.4350072998081087,
|
|
"corr_port": 0.015213580149402436,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14986373343091364,
|
|
"2023 rate shock": -0.029034913067917945,
|
|
"2024 vol spike": 0.01334187550556698,
|
|
"2025 tariff crash": -0.0044795102942591924,
|
|
"2026 Q1 drawdown": -0.0073355724284496215
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14986373343091364,
|
|
"max_ret": 0.01334187550556698,
|
|
"all_pos": false
|
|
},
|
|
"tqsmx": {
|
|
"name": "T. Rowe Price Integrated U.S. Small-Mid Cap Core Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8765380372414834,
|
|
"corr_port": 0.3124192629490617,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1987925415865135,
|
|
"2023 rate shock": -0.13099359886350503,
|
|
"2024 vol spike": -0.0660136044274644,
|
|
"2025 tariff crash": -0.20187392700972118,
|
|
"2026 Q1 drawdown": -0.07772795216741413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20187392700972118,
|
|
"max_ret": -0.0660136044274644,
|
|
"all_pos": false
|
|
},
|
|
"tramx": {
|
|
"name": "T. Rowe Price Africa & Middle East Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3952940662165825,
|
|
"corr_port": 0.31166436668125347,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06710748442397085,
|
|
"2023 rate shock": -0.12837200106660063,
|
|
"2024 vol spike": -0.03432700065262406,
|
|
"2025 tariff crash": -0.08775146934939848,
|
|
"2026 Q1 drawdown": -0.10344827586206906
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12837200106660063,
|
|
"max_ret": -0.03432700065262406,
|
|
"all_pos": false
|
|
},
|
|
"trarx": {
|
|
"name": "T. Rowe Price Target 2005 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.594525588843749,
|
|
"corr_port": 0.05644415966548862,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16041475358303237,
|
|
"2023 rate shock": -0.046468432468014687,
|
|
"2024 vol spike": -0.014847180124837212,
|
|
"2025 tariff crash": -0.051438466023126406,
|
|
"2026 Q1 drawdown": -0.0311973018549746
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16041475358303237,
|
|
"max_ret": -0.014847180124837212,
|
|
"all_pos": false
|
|
},
|
|
"trbcx": {
|
|
"name": "T. Rowe Price Blue Chip Growth Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.64607336751965,
|
|
"corr_port": 0.1307505750476654,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37951259559528483,
|
|
"2023 rate shock": -0.08097587399845341,
|
|
"2024 vol spike": -0.08663579690790657,
|
|
"2025 tariff crash": -0.2185077640089812,
|
|
"2026 Q1 drawdown": -0.13503106696251999
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37951259559528483,
|
|
"max_ret": -0.08097587399845341,
|
|
"all_pos": false
|
|
},
|
|
"trbfx": {
|
|
"name": "T. Rowe Price Limited Duration Inflation Focused Bond Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.1113755889567585,
|
|
"corr_port": 0.03156612282076349,
|
|
"rets": {
|
|
"2022 bear mkt": -0.057142614088879884,
|
|
"2023 rate shock": 0.002118595062827744,
|
|
"2024 vol spike": 0.006289525845708521,
|
|
"2025 tariff crash": 0.016963785472324355,
|
|
"2026 Q1 drawdown": 0.0018998506971854567
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.057142614088879884,
|
|
"max_ret": 0.016963785472324355,
|
|
"all_pos": false
|
|
},
|
|
"trblx": {
|
|
"name": "T. Rowe Price Retirement Blend 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1004978501191671,
|
|
"corr_port": 0.12432114863218756,
|
|
"rets": {
|
|
"2022 bear mkt": -0.249754292073042,
|
|
"2023 rate shock": -0.09968183214105075,
|
|
"2024 vol spike": -0.058659262384066935,
|
|
"2025 tariff crash": -0.14311112688947847,
|
|
"2026 Q1 drawdown": -0.07198142414860675
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.249754292073042,
|
|
"max_ret": -0.058659262384066935,
|
|
"all_pos": false
|
|
},
|
|
"trbnx": {
|
|
"name": "T. Rowe Price Retirement Blend 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2231920400228373,
|
|
"corr_port": 0.13208646449908376,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25762047407434385,
|
|
"2023 rate shock": -0.10465111341978728,
|
|
"2024 vol spike": -0.0667274389368544,
|
|
"2025 tariff crash": -0.15944548748034815,
|
|
"2026 Q1 drawdown": -0.0803571428571429
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25762047407434385,
|
|
"max_ret": -0.0667274389368544,
|
|
"all_pos": false
|
|
},
|
|
"trbox": {
|
|
"name": "T. Rowe Price Retirement Blend 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2261183720873785,
|
|
"corr_port": 0.1323807561826688,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25711473476170865,
|
|
"2023 rate shock": -0.10432029777325913,
|
|
"2024 vol spike": -0.06648447621318854,
|
|
"2025 tariff crash": -0.15975825821619194,
|
|
"2026 Q1 drawdown": -0.08080059303187548
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25711473476170865,
|
|
"max_ret": -0.06648447621318854,
|
|
"all_pos": false
|
|
},
|
|
"trbpx": {
|
|
"name": "T. Rowe Price Retirement Blend 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1666627216505825,
|
|
"corr_port": 0.13268252999816066,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2573674577625411,
|
|
"2023 rate shock": -0.10504203551347535,
|
|
"2024 vol spike": -0.06715071039903975,
|
|
"2025 tariff crash": -0.1594827982746968,
|
|
"2026 Q1 drawdown": -0.08086053412462901
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2573674577625411,
|
|
"max_ret": -0.06715071039903975,
|
|
"all_pos": false
|
|
},
|
|
"trbqx": {
|
|
"name": "T. Rowe Price Retirement Blend 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9771375430982103,
|
|
"corr_port": 0.13114396734773132,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25442044034082767,
|
|
"2023 rate shock": -0.10337547195755126,
|
|
"2024 vol spike": -0.06422022032434105,
|
|
"2025 tariff crash": -0.1551874877529844,
|
|
"2026 Q1 drawdown": -0.0781954887218046
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25442044034082767,
|
|
"max_ret": -0.06422022032434105,
|
|
"all_pos": false
|
|
},
|
|
"trbsx": {
|
|
"name": "T. Rowe Price Retirement Blend 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2068036194297929,
|
|
"corr_port": 0.1308819039755111,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25613349556811715,
|
|
"2023 rate shock": -0.10421040331196585,
|
|
"2024 vol spike": -0.06648438590158179,
|
|
"2025 tariff crash": -0.1581675873686973,
|
|
"2026 Q1 drawdown": -0.08017817371937641
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25613349556811715,
|
|
"max_ret": -0.06648438590158179,
|
|
"all_pos": false
|
|
},
|
|
"trbux": {
|
|
"name": "T. Rowe Price Ultra Short-Term Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.2536584465123017,
|
|
"corr_port": 0.07427905760334669,
|
|
"rets": {
|
|
"2022 bear mkt": -0.016094181702889454,
|
|
"2023 rate shock": 0.01134480391938042,
|
|
"2024 vol spike": 0.006364082871161081,
|
|
"2025 tariff crash": 0.005749318317739949,
|
|
"2026 Q1 drawdown": 0.003153078548306487
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.016094181702889454,
|
|
"max_ret": 0.01134480391938042,
|
|
"all_pos": false
|
|
},
|
|
"trdfx": {
|
|
"name": "Steward Values Enhanced Small-Mid Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.0680750473827925,
|
|
"corr_port": 0.28837206601486226,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21588836482117946,
|
|
"2023 rate shock": -0.14698595322357877,
|
|
"2024 vol spike": -0.06941257738433759,
|
|
"2025 tariff crash": -0.20365948419073032,
|
|
"2026 Q1 drawdown": -0.05102040816326536
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21588836482117946,
|
|
"max_ret": -0.05102040816326536,
|
|
"all_pos": false
|
|
},
|
|
"tremx": {
|
|
"name": "T. Rowe Price Emerging Europe Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.28925484943092483,
|
|
"corr_port": 0.2362461861483492,
|
|
"rets": {
|
|
"2022 bear mkt": -0.8735012494932753,
|
|
"2023 rate shock": -0.053846015811036874,
|
|
"2024 vol spike": -0.09375025804832526,
|
|
"2025 tariff crash": -0.10937513369517793,
|
|
"2026 Q1 drawdown": -0.14203233256351044
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.8735012494932753,
|
|
"max_ret": -0.053846015811036874,
|
|
"all_pos": false
|
|
},
|
|
"trffx": {
|
|
"name": "T. Rowe Price Target 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2550234278440533,
|
|
"corr_port": 0.2981205764796205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2603710699121886,
|
|
"2023 rate shock": -0.09901600971300129,
|
|
"2024 vol spike": -0.06350933693192762,
|
|
"2025 tariff crash": -0.15160954596416776,
|
|
"2026 Q1 drawdown": -0.0784857340720222
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2603710699121886,
|
|
"max_ret": -0.06350933693192762,
|
|
"all_pos": false
|
|
},
|
|
"trfox": {
|
|
"name": "T. Rowe Price Target 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9594127679495172,
|
|
"corr_port": 0.2964354168647663,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25703243882498417,
|
|
"2023 rate shock": -0.09737838698239076,
|
|
"2024 vol spike": -0.060406414585535306,
|
|
"2025 tariff crash": -0.1462766390276734,
|
|
"2026 Q1 drawdown": -0.07509514852209376
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25703243882498417,
|
|
"max_ret": -0.060406414585535306,
|
|
"all_pos": false
|
|
},
|
|
"trgrx": {
|
|
"name": "T. Rowe Price Global Real Estate Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8113436986791285,
|
|
"corr_port": 0.3017466432737209,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32720512311915106,
|
|
"2023 rate shock": -0.1368566637292622,
|
|
"2024 vol spike": -0.026376151623888733,
|
|
"2025 tariff crash": -0.1304340666028626,
|
|
"2026 Q1 drawdown": -0.04071592564109061
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32720512311915106,
|
|
"max_ret": -0.026376151623888733,
|
|
"all_pos": false
|
|
},
|
|
"trhrx": {
|
|
"name": "T. Rowe Price Target 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8233169367423578,
|
|
"corr_port": 0.29687643803098435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23767084501230729,
|
|
"2023 rate shock": -0.08553968961320069,
|
|
"2024 vol spike": -0.046837021292228,
|
|
"2025 tariff crash": -0.11852294499784322,
|
|
"2026 Q1 drawdown": -0.0616062156215621
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23767084501230729,
|
|
"max_ret": -0.046837021292228,
|
|
"all_pos": false
|
|
},
|
|
"trhyx": {
|
|
"name": "T. Rowe Price Institutional High Yield Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.777177236068487,
|
|
"corr_port": 0.2935555395326901,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14707405033476706,
|
|
"2023 rate shock": -0.02692441250644506,
|
|
"2024 vol spike": -0.0032038505132967465,
|
|
"2025 tariff crash": -0.027555096976528137,
|
|
"2026 Q1 drawdown": -0.013224493765678025
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14707405033476706,
|
|
"max_ret": -0.0032038505132967465,
|
|
"all_pos": false
|
|
},
|
|
"trigx": {
|
|
"name": "T. Rowe Price International Value Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.328411572025639,
|
|
"corr_port": 0.4368738108493859,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2515723812718338,
|
|
"2023 rate shock": -0.09612986200630824,
|
|
"2024 vol spike": -0.05820399592465342,
|
|
"2025 tariff crash": -0.07870613557756356,
|
|
"2026 Q1 drawdown": -0.07989084177708494
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2515723812718338,
|
|
"max_ret": -0.05820399592465342,
|
|
"all_pos": false
|
|
},
|
|
"trlax": {
|
|
"name": "T. Rowe Price Retirement Income 2020 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7182843293542832,
|
|
"corr_port": 0.2584422867756668,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19374185888271622,
|
|
"2023 rate shock": -0.06342233861453617,
|
|
"2024 vol spike": -0.02774807831817616,
|
|
"2025 tariff crash": -0.07952977689368168,
|
|
"2026 Q1 drawdown": -0.044948851892872566
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19374185888271622,
|
|
"max_ret": -0.02774807831817616,
|
|
"all_pos": false
|
|
},
|
|
"trlgx": {
|
|
"name": "T. Rowe Price Large-Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5363694652924191,
|
|
"corr_port": 0.14241515613408276,
|
|
"rets": {
|
|
"2022 bear mkt": -0.34849524888169614,
|
|
"2023 rate shock": -0.06942196304372983,
|
|
"2024 vol spike": -0.08001505584345403,
|
|
"2025 tariff crash": -0.20541991597804288,
|
|
"2026 Q1 drawdown": -0.13350089081061634
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.34849524888169614,
|
|
"max_ret": -0.06942196304372983,
|
|
"all_pos": false
|
|
},
|
|
"trlvx": {
|
|
"name": "SIMT CORE FIXED INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1636040945264872,
|
|
"corr_port": -0.07571077731760581,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16613802323153481,
|
|
"2023 rate shock": -0.04741520367746743,
|
|
"2024 vol spike": 0.022813913131207952,
|
|
"2025 tariff crash": 0.010584249259305345,
|
|
"2026 Q1 drawdown": -0.0065810695557448895
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16613802323153481,
|
|
"max_ret": 0.022813913131207952,
|
|
"all_pos": false
|
|
},
|
|
"trmcx": {
|
|
"name": "T. Rowe Price Mid-Cap Value Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3838789059550358,
|
|
"corr_port": 0.3748937184824466,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16175170834812935,
|
|
"2023 rate shock": -0.13851877437508142,
|
|
"2024 vol spike": -0.06399770483945255,
|
|
"2025 tariff crash": -0.193343450856448,
|
|
"2026 Q1 drawdown": -0.04841554880190446
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.193343450856448,
|
|
"max_ret": -0.04841554880190446,
|
|
"all_pos": false
|
|
},
|
|
"trmvx": {
|
|
"name": "SIMT LARGE CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.364194432289992,
|
|
"corr_port": 0.4179553578657548,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17379819314088163,
|
|
"2023 rate shock": -0.11117391838386737,
|
|
"2024 vol spike": -0.0606618049243518,
|
|
"2025 tariff crash": -0.1436798050082928,
|
|
"2026 Q1 drawdown": -0.021009969856429445
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17379819314088163,
|
|
"max_ret": -0.021009969856429445,
|
|
"all_pos": false
|
|
},
|
|
"trosx": {
|
|
"name": "T. Rowe Price Overseas Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.09015703884241828,
|
|
"corr_port": 0.39011073874025265,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2872023694478274,
|
|
"2023 rate shock": -0.1095889643975646,
|
|
"2024 vol spike": -0.06329107229794584,
|
|
"2025 tariff crash": -0.11721068148153868,
|
|
"2026 Q1 drawdown": -0.09022118742724095
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2872023694478274,
|
|
"max_ret": -0.06329107229794584,
|
|
"all_pos": false
|
|
},
|
|
"trpbx": {
|
|
"name": "T. Rowe Price Spectrum Moderate Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.43813047273725875,
|
|
"corr_port": 0.30385994820148754,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21646654818627553,
|
|
"2023 rate shock": -0.06827714921436057,
|
|
"2024 vol spike": -0.03779640801111417,
|
|
"2025 tariff crash": -0.09653786546475418,
|
|
"2026 Q1 drawdown": -0.05201426568765999
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21646654818627553,
|
|
"max_ret": -0.03779640801111417,
|
|
"all_pos": false
|
|
},
|
|
"trrax": {
|
|
"name": "T. Rowe Price Retirement 2010 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5079741575060417,
|
|
"corr_port": 0.2794188545031089,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18150687597882775,
|
|
"2023 rate shock": -0.05809981693337929,
|
|
"2024 vol spike": -0.02374845520076929,
|
|
"2025 tariff crash": -0.06978229818143256,
|
|
"2026 Q1 drawdown": -0.03970683935816488
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18150687597882775,
|
|
"max_ret": -0.02374845520076929,
|
|
"all_pos": false
|
|
},
|
|
"trrbx": {
|
|
"name": "T. Rowe Price Retirement 2020 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.1739746620620052,
|
|
"corr_port": 0.2987242249086373,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19287962140827963,
|
|
"2023 rate shock": -0.06338795793999863,
|
|
"2024 vol spike": -0.02818366608841849,
|
|
"2025 tariff crash": -0.07956306647678124,
|
|
"2026 Q1 drawdown": -0.04397233201581008
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19287962140827963,
|
|
"max_ret": -0.02818366608841849,
|
|
"all_pos": false
|
|
},
|
|
"trrcx": {
|
|
"name": "T. Rowe Price Retirement 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8177642491465346,
|
|
"corr_port": 0.298281333930085,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22557664677791556,
|
|
"2023 rate shock": -0.07931312207475727,
|
|
"2024 vol spike": -0.03969470883912807,
|
|
"2025 tariff crash": -0.10390102478571517,
|
|
"2026 Q1 drawdown": -0.054526457374118986
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22557664677791556,
|
|
"max_ret": -0.03969470883912807,
|
|
"all_pos": false
|
|
},
|
|
"trrdx": {
|
|
"name": "T. Rowe Price Retirement 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6929518617070277,
|
|
"corr_port": 0.2973140641234486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25411832235600573,
|
|
"2023 rate shock": -0.09469573923541463,
|
|
"2024 vol spike": -0.0571890222756376,
|
|
"2025 tariff crash": -0.13867254640289417,
|
|
"2026 Q1 drawdown": -0.07172771020219304
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25411832235600573,
|
|
"max_ret": -0.0571890222756376,
|
|
"all_pos": false
|
|
},
|
|
"trrex": {
|
|
"name": "T. Rowe Price Real Estate Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5370450456211956,
|
|
"corr_port": 0.2515211343367717,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3107285774837608,
|
|
"2023 rate shock": -0.1399416338765146,
|
|
"2024 vol spike": -0.007305309867360665,
|
|
"2025 tariff crash": -0.1335211048563094,
|
|
"2026 Q1 drawdown": -0.008448934356145577
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3107285774837608,
|
|
"max_ret": -0.007305309867360665,
|
|
"all_pos": false
|
|
},
|
|
"trrfx": {
|
|
"name": "T. Rowe Price Retirement 2005 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.046753381386153814,
|
|
"corr_port": 0.28139335643396185,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17616968947421685,
|
|
"2023 rate shock": -0.054498231792341145,
|
|
"2024 vol spike": -0.02117257920729676,
|
|
"2025 tariff crash": -0.06412337349199271,
|
|
"2026 Q1 drawdown": -0.03646237393328167
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17616968947421685,
|
|
"max_ret": -0.02117257920729676,
|
|
"all_pos": false
|
|
},
|
|
"trrgx": {
|
|
"name": "T. Rowe Price Retirement 2015 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5390199429195418,
|
|
"corr_port": 0.29613026405873155,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18652143837773782,
|
|
"2023 rate shock": -0.0605565217424362,
|
|
"2024 vol spike": -0.025561569544647944,
|
|
"2025 tariff crash": -0.07473032156256698,
|
|
"2026 Q1 drawdown": -0.04245973645680823
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18652143837773782,
|
|
"max_ret": -0.025561569544647944,
|
|
"all_pos": false
|
|
},
|
|
"trrhx": {
|
|
"name": "T. Rowe Price Retirement 2025 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5092478661677982,
|
|
"corr_port": 0.3026529138056301,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20615386710425077,
|
|
"2023 rate shock": -0.06885864933098096,
|
|
"2024 vol spike": -0.03172753576888465,
|
|
"2025 tariff crash": -0.08639810902354716,
|
|
"2026 Q1 drawdown": -0.04693544743592226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20615386710425077,
|
|
"max_ret": -0.03172753576888465,
|
|
"all_pos": false
|
|
},
|
|
"trrix": {
|
|
"name": "T. Rowe Price Retirement Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.25409620787466175,
|
|
"corr_port": 0.29097661056927476,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16865851972355728,
|
|
"2023 rate shock": -0.05240720842917934,
|
|
"2024 vol spike": -0.019480056342156438,
|
|
"2025 tariff crash": -0.06101106047870797,
|
|
"2026 Q1 drawdown": -0.03632914286297073
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16865851972355728,
|
|
"max_ret": -0.019480056342156438,
|
|
"all_pos": false
|
|
},
|
|
"trrjx": {
|
|
"name": "T. Rowe Price Retirement 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6809236447622473,
|
|
"corr_port": 0.299599963722003,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24124335824023013,
|
|
"2023 rate shock": -0.08865977699456762,
|
|
"2024 vol spike": -0.04918044961713641,
|
|
"2025 tariff crash": -0.12397824281718661,
|
|
"2026 Q1 drawdown": -0.06432985567010319
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24124335824023013,
|
|
"max_ret": -0.04918044961713641,
|
|
"all_pos": false
|
|
},
|
|
"trrkx": {
|
|
"name": "T. Rowe Price Retirement 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7459782577827264,
|
|
"corr_port": 0.2983804012237256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.258792857550286,
|
|
"2023 rate shock": -0.09840160425148736,
|
|
"2024 vol spike": -0.06277823694069518,
|
|
"2025 tariff crash": -0.14980796554234188,
|
|
"2026 Q1 drawdown": -0.0771837001951694
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.258792857550286,
|
|
"max_ret": -0.06277823694069518,
|
|
"all_pos": false
|
|
},
|
|
"trrlx": {
|
|
"name": "T. Rowe Price Retirement 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1043078325302271,
|
|
"corr_port": 0.2967686034330136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26102731777874855,
|
|
"2023 rate shock": -0.10013623760171197,
|
|
"2024 vol spike": -0.06467072365457838,
|
|
"2025 tariff crash": -0.1544622305934178,
|
|
"2026 Q1 drawdown": -0.08002012682334536
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26102731777874855,
|
|
"max_ret": -0.06467072365457838,
|
|
"all_pos": false
|
|
},
|
|
"trrmx": {
|
|
"name": "T. Rowe Price Retirement 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.110946979501089,
|
|
"corr_port": 0.29816081980592246,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26037925085158065,
|
|
"2023 rate shock": -0.09947033071414746,
|
|
"2024 vol spike": -0.06390781220021735,
|
|
"2025 tariff crash": -0.15288228300238438,
|
|
"2026 Q1 drawdown": -0.07950525969546196
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26037925085158065,
|
|
"max_ret": -0.06390781220021735,
|
|
"all_pos": false
|
|
},
|
|
"trrnx": {
|
|
"name": "T. Rowe Price Retirement 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1295635844563545,
|
|
"corr_port": 0.2978277265690301,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26138623006200545,
|
|
"2023 rate shock": -0.10050813575725426,
|
|
"2024 vol spike": -0.06440351876115502,
|
|
"2025 tariff crash": -0.15410297782764548,
|
|
"2026 Q1 drawdown": -0.08063839061900013
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26138623006200545,
|
|
"max_ret": -0.06440351876115502,
|
|
"all_pos": false
|
|
},
|
|
"trrox": {
|
|
"name": "T. Rowe Price Target 2010 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4883824726517198,
|
|
"corr_port": 0.2852016210940783,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16168133156441888,
|
|
"2023 rate shock": -0.04694829465424566,
|
|
"2024 vol spike": -0.01592920628904637,
|
|
"2025 tariff crash": -0.05323871154173565,
|
|
"2026 Q1 drawdown": -0.03234042553191496
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16168133156441888,
|
|
"max_ret": -0.01592920628904637,
|
|
"all_pos": false
|
|
},
|
|
"trrtx": {
|
|
"name": "T. Rowe Price Target 2015 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.43330218057969183,
|
|
"corr_port": 0.2926118900129521,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16510180110017458,
|
|
"2023 rate shock": -0.04926996921227034,
