Greg Pomerantz
89674c24dd
Raw-intercept alphas absorbed the T-bill yield on uninvested/levered portions (582 well-fitted funds >2%/yr off; sum-of-betas polluted by level-matching). Now fund AND sleeves are netted against BIL daily total return before every regression; a cash position contributes exactly zero. - decompose: rf_series()/excess(); shv+bil dropped from regressors (~0 columns in excess space); FULL_WINDOW -> 2007-06-01 (BIL inception; mixing raw pre-2007 with excess breaks the fit). - factors: same excess treatment; shv out of DRIVERS. - CASH axis redefined: alpha/cash_yield -> net cash position = 1 - sum(betas) (label 'cash (net posn)'). - CANDIDATE list 250 -> 11: the old list was mostly under-invested funds whose 'alpha' was cash yield, not skill. - refback.py: per-fund fitted reference (forward-selected sleeves) stored as ref_5y/ref_full in search_all.json; app alpha-search table gains a 'reference (5y)' column - the answer to 'what is alpha computed against' (the fund's OWN fitted sleeve mix, not one index). - App captions updated; raw-alpha-era results backed up as *_rawalpha.json (not deleted).
1076 lines
60 KiB
Markdown
1076 lines
60 KiB
Markdown
# Fund discovery research log
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Running log of attempts, dead ends, and learnings for finding candidate
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funds (alpha-driven, portfolio-complementing) with the `fundlab`
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pipeline. Newest entries at the bottom of each section. Update as you
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go — this file IS the knowledge base.
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## Sources & what works
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| Source | Status | Notes |
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|---|---|---|
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| Local stocks DB (`~/prog/fin/stocks/`, 8,250 syms) | ✅ primary | ~100 open-end alt families already present; `dbmine.py` mines by name pattern |
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| SEC full-index `Archives/edgar/full-index/YYYY/QTRn/company.gz` | ✅ **discovery workhorse** | lists EVERY filing; 497/497K filers = all active open-end funds. 4-quarter union = 1,668 CIKs, 33,188 series, 10,372 class tickers |
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| SEC full-submission `.txt` (per accession) | ✅ | ~10–50KB; line-based SGML cover with `<SERIES-NAME>` (UNCLOSED tag) + `<CLASS-CONTRACT-TICKER-SYMBOL>` per class; often several series per filing |
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| Yahoo chart API (`query1.../v8/finance/chart/<T>`) | ✅ | no crumb needed; meta has instrumentType/exchange/longName; `range=20y` gives history length |
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| `goget` (`~/go/bin/goget`) | ✅ | batch downloader, idempotent, ~2–5s/sym |
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| EDGAR FTS (`efts.sec.gov/LATEST/search-index`) | ⚠️ fragile | phrase queries w/ hyphens fail; AND-semantics; 100-hit cap per query → incomplete for common phrases. OK for rare phrases only |
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| SEC `browse-edgar` company listing | ❌ dead | now JS-rendered, no data in HTML |
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| SEC `/files/investment-company-tickers.json` | ❌ doesn't exist | 404 (misremembered) |
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| SEC `company_tickers.json` | ❌ for our purpose | only exchange-listed (ETFs/CEFs/stocks); open-end OTC funds absent |
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| Yahoo search/crumb API | ❌ throttled | IP-level "Too Many Requests" on `fc.yahoo.com`/`getcrumb`; chart API unaffected |
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| stockanalysis.com/funds/ | ❌ 404 | path guessed wrong, not pursued |
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## Learnings (hard-won)
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1. **Famous multi-strategy/macro funds are private/offshore** — Millennium,
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Balyasny, Schonfeld, ExodusPoint, Two Sigma, Winton, Marshall Wace,
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Brevan Howard, AQR Event-Driven: no US open-end class, no EDGAR 497,
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no Yahoo OTC ticker. Structural, not a search failure.