|
|
"2024 vol spike": -0.018056734380139217,
|
|
"2025 tariff crash": -0.05565224885346853,
|
|
"2026 Q1 drawdown": -0.03350083752093802
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16510180110017458,
|
|
"max_ret": -0.018056734380139217,
|
|
"all_pos": false
|
|
},
|
|
"trrux": {
|
|
"name": "T. Rowe Price Target 2020 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.32943462906874266,
|
|
"corr_port": 0.29756024184792296,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1702128060510293,
|
|
"2023 rate shock": -0.051281880340999786,
|
|
"2024 vol spike": -0.01935479505329396,
|
|
"2025 tariff crash": -0.058968025759905895,
|
|
"2026 Q1 drawdown": -0.03429027113237637
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1702128060510293,
|
|
"max_ret": -0.01935479505329396,
|
|
"all_pos": false
|
|
},
|
|
"trrwx": {
|
|
"name": "T. Rowe Price Target 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4749653538174685,
|
|
"corr_port": 0.29968086851194886,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20012948116110485,
|
|
"2023 rate shock": -0.0666173206955929,
|
|
"2024 vol spike": -0.03082194766068347,
|
|
"2025 tariff crash": -0.08299038132922376,
|
|
"2026 Q1 drawdown": -0.04476629361421991
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20012948116110485,
|
|
"max_ret": -0.03082194766068347,
|
|
"all_pos": false
|
|
},
|
|
"trsgx": {
|
|
"name": "T. Rowe Price Spectrum Moderate Growth Allocation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2412736378606595,
|
|
"corr_port": 0.3060216917010713,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25158862971704243,
|
|
"2023 rate shock": -0.08312490336180245,
|
|
"2024 vol spike": -0.05292683262377962,
|
|
"2025 tariff crash": -0.12632362735476377,
|
|
"2026 Q1 drawdown": -0.06561090349296594
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25158862971704243,
|
|
"max_ret": -0.05292683262377962,
|
|
"all_pos": false
|
|
},
|
|
"trssx": {
|
|
"name": "T. Rowe Price Institutional Small-Cap Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0963659652915194,
|
|
"corr_port": 0.24667288833176768,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2572992838328033,
|
|
"2023 rate shock": -0.1506646987037813,
|
|
"2024 vol spike": -0.06610415514585322,
|
|
"2025 tariff crash": -0.1967981726561241,
|
|
"2026 Q1 drawdown": -0.08509003449597552
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2572992838328033,
|
|
"max_ret": -0.06610415514585322,
|
|
"all_pos": false
|
|
},
|
|
"trszx": {
|
|
"name": "T. Rowe Price Mid-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2501480883554663,
|
|
"corr_port": 0.04665805054534509,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3032490010627452,
|
|
"2023 rate shock": -0.1414082058803533,
|
|
"2024 vol spike": -0.0760021297875152,
|
|
"2025 tariff crash": -0.2345172849823708,
|
|
"2026 Q1 drawdown": -0.07821467424722384
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3032490010627452,
|
|
"max_ret": -0.0760021297875152,
|
|
"all_pos": false
|
|
},
|
|
"trtfx": {
|
|
"name": "T. Rowe Price Target 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.164602570498844,
|
|
"corr_port": 0.29583272422335183,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26190477055135275,
|
|
"2023 rate shock": -0.10056260110147297,
|
|
"2024 vol spike": -0.06473489913774222,
|
|
"2025 tariff crash": -0.15448603186560594,
|
|
"2026 Q1 drawdown": -0.08027272194505375
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26190477055135275,
|
|
"max_ret": -0.06473489913774222,
|
|
"all_pos": false
|
|
},
|
|
"trulx": {
|
|
"name": "T. Rowe Price U.S. Large-Cap Core Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.266754156644365,
|
|
"corr_port": 0.2862033297916868,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2252302580031612,
|
|
"2023 rate shock": -0.06607132396069115,
|
|
"2024 vol spike": -0.07597286306350604,
|
|
"2025 tariff crash": -0.16294897570738964,
|
|
"2026 Q1 drawdown": -0.06797442974452572
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2252302580031612,
|
|
"max_ret": -0.06607132396069115,
|
|
"all_pos": false
|
|
},
|
|
"trvlx": {
|
|
"name": "T. Rowe Price Value Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0672640523682002,
|
|
"corr_port": 0.37788207395631823,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20179457181402605,
|
|
"2023 rate shock": -0.08987941921559339,
|
|
"2024 vol spike": -0.05375668827395086,
|
|
"2025 tariff crash": -0.12176659768149489,
|
|
"2026 Q1 drawdown": -0.02756840648823511
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20179457181402605,
|
|
"max_ret": -0.02756840648823511,
|
|
"all_pos": false
|
|
},
|
|
"trzix": {
|
|
"name": "T. Rowe Price Small-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3261218166405895,
|
|
"corr_port": 0.14804798480358977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24752474045963024,
|
|
"2023 rate shock": -0.17597762938205408,
|
|
"2024 vol spike": -0.08944106108496186,
|
|
"2025 tariff crash": -0.21900565700195007,
|
|
"2026 Q1 drawdown": -0.08829897553082211
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24752474045963024,
|
|
"max_ret": -0.08829897553082211,
|
|
"all_pos": false
|
|
},
|
|
"tsbax": {
|
|
"name": "T. Rowe Price Retirement Blend 2020 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.43407841123629654,
|
|
"corr_port": 0.10754332722181416,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1926147945020057,
|
|
"2023 rate shock": -0.06578944381093188,
|
|
"2024 vol spike": -0.029087398319775915,
|
|
"2025 tariff crash": -0.08161256734608868,
|
|
"2026 Q1 drawdown": -0.04347826086956508
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1926147945020057,
|
|
"max_ret": -0.029087398319775915,
|
|
"all_pos": false
|
|
},
|
|
"tsbpx": {
|
|
"name": "Nuveen Core Impact Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7956999102041924,
|
|
"corr_port": -0.08436424084916484,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15236578909627885,
|
|
"2023 rate shock": -0.04143290547705514,
|
|
"2024 vol spike": 0.021232781850387683,
|
|
"2025 tariff crash": 0.007044874467414308,
|
|
"2026 Q1 drawdown": -0.006548716381116426
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.15236578909627885,
|
|
"max_ret": 0.021232781850387683,
|
|
"all_pos": false
|
|
},
|
|
"tsdjx": {
|
|
"name": "Nuveen Short Duration Impact Bond Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.06093274869022963,
|
|
"corr_port": -0.029857852392141365,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04505208613917744,
|
|
"2023 rate shock": 0.003196271648887805,
|
|
"2024 vol spike": 0.010128702245149057,
|
|
"2025 tariff crash": 0.010828383070166092,
|
|
"2026 Q1 drawdown": 0.0010162444919770142
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04505208613917744,
|
|
"max_ret": 0.010828383070166092,
|
|
"all_pos": false
|
|
},
|
|
"tsdlx": {
|
|
"name": "T. Rowe Price Short Duration Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.8871650894556139,
|
|
"corr_port": -0.06587200268851977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06089477335206017,
|
|
"2023 rate shock": 0.003279473624999918,
|
|
"2024 vol spike": 0.011893354050761085,
|
|
"2025 tariff crash": 0.008742142282329946,
|
|
"2026 Q1 drawdown": -0.0023463244911060555
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.06089477335206017,
|
|
"max_ret": 0.011893354050761085,
|
|
"all_pos": false
|
|
},
|
|
"tsdox": {
|
|
"name": "TOUCHSTONE ULTRA SHORT DURATION FIXED INCOME FUND",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.2090499137296837,
|
|
"corr_port": 0.07503269551980664,
|
|
"rets": {
|
|
"2022 bear mkt": -0.007950186390867198,
|
|
"2023 rate shock": 0.01066001470364375,
|
|
"2024 vol spike": 0.005781650117038906,
|
|
"2025 tariff crash": 0.006962710886912582,
|
|
"2026 Q1 drawdown": 0.004128607455548217
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.007950186390867198,
|
|
"max_ret": 0.01066001470364375,
|
|
"all_pos": false
|
|
},
|
|
"tsemx": {
|
|
"name": "Touchstone Sands Capital Emerging Markets Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7021287764149964,
|
|
"corr_port": 0.16226871654529576,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37242474488959265,
|
|
"2023 rate shock": -0.1069405120416248,
|
|
"2024 vol spike": -0.057705322539977955,
|
|
"2025 tariff crash": -0.13097579979836182,
|
|
"2026 Q1 drawdown": -0.10897077600440297
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37242474488959265,
|
|
"max_ret": -0.057705322539977955,
|
|
"all_pos": false
|
|
},
|
|
"tsfax": {
|
|
"name": "Touchstone Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.47959345574122386,
|
|
"corr_port": 0.31340281120611374,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16986714079623078,
|
|
"2023 rate shock": -0.1251819872767157,
|
|
"2024 vol spike": -0.05043133831644653,
|
|
"2025 tariff crash": -0.1915309446254071,
|
|
"2026 Q1 drawdown": -0.0733118971061093
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1915309446254071,
|
|
"max_ret": -0.05043133831644653,
|
|
"all_pos": false
|
|
},
|
|
"ttifx": {
|
|
"name": "Goldman Sachs Tactical Tilt Overlay Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 3.1476991715959524,
|
|
"corr_port": 0.29977539755958466,
|
|
"rets": {
|
|
"2022 bear mkt": -0.03568064172344243,
|
|
"2023 rate shock": 0.0,
|
|
"2024 vol spike": 0.012037066407233343,
|
|
"2025 tariff crash": -0.008596003198448776,
|
|
"2026 Q1 drawdown": -0.010156971375807844
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.03568064172344243,
|
|
"max_ret": 0.012037066407233343,
|
|
"all_pos": false
|
|
},
|
|
"tuhyx": {
|
|
"name": "T. Rowe Price U.S. High Yield Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.3179414327483102,
|
|
"corr_port": 0.28052164153029346,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1777765719157468,
|
|
"2023 rate shock": -0.03239573849377053,
|
|
"2024 vol spike": -0.0055807712106903384,
|
|
"2025 tariff crash": -0.03495479033633042,
|
|
"2026 Q1 drawdown": -0.017826539672051833
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1777765719157468,
|
|
"max_ret": -0.0055807712106903384,
|
|
"all_pos": false
|
|
},
|
|
"tunix": {
|
|
"name": "Transamerica Strategic Income",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.991881849224114,
|
|
"corr_port": 0.2137960698600892,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0842944582027153,
|
|
"2023 rate shock": -0.02226870336625686,
|
|
"2024 vol spike": 0.00930688558264725,
|
|
"2025 tariff crash": -0.009071724547809135,
|
|
"2026 Q1 drawdown": -0.013105440006595637
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0842944582027153,
|
|
"max_ret": 0.00930688558264725,
|
|
"all_pos": false
|
|
},
|
|
"tvafx": {
|
|
"name": "Thornburg American Opportunities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9804676095646334,
|
|
"corr_port": 0.2961239204013723,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23577892514880838,
|
|
"2023 rate shock": -0.10810810810810811,
|
|
"2024 vol spike": -0.06808565877901951,
|
|
"2025 tariff crash": -0.223047891107106,
|
|
"2026 Q1 drawdown": -0.04624489253803421
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23577892514880838,
|
|
"max_ret": -0.04624489253803421,
|
|
"all_pos": false
|
|
},
|
|
"tvlax": {
|
|
"name": "Touchstone Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1727993268779952,
|
|
"corr_port": 0.4048592277493252,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1449334250732046,
|
|
"2023 rate shock": -0.10245992464230402,
|
|
"2024 vol spike": -0.04568107440842484,
|
|
"2025 tariff crash": -0.15986695004424034,
|
|
"2026 Q1 drawdown": -0.053428548845978696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15986695004424034,
|
|
"max_ret": -0.04568107440842484,
|
|
"all_pos": false
|
|
},
|
|
"tvoax": {
|
|
"name": "TOUCHSTONE SMALL CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2300502192356635,
|
|
"corr_port": 0.3349254412114544,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17253030423675675,
|
|
"2023 rate shock": -0.12861367947234592,
|
|
"2024 vol spike": -0.06498000871311771,
|
|
"2025 tariff crash": -0.18590238855147112,
|
|
"2026 Q1 drawdown": -0.022845465343711124
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18590238855147112,
|
|
"max_ret": -0.022845465343711124,
|
|
"all_pos": false
|
|
},
|
|
"twbix": {
|
|
"name": "BALANCED FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.007024404964359,
|
|
"corr_port": 0.2570161869197176,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21898055719892617,
|
|
"2023 rate shock": -0.07810784303726892,
|
|
"2024 vol spike": -0.04081607417484123,
|
|
"2025 tariff crash": -0.11709585144943424,
|
|
"2026 Q1 drawdown": -0.062351548185003436
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21898055719892617,
|
|
"max_ret": -0.04081607417484123,
|
|
"all_pos": false
|
|
},
|
|
"tweix": {
|
|
"name": "EQUITY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.691448409799716,
|
|
"corr_port": 0.39009926962587826,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12299003312437828,
|
|
"2023 rate shock": -0.09228839453925575,
|
|
"2024 vol spike": -0.017738520831170335,
|
|
"2025 tariff crash": -0.09266853864495472,
|
|
"2026 Q1 drawdown": -0.009321817499061247
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12299003312437828,
|
|
"max_ret": -0.009321817499061247,
|
|
"all_pos": false
|
|
},
|
|
"twsmx": {
|
|
"name": "STRATEGIC ALLOCATION: MODERATE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1543275896539709,
|
|
"corr_port": 0.31691361824840486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20875422990848447,
|
|
"2023 rate shock": -0.08020828868983854,
|
|
"2024 vol spike": -0.03363916170368253,
|
|
"2025 tariff crash": -0.10820738888535109,
|
|
"2026 Q1 drawdown": -0.05738883525928684
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20875422990848447,
|
|
"max_ret": -0.03363916170368253,
|
|
"all_pos": false
|
|
},
|
|
"twtix": {
|
|
"name": "INTERMEDIATE-TERM TAX-FREE BOND FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6659747413535196,
|
|
"corr_port": 0.045230956916167776,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09777719421761144,
|
|
"2023 rate shock": -0.041760768897531664,
|
|
"2024 vol spike": 0.012919390924539753,
|
|
"2025 tariff crash": -0.023574528422232066,
|
|
"2026 Q1 drawdown": -0.010954298736220558
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09777719421761144,
|
|
"max_ret": 0.012919390924539753,
|
|
"all_pos": false
|
|
},
|
|
"twusx": {
|
|
"name": "SHORT-TERM GOVERNMENT FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.448238942590717,
|
|
"corr_port": -0.1309637734131736,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04375751970469566,
|
|
"2023 rate shock": 0.003791940552879902,
|
|
"2024 vol spike": 0.01347973171249417,
|
|
"2025 tariff crash": 0.013925614846608259,
|
|
"2026 Q1 drawdown": 0.00020508223586346297
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04375751970469566,
|
|
"max_ret": 0.013925614846608259,
|
|
"all_pos": false
|
|
},
|
|
"twvlx": {
|
|
"name": "VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4546968883159714,
|
|
"corr_port": 0.4164185682741472,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1412958362675938,
|
|
"2023 rate shock": -0.10309561737508743,
|
|
"2024 vol spike": -0.040572762889228065,
|
|
"2025 tariff crash": -0.12163236947842815,
|
|
"2026 Q1 drawdown": -0.022700493490551477
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1412958362675938,
|
|
"max_ret": -0.022700493490551477,
|
|
"all_pos": false
|
|
},
|
|
"tzinx": {
|
|
"name": "Templeton Global Dynamic Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.19908481355008442,
|
|
"corr_port": 0.35627896925027513,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23097305625720022,
|
|
"2023 rate shock": -0.10425091735300351,
|
|
"2024 vol spike": -0.0355728807843011,
|
|
"2025 tariff crash": -0.09019615298496442,
|
|
"2026 Q1 drawdown": -0.05607317811307955
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23097305625720022,
|
|
"max_ret": -0.0355728807843011,
|
|
"all_pos": false
|
|
},
|
|
"ubvlx": {
|
|
"name": "Undiscovered Managers Behavioral Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1667319441134392,
|
|
"corr_port": 0.36362196532320196,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1308552699095039,
|
|
"2023 rate shock": -0.1486323251848719,
|
|
"2024 vol spike": -0.05597819394078596,
|
|
"2025 tariff crash": -0.18141389797257157,
|
|
"2026 Q1 drawdown": -0.032238356725343253
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18141389797257157,
|
|
"max_ret": -0.032238356725343253,
|
|
"all_pos": false
|
|
},
|
|
"udbpx": {
|
|
"name": "UBS Sustainable Development Bank Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.460007083216723,
|
|
"corr_port": -0.2290846646938052,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10945945198955453,
|
|
"2023 rate shock": -0.01886099898551885,
|
|
"2024 vol spike": 0.023557025430915868,
|
|
"2025 tariff crash": 0.02298849283604798,
|
|
"2026 Q1 drawdown": -0.00023966748956372186
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.10945945198955453,
|
|
"max_ret": 0.023557025430915868,
|
|
"all_pos": false
|
|
},
|
|
"ugsdx": {
|
|
"name": "U.S. Government Securities Ultra-Short Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 2.653564965744909,
|
|
"corr_port": -0.04238391995507159,
|
|
"rets": {
|
|
"2022 bear mkt": -0.023120338664768703,
|
|
"2023 rate shock": 0.01136898903211292,
|
|
"2024 vol spike": 0.0030863221678805175,
|
|
"2025 tariff crash": 0.006700288924940567,
|
|
"2026 Q1 drawdown": 0.005147650655934699
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.023120338664768703,
|
|
"max_ret": 0.01136898903211292,
|
|
"all_pos": false
|
|
},
|
|
"ulst": {
|
|
"name": "State Street(R) Ultra Short Term Bond ETF",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.713504036692158,
|
|
"corr_port": 0.06793588181741887,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0018593434278507681,
|
|
"2023 rate shock": 0.008765652563153425,
|
|
"2024 vol spike": 0.005790875734159151,
|
|
"2025 tariff crash": 0.007895295187834162,
|
|
"2026 Q1 drawdown": 0.0020441798621400054
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0018593434278507681,
|
|
"max_ret": 0.008765652563153425,
|
|
"all_pos": false
|
|
},
|
|
"umemx": {
|
|
"name": "Columbia Emerging Markets Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7243026934319328,
|
|
"corr_port": 0.24857317316905533,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3788415569621185,
|
|
"2023 rate shock": -0.1166666483629415,
|
|
"2024 vol spike": -0.0879940004451405,
|
|
"2025 tariff crash": -0.16428575129239953,
|
|
"2026 Q1 drawdown": -0.09368202104128431
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3788415569621185,
|
|
"max_ret": -0.0879940004451405,
|
|
"all_pos": false
|
|
},
|
|
"urlgx": {
|
|
"name": "Columbia Select Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.397758627855272,
|
|
"corr_port": 0.1107244543411671,
|
|
"rets": {
|
|
"2022 bear mkt": -0.37389613965480006,
|
|
"2023 rate shock": -0.11846676645100895,
|
|
"2024 vol spike": -0.10646388620470748,
|
|
"2025 tariff crash": -0.20481907325514326,
|
|
"2026 Q1 drawdown": -0.11231884057970998
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.37389613965480006,
|
|
"max_ret": -0.10646388620470748,
|
|
"all_pos": false
|
|
},
|
|
"usbnx": {
|
|
"name": "Pear Tree Polaris Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.30009085357306,
|
|
"corr_port": 0.3635993246214791,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16292748066780494,
|
|
"2023 rate shock": -0.1257050483694896,
|
|
"2024 vol spike": -0.06847361758842474,
|
|
"2025 tariff crash": -0.15036230519900162,
|
|
"2026 Q1 drawdown": -0.041865589423430105
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16292748066780494,
|
|
"max_ret": -0.041865589423430105,
|
|
"all_pos": false
|
|
},
|
|
"usbox": {
|
|
"name": "Pear Tree Quality Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9378595273689164,
|
|
"corr_port": 0.2903499323097966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2509838508369838,
|
|
"2023 rate shock": -0.08583897644306548,
|
|
"2024 vol spike": -0.05527850582798377,
|
|
"2025 tariff crash": -0.15268457696620086,
|
|
"2026 Q1 drawdown": -0.11790397293042343
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2509838508369838,
|
|
"max_ret": -0.05527850582798377,
|
|
"all_pos": false
|
|
},
|
|
"usgax": {
|
|
"name": "Morgan Stanley Long Duration Government Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2690606413060357,
|
|
"corr_port": -0.09791734804413382,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14056212636015653,
|
|
"2023 rate shock": -0.128717486752156,
|
|
"2024 vol spike": 0.06907021496035237,
|
|
"2025 tariff crash": 0.048673648463127606,
|
|
"2026 Q1 drawdown": -0.014327663572687888
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14056212636015653,
|
|
"max_ret": 0.06907021496035237,
|
|
"all_pos": false
|
|
},
|
|
"usglx": {
|
|
"name": "U.S. Global Leaders Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.118561626798733,
|
|
"corr_port": 0.1745467050271182,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3333333700712592,
|
|
"2023 rate shock": -0.10291854895620178,
|
|
"2024 vol spike": -0.05205042502236057,
|
|
"2025 tariff crash": -0.17095307555700356,
|
|
"2026 Q1 drawdown": -0.11889941516570757
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3333333700712592,
|
|
"max_ret": -0.05205042502236057,
|
|
"all_pos": false
|
|
},
|
|
"usiax": {
|
|
"name": "UBS Ultra Short Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.0476011821741413,
|
|
"corr_port": 0.07598460704814652,
|
|
"rets": {
|
|
"2022 bear mkt": -0.010544858963742909,
|
|
"2023 rate shock": 0.009626600813330777,
|
|
"2024 vol spike": 0.005404490528556849,
|
|
"2025 tariff crash": 0.0064229461994795845,
|
|
"2026 Q1 drawdown": 0.004481156864561964
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.010544858963742909,
|
|
"max_ret": 0.009626600813330777,
|
|
"all_pos": false
|
|
},
|
|
"usmbx": {
|
|
"name": "Columbia Ultra Short Duration Municipal Bond Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 4.2977799665040655,
|
|
"corr_port": 0.07084603957075758,
|
|
"rets": {
|
|
"2022 bear mkt": -0.008911975682722062,
|
|
"2023 rate shock": 0.00010443422702866023,
|
|
"2024 vol spike": 0.004708116285185193,
|
|
"2025 tariff crash": 0.0007977853686060854,
|
|
"2026 Q1 drawdown": -0.00010746962367058632
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.008911975682722062,
|
|
"max_ret": 0.004708116285185193,
|
|
"all_pos": false
|
|
},
|
|
"usmsx": {
|
|
"name": "JPMorgan Ultra-Short Municipal Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 2.852848345912237,
|
|
"corr_port": 0.0715015547226678,
|
|
"rets": {
|
|
"2022 bear mkt": -0.016609376671232634,
|
|
"2023 rate shock": 0.005153233005012581,
|
|
"2024 vol spike": 0.003201504744143824,
|
|
"2025 tariff crash": 0.0005957499441386904,
|
|
"2026 Q1 drawdown": 0.0010925232724079414
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.016609376671232634,
|
|
"max_ret": 0.005153233005012581,
|
|
"all_pos": false
|
|
},
|
|
"utbpx": {
|
|
"name": "UBS Multi Income Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3471858570552147,
|
|
"corr_port": -0.033071102556037256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14180245988881346,
|
|
"2023 rate shock": -0.036378077839555156,
|
|
"2024 vol spike": 0.01527339264657912,
|
|
"2025 tariff crash": -0.0046361222487012466,
|
|
"2026 Q1 drawdown": -0.019450778953263526
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.14180245988881346,
|
|
"max_ret": 0.01527339264657912,
|
|
"all_pos": false
|
|
},
|
|
"vadcx": {
|
|
"name": "INVESCO EQUALLY-WEIGHTED S&P 500 FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6716519605564315,
|
|
"corr_port": 0.3395217403478759,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21660023958169028,
|
|
"2023 rate shock": -0.13204390338118643,
|
|
"2024 vol spike": -0.048371104900485906,
|
|
"2025 tariff crash": -0.15892701690940003,
|
|
"2026 Q1 drawdown": -0.05071413360328758
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21660023958169028,
|
|
"max_ret": -0.048371104900485906,
|
|
"all_pos": false
|
|
},
|
|
"vafax": {
|
|
"name": "INVESCO AMERICAN FRANCHISE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4193743329571644,
|
|
"corr_port": 0.1656787157586473,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3285255858953682,
|
|
"2023 rate shock": -0.10287878654606519,
|
|
"2024 vol spike": -0.09541145717234945,
|
|
"2025 tariff crash": -0.24818472259815616,
|
|
"2026 Q1 drawdown": -0.14586206896551723
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3285255858953682,
|
|
"max_ret": -0.09541145717234945,
|
|
"all_pos": false
|
|
},
|
|
"valix": {
|
|
"name": "VALUE LINE CAPITAL APPRECIATION FUND INC",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0736180552718293,
|
|
"corr_port": 0.13198256136234532,
|
|
"rets": {
|
|
"2022 bear mkt": -0.309734553914108,
|
|
"2023 rate shock": -0.10865186110759861,
|
|
"2024 vol spike": -0.07306709557296309,
|
|
"2025 tariff crash": -0.16931214131603178,
|
|
"2026 Q1 drawdown": -0.10758620689655174
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.309734553914108,
|
|
"max_ret": -0.07306709557296309,
|
|
"all_pos": false
|
|
},
|
|
"vallx": {
|
|
"name": "VALUE LINE LARGER COMPANIES FOCUSED FUND, INC.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0838101183601951,
|
|
"corr_port": 0.09270654882121233,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3851786719868189,
|
|
"2023 rate shock": -0.12934575397863413,
|
|
"2024 vol spike": -0.12366863166035158,
|
|
"2025 tariff crash": -0.24533608938566287,
|
|
"2026 Q1 drawdown": -0.15701891994464112
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3851786719868189,
|
|
"max_ret": -0.12366863166035158,
|
|
"all_pos": false
|
|
},
|
|
"valq": {
|
|
"name": "American Century U.S. Quality Value ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5414788411819675,
|
|
"corr_port": 0.3794671553074451,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18438431169797687,
|
|
"2023 rate shock": -0.07663390900873868,
|
|
"2024 vol spike": -0.043048500422656955,
|
|
"2025 tariff crash": -0.15307644122813202,
|
|
"2026 Q1 drawdown": -0.060902248765880795
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18438431169797687,
|
|
"max_ret": -0.043048500422656955,
|
|
"all_pos": false
|
|
},
|
|
"valsx": {
|
|
"name": "Value Line Select Core Fund, Inc.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.2141694118776263,
|
|
"corr_port": 0.21417420471866264,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26075946267910444,
|
|
"2023 rate shock": -0.0860965556181642,
|
|
"2024 vol spike": -0.02938030379580092,
|
|
"2025 tariff crash": -0.12551957988325024,
|
|
"2026 Q1 drawdown": -0.08727627598221621
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26075946267910444,
|
|
"max_ret": -0.02938030379580092,
|
|
"all_pos": false
|
|
},
|
|
"vasgx": {
|
|
"name": "Vanguard LifeStrategy 80/20 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2253136735508793,
|
|
"corr_port": 0.31706966237452167,
|
|
"rets": {
|
|
"2022 bear mkt": -0.239023543778066,
|
|
"2023 rate shock": -0.09202729080292649,
|
|
"2024 vol spike": -0.05253919184700828,
|
|
"2025 tariff crash": -0.12719776474467115,
|
|
"2026 Q1 drawdown": -0.0683679191791311
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.239023543778066,
|
|
"max_ret": -0.05253919184700828,
|
|
"all_pos": false
|
|
},
|
|
"vasix": {
|
|
"name": "Vanguard LifeStrategy 20/80 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2459364880847442,
|
|
"corr_port": 0.13340976618852188,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1649368952221859,
|
|
"2023 rate shock": -0.04484980393683935,
|
|
"2024 vol spike": 0.0012944843422122432,
|
|
"2025 tariff crash": -0.026677217229105432,
|
|
"2026 Q1 drawdown": -0.023804913458899235
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1649368952221859,
|
|
"max_ret": 0.0012944843422122432,
|
|
"all_pos": false
|
|
},
|
|
"vasvx": {
|
|
"name": "Vanguard Selected Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.760221595861816,
|
|
"corr_port": 0.3915080171084932,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1989812311659468,
|
|
"2023 rate shock": -0.11722235430529881,
|
|
"2024 vol spike": -0.05462730739298649,
|
|
"2025 tariff crash": -0.16810352156706088,
|
|
"2026 Q1 drawdown": -0.05808073802600067
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1989812311659468,
|
|
"max_ret": -0.05462730739298649,
|
|
"all_pos": false
|
|
},
|
|
"vbiax": {
|
|
"name": "VANGUARD BALANCED INDEX FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.03850345835335491,
|
|
"corr_port": 0.2506944778065977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2091423186051412,
|
|
"2023 rate shock": -0.07887656609738303,
|
|
"2024 vol spike": -0.03669350068433397,
|
|
"2025 tariff crash": -0.11326615595415146,
|
|
"2026 Q1 drawdown": -0.055045465254702
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2091423186051412,
|
|
"max_ret": -0.03669350068433397,
|
|
"all_pos": false
|
|
},
|
|
"vbilx": {
|
|
"name": "Vanguard Intermediate-Term Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5248655458956655,
|
|
"corr_port": -0.11240404802508555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1473527167883676,
|
|
"2023 rate shock": -0.0391761279740509,
|
|
"2024 vol spike": 0.023687890793130384,
|
|
"2025 tariff crash": 0.016410956080303407,
|
|
"2026 Q1 drawdown": -0.0056971932990638186
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1473527167883676,
|
|
"max_ret": 0.023687890793130384,
|
|
"all_pos": false
|
|
},
|
|
"vbisx": {
|
|
"name": "Vanguard Short-Term Bond Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.636866105781551,
|
|
"corr_port": -0.11910238449861336,
|
|
"rets": {
|
|
"2022 bear mkt": -0.06682954933975671,
|
|
"2023 rate shock": -0.0006037053468637144,
|
|
"2024 vol spike": 0.014762863967411777,
|
|
"2025 tariff crash": 0.01590944332131028,
|
|
"2026 Q1 drawdown": -0.0014845081782275393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.06682954933975671,
|
|
"max_ret": 0.01590944332131028,
|
|
"all_pos": false
|
|
},
|
|
"vbllx": {
|
|
"name": "Vanguard Long-Term Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.03283773887392453,
|
|
"corr_port": -0.11998047644620623,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2816400236902097,
|
|
"2023 rate shock": -0.1089531370826442,
|
|
"2024 vol spike": 0.03504642616628639,
|
|
"2025 tariff crash": -0.008790034096285537,
|
|
"2026 Q1 drawdown": -0.0124794223068031
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.2816400236902097,
|
|
"max_ret": 0.03504642616628639,
|
|
"all_pos": false
|
|
},
|
|
"vbtlx": {
|
|
"name": "Vanguard Total Bond Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.148067770017708,
|
|
"corr_port": -0.12291627081609816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14441088325618556,
|
|
"2023 rate shock": -0.040045888106346905,
|
|
"2024 vol spike": 0.021901323543601636,
|
|
"2025 tariff crash": 0.01058240816161593,
|
|
"2026 Q1 drawdown": -0.0038572268154241085
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14441088325618556,
|
|
"max_ret": 0.021901323543601636,
|
|
"all_pos": false
|
|
},
|
|
"vcaix": {
|
|
"name": "Vanguard California Intermediate-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6428428819295476,
|
|
"corr_port": 0.03203158480273146,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0924891145003659,
|
|
"2023 rate shock": -0.03763179774881387,
|
|
"2024 vol spike": 0.014633781702217963,
|
|
"2025 tariff crash": -0.021535638023774006,
|
|
"2026 Q1 drawdown": -0.013082386374832944
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.0924891145003659,
|
|
"max_ret": 0.014633781702217963,
|
|
"all_pos": false
|
|
},
|
|
"vcdax": {
|
|
"name": "Vanguard Consumer Discretionary Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.4283652366107167,
|
|
"corr_port": 0.1750186691459407,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32629021771570765,
|
|
"2023 rate shock": -0.1322221638991089,
|
|
"2024 vol spike": -0.09852554136905223,
|
|
"2025 tariff crash": -0.22650254064854713,
|
|
"2026 Q1 drawdown": -0.1287271941712469
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32629021771570765,
|
|
"max_ret": -0.09852554136905223,
|
|
"all_pos": false
|
|
},
|
|
"vcitx": {
|
|
"name": "Vanguard California Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.346470071518398,
|
|
"corr_port": 0.024907652736402518,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1312611101216663,
|
|
"2023 rate shock": -0.05795768160217607,
|
|
"2024 vol spike": 0.017543091007762746,
|
|
"2025 tariff crash": -0.03382055178822718,
|
|
"2026 Q1 drawdown": -0.012542839724605015
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1312611101216663,
|
|
"max_ret": 0.017543091007762746,
|
|
"all_pos": false
|
|
},
|
|
"vcmdx": {
|
|
"name": "Vanguard Commodity Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8295956093114112,
|
|
"corr_port": 0.2795821366796367,
|
|
"rets": {
|
|
"2022 bear mkt": 0.11238771989697405,
|
|
"2023 rate shock": -0.008320719972772728,
|
|
"2024 vol spike": -0.04543691805498595,
|
|
"2025 tariff crash": -0.08041459775725524,
|
|
"2026 Q1 drawdown": 0.04766765244577287
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08041459775725524,
|
|
"max_ret": 0.11238771989697405,
|
|
"all_pos": false
|
|
},
|
|
"vcorx": {
|
|
"name": "Vanguard Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6742534240507458,
|
|
"corr_port": -0.12264412486917538,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14765532075036336,
|
|
"2023 rate shock": -0.03717690490425418,
|
|
"2024 vol spike": 0.019791739375979667,
|
|
"2025 tariff crash": 0.007461805776929342,
|
|
"2026 Q1 drawdown": -0.006232870801127555
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14765532075036336,
|
|
"max_ret": 0.019791739375979667,
|
|
"all_pos": false
|
|
},
|
|
"vcsax": {
|
|
"name": "Vanguard Consumer Staples Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3254778403260139,
|
|
"corr_port": 0.2882251149427622,
|
|
"rets": {
|
|
"2022 bear mkt": -0.115917001955951,
|
|
"2023 rate shock": -0.1038725613369158,
|
|
"2024 vol spike": -0.013022317198030153,
|
|
"2025 tariff crash": -0.06711108145051203,
|
|
"2026 Q1 drawdown": 0.006226490220393899
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.115917001955951,
|
|
"max_ret": 0.006226490220393899,
|
|
"all_pos": false
|
|
},
|
|
"vctfx": {
|
|
"name": "Nomura Tax-Free Colorado Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.33674544386854877,
|
|
"corr_port": 0.03354751448139524,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13285325348606125,
|
|
"2023 rate shock": -0.07349353061314001,
|
|
"2024 vol spike": 0.016280649554218707,
|
|
"2025 tariff crash": -0.0406746145600112,
|
|
"2026 Q1 drawdown": -0.008738732198529942
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13285325348606125,
|
|
"max_ret": 0.016280649554218707,
|
|
"all_pos": false
|
|
},
|
|
"vdadx": {
|
|
"name": "Vanguard Dividend Appreciation Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.035038690458106626,
|
|
"corr_port": 0.33427983126545424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20287535529433154,
|
|
"2023 rate shock": -0.09222073049832458,
|
|
"2024 vol spike": -0.04380692012042886,
|
|
"2025 tariff crash": -0.14537490343739745,
|
|
"2026 Q1 drawdown": -0.05763956926067049
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20287535529433154,
|
|
"max_ret": -0.04380692012042886,
|
|
"all_pos": false
|
|
},
|
|
"vdeqx": {
|
|
"name": "Vanguard Diversified Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8649307730008784,
|
|
"corr_port": 0.25482709335013826,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27372609767488953,
|
|
"2023 rate shock": -0.11560443276713295,
|
|
"2024 vol spike": -0.07511921073728478,
|
|
"2025 tariff crash": -0.19917088501281843,
|
|
"2026 Q1 drawdown": -0.09849592809977992
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27372609767488953,
|
|
"max_ret": -0.07511921073728478,
|
|
"all_pos": false
|
|
},
|
|
"vdigx": {
|
|
"name": "Vanguard Dividend Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8387252238173276,
|
|
"corr_port": 0.3418748994417194,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15783319355128922,
|
|
"2023 rate shock": -0.08312767621188266,
|
|
"2024 vol spike": -0.026016654442249876,
|
|
"2025 tariff crash": -0.11335909594831173,
|
|
"2026 Q1 drawdown": -0.07834128598326928
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15783319355128922,
|
|
"max_ret": -0.026016654442249876,
|
|
"all_pos": false
|
|
},
|
|
"vedtx": {
|
|
"name": "Vanguard Extended Duration Treasury Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.27200638351442624,
|
|
"corr_port": -0.18558920197264625,
|
|
"rets": {
|
|
"2022 bear mkt": -0.36665005713980525,
|
|
"2023 rate shock": -0.19714350647259893,
|
|
"2024 vol spike": 0.06908768118726916,
|
|
"2025 tariff crash": -0.008109925190636136,
|
|
"2026 Q1 drawdown": -0.0040629813418116
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.36665005713980525,
|
|
"max_ret": 0.06908768118726916,
|
|
"all_pos": false
|
|
},
|
|
"veirx": {
|
|
"name": "Vanguard Equity Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0649706396995342,
|
|
"corr_port": 0.42041148795262556,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12486408962527962,
|
|
"2023 rate shock": -0.09768927099243374,
|
|
"2024 vol spike": -0.05411789472968043,
|
|
"2025 tariff crash": -0.13176648778595212,
|
|
"2026 Q1 drawdown": -0.03196946655811439
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.13176648778595212,
|
|
"max_ret": -0.03196946655811439,
|
|
"all_pos": false
|
|
},
|
|
"vemax": {
|
|
"name": "Vanguard Emerging Markets Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11368751410787245,
|
|
"corr_port": 0.2951445799440059,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25329549925956263,
|
|
"2023 rate shock": -0.10063282436497412,
|
|
"2024 vol spike": -0.059565438588332076,
|
|
"2025 tariff crash": -0.12535620612548737,
|
|
"2026 Q1 drawdown": -0.08997690521696533
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25329549925956263,
|
|
"max_ret": -0.059565438588332076,
|
|
"all_pos": false
|
|
},
|
|
"vembx": {
|
|
"name": "Vanguard Emerging Markets Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9261971643125108,
|
|
"corr_port": 0.22324468066885408,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20617323159462653,
|
|
"2023 rate shock": -0.03828829877212103,
|
|
"2024 vol spike": 0.0005052274044405891,
|
|
"2025 tariff crash": -0.020049997637121675,
|
|
"2026 Q1 drawdown": -0.024178232877311356
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.20617323159462653,
|
|
"max_ret": 0.0005052274044405891,
|
|
"all_pos": false
|
|
},
|
|
"venax": {
|
|
"name": "Vanguard Energy Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.9473727897843954,
|
|
"corr_port": 0.37817255218002144,
|
|
"rets": {
|
|
"2022 bear mkt": 0.4009642859279259,
|
|
"2023 rate shock": -0.013671088136944953,
|
|
"2024 vol spike": -0.07771161570748986,
|
|
"2025 tariff crash": -0.17864251651865026,
|
|
"2026 Q1 drawdown": 0.23382892999808003
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.17864251651865026,
|
|
"max_ret": 0.4009642859279259,
|
|
"all_pos": false
|
|
},
|
|
"vesgx": {
|
|
"name": "Vanguard Global ESG Select Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0256301399061434,
|
|
"corr_port": 0.29794896192113646,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23682762478459218,
|
|
"2023 rate shock": -0.10163005033692041,
|
|
"2024 vol spike": -0.056641009522840347,
|
|
"2025 tariff crash": -0.1450481286667168,
|
|
"2026 Q1 drawdown": -0.09944907996142893
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23682762478459218,
|
|
"max_ret": -0.056641009522840347,
|
|
"all_pos": false
|
|
},
|
|
"veusx": {
|
|
"name": "Vanguard European Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.32277147552272195,
|
|
"corr_port": 0.3709311684863222,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31789555281779025,
|
|
"2023 rate shock": -0.11647805759686425,
|
|
"2024 vol spike": -0.051723989160906036,
|
|
"2025 tariff crash": -0.09895460927364375,
|
|
"2026 Q1 drawdown": -0.09054161404908678
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31789555281779025,
|
|
"max_ret": -0.051723989160906036,
|
|
"all_pos": false
|
|
},
|
|
"vevfx": {
|
|
"name": "Vanguard Explorer Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.0115545661285599,
|
|
"corr_port": 0.33909903365840977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22568998550355668,
|
|
"2023 rate shock": -0.14004752120760666,
|
|
"2024 vol spike": -0.06856428049117358,
|
|
"2025 tariff crash": -0.2171520625005371,
|
|
"2026 Q1 drawdown": -0.062388214168421
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22568998550355668,
|
|
"max_ret": -0.062388214168421,
|
|
"all_pos": false
|
|
},
|
|
"vexax": {
|
|
"name": "Vanguard Extended Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6211951602648929,
|
|
"corr_port": 0.2230802003072895,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2935902243369273,
|
|
"2023 rate shock": -0.15556773507860056,
|
|
"2024 vol spike": -0.08150599036618611,
|
|
"2025 tariff crash": -0.23182834940894337,
|
|
"2026 Q1 drawdown": -0.08219441809883732
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2935902243369273,
|
|
"max_ret": -0.08150599036618611,
|
|
"all_pos": false
|
|
},
|
|
"vexrx": {
|
|
"name": "VANGUARD EXPLORER FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.618354041119709,
|
|
"corr_port": 0.2244982428070145,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2765117091126137,
|
|
"2023 rate shock": -0.1537234534361872,
|
|
"2024 vol spike": -0.07333864070029239,
|
|
"2025 tariff crash": -0.2192107413982357,
|
|
"2026 Q1 drawdown": -0.08490733401474226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2765117091126137,
|
|
"max_ret": -0.07333864070029239,
|
|
"all_pos": false
|
|
},
|
|
"vfaix": {
|
|
"name": "Vanguard Financials Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6778305935571376,
|
|
"corr_port": 0.394242804383243,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23995412533275162,
|
|
"2023 rate shock": -0.11177784198795704,
|
|
"2024 vol spike": -0.07074857791387335,
|
|
"2025 tariff crash": -0.1582899651340849,
|
|
"2026 Q1 drawdown": -0.09751554323039402
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23995412533275162,
|
|
"max_ret": -0.07074857791387335,
|
|
"all_pos": false
|
|
},
|
|
"vffvx": {
|
|
"name": "Vanguard Target Retirement 2055 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.19801135977283277,
|
|
"corr_port": 0.32318562886665486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2499522859817337,
|
|
"2023 rate shock": -0.09841777827084564,
|
|
"2024 vol spike": -0.061140124441482424,
|
|
"2025 tariff crash": -0.14302886422849515,
|
|
"2026 Q1 drawdown": -0.07579283025291916
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2499522859817337,
|
|
"max_ret": -0.061140124441482424,
|
|
"all_pos": false
|
|
},
|
|
"vfiax": {
|
|
"name": "Vanguard 500 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.23658910095011115,
|
|
"corr_port": 0.2837530074798181,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24486074543005532,
|
|
"2023 rate shock": -0.09708528943131456,
|
|
"2024 vol spike": -0.0715754807710215,
|
|
"2025 tariff crash": -0.18410367796176696,
|
|
"2026 Q1 drawdown": -0.08778579282115884
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24486074543005532,
|
|
"max_ret": -0.0715754807710215,
|
|
"all_pos": false
|
|
},
|
|
"vfidx": {
|
|
"name": "Vanguard Intermediate-Term Investment-Grade Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1088535143601428,
|
|
"corr_port": -0.04028824543009168,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1651586669875178,
|
|
"2023 rate shock": -0.04212365089995074,
|
|
"2024 vol spike": 0.017874074925802397,
|
|
"2025 tariff crash": 0.002249997087443223,
|
|
"2026 Q1 drawdown": -0.012160671745118812
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1651586669875178,
|
|
"max_ret": 0.017874074925802397,
|
|
"all_pos": false
|
|
},
|
|
"vfifx": {
|
|
"name": "Vanguard Target Retirement 2050 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.025740538752584547,
|
|
"corr_port": 0.3231543750658838,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24999995941163744,
|
|
"2023 rate shock": -0.09855604954080166,
|
|
"2024 vol spike": -0.06100741689248135,
|
|
"2025 tariff crash": -0.14310344854561297,
|
|
"2026 Q1 drawdown": -0.07519897677440313
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24999995941163744,
|
|
"max_ret": -0.06100741689248135,
|
|
"all_pos": false
|
|
},
|
|
"vfijx": {
|
|
"name": "Vanguard GNMA Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11171571092874799,
|
|
"corr_port": -0.08354973396931384,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12824885904659966,
|
|
"2023 rate shock": -0.04705776962954378,
|
|
"2024 vol spike": 0.022579142081109005,
|
|
"2025 tariff crash": 0.012849531897308086,
|
|
"2026 Q1 drawdown": -0.0022658885831567943
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12824885904659966,
|
|
"max_ret": 0.022579142081109005,
|
|
"all_pos": false
|
|
},
|
|
"vfirx": {
|
|
"name": "Vanguard Short-Term Treasury Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.37585650996782,
|
|
"corr_port": -0.13692369946448596,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05141930124820904,
|
|
"2023 rate shock": -0.0011200896257146375,
|
|
"2024 vol spike": 0.015022310032482222,
|
|
"2025 tariff crash": 0.018108478321741783,
|
|
"2026 Q1 drawdown": -0.00011861993123762904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.05141930124820904,
|
|
"max_ret": 0.018108478321741783,
|
|
"all_pos": false
|
|
},
|
|
"vfiux": {
|
|
"name": "Vanguard Intermediate-Term Treasury Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7134743920677603,
|
|
"corr_port": -0.16885815692264297,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11062497142214078,
|
|
"2023 rate shock": -0.02557233787670521,
|
|
"2024 vol spike": 0.02677840063525072,
|
|
"2025 tariff crash": 0.025265421957724188,
|
|
"2026 Q1 drawdown": -0.0017529667378646252
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11062497142214078,
|
|
"max_ret": 0.02677840063525072,
|
|
"all_pos": false
|
|
},
|
|
"vfmf": {
|
|
"name": "Vanguard U.S. Multifactor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.9588250247537693,
|
|
"corr_port": 0.39549773196800336,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14923388637436064,
|
|
"2023 rate shock": -0.10052999709808208,
|
|
"2024 vol spike": -0.07199783432628049,
|
|
"2025 tariff crash": -0.17710420210817102,
|
|
"2026 Q1 drawdown": -0.032986500486799075
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17710420210817102,
|
|
"max_ret": -0.032986500486799075,
|
|
"all_pos": false
|
|
},
|
|
"vfmfx": {
|
|
"name": "Vanguard U.S. Multifactor Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.9863556861199765,
|
|
"corr_port": 0.3942926442224065,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14364558573479702,
|
|
"2023 rate shock": -0.09577195992711762,
|
|
"2024 vol spike": -0.07040228162298312,