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2. **Precision over recall for name→ticker resolution**: a guessed
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ticker that "looks right" is worse than no answer. Chart-API name
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gate + 2/3 token overlap rejected 23/24 memory-based guesses.
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3. **Yahoo exchange name is a USELESS fund/ETF discriminator**: OTC
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mutual funds report `fullExchangeName="Nasdaq"`. Use
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`instrumentType` (MUTUALFUND vs ETF).
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4. **497 SGML cover uses UNCLOSED tags, one per line** —
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`<SERIES-NAME>Foo Fund\n<CLASS-CONTRACT-TICKER-SYMBOL>TNMAX\n`.
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Closed-tag regexes find nothing; `to_text()` (tag stripping)
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destroys the data. Parse line-based, BEFORE any tag stripping.
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5. **Full-index columns drift** — don't trust fixed widths; the header
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line and data rows don't align. Regex the whole line.
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6. **One quarter ≠ the universe**: each fund's annual base-497
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re-filing lands in a random quarter; union of 4 consecutive
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quarters is the full active universe (1,209 in Q2 alone → 1,668
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union).
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7. **Accession paths in the index are relative to `/Archives/`**, not
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`/Archives/edgar/data/` — doubling the prefix 404s.
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8. **Amendments (497A/497VPU) may lack the series cover** — base 497 /
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497K carry it. (497A inclusion pending — see below.)
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9. **Family CIKs repeat across the index** (e.g. AB under 2 CIKs,
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same series listed twice) — dedupe by series name, not CIK.
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10. **Large-n BIC is knife-edge** (ΔBIC=2 ≈ ΔR²=0.0008 at n=2500) —
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the |t|>2 gate on added regressors is essential (decompose.py).
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11. **The portfolio is 50% market-neutral (qspnx)** — MN/L-S-equity
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funds show the strongest alpha on screen (+12–17%/yr) but corr
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0.35–0.76 with the portfolio. "Alpha" ≠ "diversifying for YOU".
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12. **Near-duplicate sleeves make OLS knife-edge** — distinct-axis
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candidate sets (one rep per sleeve family) or the betas split
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arbitrarily between ivv/vti/vt.
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13. **Wrong-fund objectives are worse than none** — all EDGAR
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resolution stages gate on name match before accepting.
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## Pipeline stages (current)
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```
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full-index (4 qtrs) → per-CIK latest 497/497K .txt (cached, 4-thread)
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→ parse_cover (line-based SGML)
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→ [name filter — REMOVED in v2, kept as a tag]
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→ Yahoo chart verify (instrumentType, 20y length)
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→ share-class dedupe (longest history)
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→ goget missing (batched)
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→ screen_fund (sleeve OLS, BIC fwd-select, 5y alpha t, persistence,
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corr vs portfolio & benchmark) [0.3s/fund]
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→ search_*.json → app Fund Lab "Alpha search" table
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```
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## Overnight comprehensive screen (v2, started 2026-08-26)
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Goal: screen EVERY OTC open-end fund with ≥5y history from the 497
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universe — no name pre-filter. Name match becomes a tag/cross-check,
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not a gate.
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### Notes while running (live - the log() below appends automatically)
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- [x] survey: 10,372 class tickers in covers cache; 1,223 already local,
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9,149 to verify on Yahoo; screen costs 0.3s/fund.
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- [x] 497A adds ZERO new CIKs over 497/497K (every 497A filer also
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filed a base in window) - no need to include.
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- [x] verify: 10,260/10,372 tickers with data (4-thread, ~10 min;
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112 dead/never-listed tickers dropped). Cached in
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universe_cache/yahoo_meta.json.
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- [x] select: **2,384 funds** (407 local, 1,977 external). Only 54
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match the alpha name pattern - the other 2,330 are exactly what
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the v1 name-filter would have missed. Worklist cached in
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universe_cache/selected.json.
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- [x] download: 1,960 symbols (resumed at 1,823 after the watchdog
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kill-test). Logs to fundlab/overnight.log + this file.