|
|
"2025 tariff crash": -0.17906711456051494,
|
|
"2026 Q1 drawdown": -0.04022802355423427
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17906711456051494,
|
|
"max_ret": -0.04022802355423427,
|
|
"all_pos": false
|
|
},
|
|
"vfmo": {
|
|
"name": "Vanguard U.S. Momentum Factor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.47555430568963414,
|
|
"corr_port": 0.25191379678367265,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17730925337007086,
|
|
"2023 rate shock": -0.152883226941409,
|
|
"2024 vol spike": -0.09492093376690525,
|
|
"2025 tariff crash": -0.2216146589386664,
|
|
"2026 Q1 drawdown": -0.09140357379968733
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2216146589386664,
|
|
"max_ret": -0.09140357379968733,
|
|
"all_pos": false
|
|
},
|
|
"vfmv": {
|
|
"name": "Vanguard U.S. Minimum Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.071075982687405,
|
|
"corr_port": 0.31947970619726157,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1439097489079635,
|
|
"2023 rate shock": -0.0637233403945604,
|
|
"2024 vol spike": -0.03269699939645898,
|
|
"2025 tariff crash": -0.10135552883924093,
|
|
"2026 Q1 drawdown": -0.019828980692177534
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1439097489079635,
|
|
"max_ret": -0.019828980692177534,
|
|
"all_pos": false
|
|
},
|
|
"vforx": {
|
|
"name": "Vanguard Target Retirement 2040 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10589918930373562,
|
|
"corr_port": 0.3214797426685481,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2377787628543354,
|
|
"2023 rate shock": -0.08930897196152998,
|
|
"2024 vol spike": -0.049493531429307236,
|
|
"2025 tariff crash": -0.11960874764441487,
|
|
"2026 Q1 drawdown": -0.06396586547780592
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2377787628543354,
|
|
"max_ret": -0.049493531429307236,
|
|
"all_pos": false
|
|
},
|
|
"vfqy": {
|
|
"name": "Vanguard U.S. Quality Factor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4825398149246077,
|
|
"corr_port": 0.30038235251879714,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22009148102937826,
|
|
"2023 rate shock": -0.1021765078389889,
|
|
"2024 vol spike": -0.06699134700031728,
|
|
"2025 tariff crash": -0.18669157148436233,
|
|
"2026 Q1 drawdown": -0.0701818910963461
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22009148102937826,
|
|
"max_ret": -0.06699134700031728,
|
|
"all_pos": false
|
|
},
|
|
"vfsix": {
|
|
"name": "Vanguard Short-Term Investment-Grade Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9983394025051361,
|
|
"corr_port": -0.012766742314748464,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0734356708849716,
|
|
"2023 rate shock": -0.0032069941592959283,
|
|
"2024 vol spike": 0.012394806585463769,
|
|
"2025 tariff crash": 0.007455978408296815,
|
|
"2026 Q1 drawdown": -0.0037618317805241386
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.0734356708849716,
|
|
"max_ret": 0.012394806585463769,
|
|
"all_pos": false
|
|
},
|
|
"vfsnx": {
|
|
"name": "Vanguard FTSE All-World ex-US Small-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.319364736634154,
|
|
"corr_port": 0.37697027761358026,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3141929696545942,
|
|
"2023 rate shock": -0.12141503810662624,
|
|
"2024 vol spike": -0.07230220453532232,
|
|
"2025 tariff crash": -0.11497131851866405,
|
|
"2026 Q1 drawdown": -0.0872201424915231
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3141929696545942,
|
|
"max_ret": -0.07230220453532232,
|
|
"all_pos": false
|
|
},
|
|
"vftnx": {
|
|
"name": "Vanguard FTSE Social Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.2702259954403303,
|
|
"corr_port": 0.2401710187192303,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2855727373324036,
|
|
"2023 rate shock": -0.10106095351750233,
|
|
"2024 vol spike": -0.07766754169023937,
|
|
"2025 tariff crash": -0.19785163432188357,
|
|
"2026 Q1 drawdown": -0.11220837248803472
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2855727373324036,
|
|
"max_ret": -0.07766754169023937,
|
|
"all_pos": false
|
|
},
|
|
"vfva": {
|
|
"name": "Vanguard U.S. Value Factor ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2775114054346521,
|
|
"corr_port": 0.40596238796755074,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15791171303784324,
|
|
"2023 rate shock": -0.1180371688260714,
|
|
"2024 vol spike": -0.07674922946534168,
|
|
"2025 tariff crash": -0.19712340411047313,
|
|
"2026 Q1 drawdown": -0.03727380737398145
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19712340411047313,
|
|
"max_ret": -0.03727380737398145,
|
|
"all_pos": false
|
|
},
|
|
"vfwsx": {
|
|
"name": "Vanguard FTSE All-World ex-US Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.32744130349851197,
|
|
"corr_port": 0.37354943132409113,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2739434832513409,
|
|
"2023 rate shock": -0.10724584899921163,
|
|
"2024 vol spike": -0.06549104848012632,
|
|
"2025 tariff crash": -0.11384745934946727,
|
|
"2026 Q1 drawdown": -0.07690499013087393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2739434832513409,
|
|
"max_ret": -0.06549104848012632,
|
|
"all_pos": false
|
|
},
|
|
"vgcax": {
|
|
"name": "Vanguard Global Credit Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.0735478284104696,
|
|
"corr_port": -0.030644405219742193,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15866714630517054,
|
|
"2023 rate shock": -0.02341463981921188,
|
|
"2024 vol spike": 0.012073429908730393,
|
|
"2025 tariff crash": -0.005650804173198742,
|
|
"2026 Q1 drawdown": -0.014403383526432445
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.15866714630517054,
|
|
"max_ret": 0.012073429908730393,
|
|
"all_pos": false
|
|
},
|
|
"vgelx": {
|
|
"name": "Vanguard Energy Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.3249013285944888,
|
|
"corr_port": 0.3735382116130365,
|
|
"rets": {
|
|
"2022 bear mkt": 0.07407954766482594,
|
|
"2023 rate shock": -0.0013338082677797347,
|
|
"2024 vol spike": -0.031110209163964453,
|
|
"2025 tariff crash": -0.08333254027855874,
|
|
"2026 Q1 drawdown": 0.14873813535064695
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.08333254027855874,
|
|
"max_ret": 0.14873813535064695,
|
|
"all_pos": false
|
|
},
|
|
"vghax": {
|
|
"name": "Vanguard Health Care Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.007734492728782074,
|
|
"corr_port": 0.24368976338388523,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10029572945341736,
|
|
"2023 rate shock": -0.08886641298714715,
|
|
"2024 vol spike": -0.03415943791616605,
|
|
"2025 tariff crash": -0.11623480820882626,
|
|
"2026 Q1 drawdown": -0.057392011078903904
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.11623480820882626,
|
|
"max_ret": -0.03415943791616605,
|
|
"all_pos": false
|
|
},
|
|
"vgiax": {
|
|
"name": "Vanguard Growth and Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.01721741133467666,
|
|
"corr_port": 0.2953512820821749,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2327571151226272,
|
|
"2023 rate shock": -0.09086993567056767,
|
|
"2024 vol spike": -0.08056512550991624,
|
|
"2025 tariff crash": -0.19240912310223468,
|
|
"2026 Q1 drawdown": -0.09548098768356328
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2327571151226272,
|
|
"max_ret": -0.08056512550991624,
|
|
"all_pos": false
|
|
},
|
|
"vgivx": {
|
|
"name": "Vanguard Emerging Markets Government Bond Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.20913132403176427,
|
|
"corr_port": 0.2035022139950216,
|
|
"rets": {
|
|
"2022 bear mkt": -0.228377213533962,
|
|
"2023 rate shock": -0.05545839766964222,
|
|
"2024 vol spike": 0.004569671479496051,
|
|
"2025 tariff crash": -0.017267649669085672,
|
|
"2026 Q1 drawdown": -0.024191173567002622
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.228377213533962,
|
|
"max_ret": 0.004569671479496051,
|
|
"all_pos": false
|
|
},
|
|
"vglsx": {
|
|
"name": "Global Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3082698369498445,
|
|
"corr_port": 0.3326708445120672,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21953589672640828,
|
|
"2023 rate shock": -0.0665888062713329,
|
|
"2024 vol spike": -0.04391229935510821,
|
|
"2025 tariff crash": -0.10756397865191925,
|
|
"2026 Q1 drawdown": -0.06095659964825351
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21953589672640828,
|
|
"max_ret": -0.04391229935510821,
|
|
"all_pos": false
|
|
},
|
|
"vgpmx": {
|
|
"name": "Vanguard Global Capital Cycles Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 2.4684484701001943,
|
|
"corr_port": 0.24803012621803883,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10910955512618714,
|
|
"2023 rate shock": -0.07096767891245637,
|
|
"2024 vol spike": -0.07624622946947446,
|
|
"2025 tariff crash": -0.12495242811283125,
|
|
"2026 Q1 drawdown": -0.07557653020369504
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12495242811283125,
|
|
"max_ret": -0.07096767891245637,
|
|
"all_pos": false
|
|
},
|
|
"vgrlx": {
|
|
"name": "Vanguard Global ex-U.S. Real Estate Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.5334678851568013,
|
|
"corr_port": 0.3501405853082368,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31242349892033583,
|
|
"2023 rate shock": -0.11843666968175826,
|
|
"2024 vol spike": -0.04399387670846888,
|
|
"2025 tariff crash": -0.06477733257065432,
|
|
"2026 Q1 drawdown": -0.10628186396326433
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31242349892033583,
|
|
"max_ret": -0.04399387670846888,
|
|
"all_pos": false
|
|
},
|
|
"vgsbx": {
|
|
"name": "VY(R) BrandywineGLOBAL - Bond Portfolio",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.5048385386320593,
|
|
"corr_port": -0.05303525279313667,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12317094353503122,
|
|
"2023 rate shock": -0.06406084593552308,
|
|
"2024 vol spike": 0.040305091054454234,
|
|
"2025 tariff crash": 0.00859291147708352,
|
|
"2026 Q1 drawdown": 0.0010604340864122097
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.12317094353503122,
|
|
"max_ret": 0.040305091054454234,
|
|
"all_pos": false
|
|
},
|
|
"vgslx": {
|
|
"name": "Vanguard Real Estate Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.03962407816125658,
|
|
"corr_port": 0.24041488125441673,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3180704404977406,
|
|
"2023 rate shock": -0.15466553565487595,
|
|
"2024 vol spike": -0.013134183202079708,
|
|
"2025 tariff crash": -0.1283699985854333,
|
|
"2026 Q1 drawdown": -0.026960386455658014
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3180704404977406,
|
|
"max_ret": -0.013134183202079708,
|
|
"all_pos": false
|
|
},
|
|
"vgstx": {
|
|
"name": "Vanguard Star Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0711657760853157,
|
|
"corr_port": 0.26783477700890523,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23559516541562686,
|
|
"2023 rate shock": -0.09474475568349683,
|
|
"2024 vol spike": -0.03966592463763707,
|
|
"2025 tariff crash": -0.1164574254423828,
|
|
"2026 Q1 drawdown": -0.06136818109934927
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23559516541562686,
|
|
"max_ret": -0.03966592463763707,
|
|
"all_pos": false
|
|
},
|
|
"vgtsx": {
|
|
"name": "Vanguard Total International Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.09883748214887882,
|
|
"corr_port": 0.37743790811676853,
|
|
"rets": {
|
|
"2022 bear mkt": -0.277852733378654,
|
|
"2023 rate shock": -0.10849306339168574,
|
|
"2024 vol spike": -0.06613239347118571,
|
|
"2025 tariff crash": -0.11351919472692606,
|
|
"2026 Q1 drawdown": -0.07779114231969353
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.277852733378654,
|
|
"max_ret": -0.06613239347118571,
|
|
"all_pos": false
|
|
},
|
|
"vgwix": {
|
|
"name": "Vanguard Global Wellesley Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.8820011079124765,
|
|
"corr_port": 0.34168311606714363,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1532022623676068,
|
|
"2023 rate shock": -0.047945694441059006,
|
|
"2024 vol spike": -0.0055194616013566344,
|
|
"2025 tariff crash": -0.026892536150956325,
|
|
"2026 Q1 drawdown": -0.016587596556211115
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1532022623676068,
|
|
"max_ret": -0.0055194616013566344,
|
|
"all_pos": false
|
|
},
|
|
"vgwlx": {
|
|
"name": "Vanguard Global Wellington Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 2.2808924360835756,
|
|
"corr_port": 0.3839464816992213,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17363624002650047,
|
|
"2023 rate shock": -0.054291545643168515,
|
|
"2024 vol spike": -0.033791409989445964,
|
|
"2025 tariff crash": -0.06471012513649588,
|
|
"2026 Q1 drawdown": -0.031054040782566794
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17363624002650047,
|
|
"max_ret": -0.031054040782566794,
|
|
"all_pos": false
|
|
},
|
|
"vhcix": {
|
|
"name": "Vanguard Health Care Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.08926885555773569,
|
|
"corr_port": 0.2499562780992058,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12991759051516794,
|
|
"2023 rate shock": -0.08938267675111178,
|
|
"2024 vol spike": -0.02700546933606862,
|
|
"2025 tariff crash": -0.10893296090066251,
|
|
"2026 Q1 drawdown": -0.0661204578334893
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12991759051516794,
|
|
"max_ret": -0.02700546933606862,
|
|
"all_pos": false
|
|
},
|
|
"vhcox": {
|
|
"name": "Vanguard Capital Opportunity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9113717759236932,
|
|
"corr_port": 0.2579588317549654,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24349367356197094,
|
|
"2023 rate shock": -0.0774288252965668,
|
|
"2024 vol spike": -0.10473499816457932,
|
|
"2025 tariff crash": -0.2123467824398786,
|
|
"2026 Q1 drawdown": -0.12433997834990596
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24349367356197094,
|
|
"max_ret": -0.0774288252965668,
|
|
"all_pos": false
|
|
},
|
|
"vhgex": {
|
|
"name": "Vanguard Global Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.322997306553206,
|
|
"corr_port": 0.27766991454825174,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30057208192902596,
|
|
"2023 rate shock": -0.14414692267890483,
|
|
"2024 vol spike": -0.06885153530331378,
|
|
"2025 tariff crash": -0.18784674948976465,
|
|
"2026 Q1 drawdown": -0.11274763553205602
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30057208192902596,
|
|
"max_ret": -0.06885153530331378,
|
|
"all_pos": false
|
|
},
|
|
"vhiax": {
|
|
"name": "JPMorgan Growth Advantage Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.459030795237446,
|
|
"corr_port": 0.1587895445017445,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32099938072874523,
|
|
"2023 rate shock": -0.10062241197969923,
|
|
"2024 vol spike": -0.09387637499502033,
|
|
"2025 tariff crash": -0.22970906454180273,
|
|
"2026 Q1 drawdown": -0.11356546257796263
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32099938072874523,
|
|
"max_ret": -0.09387637499502033,
|
|
"all_pos": false
|
|
},
|
|
"vhyax": {
|
|
"name": "Vanguard High Dividend Yield Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.095339824666026,
|
|
"corr_port": 0.4031574096341115,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13852797457581434,
|
|
"2023 rate shock": -0.0962919686712932,
|
|
"2024 vol spike": -0.050987660560937176,
|
|
"2025 tariff crash": -0.1412964543148295,
|
|
"2026 Q1 drawdown": -0.02142625954490396
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1412964543148295,
|
|
"max_ret": -0.02142625954490396,
|
|
"all_pos": false
|
|
},
|
|
"vicsx": {
|
|
"name": "Vanguard Intermediate-Term Corporate Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.4732693699779893,
|
|
"corr_port": -0.03268224016036875,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16905975329168188,
|
|
"2023 rate shock": -0.03945078840127736,
|
|
"2024 vol spike": 0.015166740180762694,
|
|
"2025 tariff crash": -0.0017914592449533862,
|
|
"2026 Q1 drawdown": -0.01121296651104553
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16905975329168188,
|
|
"max_ret": 0.015166740180762694,
|
|
"all_pos": false
|
|
},
|
|
"vidax": {
|
|
"name": "Nomura Tax-Free Idaho Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2696165686559547,
|
|
"corr_port": 0.03579470565657216,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1409630679149575,
|
|
"2023 rate shock": -0.07741730395177171,
|
|
"2024 vol spike": 0.016967843314741105,
|
|
"2025 tariff crash": -0.041425525617421854,
|
|
"2026 Q1 drawdown": -0.009798275864941974
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1409630679149575,
|
|
"max_ret": 0.016967843314741105,
|
|
"all_pos": false
|
|
},
|
|
"vigax": {
|
|
"name": "Vanguard Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4121491487094902,
|
|
"corr_port": 0.15127536970900018,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3370107679314158,
|
|
"2023 rate shock": -0.09839752986873518,
|
|
"2024 vol spike": -0.09337747056749612,
|
|
"2025 tariff crash": -0.22637953200504835,
|
|
"2026 Q1 drawdown": -0.13412583608568285
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3370107679314158,
|
|
"max_ret": -0.09337747056749612,
|
|
"all_pos": false
|
|
},
|
|
"vigi": {
|
|
"name": "Vanguard International Dividend Appreciation Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1206226320748998,
|
|
"corr_port": 0.27603315232248316,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26813960418390836,
|
|
"2023 rate shock": -0.0919168670507916,
|
|
"2024 vol spike": -0.05149161605938235,
|
|
"2025 tariff crash": -0.10784360969507978,
|
|
"2026 Q1 drawdown": -0.06974841506446772
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26813960418390836,
|
|
"max_ret": -0.05149161605938235,
|
|
"all_pos": false
|
|
},
|
|
"viitx": {
|
|
"name": "Vanguard Institutional Intermediate-Term Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.27008812457757064,
|
|
"corr_port": -0.12087505256399539,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0937775262436944,
|
|
"2023 rate shock": -0.01796281596962246,
|
|
"2024 vol spike": 0.015946861885558716,
|
|
"2025 tariff crash": 0.009872509020996567,
|
|
"2026 Q1 drawdown": -0.003840448327793844
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.0937775262436944,
|
|
"max_ret": 0.015946861885558716,
|
|
"all_pos": false
|
|
},
|
|
"vimax": {
|
|
"name": "Vanguard Mid-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.9382623831663778,
|
|
"corr_port": 0.28780118214094425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24978073702295933,
|
|
"2023 rate shock": -0.13573058999393672,
|
|
"2024 vol spike": -0.051834044959520376,
|
|
"2025 tariff crash": -0.16704375852123654,
|
|
"2026 Q1 drawdown": -0.05713184487786105
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24978073702295933,
|
|
"max_ret": -0.051834044959520376,
|
|
"all_pos": false
|
|
},
|
|
"vinax": {
|
|
"name": "Vanguard Industrials Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5433441874242807,
|
|
"corr_port": 0.3487937426110444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20763905462956478,
|
|
"2023 rate shock": -0.1323596505872029,
|
|
"2024 vol spike": -0.05218901356933592,
|
|
"2025 tariff crash": -0.16303592739482053,
|
|
"2026 Q1 drawdown": -0.060079727441570197
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20763905462956478,
|
|
"max_ret": -0.05218901356933592,
|
|
"all_pos": false
|
|
},
|
|
"vinex": {
|
|
"name": "Vanguard International Explorer Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3012024913419373,
|
|
"corr_port": 0.3293155203902495,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38059348582530816,
|
|
"2023 rate shock": -0.15307905971347802,
|
|
"2024 vol spike": -0.07859539640916668,
|
|
"2025 tariff crash": -0.1168008670718721,
|
|
"2026 Q1 drawdown": -0.09314179796107502
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38059348582530816,
|
|
"max_ret": -0.07859539640916668,
|
|
"all_pos": false
|
|
},
|
|
"vinix": {
|
|
"name": "Vanguard Institutional Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.25421430439611176,
|
|
"corr_port": 0.28374730084093813,
|
|
"rets": {
|
|
"2022 bear mkt": -0.244649485196464,
|
|
"2023 rate shock": -0.09708406357797905,
|
|
"2024 vol spike": -0.0715668308017775,
|
|
"2025 tariff crash": -0.18407022846100995,
|
|
"2026 Q1 drawdown": -0.08775086441743696
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.244649485196464,
|
|
"max_ret": -0.0715668308017775,
|
|
"all_pos": false
|
|
},
|
|
"viog": {
|
|
"name": "Vanguard S&P Small-Cap 600 Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.21569781209919872,
|
|
"corr_port": 0.2791857910644733,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25766251206137303,
|
|
"2023 rate shock": -0.14091276217607573,
|
|
"2024 vol spike": -0.07580841594912024,
|
|
"2025 tariff crash": -0.20627520676302646,
|
|
"2026 Q1 drawdown": -0.06231405599178408
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25766251206137303,
|
|
"max_ret": -0.06231405599178408,
|
|
"all_pos": false
|
|
},
|
|
"vipix": {
|
|
"name": "Vanguard Inflation-Protected Securities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.6487168672519282,
|
|
"corr_port": -0.06734076346076816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12250382009207494,
|
|
"2023 rate shock": -0.024847665160310672,
|
|
"2024 vol spike": 0.012685275362278592,
|
|
"2025 tariff crash": 0.010248467766720948,
|
|
"2026 Q1 drawdown": -0.0010639130889970039
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.12250382009207494,
|
|
"max_ret": 0.012685275362278592,
|
|
"all_pos": false
|
|
},
|
|
"visgx": {
|
|
"name": "Vanguard Small-Cap Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6424401692427266,
|
|
"corr_port": 0.16604519203634072,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30010308177372647,
|
|
"2023 rate shock": -0.17463703293236754,
|
|
"2024 vol spike": -0.08377402599709394,
|
|
"2025 tariff crash": -0.23557189730473316,
|
|
"2026 Q1 drawdown": -0.09045420402452842
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30010308177372647,
|
|
"max_ret": -0.08377402599709394,
|
|
"all_pos": false
|
|
},
|
|
"vistx": {
|
|
"name": "Vanguard Institutional Short-Term Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.25892290240343807,
|
|
"corr_port": -0.1266147842997812,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04508644455396882,
|
|
"2023 rate shock": 0.005411950555154643,
|
|
"2024 vol spike": 0.010207125214160673,
|
|
"2025 tariff crash": 0.009099766669538267,
|
|
"2026 Q1 drawdown": 0.00020147944355985992
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.04508644455396882,
|
|
"max_ret": 0.010207125214160673,
|
|
"all_pos": false
|
|
},
|
|
"visvx": {
|
|
"name": "Vanguard Small-Cap Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7832430586699031,
|
|
"corr_port": 0.35676861226563966,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1827156480702704,
|
|
"2023 rate shock": -0.13870747815624906,
|
|
"2024 vol spike": -0.062245978348152486,
|
|
"2025 tariff crash": -0.18929867395261513,
|
|
"2026 Q1 drawdown": -0.04773673258000999
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18929867395261513,
|
|
"max_ret": -0.04773673258000999,
|
|
"all_pos": false
|
|
},
|
|
"vitax": {
|
|
"name": "Vanguard Information Technology Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8437034904431964,
|
|
"corr_port": 0.15453910915406238,
|
|
"rets": {
|
|
"2022 bear mkt": -0.335850687257636,
|
|
"2023 rate shock": -0.11618298860624177,
|
|
"2024 vol spike": -0.11495154870782187,
|
|
"2025 tariff crash": -0.2671309889849126,
|
|
"2026 Q1 drawdown": -0.11993104838563728
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.335850687257636,
|
|
"max_ret": -0.11495154870782187,
|
|
"all_pos": false
|
|
},
|
|