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- [x] screen: 2,384 funds -> search_all.json (1.2MB).
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- [x] finalize: verdict counts + "candidates v1 would have missed".
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### RESULTS (run finished 2026-08-27 03:23, 5.2h, watchdog exited clean)
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- 2,384 screened: 250 CANDIDATE, 1336 sleeve mix, 707 weak, 42
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alpha-but-correlated, 32 not-persistent, 17 no-5y-window.
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- Of the 250: ~37 are short-duration/floating-rate/money-market CARRY
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(model artifact - the 21-sleeve set has no short-duration axis, so
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carry shows up as a positive intercept). The rest mix:
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a) GENUINE idiosyncratic alpha: hmezx NexPoint Merger Arb (t5 7.1,
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tF 4.6, corr 0.14), mervx The Merger Fund, egrix Eaton Vance
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Global Macro (R2 0.07, +7.9%), wmnux Westwood Alt Income,
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dmszx Destinations Multi-Strat, anglx Angel Oak Multi-Strat,
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aguax Am Beacon Dev World Income (+6.5%, t5 3.7), femdx
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Franklin EM Debt Opps (+6.0%), rctix River Canyon TR Bond
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(t5 5.6), kmdnx Kinetics Multi-Disciplinary.
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b) MISSING-FACTOR exposures (sector not in the 21 sleeves, so
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sector exposure reads as "alpha"): munis (hicox, fhmix),
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preferreds (lpxax, dpiax), EM debt (femdx), securitized credit
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(scfzx), TIPS/real-return.
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- ~200 candidates have "boring" names the v1 alpha-name filter would
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have rejected - direct quantification of the v1 blind spot.
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- eniax SIIT Opportunistic Income: t5 10.1 but tF 1.44 -> alpha is
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RECENT (last 5y), not full-history. Good thing the screen keeps both
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stats.
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### Next iterations
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1. [x] **Add missing factors + cluster by return driver**
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(fundlab/factors.py + fundlab/cluster.py).
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2. [x] **N-PORT holdings cross-check on the top candidates**
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(fundlab/xcheck.py) - results below.
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3. [x] **Drawdown-resilience screen** (fundlab/drawdown.py) -
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which candidates were positive when equities crashed.
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4. CEF universe (485/N-2 filers) - separate pass; CEFs have
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premium/discount dynamics the NAV screen can't see.
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### RIC vs pass-through + return-of-capital check (2026-08-27)
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User asked (1) whether the long-short alternatives are RICs or
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pass-throughs, and (2) whether mutual funds can distribute
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non-taxable "return of capital".
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**RIC vs pass-through - verified on EDGAR (form-type history):**
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CVSIX, QSPNX, MBXIX, ATRFX, ATESX, EAGMX, PBAIX, WISEX, EBSAX ALL
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file NPORT-P + N-CSR + N-CSRS + N-CEN + 497/497K - i.e. registered
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40 Act open-end funds = RICs. MBXIX/ATRFX (the "hedge strategy" I
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classes) are in a registered trust (Mutual Fund Series Trust) even
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though they sound like hedge funds. 1120-R tax returns are filed with
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the IRS, not EDGAR, so their absence there is expected. The whole
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2,384-fund universe is 497-filers, so NO candidate is a pass-through:
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none can pass capital losses to shareholders; the only internal
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tax benefit is the harvest reserve (offsets the fund's FUTURE gain
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distributions). K-1 loss pass-throughs (MLPs, private credit) are
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outside the universe and IRA-bound anyway.
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**Return of capital - yes, and it happens in the candidate pool:**
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ROC = distribution characterized as a return of the shareholder's
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OWN basis. Non-taxable until basis is exhausted, then taxed as a
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capital gain - i.e. DEFERRED, not exempt. It is also a red flag:
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the fund is paying back principal. The definitive source is the
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per-share "Financial Highlights" table in the N-CSR annual report
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("Distributions from: NII / gains / (tax) return of capital /
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total").