"vitnx": {
|
|
"name": "Vanguard Institutional Total Stock Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.761602436077079,
|
|
"corr_port": 0.2750054586256891,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2519117840559779,
|
|
"2023 rate shock": -0.10488302522387793,
|
|
"2024 vol spike": -0.07254422470244981,
|
|
"2025 tariff crash": -0.18929572702823716,
|
|
"2026 Q1 drawdown": -0.08702419262191763
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2519117840559779,
|
|
"max_ret": -0.07254422470244981,
|
|
"all_pos": false
|
|
},
|
|
"vitsx": {
|
|
"name": "Vanguard Total Stock Market Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.80419410520419,
|
|
"corr_port": 0.27535542786640077,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2523526156229935,
|
|
"2023 rate shock": -0.10482968141213145,
|
|
"2024 vol spike": -0.0724950338682967,
|
|
"2025 tariff crash": -0.189336950455415,
|
|
"2026 Q1 drawdown": -0.0870539366630485
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2523526156229935,
|
|
"max_ret": -0.0724950338682967,
|
|
"all_pos": false
|
|
},
|
|
"vklmx": {
|
|
"name": "INVESCO INTERMEDIATE TERM MUNICIPAL INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.7457071709196298,
|
|
"corr_port": 0.05755602584056815,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11200562266962555,
|
|
"2023 rate shock": -0.04299171476281549,
|
|
"2024 vol spike": 0.011430083607908426,
|
|
"2025 tariff crash": -0.024305733892904358,
|
|
"2026 Q1 drawdown": -0.009409954378011065
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.11200562266962555,
|
|
"max_ret": 0.011430083607908426,
|
|
"all_pos": false
|
|
},
|
|
"vkmgx": {
|
|
"name": "Invesco Quality Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0438346656487878,
|
|
"corr_port": -0.06267054270340533,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14529838442867804,
|
|
"2023 rate shock": -0.053798156830382915,
|
|
"2024 vol spike": 0.024925125492333056,
|
|
"2025 tariff crash": 0.010830341531327559,
|
|
"2026 Q1 drawdown": -0.006371660270022228
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.14529838442867804,
|
|
"max_ret": 0.024925125492333056,
|
|
"all_pos": false
|
|
},
|
|
"vkmmx": {
|
|
"name": "INVESCO MUNICIPAL INCOME FUND",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.06128121232812193,
|
|
"corr_port": 0.04772318921346053,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1441065316471678,
|
|
"2023 rate shock": -0.06873963078346423,
|
|
"2024 vol spike": 0.015487000401975592,
|
|
"2025 tariff crash": -0.038527294397586176,
|
|
"2026 Q1 drawdown": -0.007874537434816808
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1441065316471678,
|
|
"max_ret": 0.015487000401975592,
|
|
"all_pos": false
|
|
},
|
|
"vlaax": {
|
|
"name": "VALUE LINE ASSET ALLOCATION FUND INC",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7231596285992083,
|
|
"corr_port": 0.1998967703459434,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2039155760069492,
|
|
"2023 rate shock": -0.0562152323644034,
|
|
"2024 vol spike": -0.009887423796568928,
|
|
"2025 tariff crash": -0.07418112724966042,
|
|
"2026 Q1 drawdown": -0.05345284445383269
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2039155760069492,
|
|
"max_ret": -0.009887423796568928,
|
|
"all_pos": false
|
|
},
|
|
"vlcax": {
|
|
"name": "Vanguard Large-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.3294686925330264,
|
|
"corr_port": 0.2718996195422153,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25463116163045496,
|
|
"2023 rate shock": -0.0972281197538134,
|
|
"2024 vol spike": -0.07238625423257095,
|
|
"2025 tariff crash": -0.18626138014872418,
|
|
"2026 Q1 drawdown": -0.08982219532358715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25463116163045496,
|
|
"max_ret": -0.07238625423257095,
|
|
"all_pos": false
|
|
},
|
|
"vlcix": {
|
|
"name": "Vanguard Long-Term Corporate Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.11943417259569869,
|
|
"corr_port": -0.05227929742699147,
|
|
"rets": {
|
|
"2022 bear mkt": -0.286901196374967,
|
|
"2023 rate shock": -0.09272094012106435,
|
|
"2024 vol spike": 0.017167614933310205,
|
|
"2025 tariff crash": -0.029793404895720577,
|
|
"2026 Q1 drawdown": -0.021005253228783327
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.286901196374967,
|
|
"max_ret": 0.017167614933310205,
|
|
"all_pos": false
|
|
},
|
|
"vleox": {
|
|
"name": "Value Line Small Cap Opportunities Fund, Inc.",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4004924617502871,
|
|
"corr_port": 0.25755217498056376,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2595977717587321,
|
|
"2023 rate shock": -0.11291618891809241,
|
|
"2024 vol spike": -0.05747326232156591,
|
|
"2025 tariff crash": -0.15091467344628762,
|
|
"2026 Q1 drawdown": -0.05638794908973743
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2595977717587321,
|
|
"max_ret": -0.05638794908973743,
|
|
"all_pos": false
|
|
},
|
|
"vlgsx": {
|
|
"name": "Vanguard Long-Term Treasury Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5211118991911504,
|
|
"corr_port": -0.19428646025749488,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27761003074875235,
|
|
"2023 rate shock": -0.12230135907062345,
|
|
"2024 vol spike": 0.04987683387222708,
|
|
"2025 tariff crash": 0.006927026319749396,
|
|
"2026 Q1 drawdown": -0.0035835500720983182
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.27761003074875235,
|
|
"max_ret": 0.04987683387222708,
|
|
"all_pos": false
|
|
},
|
|
"vlifx": {
|
|
"name": "VALUE LINE MID CAP FOCUSED FUND, INC.",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.1941933336806712,
|
|
"corr_port": 0.25622088491850026,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18938165226993198,
|
|
"2023 rate shock": -0.09320321930919029,
|
|
"2024 vol spike": -0.022018857844190443,
|
|
"2025 tariff crash": -0.10950591744663474,
|
|
"2026 Q1 drawdown": -0.0974270309337959
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18938165226993198,
|
|
"max_ret": -0.022018857844190443,
|
|
"all_pos": false
|
|
},
|
|
"vlxvx": {
|
|
"name": "Vanguard Target Retirement 2065 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.17908435907583578,
|
|
"corr_port": 0.2875060079977073,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24928638439055795,
|
|
"2023 rate shock": -0.09843329200818673,
|
|
"2024 vol spike": -0.061030092956765425,
|
|
"2025 tariff crash": -0.1431005166482282,
|
|
"2026 Q1 drawdown": -0.07573938446742012
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24928638439055795,
|
|
"max_ret": -0.061030092956765425,
|
|
"all_pos": false
|
|
},
|
|
"vmatx": {
|
|
"name": "Vanguard Massachusetts Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.10136457123572917,
|
|
"corr_port": 0.020428388208864622,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13181206533627654,
|
|
"2023 rate shock": -0.057903539353286626,
|
|
"2024 vol spike": 0.016637776531391424,
|
|
"2025 tariff crash": -0.03578548217107824,
|
|
"2026 Q1 drawdown": -0.011818816064764537
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13181206533627654,
|
|
"max_ret": 0.016637776531391424,
|
|
"all_pos": false
|
|
},
|
|
"vmbsx": {
|
|
"name": "Vanguard Mortgage-Backed Securities Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.05558139443631741,
|
|
"corr_port": -0.10012594510203612,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13860747723640865,
|
|
"2023 rate shock": -0.05009301110247044,
|
|
"2024 vol spike": 0.02126331782766444,
|
|
"2025 tariff crash": 0.009159605763047862,
|
|
"2026 Q1 drawdown": -0.003823665567578516
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13860747723640865,
|
|
"max_ret": 0.02126331782766444,
|
|
"all_pos": false
|
|
},
|
|
"vmctx": {
|
|
"name": "Vanguard Mega Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.041326429173871415,
|
|
"corr_port": 0.2651257963385773,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2557566825288572,
|
|
"2023 rate shock": -0.08945361779914252,
|
|
"2024 vol spike": -0.07642500237670358,
|
|
"2025 tariff crash": -0.19011493822404568,
|
|
"2026 Q1 drawdown": -0.09619137399083288
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2557566825288572,
|
|
"max_ret": -0.07642500237670358,
|
|
"all_pos": false
|
|
},
|
|
"vmfgx": {
|
|
"name": "Vanguard S&P Mid-Cap 400 Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8358176707352748,
|
|
"corr_port": 0.27679036184287487,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23407245925729225,
|
|
"2023 rate shock": -0.12437447961793913,
|
|
"2024 vol spike": -0.07049833828389873,
|
|
"2025 tariff crash": -0.19969308551669118,
|
|
"2026 Q1 drawdown": -0.04739683324824473
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23407245925729225,
|
|
"max_ret": -0.04739683324824473,
|
|
"all_pos": false
|
|
},
|
|
"vmfvx": {
|
|
"name": "Vanguard S&P Mid-Cap 400 Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7060198055758379,
|
|
"corr_port": 0.35194324351038736,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17452873395450275,
|
|
"2023 rate shock": -0.16104266004110246,
|
|
"2024 vol spike": -0.0601407374408941,
|
|
"2025 tariff crash": -0.18375039582594566,
|
|
"2026 Q1 drawdown": -0.05689214905186657
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18375039582594566,
|
|
"max_ret": -0.05689214905186657,
|
|
"all_pos": false
|
|
},
|
|
"vmgax": {
|
|
"name": "Vanguard Mega Cap Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0993704488255867,
|
|
"corr_port": 0.14741697328371686,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33803386779918376,
|
|
"2023 rate shock": -0.08990228226292285,
|
|
"2024 vol spike": -0.09598147165118354,
|
|
"2025 tariff crash": -0.23081009762953397,
|
|
"2026 Q1 drawdown": -0.135658383155571
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33803386779918376,
|
|
"max_ret": -0.08990228226292285,
|
|
"all_pos": false
|
|
},
|
|
"vmgix": {
|
|
"name": "Vanguard Mid-Cap Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9578569379150161,
|
|
"corr_port": 0.17228320033077044,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3145469042277709,
|
|
"2023 rate shock": -0.14611108407955664,
|
|
"2024 vol spike": -0.06914125337098076,
|
|
"2025 tariff crash": -0.19549406498439703,
|
|
"2026 Q1 drawdown": -0.11089417649757727
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3145469042277709,
|
|
"max_ret": -0.06914125337098076,
|
|
"all_pos": false
|
|
},
|
|
"vmgrx": {
|
|
"name": "Vanguard Mid-Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7018574544318157,
|
|
"corr_port": 0.1557125359142105,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32087580956707396,
|
|
"2023 rate shock": -0.15968248749806346,
|
|
"2024 vol spike": -0.06573150533482297,
|
|
"2025 tariff crash": -0.2404973712494196,
|
|
"2026 Q1 drawdown": -0.1483898023485608
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32087580956707396,
|
|
"max_ret": -0.06573150533482297,
|
|
"all_pos": false
|
|
},
|
|
"vmiax": {
|
|
"name": "Vanguard Materials Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9224624687348576,
|
|
"corr_port": 0.3405648190296342,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22460718073805586,
|
|
"2023 rate shock": -0.12656163261757336,
|
|
"2024 vol spike": -0.04916444652922647,
|
|
"2025 tariff crash": -0.17301181166779522,
|
|
"2026 Q1 drawdown": -0.041493577514158386
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22460718073805586,
|
|
"max_ret": -0.041493577514158386,
|
|
"all_pos": false
|
|
},
|
|
"vmltx": {
|
|
"name": "Vanguard Limited-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.14792422247581738,
|
|
"corr_port": 0.05623613509083528,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04543145818251071,
|
|
"2023 rate shock": -0.012833415774102575,
|
|
"2024 vol spike": 0.008789908733263463,
|
|
"2025 tariff crash": -0.006100123881245478,
|
|
"2026 Q1 drawdown": -0.005929264772458365
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04543145818251071,
|
|
"max_ret": 0.008789908733263463,
|
|
"all_pos": false
|
|
},
|
|
"vmmsx": {
|
|
"name": "Vanguard Emerging Markets Select Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5105901689989659,
|
|
"corr_port": 0.3137390159673667,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27494910011698326,
|
|
"2023 rate shock": -0.11197792950437002,
|
|
"2024 vol spike": -0.0677737862972051,
|
|
"2025 tariff crash": -0.13909616244794432,
|
|
"2026 Q1 drawdown": -0.10181355392936686
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.27494910011698326,
|
|
"max_ret": -0.0677737862972051,
|
|
"all_pos": false
|
|
},
|
|
"vmnix": {
|
|
"name": "Vanguard Market Neutral Fund",
|
|
"verdict": "alpha, but correlated with current portfolio",
|
|
"t5": 4.361786874321171,
|
|
"corr_port": 0.3467529140312448,
|
|
"rets": {
|
|
"2022 bear mkt": 0.09017107595247653,
|
|
"2023 rate shock": 0.07710653233838283,
|
|
"2024 vol spike": 0.024566508989438463,
|
|
"2025 tariff crash": 0.008857129159485222,
|
|
"2026 Q1 drawdown": 0.06968246146608337
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 5,
|
|
"min_ret": 0.008857129159485222,
|
|
"max_ret": 0.09017107595247653,
|
|
"all_pos": true
|
|
},
|
|
"vmvfx": {
|
|
"name": "Vanguard Global Minimum Volatility Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.8261846943991876,
|
|
"corr_port": 0.38034455341253026,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12770268360657544,
|
|
"2023 rate shock": -0.041369504620842545,
|
|
"2024 vol spike": -0.031847100420657415,
|
|
"2025 tariff crash": -0.06117358967527786,
|
|
"2026 Q1 drawdown": -0.013530073800738118
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12770268360657544,
|
|
"max_ret": -0.013530073800738118,
|
|
"all_pos": false
|
|
},
|
|
"vmvix": {
|
|
"name": "Vanguard Mid-Cap Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8378780267019831,
|
|
"corr_port": 0.3876209537874597,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18585348867637974,
|
|
"2023 rate shock": -0.12674367732996628,
|
|
"2024 vol spike": -0.03778742182389949,
|
|
"2025 tariff crash": -0.14341970816517546,
|
|
"2026 Q1 drawdown": -0.018263072590176344
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18585348867637974,
|
|
"max_ret": -0.018263072590176344,
|
|
"all_pos": false
|
|
},
|
|
"vmvlx": {
|
|
"name": "Vanguard Mega Cap Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.6223608377587335,
|
|
"corr_port": 0.412132387575641,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14672353430750384,
|
|
"2023 rate shock": -0.0888004859386381,
|
|
"2024 vol spike": -0.045606526413008,
|
|
"2025 tariff crash": -0.12736303976594743,
|
|
"2026 Q1 drawdown": -0.03004046304935848
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14672353430750384,
|
|
"max_ret": -0.03004046304935848,
|
|
"all_pos": false
|
|
},
|
|
"vnjtx": {
|
|
"name": "Vanguard New Jersey Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.501312540430802,
|
|
"corr_port": 0.031735451890282165,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13075364147631863,
|
|
"2023 rate shock": -0.061309011695724,
|
|
"2024 vol spike": 0.016889736278606682,
|
|
"2025 tariff crash": -0.03574098777053791,
|
|
"2026 Q1 drawdown": -0.009986443765749309
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13075364147631863,
|
|
"max_ret": 0.016889736278606682,
|
|
"all_pos": false
|
|
},
|
|
"vnvax": {
|
|
"name": "Vaughan Nelson Mid Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.08818626010711185,
|
|
"corr_port": 0.32841835713127177,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1918239723100008,
|
|
"2023 rate shock": -0.09813302859604156,
|
|
"2024 vol spike": -0.06535686387699924,
|
|
"2025 tariff crash": -0.17380663558632514,
|
|
"2026 Q1 drawdown": -0.08682486197141015
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1918239723100008,
|
|
"max_ret": -0.06535686387699924,
|
|
"all_pos": false
|
|
},
|
|
"vnytx": {
|
|
"name": "Vanguard New York Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.5077528495637104,
|
|
"corr_port": 0.015461554327395354,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1370775637555588,
|
|
"2023 rate shock": -0.06302298315712307,
|
|
"2024 vol spike": 0.016534029989293986,
|
|
"2025 tariff crash": -0.03778584340039859,
|
|
"2026 Q1 drawdown": -0.008649659571254076
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1370775637555588,
|
|
"max_ret": 0.016534029989293986,
|
|
"all_pos": false
|
|
},
|
|
"vohix": {
|
|
"name": "Vanguard Ohio Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.10793158241013757,
|
|
"corr_port": 0.0200351771992567,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13998540691197514,
|
|
"2023 rate shock": -0.06627503728360229,
|
|
"2024 vol spike": 0.01738973223281004,
|
|
"2025 tariff crash": -0.03382108147740048,
|
|
"2026 Q1 drawdown": -0.010271842486607619
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13998540691197514,
|
|
"max_ret": 0.01738973223281004,
|
|
"all_pos": false
|
|
},
|
|
"volmx": {
|
|
"name": "Volumetric Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4329270284211018,
|
|
"corr_port": 0.3122750108189457,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1858095054902148,
|
|
"2023 rate shock": -0.09274727856330567,
|
|
"2024 vol spike": -0.060655020368635015,
|
|
"2025 tariff crash": -0.15134023539066255,
|
|
"2026 Q1 drawdown": -0.07581376184590027
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1858095054902148,
|
|
"max_ret": -0.060655020368635015,
|
|
"all_pos": false
|
|
},
|
|
"vpadx": {
|
|
"name": "Vanguard Pacific Stock Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.16177576990409862,
|
|
"corr_port": 0.3549183823027031,
|
|
"rets": {
|
|
"2022 bear mkt": -0.26299281560999865,
|
|
"2023 rate shock": -0.10089618316554583,
|
|
"2024 vol spike": -0.09838469210847611,
|
|
"2025 tariff crash": -0.1219292677742373,
|
|
"2026 Q1 drawdown": -0.05364509438126375
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.26299281560999865,
|
|
"max_ret": -0.05364509438126375,
|
|
"all_pos": false
|
|
},
|
|
"vpaix": {
|
|
"name": "Vanguard Pennsylvania Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.43064570750485026,
|
|
"corr_port": 0.02427301435729458,
|
|
"rets": {
|
|
"2022 bear mkt": -0.128877624724542,
|
|
"2023 rate shock": -0.06302013892296587,
|
|
"2024 vol spike": 0.015825779650844085,
|
|
"2025 tariff crash": -0.032266470000675396,
|
|
"2026 Q1 drawdown": -0.009789549658096086
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.128877624724542,
|
|
"max_ret": 0.015825779650844085,
|
|
"all_pos": false
|
|
},
|
|
"vpccx": {
|
|
"name": "Vanguard PRIMECAP Core Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.304799982619719,
|
|
"corr_port": 0.32006743177089503,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21581883597295848,
|
|
"2023 rate shock": -0.08320095884351397,
|
|
"2024 vol spike": -0.09721458630431201,
|
|
"2025 tariff crash": -0.19781763174963285,
|
|
"2026 Q1 drawdown": -0.09578448490895497
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21581883597295848,
|
|
"max_ret": -0.08320095884351397,
|
|
"all_pos": false
|
|
},
|
|
"vpmcx": {
|
|
"name": "Vanguard PRIMECAP Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9914824630003826,
|
|
"corr_port": 0.28524501606862196,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23513053322561794,
|
|
"2023 rate shock": -0.08078219280172017,
|
|
"2024 vol spike": -0.10581447659636345,
|
|
"2025 tariff crash": -0.2055815410487175,
|
|
"2026 Q1 drawdown": -0.11733191546214017
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23513053322561794,
|
|
"max_ret": -0.08078219280172017,
|
|
"all_pos": false
|
|
},
|
|
"vrgwx": {
|
|
"name": "Vanguard Russell 1000 Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.579921361695219,
|
|
"corr_port": 0.16636926986086295,
|
|
"rets": {
|
|
"2022 bear mkt": -0.311008096302561,
|
|
"2023 rate shock": -0.0905632829663442,
|
|
"2024 vol spike": -0.09385154067446033,
|
|
"2025 tariff crash": -0.2257098855575833,
|
|
"2026 Q1 drawdown": -0.12419529955873487
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.311008096302561,
|
|
"max_ret": -0.0905632829663442,
|
|
"all_pos": false
|
|
},
|
|
"vrnix": {
|
|
"name": "Vanguard Russell 1000 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6003410502397423,
|
|
"corr_port": 0.2762399181109889,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2502028214638461,
|
|
"2023 rate shock": -0.10058891606326859,
|
|
"2024 vol spike": -0.07170474388330739,
|
|
"2025 tariff crash": -0.18740541524547416,
|
|
"2026 Q1 drawdown": -0.08640558409633037
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2502028214638461,
|
|
"max_ret": -0.07170474388330739,
|
|
"all_pos": false
|
|
},
|
|
"vrtgx": {
|
|
"name": "Vanguard Russell 2000 Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.4872319754980317,
|
|
"corr_port": 0.18287645497640698,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2879068556681086,
|
|
"2023 rate shock": -0.19019763599067996,
|
|
"2024 vol spike": -0.09477763628398683,
|
|
"2025 tariff crash": -0.23571789728535286,
|
|
"2026 Q1 drawdown": -0.12087432048727154
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2879068556681086,
|
|
"max_ret": -0.09477763628398683,
|
|
"all_pos": false
|
|
},
|
|
"vrtix": {
|
|
"name": "Vanguard Russell 2000 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.36430285737884377,
|
|
"corr_port": 0.2542374927240262,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24811286254688092,
|
|
"2023 rate shock": -0.17581601686827364,
|
|
"2024 vol spike": -0.0892337432497744,
|
|
"2025 tariff crash": -0.21959733428244765,
|
|
"2026 Q1 drawdown": -0.08851859154896413
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24811286254688092,
|
|
"max_ret": -0.08851859154896413,
|
|
"all_pos": false
|
|
},
|
|
"vrtpx": {
|
|
"name": "Vanguard Real Estate II Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.10306111416341311,
|
|
"corr_port": 0.21127498440583814,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3176846739504512,
|
|
"2023 rate shock": -0.1544353789701367,
|
|
"2024 vol spike": -0.012992810496456064,
|
|
"2025 tariff crash": -0.12816427001402309,
|
|
"2026 Q1 drawdown": -0.02678170299718663
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3176846739504512,
|
|
"max_ret": -0.012992810496456064,
|
|
"all_pos": false
|
|
},
|
|
"vrttx": {
|
|
"name": "Vanguard Russell 3000 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8631327113926014,
|
|
"corr_port": 0.2766996593391812,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25008372008965163,
|
|
"2023 rate shock": -0.10479074780710673,
|
|
"2024 vol spike": -0.07257499728529826,
|
|
"2025 tariff crash": -0.1888892257014061,
|
|
"2026 Q1 drawdown": -0.08647081471815998
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25008372008965163,
|
|
"max_ret": -0.07257499728529826,
|
|
"all_pos": false
|
|
},
|
|
"vrtvx": {
|
|
"name": "Vanguard Russell 2000 Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8874126189839227,
|
|
"corr_port": 0.3161528086046489,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2108283152127518,
|
|
"2023 rate shock": -0.16196568351480245,
|
|
"2024 vol spike": -0.08370552633462502,
|
|
"2025 tariff crash": -0.20229896913571066,
|
|
"2026 Q1 drawdown": -0.053459920438856945
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2108283152127518,
|
|
"max_ret": -0.053459920438856945,
|
|
"all_pos": false
|
|
},
|
|
"vrvix": {
|
|
"name": "Vanguard Russell 1000 Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.423551362837592,
|
|
"corr_port": 0.38559497766433143,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1823909736948579,
|
|
"2023 rate shock": -0.1118551903241839,
|
|
"2024 vol spike": -0.04705768960851664,
|
|
"2025 tariff crash": -0.1419203257003867,
|
|
"2026 Q1 drawdown": -0.046098301872318226
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1823909736948579,
|
|
"max_ret": -0.046098301872318226,
|
|
"all_pos": false
|
|
},
|
|
"vsbsx": {
|
|
"name": "Vanguard Short-Term Treasury Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7084607114970835,
|
|
"corr_port": -0.18483454847336064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.045108183677156855,
|
|
"2023 rate shock": 0.008209768154846975,
|
|
"2024 vol spike": 0.011310021798685899,
|
|
"2025 tariff crash": 0.013933910144334982,
|
|
"2026 Q1 drawdown": 0.00034103186692568954
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.045108183677156855,
|
|
"max_ret": 0.013933910144334982,
|
|
"all_pos": false
|
|
},
|
|
"vscax": {
|
|
"name": "INVESCO SMALL CAP VALUE FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.8798966155804988,
|
|
"corr_port": 0.33841213618364824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13089002882434042,
|
|
"2023 rate shock": -0.11111106971175488,
|
|
"2024 vol spike": -0.1154005055890831,
|
|
"2025 tariff crash": -0.23054872070324262,
|
|
"2026 Q1 drawdown": -0.05001761359695711
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23054872070324262,
|
|
"max_ret": -0.05001761359695711,
|
|
"all_pos": false
|
|
},
|
|
"vscgx": {
|
|
"name": "Vanguard LifeStrategy 40/60 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.40498373421557127,
|
|
"corr_port": 0.257359251880119,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1901761725374579,
|
|
"2023 rate shock": -0.061151964378088675,
|
|
"2024 vol spike": -0.01644734585505714,
|
|
"2025 tariff crash": -0.0612762639408706,
|
|
"2026 Q1 drawdown": -0.038942389382040754
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1901761725374579,
|
|
"max_ret": -0.01644734585505714,
|
|
"all_pos": false
|
|
},
|
|
"vscsx": {
|
|
"name": "Vanguard Short-Term Corporate Bond Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 4.987473400923947,
|
|
"corr_port": -0.019157738815631865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.07502197122160004,
|
|
"2023 rate shock": -0.002682759192831674,
|
|
"2024 vol spike": 0.010501093671561046,
|
|
"2025 tariff crash": 0.00598693531257255,
|
|
"2026 Q1 drawdown": -0.003588592279218261
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.07502197122160004,
|
|
"max_ret": 0.010501093671561046,
|
|
"all_pos": false
|
|
},
|
|
"vscvx": {
|
|
"name": "Victory Integrity Small-Cap Value Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5804444844563826,
|
|
"corr_port": 0.3423092506137473,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19296477716118665,
|
|
"2023 rate shock": -0.13803842956220747,
|
|
"2024 vol spike": -0.08673753690863817,
|
|
"2025 tariff crash": -0.2041939863446779,
|
|
"2026 Q1 drawdown": -0.04170502785326491
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2041939863446779,
|
|
"max_ret": -0.04170502785326491,
|
|
"all_pos": false
|
|
},
|
|
"vseqx": {
|
|
"name": "Vanguard Strategic Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.662569633753249,
|
|
"corr_port": 0.3320529912208788,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1986722362903789,
|
|
"2023 rate shock": -0.14552241301708824,
|
|
"2024 vol spike": -0.06565922276742675,
|
|
"2025 tariff crash": -0.20463110167627296,
|
|
"2026 Q1 drawdown": -0.05236280703127427
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20463110167627296,
|
|
"max_ret": -0.05236280703127427,
|
|
"all_pos": false
|
|
},
|
|
"vsfax": {
|
|
"name": "Federated Hermes MDT Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.742207076558359,
|
|
"corr_port": 0.3521743341951311,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16091952072472393,
|
|
"2023 rate shock": -0.15368938816546007,
|
|
"2024 vol spike": -0.06679091408481275,
|
|
"2025 tariff crash": -0.20266990621107484,
|
|
"2026 Q1 drawdown": -0.07142853633516766
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20266990621107484,
|
|
"max_ret": -0.06679091408481275,
|
|
"all_pos": false
|
|
},
|
|
"vsgdx": {
|
|
"name": "Vanguard Short-Term Federal Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.893265617996574,
|
|
"corr_port": -0.12201297521187225,
|
|
"rets": {
|
|
"2022 bear mkt": -0.05632333307568904,
|
|
"2023 rate shock": -0.0018109860340014272,
|
|
"2024 vol spike": 0.013872206541171606,
|
|
"2025 tariff crash": 0.014681769894554053,
|
|
"2026 Q1 drawdown": 0.0015349892761498118
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.05632333307568904,
|
|
"max_ret": 0.014681769894554053,
|
|
"all_pos": false
|
|
},
|
|
"vsgx": {
|
|
"name": "Vanguard ESG International Stock ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.16750032514444235,
|
|
"corr_port": 0.28943260181216574,
|
|
"rets": {
|
|
"2022 bear mkt": -0.296865177145169,
|
|
"2023 rate shock": -0.11468382577329161,
|
|
"2024 vol spike": -0.0686738297204168,
|
|
"2025 tariff crash": -0.12233280781233014,
|
|
"2026 Q1 drawdown": -0.0923903257587082
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.296865177145169,
|
|
"max_ret": -0.0686738297204168,
|
|
"all_pos": false
|
|
},
|
|
"vsigx": {
|
|
"name": "Vanguard Intermediate-Term Treasury Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.1997597441812082,
|
|
"corr_port": -0.18986268111917182,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11315845148942405,
|
|
"2023 rate shock": -0.019872630076504638,
|
|
"2024 vol spike": 0.023783393350288007,
|
|
"2025 tariff crash": 0.024129822621691277,
|
|
"2026 Q1 drawdown": -0.0008980227167031396
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11315845148942405,
|
|
"max_ret": 0.024129822621691277,
|
|
"all_pos": false
|
|
},
|
|
"vsmax": {
|
|
"name": "Vanguard Small-Cap Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.8407121801010594,
|
|
"corr_port": 0.2807789014246272,
|
|
"rets": {
|
|
"2022 bear mkt": -0.231313468019001,
|
|
"2023 rate shock": -0.15423784900713644,
|
|
"2024 vol spike": -0.07144781672440448,
|
|
"2025 tariff crash": -0.20927081582249307,
|
|
"2026 Q1 drawdown": -0.06578226841024859
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.231313468019001,
|
|
"max_ret": -0.06578226841024859,
|
|
"all_pos": false
|
|
},
|
|
"vsmgx": {
|
|
"name": "Vanguard LifeStrategy 60/40 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.24725537554675073,
|
|
"corr_port": 0.29913418457003116,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21477407097554313,
|
|
"2023 rate shock": -0.07636116429815532,
|
|
"2024 vol spike": -0.0346519428665224,
|
|
"2025 tariff crash": -0.09534095004693643,
|
|
"2026 Q1 drawdown": -0.05377244728897923
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21477407097554313,
|
|
"max_ret": -0.0346519428665224,
|
|
"all_pos": false
|
|
},
|
|
"vsmsx": {
|
|
"name": "Vanguard S&P Small-Cap 600 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9185901031127595,
|
|
"corr_port": 0.3120650277975843,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22802764390963937,
|
|
"2023 rate shock": -0.15869738434902958,
|
|
"2024 vol spike": -0.0734409543213852,
|
|
"2025 tariff crash": -0.21698580251502453,
|
|
"2026 Q1 drawdown": -0.05325131846362241
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22802764390963937,
|
|
"max_ret": -0.05325131846362241,
|
|
"all_pos": false
|
|
},
|
|
"vsmvx": {
|
|
"name": "Vanguard S&P Small-Cap 600 Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3420269999219059,
|
|
"corr_port": 0.33646014635173976,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19769670809439677,
|
|
"2023 rate shock": -0.17792802454351964,
|
|
"2024 vol spike": -0.07343035711703216,
|
|
"2025 tariff crash": -0.22507767333501472,
|
|
"2026 Q1 drawdown": -0.04406827053287421
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22507767333501472,
|
|
"max_ret": -0.04406827053287421,
|
|
"all_pos": false
|
|
},
|
|
"vspgx": {
|
|
"name": "Vanguard S&P 500 Growth Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.3030700868628071,
|
|
"corr_port": 0.1886633291859922,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3124392863960743,
|
|
"2023 rate shock": -0.08848102051429729,
|
|
"2024 vol spike": -0.09219060611600294,
|
|
"2025 tariff crash": -0.21618581122322078,
|
|
"2026 Q1 drawdown": -0.1298654363299223
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3124392863960743,
|
|
"max_ret": -0.08848102051429729,
|
|
"all_pos": false
|
|
},
|
|
"vspmx": {
|
|
"name": "Vanguard S&P Mid-Cap 400 Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3960857320489901,
|
|
"corr_port": 0.3216474330781256,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2044311251990536,
|
|
"2023 rate shock": -0.1419970674442711,
|
|
"2024 vol spike": -0.06554528455481379,
|
|
"2025 tariff crash": -0.1919428285194451,
|
|
"2026 Q1 drawdown": -0.05183514350597218
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2044311251990536,
|
|
"max_ret": -0.05183514350597218,
|
|
"all_pos": false
|
|
},
|
|
"vspvx": {
|
|
"name": "Vanguard S&P 500 Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.064085907232252,
|
|
"corr_port": 0.38060913346117425,
|
|
"rets": {
|
|
"2022 bear mkt": -0.17080716801044737,
|
|
"2023 rate shock": -0.10738937578302787,
|
|
"2024 vol spike": -0.0425811063781828,
|
|
"2025 tariff crash": -0.14931080025738408,
|
|
"2026 Q1 drawdown": -0.03928928933212339
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.17080716801044737,
|
|
"max_ret": -0.03928928933212339,
|
|
"all_pos": false
|
|
},
|
|
"vstcx": {
|
|
"name": "Vanguard Strategic Small-Cap Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.085359292986322,
|
|
"corr_port": 0.3195857542741418,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21128180357341286,
|
|
"2023 rate shock": -0.15495296432283767,
|
|
"2024 vol spike": -0.07391510802214962,
|
|
"2025 tariff crash": -0.21961568367828188,
|
|
"2026 Q1 drawdown": -0.053816707948660114
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21961568367828188,
|
|
"max_ret": -0.053816707948660114,
|
|
"all_pos": false
|
|
},
|
|
"vtbix": {
|
|
"name": "Vanguard Total Bond Market II Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9472952899566228,
|
|
"corr_port": -0.12502248693248805,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1446144178900256,
|
|
"2023 rate shock": -0.03970103269378422,
|
|
"2024 vol spike": 0.022178549163424988,
|
|
"2025 tariff crash": 0.009544403334682983,
|
|
"2026 Q1 drawdown": -0.005059302285285838
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1446144178900256,
|
|
"max_ret": 0.022178549163424988,
|
|
"all_pos": false
|
|
},
|
|
"vtcax": {
|
|
"name": "Vanguard Communication Services Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.9236983045556382,
|
|
"corr_port": 0.14893800175949942,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3943026838310286,
|
|
"2023 rate shock": -0.09914912161496925,
|
|
"2024 vol spike": -0.05470648750225826,
|
|
"2025 tariff crash": -0.19587946233445497,
|
|
"2026 Q1 drawdown": -0.1308151085771736
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3943026838310286,
|
|
"max_ret": -0.05470648750225826,
|
|
"all_pos": false
|
|
},
|
|
"vtclx": {
|
|
"name": "Vanguard Tax-Managed Capital Appreciation Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.728128077821589,
|
|
"corr_port": 0.2769438992978584,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24818320922370918,
|
|
"2023 rate shock": -0.10005708962783255,
|
|
"2024 vol spike": -0.0715678910596339,
|
|
"2025 tariff crash": -0.18584927377276772,
|
|
"2026 Q1 drawdown": -0.08611553971743457
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24818320922370918,
|
|
"max_ret": -0.0715678910596339,
|
|
"all_pos": false
|
|
},
|
|
"vteax": {
|
|
"name": "Vanguard Tax-Exempt Bond Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.3099919541584713,
|
|
"corr_port": 0.02575822374391431,
|
|
"rets": {
|
|
"2022 bear mkt": -0.10451110232628158,
|
|
"2023 rate shock": -0.04682789070610782,
|
|
"2024 vol spike": 0.012961187952944098,
|
|
"2025 tariff crash": -0.031091146799073766,
|
|
"2026 Q1 drawdown": -0.011269509925297294
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.10451110232628158,
|
|
"max_ret": 0.012961187952944098,
|
|
"all_pos": false
|
|
},
|
|
"vthrx": {
|
|
"name": "Vanguard Target Retirement 2030 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.4800997399801027,
|
|
"corr_port": 0.31141034610191687,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22028622373761586,
|
|
"2023 rate shock": -0.07842010924052611,
|
|
"2024 vol spike": -0.03607577261457007,
|
|
"2025 tariff crash": -0.0954569059075634,
|
|
"2026 Q1 drawdown": -0.05315225617009334
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22028622373761586,
|
|
"max_ret": -0.03607577261457007,
|
|
"all_pos": false
|
|
},
|
|
"vtibx": {
|
|
"name": "Vanguard Total International Bond Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.08128429258214853,
|
|
"corr_port": -0.11865696441610563,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13525104589153725,
|
|
"2023 rate shock": -0.01135546457069836,
|
|
"2024 vol spike": 0.014246136571751222,
|
|
"2025 tariff crash": 0.0040870788594578045,
|
|
"2026 Q1 drawdown": -0.012207097988723326
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13525104589153725,
|
|
"max_ret": 0.014246136571751222,
|
|
"all_pos": false
|
|
},
|
|
"vtilx": {
|
|
"name": "Vanguard Total International Bond II Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.031076232988291277,
|
|
"corr_port": -0.14604178465666257,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13618140309522886,
|
|
"2023 rate shock": -0.01033270306638101,
|
|
"2024 vol spike": 0.013754552397471587,
|
|
"2025 tariff crash": 0.004525633818271535,
|
|
"2026 Q1 drawdown": -0.012150833011300377
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13618140309522886,
|
|
"max_ret": 0.013754552397471587,
|
|
"all_pos": false
|
|
},
|
|
"vtinx": {
|
|
"name": "Vanguard Target Retirement Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9008740531295844,
|
|
"corr_port": 0.2402167985860722,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16063974456577113,
|
|
"2023 rate shock": -0.04668816030272116,
|
|
"2024 vol spike": -0.010385817367364769,
|
|
"2025 tariff crash": -0.04138694124371689,
|
|
"2026 Q1 drawdown": -0.029372131707657068
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16063974456577113,
|
|
"max_ret": -0.010385817367364769,
|
|
"all_pos": false
|
|
},
|
|
"vtipx": {
|
|
"name": "Vanguard Short-Term Inflation-Protected Securities Index Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 3.4698029495399707,
|
|
"corr_port": 0.02140292013081275,
|
|
"rets": {
|
|
"2022 bear mkt": -0.0350074830810394,
|
|
"2023 rate shock": 0.007056707152847341,
|
|
"2024 vol spike": 0.005777935217830876,
|
|
"2025 tariff crash": 0.016805353400915157,
|
|
"2026 Q1 drawdown": 0.004823189245635184
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.0350074830810394,
|
|
"max_ret": 0.016805353400915157,
|
|
"all_pos": false
|
|
},
|
|
"vtivx": {
|
|
"name": "Vanguard Target Retirement 2045 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3039271715807202,
|
|
"corr_port": 0.3234439736888114,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24648874344011518,
|
|
"2023 rate shock": -0.09507453102549168,
|
|
"2024 vol spike": -0.05553685202322245,
|
|
"2025 tariff crash": -0.1320206270288583,
|
|
"2026 Q1 drawdown": -0.06948304613674261
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24648874344011518,
|
|
"max_ret": -0.05553685202322245,
|
|
"all_pos": false
|
|
},
|
|
"vtmfx": {
|
|
"name": "Vanguard Tax-Managed Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3112862718054636,
|
|
"corr_port": 0.2695326043888985,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1690173357802225,
|
|
"2023 rate shock": -0.0676518254645192,
|
|
"2024 vol spike": -0.02871355704206513,
|
|
"2025 tariff crash": -0.10375913762087174,
|
|
"2026 Q1 drawdown": -0.048332867744904084
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1690173357802225,
|
|
"max_ret": -0.02871355704206513,
|
|
"all_pos": false
|
|
},
|
|
"vtmgx": {
|
|
"name": "Vanguard Developed Markets Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.2724080398437037,
|
|
"corr_port": 0.3886836498028451,
|
|
"rets": {
|
|
"2022 bear mkt": -0.28521175983219393,
|
|
"2023 rate shock": -0.11217666646942348,
|
|
"2024 vol spike": -0.06886037426169522,
|
|
"2025 tariff crash": -0.1092628921435207,
|
|
"2026 Q1 drawdown": -0.07318172770793652
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.28521175983219393,
|
|
"max_ret": -0.06886037426169522,
|
|
"all_pos": false
|
|
},
|
|
"vtmsx": {
|
|
"name": "Vanguard Tax-Managed Small-Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.9159137637557996,
|
|
"corr_port": 0.31256998437074196,
|
|
"rets": {
|
|
"2022 bear mkt": -0.22721422985538775,
|
|
"2023 rate shock": -0.15831577357072235,
|
|
"2024 vol spike": -0.07368076063038087,
|
|
"2025 tariff crash": -0.21682070971041234,
|
|
"2026 Q1 drawdown": -0.05168677956672607
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22721422985538775,
|
|
"max_ret": -0.05168677956672607,
|
|
"all_pos": false
|
|
},
|
|
"vtrix": {
|
|
"name": "Vanguard International Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4258033866417116,
|
|
"corr_port": 0.39601096678569775,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24964502245593012,
|
|
"2023 rate shock": -0.11874698504061276,
|
|
"2024 vol spike": -0.06279174800977905,
|
|
"2025 tariff crash": -0.14045080379999064,
|
|
"2026 Q1 drawdown": -0.06711096608186462
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24964502245593012,
|
|
"max_ret": -0.06279174800977905,
|
|
"all_pos": false
|
|
},
|
|
"vtthx": {
|
|
"name": "Vanguard Target Retirement 2035 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3980188625750522,
|
|
"corr_port": 0.31797547499955486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2290619218720067,
|
|
"2023 rate shock": -0.0840605933206321,
|
|
"2024 vol spike": -0.04249176348187966,
|
|
"2025 tariff crash": -0.1073151089310822,
|
|
"2026 Q1 drawdown": -0.05886524613953026
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2290619218720067,
|
|
"max_ret": -0.04249176348187966,
|
|
"all_pos": false
|
|
},
|
|
"vttsx": {
|
|
"name": "Vanguard Target Retirement 2060 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.1872668047574867,
|
|
"corr_port": 0.32293079582339435,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24989644538216993,
|
|
"2023 rate shock": -0.09859480407247223,
|
|
"2024 vol spike": -0.0609018659295093,
|
|
"2025 tariff crash": -0.14307005490927782,
|
|
"2026 Q1 drawdown": -0.0757575745619069
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24989644538216993,
|
|
"max_ret": -0.0609018659295093,
|
|
"all_pos": false
|
|
},
|
|
"vttvx": {
|
|
"name": "Vanguard Target Retirement 2025 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.38544402161559566,
|
|
"corr_port": 0.30578926886391444,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2074728896071516,
|
|
"2023 rate shock": -0.06975472914804959,
|
|
"2024 vol spike": -0.028340050433066533,
|
|
"2025 tariff crash": -0.07788157356185388,
|
|
"2026 Q1 drawdown": -0.043627450980392
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2074728896071516,
|
|
"max_ret": -0.028340050433066533,
|
|
"all_pos": false
|
|
},
|
|
"vtwix": {
|
|
"name": "Vanguard Total World Stock Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.7529592219929714,
|
|
"corr_port": 0.32681755941687407,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2614300934410323,
|
|
"2023 rate shock": -0.10529051602930128,
|
|
"2024 vol spike": -0.06989348699080056,
|
|
"2025 tariff crash": -0.16168478355884042,
|
|
"2026 Q1 drawdown": -0.08370233471089927
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2614300934410323,
|
|
"max_ret": -0.06989348699080056,
|
|
"all_pos": false
|
|
},
|
|
"vtwnx": {
|
|
"name": "Vanguard Target Retirement 2020 Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.04963246638236623,
|
|
"corr_port": 0.2969375253886816,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18516131038930472,
|
|
"2023 rate shock": -0.057236613164934,
|
|
"2024 vol spike": -0.016859934653123188,
|
|
"2025 tariff crash": -0.053795084327942444,
|
|
"2026 Q1 drawdown": -0.03223495702005741
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.18516131038930472,
|
|
"max_ret": -0.016859934653123188,
|
|
"all_pos": false
|
|
},
|
|
"vubfx": {
|
|
"name": "Vanguard Ultra-Short-Term Bond Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.735785958635128,
|
|
"corr_port": -0.0651460131101852,
|
|
"rets": {
|
|
"2022 bear mkt": -0.013375937820529482,
|
|
"2023 rate shock": 0.010445089876354618,
|
|
"2024 vol spike": 0.005208821251436513,
|
|
"2025 tariff crash": 0.006092445948636227,
|
|
"2026 Q1 drawdown": 0.002884318550988585
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.013375937820529482,
|
|
"max_ret": 0.010445089876354618,
|
|
"all_pos": false
|
|
},
|
|
"vuiax": {
|
|
"name": "Vanguard Utilities Index Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.11356863632266608,
|
|
"corr_port": 0.22969493456982634,
|
|
"rets": {
|
|
"2022 bear mkt": -0.11205200699133178,
|
|
"2023 rate shock": -0.1107423352331186,
|
|
"2024 vol spike": 0.027433075045982136,
|
|
"2025 tariff crash": -0.07961015265577254,
|
|
"2026 Q1 drawdown": 0.058457698751292364
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.11205200699133178,
|
|
"max_ret": 0.058457698751292364,
|
|
"all_pos": false
|
|
},
|
|
"vusb": {
|
|
"name": "Vanguard Ultra-Short Bond ETF",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 4.420683983114548,
|
|
"corr_port": -0.07652550808720006,
|
|
"rets": {
|
|
"2022 bear mkt": -0.01359937705476233,
|
|
"2023 rate shock": 0.010661091113694399,
|
|
"2024 vol spike": 0.005844682586821026,
|
|
"2025 tariff crash": 0.003025387145096703,
|
|
"2026 Q1 drawdown": 0.0018374699810683737
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.01359937705476233,
|
|
"max_ret": 0.010661091113694399,
|
|
"all_pos": false
|
|
},
|
|
"vusux": {
|
|
"name": "Vanguard Long-Term Treasury Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.18630872974957596,
|
|
"corr_port": -0.18795873272246771,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27890836942596575,
|
|
"2023 rate shock": -0.12532490011357056,
|
|
"2024 vol spike": 0.051200726208108005,
|
|
"2025 tariff crash": 0.008039690764400698,
|
|
"2026 Q1 drawdown": -0.004156217250564143
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.27890836942596575,
|
|
"max_ret": 0.051200726208108005,
|
|
"all_pos": false
|
|
},
|
|
"vviax": {
|
|
"name": "Vanguard Value Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.727451931348108,
|
|
"corr_port": 0.412555843499971,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14995593122621165,
|
|
"2023 rate shock": -0.0957145092769105,
|
|
"2024 vol spike": -0.045433671709023016,
|
|
"2025 tariff crash": -0.1330627626461407,
|
|
"2026 Q1 drawdown": -0.028065448324096187
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14995593122621165,
|
|
"max_ret": -0.028065448324096187,
|
|
"all_pos": false
|
|
},
|
|
"vvoax": {
|
|
"name": "INVESCO VALUE OPPORTUNITIES FUND",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.596240371244019,
|
|
"corr_port": 0.37626618326892136,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15070813538935424,
|
|
"2023 rate shock": -0.09935711812157821,
|
|
"2024 vol spike": -0.09082137230376641,
|
|
"2025 tariff crash": -0.22069879773459034,
|
|
"2026 Q1 drawdown": -0.047694164458251254
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.22069879773459034,
|
|
"max_ret": -0.047694164458251254,
|
|
"all_pos": false
|
|
},
|
|