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fundlab/rocdetect.py parses that table (whitespace-normalized,
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dollar-basis and date-column rejection, lone values placed by
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per-column arithmetic NII+gains+ROC==total, family reports
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disambiguated by current-NAV match). Run over the 38 core funds
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(cached per fund in roc_cache/):
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- HMEZX: 18.3% of 5y distributions were ROC ($0.62 and $0.37 per
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share in 2 of 5 fiscal years; $1.01/yr distributions otherwise
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from NII) - reinforces the IRA placement.
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- 17 funds verified ZERO ROC: AFLIX, ANGLX, ATESX, BTMIX, EAGMX,
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EGRIX, EGRSX, ETSIX, FHCOX, FHMIX, LCORX, LCRIX, PMAIX, PMFKX,
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SVARX, WMNUX.
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- 14 unverified (non-standard report layouts: Vanguard MERVX,
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JPMorgan JLPSX, AQR QSPNX, PGIM SCFZX, Columbia COSIX, ...):
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parser is a prototype; per-family layouts not all covered.
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- PMORX/QCMMRX: ticker not resolvable via browse-edgar.
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Separate proof case found earlier while checking the NAV-decline
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heuristic: PGSIX (Putnam Mortgage Securities, a drawdown-screen
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candidate) - per-share table shows a "Tax return of capital" line
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($0.35/sh in FY2021: NII $0.14 + ROC $0.35 = $0.49 total) and the
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NAV eroded $11.87 -> $7.88 (-34%) over the 5 shown fiscal years
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while paying out every year. Classic constant-distribution principal
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erosion.
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**Placement consequence (CORRECTED after user pushback - the first
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draft of this section was WRONG):** ROC IS a taxable-account
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feature, exactly like NAV appreciation. Mechanics: the ROC payment
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is tax-free now (reduces your basis); at sale it reappears inside
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YOUR capital gain - LTCG if you held >1y, at the LTCG rate. In a
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traditional IRA the same dollars come out as ORDINARY income at
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withdrawal. The two are not "the same deferral": taxable defers to
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the LOWER rate, the traditional IRA defers to the HIGHER one. Under
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the user's premise (LTCG rate < future ordinary rate), a fund whose
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return defers to the investor (appreciation or ROC) belongs in the
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taxable account. Numerically: $1,000 return - taxable: 15% LTCG =
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$150; traditional IRA: 32% ordinary = $320. (Contrast: ordinary
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income - interest, ordinary divs, STCG - is taxed at the ordinary
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rate in BOTH accounts, so there only the IRA's deferral/time-value
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wins.)
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taxplan.py now computes, per fund, the deferred-to-investor share of
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the 5y return = max(appreciation share, (NAV change + ROC)/total
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return, using the parsed per-share table), and:
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- >= 50% deferred -> "TAXABLE (defers to LTCG)" (renamed from
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"TAXABLE (accrues)");
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- 10-50% of distributions were ROC -> note (counterweight, no
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location flip).
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Merger-arb cap relaxed 0.35 -> 0.50: HMEZX's per-share table
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(52% NII / 30% realized gains / 18% ROC over 5y) refutes the
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"mostly STCG" assumption - HMEZX/MERVX are now MIXED (check 1099),
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not clean IRA.
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IMPORTANT - keep the tax question separate from the QUALITY
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question: a fund paying out a lot of ROC may be returning PRINCIPAL
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(payout > earnings; PGSIX's NAV -34% over 5y). That is a
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sustainability/real-return red flag to weigh in the selection, but
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it does not change the tax-optimal account. You can prefer a fund's
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ROC/appreciation profile for the taxable account while still being
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skeptical of its return durability.
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### Price-appreciation vs. payout split (fundlab/taxsplit.py, 2026-08-27)
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Follow-up to the tax-location plan: the user pointed out that fund
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NAV appreciation is ALSO a capital gain (LTCG on a >1y sale) - the
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taxplan score only measured DISTRIBUTION character. The fund price
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files carry both series (Close = raw NAV with distributions paid
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out; Adj Close = total return reinvested), so the split is
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computable directly:
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price appreciation = f(Close) -> investor's own gain on sale
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payout component = f(Adj)-f(Close) -> taxed every year
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FINDINGS (5y windows):
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- ACCUMULATORS (>=50% of return is appreciation -> upgraded to
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"TAXABLE (accrues)" in taxplan): MBXIX 76% (0.0% payout 12m),
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ATESX 66%, LAMHX 62%, CVSIX 61%, and candidate PBAIX 60%
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(0.0% payout 12m). For these the taxable account's LTCG-on-sale
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benefit is real and large - the annual drag is tiny.
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- PAY-OUT funds (return comes almost entirely as distributions):
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HMEZX (99% paid out - the STCG merger-arb case), MERVX, COSIX,
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PMORX, SVARX, SCFZX, DMSZX, all munis, EM/HY credit. IRA stands.
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- DATA ARTIFACTS caught: JLPSX & QSPNX show one-time NAV gap events
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~2022 (special distribution or share-class reorg) - the 5y payout
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average (13%/yr) is misleading; the 12m payout column (0-3%)
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reflects current behavior. QCMMRX (MMF) price data is a
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total-return index, not NAV - its "100% appreciation" is
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meaningless. Hence both the 5y and the 12m payout are shown.
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CAPITAL-LOSS DISTRIBUTIONS: registered US RICs CANNOT distribute
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net realized capital losses to shareholders (code) - losses stay in
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the fund as a carryforward. The taxable-account benefit the user was
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looking for exists as the fund's HARVEST RESERVE: a fund that
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realized losses in down years (2022/2025) offsets FUTURE gain
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distributions, so later appreciation converts to distributions
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without triggering a gain distribution. Detectable only from the
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annual report (N-CSR) / 1099 history: low-or-zero capital-gain
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distributions after strong up-years. K-1 vehicles (MLPs, some
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private credit) DO pass through losses, but they're ordinary-income
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vehicles -> IRA anyway. NEXT: pull N-CSR per-share distribution
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tables for the MIXED funds (PMAIX/PMFKX, QSPNX, MBXIX, EGRIX,
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DMSZX, PBAIX, FCVSX/FISCX, MMUFX/PRUAX, PABAX, WISEX).
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### Tax-location plan (fundlab/taxplan.py, 2026-08-27)
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User's premise: current LTCG rate < future ordinary rate, so a fund's
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account placement follows the CHARACTER of its distributions:
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- qualified dividends + LTCG -> TAXABLE (low LTCG rate is the benefit)
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- tax-exempt (munis) -> TAXABLE (wasted in an IRA)
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- ordinary interest / STCG / REIT / K-1 -> IRA (deferral is the benefit)
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- cash -> FLEXIBLE
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||
|
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No 1099-DIV characterizations on file for 2,400 funds, so this is a
|
||
STRUCTURAL estimate. `score` = estimated share of distributions that
|
||
are tax-favorable (QD + LTCG + tax-exempt), from three tiers of ground
|
||
truth:
|
||
1. 16-fund shortlist -> nport_cache buckets (keyword)
|
||
2. 22 cross-checked -> xcheck_report buckets (SEC assetCat/issuerCat)
|
||
3. 250 candidates -> factor sleeve loadings (return proxy)
|
||
Fallback: if the keyword parser left >50% of a book unclassified
|
||
("Other"), use the return sleeves. Manual override for the Leuthold
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wrappers (no return history).
|
||
|
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Location bands: score >= 0.60 TAXABLE, <= 0.35 IRA, else MIXED (check
|
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the 1099). Name-based overrides: muni name -> TAXABLE (munis), money
|
||
market -> FLEXIBLE, and strategy caps (merger-arb/event-driven capped
|
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at 0.35 because gains are mostly SHORT-TERM; market-neutral 0.35;
|
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hedge 0.50; style-premia 0.50).