"vwahx": {
|
|
"name": "Vanguard High-Yield Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.6369502416169052,
|
|
"corr_port": 0.03616473918305589,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1417255752930323,
|
|
"2023 rate shock": -0.06398765252645744,
|
|
"2024 vol spike": 0.017081360945250257,
|
|
"2025 tariff crash": -0.03412157376037894,
|
|
"2026 Q1 drawdown": -0.008459510307148532
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.1417255752930323,
|
|
"max_ret": 0.017081360945250257,
|
|
"all_pos": false
|
|
},
|
|
"vweax": {
|
|
"name": "Vanguard High-Yield Corporate Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 1.5926789717546233,
|
|
"corr_port": 0.28978903780252924,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12869962033728177,
|
|
"2023 rate shock": -0.024270446004393098,
|
|
"2024 vol spike": -0.00037063345487819976,
|
|
"2025 tariff crash": -0.019061227014358306,
|
|
"2026 Q1 drawdown": -0.015099850781809199
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.12869962033728177,
|
|
"max_ret": -0.00037063345487819976,
|
|
"all_pos": false
|
|
},
|
|
"vwenx": {
|
|
"name": "VANGUARD WELLINGTON FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3776865332602855,
|
|
"corr_port": 0.29577518755800203,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2022359055221029,
|
|
"2023 rate shock": -0.06584539618373775,
|
|
"2024 vol spike": -0.04186948069723384,
|
|
"2025 tariff crash": -0.117688208889137,
|
|
"2026 Q1 drawdown": -0.06288963295027783
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2022359055221029,
|
|
"max_ret": -0.04186948069723384,
|
|
"all_pos": false
|
|
},
|
|
"vwetx": {
|
|
"name": "Vanguard Long-Term Investment-Grade Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.5670205901412504,
|
|
"corr_port": -0.07045586325810717,
|
|
"rets": {
|
|
"2022 bear mkt": -0.27960155980408596,
|
|
"2023 rate shock": -0.10089959917906688,
|
|
"2024 vol spike": 0.02325192915311547,
|
|
"2025 tariff crash": -0.01950314675429654,
|
|
"2026 Q1 drawdown": -0.017780554378777125
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.27960155980408596,
|
|
"max_ret": 0.02325192915311547,
|
|
"all_pos": false
|
|
},
|
|
"vwiax": {
|
|
"name": "VANGUARD WELLESLEY INCOME FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.2871798880040626,
|
|
"corr_port": 0.32748252476382067,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14795584000892403,
|
|
"2023 rate shock": -0.06358483106047197,
|
|
"2024 vol spike": -0.010107434997347453,
|
|
"2025 tariff crash": -0.04666191160405353,
|
|
"2026 Q1 drawdown": -0.01868244765242688
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14795584000892403,
|
|
"max_ret": -0.010107434997347453,
|
|
"all_pos": false
|
|
},
|
|
"vwicx": {
|
|
"name": "Vanguard International Core Stock Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3316984800998966,
|
|
"corr_port": 0.3762935125132009,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23440008154626568,
|
|
"2023 rate shock": -0.0869932086787385,
|
|
"2024 vol spike": -0.07583640471247377,
|
|
"2025 tariff crash": -0.11143268086561608,
|
|
"2026 Q1 drawdown": -0.07311709328658078
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23440008154626568,
|
|
"max_ret": -0.07311709328658078,
|
|
"all_pos": false
|
|
},
|
|
"vwilx": {
|
|
"name": "Vanguard International Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.645664446003809,
|
|
"corr_port": 0.1870366840707424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39421551235718233,
|
|
"2023 rate shock": -0.1780178168227763,
|
|
"2024 vol spike": -0.06959865380466435,
|
|
"2025 tariff crash": -0.19435623916955336,
|
|
"2026 Q1 drawdown": -0.13321685804626393
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39421551235718233,
|
|
"max_ret": -0.06959865380466435,
|
|
"all_pos": false
|
|
},
|
|
"vwitx": {
|
|
"name": "Vanguard Intermediate-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.8434851465573999,
|
|
"corr_port": 0.03488133692865137,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09389487521558049,
|
|
"2023 rate shock": -0.03851838217911663,
|
|
"2024 vol spike": 0.013535299225401198,
|
|
"2025 tariff crash": -0.02271917950717317,
|
|
"2026 Q1 drawdown": -0.012710936415573637
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09389487521558049,
|
|
"max_ret": 0.013535299225401198,
|
|
"all_pos": false
|
|
},
|
|
"vwltx": {
|
|
"name": "Vanguard Long-Term Tax-Exempt Fund",
|
|
"verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)",
|
|
"t5": 0.2490132240117926,
|
|
"corr_port": 0.019307188177131788,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13163894776850815,
|
|
"2023 rate shock": -0.061118528670219385,
|
|
"2024 vol spike": 0.01662725720947056,
|
|
"2025 tariff crash": -0.03393717672763907,
|
|
"2026 Q1 drawdown": -0.010506272609977607
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.13163894776850815,
|
|
"max_ret": 0.01662725720947056,
|
|
"all_pos": false
|
|
},
|
|
"vwnax": {
|
|
"name": "Vanguard Windsor II Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4986108776523454,
|
|
"corr_port": 0.35137113349501886,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21772140293167908,
|
|
"2023 rate shock": -0.09636022700439384,
|
|
"2024 vol spike": -0.062288686334954435,
|
|
"2025 tariff crash": -0.1592758927637311,
|
|
"2026 Q1 drawdown": -0.062187587010798295
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21772140293167908,
|
|
"max_ret": -0.062187587010798295,
|
|
"all_pos": false
|
|
},
|
|
"vwnex": {
|
|
"name": "Vanguard Windsor Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7282762817494421,
|
|
"corr_port": 0.38830494833276236,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15315604557435747,
|
|
"2023 rate shock": -0.11489073129455907,
|
|
"2024 vol spike": -0.05007059652895818,
|
|
"2025 tariff crash": -0.1556008639396843,
|
|
"2026 Q1 drawdown": -0.0658462440352866
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.1556008639396843,
|
|
"max_ret": -0.05007059652895818,
|
|
"all_pos": false
|
|
},
|
|
"vwstx": {
|
|
"name": "Vanguard Ultra-Short-Term Tax-Exempt Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 5.199385039696665,
|
|
"corr_port": 0.0723430002057971,
|
|
"rets": {
|
|
"2022 bear mkt": -0.01847886307432678,
|
|
"2023 rate shock": -0.0021109821858615874,
|
|
"2024 vol spike": 0.005851575710065449,
|
|
"2025 tariff crash": -0.0005791971033386467,
|
|
"2026 Q1 drawdown": -0.0003257040290360891
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.01847886307432678,
|
|
"max_ret": 0.005851575710065449,
|
|
"all_pos": false
|
|
},
|
|
"vwuax": {
|
|
"name": "Vanguard U.S. Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.7670833257234615,
|
|
"corr_port": 0.10013715734657057,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39209072029363334,
|
|
"2023 rate shock": -0.12130911330083216,
|
|
"2024 vol spike": -0.09646272231040443,
|
|
"2025 tariff crash": -0.23862936931497203,
|
|
"2026 Q1 drawdown": -0.1375865237819277
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39209072029363334,
|
|
"max_ret": -0.09646272231040443,
|
|
"all_pos": false
|
|
},
|
|
"vymi": {
|
|
"name": "Vanguard International High Dividend Yield Index Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.383198657417,
|
|
"corr_port": 0.4363807884029878,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20934953514046184,
|
|
"2023 rate shock": -0.07900201465269507,
|
|
"2024 vol spike": -0.06521126534791122,
|
|
"2025 tariff crash": -0.08723785936073059,
|
|
"2026 Q1 drawdown": -0.041006865031201434
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20934953514046184,
|
|
"max_ret": -0.041006865031201434,
|
|
"all_pos": false
|
|
},
|
|
"vymqx": {
|
|
"name": "Voya MI Dynamic SMID Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.36832015416932884,
|
|
"corr_port": 0.3119211161278311,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21884648247037464,
|
|
"2023 rate shock": -0.14277527014076907,
|
|
"2024 vol spike": -0.06827309295386796,
|
|
"2025 tariff crash": -0.19809317367720236,
|
|
"2026 Q1 drawdown": -0.08894536213468873
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21884648247037464,
|
|
"max_ret": -0.06827309295386796,
|
|
"all_pos": false
|
|
},
|
|
"vysgx": {
|
|
"name": "Voya MI Dynamic Small Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.46230277604403325,
|
|
"corr_port": 0.2720052532492217,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2618741492555875,
|
|
"2023 rate shock": -0.1635612047929491,
|
|
"2024 vol spike": -0.0784069367066379,
|
|
"2025 tariff crash": -0.214656380709214,
|
|
"2026 Q1 drawdown": -0.10827168796234021
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2618741492555875,
|
|
"max_ret": -0.0784069367066379,
|
|
"all_pos": false
|
|
},
|
|
"waaex": {
|
|
"name": "Wasatch Small Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.041005116669023,
|
|
"corr_port": 0.13770366726407662,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4204846578075734,
|
|
"2023 rate shock": -0.18849936124407796,
|
|
"2024 vol spike": -0.05190316236877279,
|
|
"2025 tariff crash": -0.23358524154801485,
|
|
"2026 Q1 drawdown": -0.13431672190260668
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4204846578075734,
|
|
"max_ret": -0.05190316236877279,
|
|
"all_pos": false
|
|
},
|
|
"waarx": {
|
|
"name": "Western Asset Total Return Unconstrained Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.7972501412572885,
|
|
"corr_port": 0.1435629039936486,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16384966045100235,
|
|
"2023 rate shock": -0.03701908813308985,
|
|
"2024 vol spike": 0.0066225301871896125,
|
|
"2025 tariff crash": -0.0002501201895173111,
|
|
"2026 Q1 drawdown": -0.014099714846900868
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.16384966045100235,
|
|
"max_ret": 0.0066225301871896125,
|
|
"all_pos": false
|
|
},
|
|
"wabmx": {
|
|
"name": "Wilmington Broad Market Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.027205715133946862,
|
|
"corr_port": -0.10052904280935002,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13833218528204638,
|
|
"2023 rate shock": -0.03906043207190801,
|
|
"2024 vol spike": 0.020664609057730043,
|
|
"2025 tariff crash": 0.008477419461403235,
|
|
"2026 Q1 drawdown": -0.006613363701609143
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13833218528204638,
|
|
"max_ret": 0.020664609057730043,
|
|
"all_pos": false
|
|
},
|
|
"wacpx": {
|
|
"name": "Western Asset Core Plus Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.8384169050173114,
|
|
"corr_port": -0.00015847678012290424,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21537865377878773,
|
|
"2023 rate shock": -0.07379641133170634,
|
|
"2024 vol spike": 0.01890912982986981,
|
|
"2025 tariff crash": 0.0012360949568355206,
|
|
"2026 Q1 drawdown": -0.012874300598480715
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.21537865377878773,
|
|
"max_ret": 0.01890912982986981,
|
|
"all_pos": false
|
|
},
|
|
"waemx": {
|
|
"name": "Wasatch Emerging Markets Small Cap Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.2575507211230221,
|
|
"corr_port": 0.2698294487282327,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4190474507634503,
|
|
"2023 rate shock": -0.09057966654231209,
|
|
"2024 vol spike": -0.08709697388894377,
|
|
"2025 tariff crash": -0.15942027160761185,
|
|
"2026 Q1 drawdown": -0.016853932584269704
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4190474507634503,
|
|
"max_ret": -0.016853932584269704,
|
|
"all_pos": false
|
|
},
|
|
"waesx": {
|
|
"name": "Wasatch Emerging Markets Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.7232989366216236,
|
|
"corr_port": 0.20194695649544897,
|
|
"rets": {
|
|
"2022 bear mkt": -0.39652806745217295,
|
|
"2023 rate shock": -0.09049479166666663,
|
|
"2024 vol spike": -0.07215265354800238,
|
|
"2025 tariff crash": -0.17074558907228232,
|
|
"2026 Q1 drawdown": -0.1031703329838618
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.39652806745217295,
|
|
"max_ret": -0.07215265354800238,
|
|
"all_pos": false
|
|
},
|
|
"wafmx": {
|
|
"name": "Wasatch Frontier Emerging Small Countries Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.108857799827967,
|
|
"corr_port": 0.1900086960027529,
|
|
"rets": {
|
|
"2022 bear mkt": -0.42014744629267187,
|
|
"2023 rate shock": -0.08783789071737758,
|
|
"2024 vol spike": -0.06285697841726623,
|
|
"2025 tariff crash": -0.1382113821138211,
|
|
"2026 Q1 drawdown": -0.11256544502617793
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.42014744629267187,
|
|
"max_ret": -0.06285697841726623,
|
|
"all_pos": false
|
|
},
|
|
"wagox": {
|
|
"name": "Wasatch Global Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.361521709739326,
|
|
"corr_port": 0.19451628682777078,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3814814333118214,
|
|
"2023 rate shock": -0.1608910201091034,
|
|
"2024 vol spike": -0.06473221432591625,
|
|
"2025 tariff crash": -0.19910505232766185,
|
|
"2026 Q1 drawdown": -0.10966057441253263
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3814814333118214,
|
|
"max_ret": -0.06473221432591625,
|
|
"all_pos": false
|
|
},
|
|
"waigx": {
|
|
"name": "Wasatch International Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.400166212218389,
|
|
"corr_port": 0.24077676295438555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4243746092473364,
|
|
"2023 rate shock": -0.1685200424750669,
|
|
"2024 vol spike": -0.05318719572847885,
|
|
"2025 tariff crash": -0.12511500151429678,
|
|
"2026 Q1 drawdown": -0.11043771043771033
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4243746092473364,
|
|
"max_ret": -0.05318719572847885,
|
|
"all_pos": false
|
|
},
|
|
"wainx": {
|
|
"name": "Wasatch Emerging India Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.19264016840415307,
|
|
"corr_port": 0.22460173510255882,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2121639805262221,
|
|
"2023 rate shock": -0.012007060957924032,
|
|
"2024 vol spike": -0.029498695276769626,
|
|
"2025 tariff crash": -0.009259348075901008,
|
|
"2026 Q1 drawdown": -0.11702127659574468
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2121639805262221,
|
|
"max_ret": -0.009259348075901008,
|
|
"all_pos": false
|
|
},
|
|
"waiox": {
|
|
"name": "Wasatch International Opportunities Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.7307857217835467,
|
|
"corr_port": 0.246120133405443,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4409092108346693,
|
|
"2023 rate shock": -0.12714819573264802,
|
|
"2024 vol spike": -0.06984136274878017,
|
|
"2025 tariff crash": -0.0996782165445661,
|
|
"2026 Q1 drawdown": -0.10555555555555551
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4409092108346693,
|
|
"max_ret": -0.06984136274878017,
|
|
"all_pos": false
|
|
},
|
|
"wamcx": {
|
|
"name": "Wasatch Ultra Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.4289117384415406,
|
|
"corr_port": 0.08638392730494919,
|
|
"rets": {
|
|
"2022 bear mkt": -0.4151898868771027,
|
|
"2023 rate shock": -0.26111817026683604,
|
|
"2024 vol spike": -0.07512013446875399,
|
|
"2025 tariff crash": -0.27444256718124627,
|
|
"2026 Q1 drawdown": -0.14063875943044957
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.4151898868771027,
|
|
"max_ret": -0.07512013446875399,
|
|
"all_pos": false
|
|
},
|
|
"wamfx": {
|
|
"name": "Boston Trust Walden Midcap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.48275254667632983,
|
|
"corr_port": 0.32954653025505865,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20529244137492675,
|
|
"2023 rate shock": -0.11340694403833596,
|
|
"2024 vol spike": -0.0373913875167865,
|
|
"2025 tariff crash": -0.13888886217830942,
|
|
"2026 Q1 drawdown": -0.06591492046465397
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20529244137492675,
|
|
"max_ret": -0.0373913875167865,
|
|
"all_pos": false
|
|
},
|
|
"wamvx": {
|
|
"name": "Wasatch Micro Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.19124210600972139,
|
|
"corr_port": 0.24996484458096963,
|
|
"rets": {
|
|
"2022 bear mkt": -0.32775123498241443,
|
|
"2023 rate shock": -0.1636362962636081,
|
|
"2024 vol spike": -0.06527419160091574,
|
|
"2025 tariff crash": -0.17788440597373245,
|
|
"2026 Q1 drawdown": -0.10730593607305927
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.32775123498241443,
|
|
"max_ret": -0.06527419160091574,
|
|
"all_pos": false
|
|
},
|
|
"wasax": {
|
|
"name": "Nomura Asset Strategy Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.029959976826128408,
|
|
"corr_port": 0.2899034432469541,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21304026655061847,
|
|
"2023 rate shock": -0.06355637735474418,
|
|
"2024 vol spike": -0.048171251984392316,
|
|
"2025 tariff crash": -0.10931325437325579,
|
|
"2026 Q1 drawdown": -0.08534335979400609
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21304026655061847,
|
|
"max_ret": -0.048171251984392316,
|
|
"all_pos": false
|
|
},
|
|
"wasmx": {
|
|
"name": "Boston Trust Walden SMID Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.10002932919198664,
|
|
"corr_port": 0.3158112680089156,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21208336422327112,
|
|
"2023 rate shock": -0.10484252125088966,
|
|
"2024 vol spike": -0.038794748304679105,
|
|
"2025 tariff crash": -0.15467190501277506,
|
|
"2026 Q1 drawdown": -0.08843533413365345
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.21208336422327112,
|
|
"max_ret": -0.038794748304679105,
|
|
"all_pos": false
|
|
},
|
|
"watfx": {
|
|
"name": "Western Asset Core Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.0000769538701142,
|
|
"corr_port": -0.049498136778808655,
|
|
"rets": {
|
|
"2022 bear mkt": -0.18929822570815102,
|
|
"2023 rate shock": -0.05728605480412963,
|
|
"2024 vol spike": 0.02235526384479214,
|
|
"2025 tariff crash": 0.0038708553132256185,
|
|
"2026 Q1 drawdown": -0.008570124146836777
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.18929822570815102,
|
|
"max_ret": 0.02235526384479214,
|
|
"all_pos": false
|
|
},
|
|
"watpx": {
|
|
"name": "Western Asset Inflation Indexed Plus Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.09824959309982588,
|
|
"corr_port": -0.056539556880802165,
|
|
"rets": {
|
|
"2022 bear mkt": -0.13473577075264742,
|
|
"2023 rate shock": -0.03871608724503628,
|
|
"2024 vol spike": 0.012931146082709288,
|
|
"2025 tariff crash": 0.0032546384578922005,
|
|
"2026 Q1 drawdown": -0.005353219400919151
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.13473577075264742,
|
|
"max_ret": 0.012931146082709288,
|
|
"all_pos": false
|
|
},
|
|
"wayex": {
|
|
"name": "WAYCROSS MANAGED RISK EQUITY FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.3583889468716955,
|
|
"corr_port": 0.2221868721802064,
|
|
"rets": {
|
|
"2022 bear mkt": -0.15744408238351648,
|
|
"2023 rate shock": -0.04916952828179988,
|
|
"2024 vol spike": -0.04458596583083696,
|
|
"2025 tariff crash": -0.10360883786673925,
|
|
"2026 Q1 drawdown": -0.074361820199778
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.15744408238351648,
|
|
"max_ret": -0.04458596583083696,
|
|
"all_pos": false
|
|
},
|
|
"wbalx": {
|
|
"name": "Conservative Allocation Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.7464294321746734,
|
|
"corr_port": 0.2717211564679957,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14409777925967437,
|
|
"2023 rate shock": -0.045899554144432586,
|
|
"2024 vol spike": -0.01154742365970074,
|
|
"2025 tariff crash": -0.061331855368448096,
|
|
"2026 Q1 drawdown": -0.04591533351076971
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14409777925967437,
|
|
"max_ret": -0.01154742365970074,
|
|
"all_pos": false
|
|
},
|
|
"wbvnx": {
|
|
"name": "William Blair Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.06289029118409614,
|
|
"corr_port": 0.355176542683468,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19441218584652487,
|
|
"2023 rate shock": -0.14429188506581303,
|
|
"2024 vol spike": -0.07871534387507861,
|
|
"2025 tariff crash": -0.19858628362480957,
|
|
"2026 Q1 drawdown": -0.04721704190118825
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19858628362480957,
|
|
"max_ret": -0.04721704190118825,
|
|
"all_pos": false
|
|
},
|
|
"wceax": {
|
|
"name": "Nomura Core Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.007350230486672268,
|
|
"corr_port": 0.26864090107707195,
|
|
"rets": {
|
|
"2022 bear mkt": -0.23331618612780214,
|
|
"2023 rate shock": -0.09349840248580044,
|
|
"2024 vol spike": -0.05771367926656612,
|
|
"2025 tariff crash": -0.16498313619519267,
|
|
"2026 Q1 drawdown": -0.10313385203041892
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.23331618612780214,
|
|
"max_ret": -0.05771367926656612,
|
|
"all_pos": false
|
|
},
|
|
"wceix": {
|
|
"name": "Virtus Westchester Event-Driven Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.25423162994515436,
|
|
"corr_port": 0.2700544031299819,
|
|
"rets": {
|
|
"2022 bear mkt": -0.04766365115950244,
|
|
"2023 rate shock": 0.009596932477981213,
|
|
"2024 vol spike": -0.008294924781519719,
|
|
"2025 tariff crash": -0.03035870337838975,
|
|
"2026 Q1 drawdown": -0.004849660523763455
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.04766365115950244,
|
|
"max_ret": 0.009596932477981213,
|
|
"all_pos": false
|
|
},
|
|
"wcmgx": {
|
|
"name": "First Trust WCM Focused Global Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6886132546056414,
|
|
"corr_port": 0.2077510621566422,
|
|
"rets": {
|
|
"2022 bear mkt": -0.33227977952104637,
|
|
"2023 rate shock": -0.11287984796280914,
|
|
"2024 vol spike": -0.06490952358096458,
|
|
"2025 tariff crash": -0.18316495914249487,
|
|
"2026 Q1 drawdown": -0.12597517694379723
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.33227977952104637,
|
|
"max_ret": -0.06490952358096458,
|
|
"all_pos": false
|
|
},
|
|
"wcpbx": {
|
|
"name": "Core Plus Income Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 3.229092311008464,
|
|
"corr_port": -0.02266382603414972,
|
|
"rets": {
|
|
"2022 bear mkt": -0.1106020967005138,
|
|
"2023 rate shock": -0.035219436216379685,
|
|
"2024 vol spike": 0.021170702095555827,
|
|
"2025 tariff crash": 0.006847528441718431,
|
|
"2026 Q1 drawdown": -0.006243608636446574
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.1106020967005138,
|
|
"max_ret": 0.021170702095555827,
|
|
"all_pos": false
|
|
},
|
|
"wdiax": {
|
|
"name": "Wilmington Enhanced Dividend Income Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.367161248038146,
|
|
"corr_port": 0.4135099622773924,
|
|
"rets": {
|
|
"2022 bear mkt": -0.14061858811352745,
|
|
"2023 rate shock": -0.11217945059351553,
|
|
"2024 vol spike": -0.046037745056336066,
|
|
"2025 tariff crash": -0.14618191552301407,
|
|
"2026 Q1 drawdown": -0.006759608992024435
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.14618191552301407,
|
|
"max_ret": -0.006759608992024435,
|
|
"all_pos": false
|
|
},
|
|
"wdiv": {
|
|
"name": "State Street(R) SPDR(R) S&P(R) Global Dividend ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.959634293543853,
|
|
"corr_port": 0.41842656451527555,
|
|
"rets": {
|
|
"2022 bear mkt": -0.20277220440764343,
|
|
"2023 rate shock": -0.10087857710508219,
|
|
"2024 vol spike": -0.035203329720807974,
|
|
"2025 tariff crash": -0.056384715286004194,
|
|
"2026 Q1 drawdown": -0.04462459163518917
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.20277220440764343,
|
|
"max_ret": -0.035203329720807974,
|
|
"all_pos": false
|
|
},
|
|
"wefix": {
|
|
"name": "Short Duration Income Fund",
|
|
"verdict": "alpha in 5y window, but not persistent (lucky stretch?)",
|
|
"t5": 1.2447858617900494,
|
|
"corr_port": 0.03621468830878339,
|
|
"rets": {
|
|
"2022 bear mkt": -0.038218298356882396,
|
|
"2023 rate shock": 0.003860340285178454,
|
|
"2024 vol spike": 0.010768962791950276,