|
||
|
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KEY FINDINGS:
|
||
- 16 shortlist: TAXABLE = ATESX, JLPSX, LAMHX, LCORX, LCRIX (all
|
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equity). IRA = ATRFX, COSIX, CVSIX, PMORX, SVARX, EAGMX/EGRSX
|
||
(macro/market-neutral/income). MIXED (check 1099) = MBXIX (hedge),
|
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QSPNX (AQR factor), PMAIX/PMFKX (multi-asset income, same fund two
|
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classes).
|
||
- 22 cross-checked: the four MUNIS (BTMIX, FHMIX, HICOX, USMSX) ->
|
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TAXABLE, everything else IRA except the macro FOFs (EGRIX MIXED,
|
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ETSIX IRA) and DMSZX (MIXED, 38% equity + 36% CLO).
|
||
- MERGER-ARB TRAP: HMEZX + MERVX hold ~75% equity (looks tax-
|
||
efficient) but their distributions are mostly SHORT-TERM gains
|
||
(deals close <1 yr) -> IRA, not taxable. This is the one place the
|
||
equity-looking book is misleading.
|
||
- 250 candidates: 109 munis (TAXABLE), 127 IRA (bonds/credit/HY/loans),
|
||
6 equity TAXABLE (PHSTX, ANNPX, FKUTX, ALGRX, EBSAX, MCOAX), 7
|
||
MIXED, 1 FLEXIBLE. The candidate pool is credit-heavy, so most are
|
||
IRA.
|
||
|
||
App: Fund Lab -> "Tax location" expander (shortlist + cross-checked
|
||
+ 250-candidate tables, location filter). Output:
|
||
fundlab/taxplan_results.json. The last 1099-DIV is the final arbiter
|
||
for any MIXED fund.
|
||
|
||
### Drawdown-resilience screen (fundlab/drawdown.py, 2026-08-27)
|
||
Scenarios DETECTED from IVV (S&P 500) - one worst peak->trough per
|
||
calendar year since 2022, min depth 8% (2024's Aug-5 dip and 2023's
|
||
rate shock are just under 10%, so a 10% floor would silently drop
|
||
them):
|
||
- 2022 bear mkt 2022-01-03 -> 2022-10-12 -24.5%
|
||
- 2023 rate shock 2023-07-31 -> 2023-10-27 -9.9%
|
||
- 2024 vol spike 2024-07-16 -> 2024-08-05 -8.4%
|
||
- 2025 tariff crash 2025-02-19 -> 2025-04-08 -18.8%
|
||
- 2026 Q1 drawdown 2026-01-28 -> 2026-03-30 -8.9%
|
||
|
||
Fund return = its own NAV, first print after the peak to the last
|
||
print on/before the trough (per-fund dates, no reindexing). 2,384
|
||
funds screened; the 250 CANDIDATEs ranked by # scenarios positive.
|
||
|
||
FINDINGS:
|
||
- Positive in ALL 5: only 7 funds, and ALL are ultra-short/cash
|
||
(BILS, QCMMRX, PULS, FHCOX, FHMIX, SAFEX, COIAX). Being positive
|
||
through every equity drawdown is mostly a DURATION property, not
|
||
alpha - the honest read of the 5/5 tier.
|
||
- The interesting tier is 4/5 WITH real 5y alpha:
|
||
- HMEZX merger arb +1.5% (2022) +3.1% (2023) +0.1% (2024)
|
||
-0.4% (2025) +0.4% (2026), t5 +7.1, corr +0.14 - the standout:
|
||
genuinely positive in the two biggest equity crashes.
|
||
- MERVX merger arb +0.2/+2.6/0.0/+0.5/+0.4, t5 +2.7, corr +0.19.
|
||
- CBHCX market-neutral -5.4 (2022) but +3.1 (2023) +4.5 (2026),
|
||
t5 +2.4 - a true equity hedge.
|
||
- SCFZX securitized credit -2.6 (2022) then ~flat/small, t5 +8.4,
|
||
corr +0.16.
|
||
- ENIAX SIIT opportunistic t5 +10.1 (highest alpha in the set),
|
||
only small 2025 dip.
|
||
- WMNUX -2.6 (2022) then ~flat, t5 +6.9.
|
||
- RCTIX -5.6 (2022, its one weak spot) then positive x4, t5 +5.6.
|
||
- EBSAX Campbell Systematic Macro: +35.9% in the 2022 bear market,
|
||
+5.0% in 2026 Q1, but -4.1 (2024) -2.7 (2025) - a 2022/2026 macro
|
||
winner, 3/5.
|
||
|
||
App: Fund Lab -> "Drawdown resilience" expander (scenario table +
|
||
candidate table sorted by # positive). Output:
|
||
fundlab/drawdown_results.json.
|
||
|
||
### N-PORT cross-check (fundlab/xcheck.py, 2026-08-27)
|
||
21 of 22 top candidates resolved to their ACTUAL holdings (qcmmrx =
|
||
money-market account, no holdings to parse).
|
||
|
||
Pipeline hard-won facts:
|
||
- The fund's NPORT is usually filed under the fund's OWN registrant
|
||
(browse-edgar ticker->CIK), not the 497-cover family/trust CIK
|
||
(EV: trust 1552324 vs fund 745463). covers.json of the own CIK gives
|
||
the exact series name -> the ONLY reliable disambiguator between
|
||
sibling funds ("...Absolute Return Fund" vs "...Advantage Fund" share
|
||
6 of 7 words; token-overlap alone can't tell them apart).
|
||
- Big trusts file dozens of NPORT-Ps per quarter (one per fund); a
|
||
flat newest-30 window misses the fund's own filing. Take all filings
|
||
on the 4 most recent distinct dates.
|
||
- The submissions API points at the XSL-RENDERED view
|
||
(xslFormNPORT-P_X01/primary_doc.xml, a 5-20MB HTML page); the raw
|
||
schema data (seriesName/invstOrSec/netAssets) sits at
|
||
accession-root primary_doc.xml (5KB-1.5MB). Strip the xsl prefix.
|
||
- The raw file is malformed XHTML (CSS in <style>) - strict ET fails;
|
||
regex field extraction on the fixed schema works.
|
||
- nport._SECTION needed an "INVESTMENT PORTFOLIO (unaudited)" variant
|
||
(NPORT-EX Sch-F files); find_section got a frac token-tolerance
|
||
param (Yahoo names drift from filing names).
|
||
- EDGAR FTS lags ~1yr on recent NPORTs - don't use it for discovery.
|
||
- assetCat codes (ABS-O, ABS-CBDO, DBT, DIR, LON, STIV, RA, DE...) mix
|
||
asset types within a code - bucket by position NAME keywords, show
|
||
the raw code per row.
|
||
|
||
VERDICTS (screen t5 = 5y alpha t, full-sleeve R2):
|
||
Genuine idiosyncratic alpha (holdings confirm the returns story):
|
||
- hmezx t5+7.1: MERGER ARB - 73% equity in deal targets (Hologic,
|
||
Clearwater, Sealed Air, OneStream, Air Lease, CSG, EA, Semrush,
|
||
Masimo) + 22% escrow. Textbook.
|
||
- mervx t5+2.7: MERGER ARB - 83% equity targets + GS escrow.
|
||
- egrix t5+4.9: MACRO WRAPPER - 100% in "Global Macro Absolute Return
|
||
Advantage Portfolio" (managed acct; underlying NOT disclosed in
|
||
NPORT). Structure confirms pure macro; alpha is the SMA's.