|
|
"2025 tariff crash": 0.009460433837466198,
|
|
"2026 Q1 drawdown": 0.0015679995540880398
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 4,
|
|
"min_ret": -0.038218298356882396,
|
|
"max_ret": 0.010768962791950276,
|
|
"all_pos": false
|
|
},
|
|
"weusx": {
|
|
"name": "SIIT WORLD EQUITY EX-US FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.0037933610687573014,
|
|
"corr_port": 0.41622963201730273,
|
|
"rets": {
|
|
"2022 bear mkt": -0.288109639776876,
|
|
"2023 rate shock": -0.10503849195519943,
|
|
"2024 vol spike": -0.06393057287544379,
|
|
"2025 tariff crash": -0.12576684677446393,
|
|
"2026 Q1 drawdown": -0.08463100880162489
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.288109639776876,
|
|
"max_ret": -0.06393057287544379,
|
|
"all_pos": false
|
|
},
|
|
"wggsx": {
|
|
"name": "Wasatch Global Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.2243615640845045,
|
|
"corr_port": 0.1182245860992577,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3661870503597122,
|
|
"2023 rate shock": -0.13256227758007122,
|
|
"2024 vol spike": -0.045304777594728174,
|
|
"2025 tariff crash": -0.16741405082212257,
|
|
"2026 Q1 drawdown": -0.1145339652448657
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3661870503597122,
|
|
"max_ret": -0.045304777594728174,
|
|
"all_pos": false
|
|
},
|
|
"wgisx": {
|
|
"name": "Wasatch International Select Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -3.0644237322617465,
|
|
"corr_port": 0.09672789367643869,
|
|
"rets": {
|
|
"2022 bear mkt": -0.38855218855218854,
|
|
"2023 rate shock": -0.17115551694178976,
|
|
"2024 vol spike": -0.04329725228975845,
|
|
"2025 tariff crash": -0.11869436201780414,
|
|
"2026 Q1 drawdown": -0.09399855386840206
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.38855218855218854,
|
|
"max_ret": -0.04329725228975845,
|
|
"all_pos": false
|
|
},
|
|
"wgrox": {
|
|
"name": "Wasatch Core Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.6357808441795092,
|
|
"corr_port": 0.20460761712422457,
|
|
"rets": {
|
|
"2022 bear mkt": -0.35513515631710624,
|
|
"2023 rate shock": -0.14116592890147528,
|
|
"2024 vol spike": -0.061040645266078886,
|
|
"2025 tariff crash": -0.2246791418038825,
|
|
"2026 Q1 drawdown": -0.11995849928727143
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.35513515631710624,
|
|
"max_ret": -0.061040645266078886,
|
|
"all_pos": false
|
|
},
|
|
"whiax": {
|
|
"name": "Nomura High Income Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.48870100068596767,
|
|
"corr_port": 0.30623860928512414,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16128005332553208,
|
|
"2023 rate shock": -0.032606975833865515,
|
|
"2024 vol spike": -0.006253517498278516,
|
|
"2025 tariff crash": -0.04340013819154709,
|
|
"2026 Q1 drawdown": -0.01995277175094956
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.16128005332553208,
|
|
"max_ret": -0.006253517498278516,
|
|
"all_pos": false
|
|
},
|
|
"whosx": {
|
|
"name": "Wasatch-Hoisington U.S. Treasury Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.24034157711407703,
|
|
"corr_port": -0.1899143965571968,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3178254706208328,
|
|
"2023 rate shock": -0.1490286893205287,
|
|
"2024 vol spike": 0.05736973838232906,
|
|
"2025 tariff crash": -0.001640429500151197,
|
|
"2026 Q1 drawdown": -0.016715861096408324
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.3178254706208328,
|
|
"max_ret": 0.05736973838232906,
|
|
"all_pos": false
|
|
},
|
|
"wiefx": {
|
|
"name": "Boston Trust Walden International Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.37745429010341497,
|
|
"corr_port": 0.35355379694254824,
|
|
"rets": {
|
|
"2022 bear mkt": -0.25616840830404697,
|
|
"2023 rate shock": -0.09049079628459622,
|
|
"2024 vol spike": -0.053176726940774466,
|
|
"2025 tariff crash": -0.08722109219922036,
|
|
"2026 Q1 drawdown": -0.05676322806541245
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.25616840830404697,
|
|
"max_ret": -0.053176726940774466,
|
|
"all_pos": false
|
|
},
|
|
"winax": {
|
|
"name": "Wilmington International Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.20582711928684508,
|
|
"corr_port": 0.36214989126870195,
|
|
"rets": {
|
|
"2022 bear mkt": -0.31724231963752936,
|
|
"2023 rate shock": -0.10938939520309032,
|
|
"2024 vol spike": -0.05945954337259929,
|
|
"2025 tariff crash": -0.10010540335793283,
|
|
"2026 Q1 drawdown": -0.08419255085669242
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.31724231963752936,
|
|
"max_ret": -0.05945954337259929,
|
|
"all_pos": false
|
|
},
|
|
"wisex": {
|
|
"name": "Azzad Wise Capital Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 3.8622408243255997,
|
|
"corr_port": 0.2740934132463308,
|
|
"rets": {
|
|
"2022 bear mkt": -0.049651129889273116,
|
|
"2023 rate shock": -0.009607170209962157,
|
|
"2024 vol spike": 0.003360437659346349,
|
|
"2025 tariff crash": -0.00011375140767355685,
|
|
"2026 Q1 drawdown": -0.011075214793150323
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.049651129889273116,
|
|
"max_ret": 0.003360437659346349,
|
|
"all_pos": false
|
|
},
|
|
"wlgrx": {
|
|
"name": "Nomura Large Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.9250582699716698,
|
|
"corr_port": 0.17455990629905463,
|
|
"rets": {
|
|
"2022 bear mkt": -0.30518064751393914,
|
|
"2023 rate shock": -0.0908408600403997,
|
|
"2024 vol spike": -0.06512931095017027,
|
|
"2025 tariff crash": -0.17659192395224632,
|
|
"2026 Q1 drawdown": -0.13397277227722781
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.30518064751393914,
|
|
"max_ret": -0.06512931095017027,
|
|
"all_pos": false
|
|
},
|
|
"wmbdx": {
|
|
"name": "WesMark Government Bond Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.287871099882674,
|
|
"corr_port": -0.1086037101512423,
|
|
"rets": {
|
|
"2022 bear mkt": -0.16450361264182167,
|
|
"2023 rate shock": -0.05391386924375863,
|
|
"2024 vol spike": 0.02462674125654174,
|
|
"2025 tariff crash": 0.009720706689006153,
|
|
"2026 Q1 drawdown": -0.006829112848565244
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 2,
|
|
"min_ret": -0.16450361264182167,
|
|
"max_ret": 0.02462674125654174,
|
|
"all_pos": false
|
|
},
|
|
"wmcvx": {
|
|
"name": "Wasatch Small Cap Value Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.29962800197706024,
|
|
"corr_port": 0.28682180407402447,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2873239585145815,
|
|
"2023 rate shock": -0.13374478299793213,
|
|
"2024 vol spike": -0.08198123648406153,
|
|
"2025 tariff crash": -0.21621621047402806,
|
|
"2026 Q1 drawdown": -0.087991718426501
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2873239585145815,
|
|
"max_ret": -0.08198123648406153,
|
|
"all_pos": false
|
|
},
|
|
"wmgrx": {
|
|
"name": "Nomura Mid Cap Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -3.4831068824615903,
|
|
"corr_port": 0.14324016972922599,
|
|
"rets": {
|
|
"2022 bear mkt": -0.3447984712061687,
|
|
"2023 rate shock": -0.2005257017494696,
|
|
"2024 vol spike": -0.0868369474610422,
|
|
"2025 tariff crash": -0.21833334365971357,
|
|
"2026 Q1 drawdown": -0.129816519716354
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.3447984712061687,
|
|
"max_ret": -0.0868369474610422,
|
|
"all_pos": false
|
|
},
|
|
"wmicx": {
|
|
"name": "Wasatch Micro Cap Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.5333976529976616,
|
|
"corr_port": 0.15827524793313943,
|
|
"rets": {
|
|
"2022 bear mkt": -0.40831556503198296,
|
|
"2023 rate shock": -0.20699708454810495,
|
|
"2024 vol spike": -0.06944444444444442,
|
|
"2025 tariff crash": -0.21695760598503733,
|
|
"2026 Q1 drawdown": -0.11904761904761896
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.40831556503198296,
|
|
"max_ret": -0.06944444444444442,
|
|
"all_pos": false
|
|
},
|
|
"wmlix": {
|
|
"name": "Wilmington Large-Cap Strategy Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6567287228442801,
|
|
"corr_port": 0.26814496625668727,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24942195872026196,
|
|
"2023 rate shock": -0.10109960320362466,
|
|
"2024 vol spike": -0.07154011330312993,
|
|
"2025 tariff crash": -0.1873781202864464,
|
|
"2026 Q1 drawdown": -0.08627889393121257
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24942195872026196,
|
|
"max_ret": -0.07154011330312993,
|
|
"all_pos": false
|
|
},
|
|
"wmmax": {
|
|
"name": "TETON WESTWOOD MIGHTY MITES FUND",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.1123896001474938,
|
|
"corr_port": 0.3085365285125977,
|
|
"rets": {
|
|
"2022 bear mkt": -0.24597079690937884,
|
|
"2023 rate shock": -0.14536166622986635,
|
|
"2024 vol spike": -0.07929173266169853,
|
|
"2025 tariff crash": -0.1766644510911709,
|
|
"2026 Q1 drawdown": -0.026970954356846488
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.24597079690937884,
|
|
"max_ret": -0.026970954356846488,
|
|
"all_pos": false
|
|
},
|
|
"wmmrx": {
|
|
"name": "Wilmington Real Asset Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -0.6502980876215868,
|
|
"corr_port": 0.35670566385721897,
|
|
"rets": {
|
|
"2022 bear mkt": -0.12601308058189564,
|
|
"2023 rate shock": -0.07049346826721403,
|
|
"2024 vol spike": -0.03768114719554472,
|
|
"2025 tariff crash": -0.10145933701362098,
|
|
"2026 Q1 drawdown": 0.014239534539332688
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.12601308058189564,
|
|
"max_ret": 0.014239534539332688,
|
|
"all_pos": false
|
|
},
|
|
"wmnux": {
|
|
"name": "Westwood Alternative Income Fund",
|
|
"verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio",
|
|
"t5": 6.860324585370505,
|
|
"corr_port": 0.09371513014491326,
|
|
"rets": {
|
|
"2022 bear mkt": -0.02643613785134602,
|
|
"2023 rate shock": -0.002307571361523708,
|
|
"2024 vol spike": 0.0052799646069521255,
|
|
"2025 tariff crash": 0.0013926081345054797,
|
|
"2026 Q1 drawdown": 0.00018367059449508893
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 3,
|
|
"min_ret": -0.02643613785134602,
|
|
"max_ret": 0.0052799646069521255,
|
|
"all_pos": false
|
|
},
|
|
"wnyax": {
|
|
"name": "Wilmington New York Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.13824646042533076,
|
|
"corr_port": 0.028468359768801896,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09709768603598745,
|
|
"2023 rate shock": -0.04432227589335769,
|
|
"2024 vol spike": 0.012957121175178443,
|
|
"2025 tariff crash": -0.022316617136793893,
|
|
"2026 Q1 drawdown": -0.014579032390410585
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 1,
|
|
"min_ret": -0.09709768603598745,
|
|
"max_ret": 0.012957121175178443,
|
|
"all_pos": false
|
|
},
|
|
"wpopx": {
|
|
"name": "Partners III Opportunity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.876500092901142,
|
|
"corr_port": 0.24883797236768712,
|
|
"rets": {
|
|
"2022 bear mkt": -0.2747602822788092,
|
|
"2023 rate shock": -0.09803920637366204,
|
|
"2024 vol spike": -0.028051580950410937,
|
|
"2025 tariff crash": -0.13795610025520444,
|
|
"2026 Q1 drawdown": -0.0887159533073929
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.2747602822788092,
|
|
"max_ret": -0.028051580950410937,
|
|
"all_pos": false
|
|
},
|
|
"wpsgx": {
|
|
"name": "AB Concentrated Growth Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.8738394692121063,
|
|
"corr_port": 0.2505200651502974,
|
|
"rets": {
|
|
"2022 bear mkt": -0.318536980623054,
|
|
"2023 rate shock": -0.11201101504757227,
|
|
"2024 vol spike": -0.05065728362020394,
|
|
"2025 tariff crash": -0.13783989165960242,
|
|
"2026 Q1 drawdown": -0.12160589368491292
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.318536980623054,
|
|
"max_ret": -0.05065728362020394,
|
|
"all_pos": false
|
|
},
|
|
"wpvlx": {
|
|
"name": "Multi Cap Equity Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.6601826867360845,
|
|
"corr_port": 0.2757133556373765,
|
|
"rets": {
|
|
"2022 bear mkt": -0.270691591206464,
|
|
"2023 rate shock": -0.10808979516225092,
|
|
"2024 vol spike": -0.021335021060836845,
|
|
"2025 tariff crash": -0.12518671484036759,
|
|
"2026 Q1 drawdown": -0.1067929749577734
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.270691591206464,
|
|
"max_ret": -0.021335021060836845,
|
|
"all_pos": false
|
|
},
|
|
"wraax": {
|
|
"name": "Wilmington Global Alpha Equities Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.4276768402601039,
|
|
"corr_port": 0.2095206224463461,
|
|
"rets": {
|
|
"2022 bear mkt": -0.09016403460800237,
|
|
"2023 rate shock": -0.029999989712378716,
|
|
"2024 vol spike": -0.011682223032152939,
|
|
"2025 tariff crash": -0.04859532857917048,
|
|
"2026 Q1 drawdown": -0.040084388185654074
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.09016403460800237,
|
|
"max_ret": -0.011682223032152939,
|
|
"all_pos": false
|
|
},
|
|
"wsbfx": {
|
|
"name": "Boston Trust Walden Balanced Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.7454750307307565,
|
|
"corr_port": 0.2931987814437124,
|
|
"rets": {
|
|
"2022 bear mkt": -0.19165016743417784,
|
|
"2023 rate shock": -0.07248891262481172,
|
|
"2024 vol spike": -0.03756469117003258,
|
|
"2025 tariff crash": -0.10867660001319046,
|
|
"2026 Q1 drawdown": -0.05337925096857521
|
|
},
|
|
"n_avail": 5,
|
|
"n_pos": 0,
|
|
"min_ret": -0.19165016743417784,
|
|
"max_ret": -0.03756469117003258,
|
|
"all_pos": false
|
|
},
|
|
"wsefx": {
|
|
"name": "Boston Trust Walden Equity Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -1.782753081639351,
|
|
"corr_port": 0.3121775209640662,
|
|
"rets": {
|
|
"2022 bear mkt": -0.21061354434013557,
|
|
"2023 rate shock": -0.09507138341574739,
|
|
"2024 vol spike": -0.06512367674313213,
|
|
"2025 tariff crash": -0.16766476186869728,
|
|
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|
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|
"max_ret": -0.06512367674313213,
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|
"all_pos": false
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|
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|
"wsgrx": {
|
|
"name": "Nomura Small Cap Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -0.6650910352237913,
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|
"corr_port": 0.16199941383490166,
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|
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|
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|
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|
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|
"wstrx": {
|
|
"name": "Nomura Science and Technology Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.34726341777088304,
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|
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|
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|
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|
"all_pos": false
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|
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|
"wtabx": {
|
|
"name": "Wilmington Municipal Bond Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.2097779098541534,
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|
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|
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|
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"all_pos": false
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|
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|
"wusax": {
|
|
"name": "Columbia Variable Portfolio - Acorn Fund",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": -2.47478992945685,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"wvalx": {
|
|
"name": "Large Cap Equity Fund",
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|
"verdict": "weak/unstable alpha",
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|
"t5": -1.941617617795385,
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|
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|
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|
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|
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|
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|
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|
"wwnpx": {
|
|
"name": "Kinetics Paradigm Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"wwwex": {
|
|
"name": "Kinetics Global Fund",
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|
"verdict": "weak/unstable alpha",
|
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"max_ret": 0.06028352389259184,
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|
"all_pos": false
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|
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|
"wwwfx": {
|
|
"name": "Kinetics Internet Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.08123883609534345,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"max_ret": 0.10910605268189966,
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|
"all_pos": false
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|
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|
|
"xcem": {
|
|
"name": "Columbia EM Core ex-China ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.5299684167371437,
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|
"corr_port": 0.2915908385566141,
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|
"rets": {
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|
"2022 bear mkt": -0.2642143222616349,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"xitk": {
|
|
"name": "State Street(R) SPDR(R) FactSet Innovative Technology ETF",
|
|
"verdict": "weak/unstable alpha",
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|
"t5": -1.832966474827031,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
"xlre": {
|
|
"name": "State Street(R) Real Estate Select Sector SPDR(R) ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.7179354823556383,
|
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
"xmhq": {
|
|
"name": "Invesco S&P MidCap Quality ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.24736606411456036,
|
|
"corr_port": 0.3072653884873339,
|
|
"rets": {
|
|
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|
|
"2023 rate shock": -0.09404762638575515,
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|
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|
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|
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|
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|
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|
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|
|
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|
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|
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|
|
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|
|
"xmlv": {
|
|
"name": "Invesco S&P MidCap Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.4259197585823522,
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
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|
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|
|
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|
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|
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|
|
},
|
|
"xmmo": {
|
|
"name": "Invesco S&P MidCap Momentum ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.5443303295632779,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
"xmvm": {
|
|
"name": "Invesco S&P MidCap Value with Momentum ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 1.3731943785531042,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
"xntk": {
|
|
"name": "State Street(R) SPDR(R) NYSE Technology ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8502425383832245,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
"name": "Invesco S&P SmallCap Quality ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.3944124408669022,
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
|
"xslv": {
|
|
"name": "Invesco S&P SmallCap Low Volatility ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 0.41926798376373436,
|
|
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|
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|
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|
|
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|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"min_ret": -0.1941617624277724,
|
|
"max_ret": -0.020201949862623025,
|
|
"all_pos": false
|
|
},
|
|
"xsmo": {
|
|
"name": "Invesco S&P SmallCap Momentum ETF",
|
|
"verdict": "sleeve mix (R\u00b2 high) - not alpha-driven",
|
|
"t5": 0.8465372964767487,
|
|
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|
|
"rets": {
|
|
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|
|
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|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"min_ret": -0.2033035821642546,
|
|
"max_ret": -0.04342033517355681,
|
|
"all_pos": false
|
|
},
|
|
"xsvm": {
|
|
"name": "Invesco S&P SmallCap Value with Momentum ETF",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": 1.7567513979350058,
|
|
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|
|
"rets": {
|
|
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|
|
"2023 rate shock": -0.09886247990662855,
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|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"min_ret": -0.21796557521643556,
|
|
"max_ret": -0.02987023086946483,
|
|
"all_pos": false
|
|
},
|
|
"ycgex": {
|
|
"name": "YCG Enhanced Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.3556440509267234,
|
|
"corr_port": 0.23571000894971192,
|
|
"rets": {
|
|
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|
|
"2023 rate shock": -0.0815959870559293,
|
|
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|
|
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|
|
"2026 Q1 drawdown": -0.11592777944407939
|
|
},
|
|
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|
|
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|
|
"min_ret": -0.2886207013880625,
|
|
"max_ret": -0.04710372203359392,
|
|
"all_pos": false
|
|
},
|
|
"zvgix": {
|
|
"name": "Zevenbergen Genea Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -1.403674871336429,
|
|
"corr_port": -0.050814323870191205,
|
|
"rets": {
|
|
"2022 bear mkt": -0.5280832296969061,
|
|
"2023 rate shock": -0.1880746778510638,
|
|
"2024 vol spike": -0.13616608576369327,
|
|
"2025 tariff crash": -0.28672766473772626,
|
|
"2026 Q1 drawdown": -0.20323777218941508
|
|
},
|
|
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|
|
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|
|
"min_ret": -0.5280832296969061,
|
|
"max_ret": -0.13616608576369327,
|
|
"all_pos": false
|
|
},
|
|
"zvnix": {
|
|
"name": "Zevenbergen Growth Fund",
|
|
"verdict": "weak/unstable alpha",
|
|
"t5": -2.045928090319022,
|
|
"corr_port": -0.05411552962558509,
|
|
"rets": {
|
|
"2022 bear mkt": -0.49893508363742867,
|
|
"2023 rate shock": -0.17655569218674327,
|
|
"2024 vol spike": -0.10055019341299187,
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|
"2025 tariff crash": -0.2561774813084027,
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|
"2026 Q1 drawdown": -0.19351046775242098
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},
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"n_avail": 5,
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"n_pos": 0,
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"min_ret": -0.49893508363742867,
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"max_ret": -0.10055019341299187,
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"all_pos": false
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}
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}
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} |