|
||
- etsix t5+4.1: FOF of EV internal accounts - 76% "Global
|
||
Opportunities Portfolio" (multi-strat), 13% macro, +HI/EM.
|
||
Opaque but genuinely multi-strat.
|
||
- wmnux t5+6.9: ALTERNATIVE CREDIT - 67 discounted/zero-coupon
|
||
corporate bonds (Centrus 0%, Datadog 0%, Ormat 2.5%, N. Oil 3.6%) +
|
||
61 equity SWAPS (BNP counterparty: Tetra Tech, Akamai, AeroVironment,
|
||
Synaptics, Etsy...) = synthetic equity overlay. The "equity names" in
|
||
the book are bond issuers / swap underlyings, not stock holdings.
|
||
Alpha = credit selection + synthetic equity, not any sleeve.
|
||
- scfzx t5+8.4: SECURITIZED CREDIT - 672 pos: CLOs (Aurium, TikeHau,
|
||
Palmer Sq, Harot) + CMBS + ABS. Missing-factor sleeve.
|
||
- coiax t5+7.0: PRIVATE CREDIT / bank loans - 32% in 3 unlisted loan
|
||
blocks (RA) + bank ABS. Missing factor.
|
||
- rctix t5+5.6: DISTRESSED/turnaround credit - DISH DBS, Puerto Rico
|
||
GDB Debt Recovery, PR Commonwealth, Deutsche Bank, Cablevision,
|
||
Avant credit-card ABS. Genuinely idio credit.
|
||
Missing-factor (real assets absent from the 35-sleeve set; alpha =
|
||
exposure, not skill):
|
||
- hicox t5+3.0 (Colorado munis 98%), fhmix t5+3.4 (muni microshort),
|
||
usmsx t5+2.9 (ultrashort muni, 1092 pos), btmix t5+2.8 (short muni,
|
||
1832 pos), aguax t5+3.7 (EM developing-world debt: Ghana, Argentina,
|
||
Kenya, Angola + 46% EM equity), femdx t5+3.0 (EM sovereign: Brazil,
|
||
Ethiopia, Turkiye, Mexico, Venezuela), lpxax t5+2.6 (now mostly
|
||
bank/financial corporate debt - Truist, Citi, UBS, RBC, Enbridge,
|
||
HSBC, TD, Goldman - only 17 prefs remain; rotated out of prefs),
|
||
anglx t5+2.4 (agency MBS 63% + CMBS + senior loans),
|
||
aflix t5+3.9 (levered loans: Energy Transfer, Caesars, Nissan,
|
||
Aramark - semi-transparent), dmszx t5+3.5 (FOF + direct CLOs -
|
||
semi-transparent).
|
||
Short-duration CARRY artifacts (alpha ~= carry; a short-duration sleeve
|
||
would explain them - lower priority as complements):
|
||
- fhcox t5+6.3 (short bank notes: StanChart, MUFG, BNP, SG),
|
||
dultx t5+2.9 (ultrashort bank debt: Santander, Telstra, HSBC),
|
||
safex t5+2.7 (88% T-bills/Treas + MMF - pure cash carry).
|
||
|
||
CONCLUSION: the screen's top candidates are REAL - the highest t5 names
|
||
(hmezx, mervx, egrix, wmnux, scfzx, coiax, rctix) hold exactly what
|
||
their returns imply, and none is a data artifact. The "missing-factor"
|
||
funds (munis, EM debt, preferreds, agency MBS, securitized credit,
|
||
private credit) are genuine exposures the model lacks sleeves for.
|
||
The 3 carry funds are genuine but their excess is short-duration
|
||
carry, not alpha. Output: fundlab/xcheck_report.json +
|
||
fundlab/xcheck_run.log; app shows it under Fund Lab.
|
||
|
||
### Factor screen + clusters (iteration 2, 2026-08-27)
|
||
Design (per user: overinclusive, NO portfolio-corr screening - high
|
||
corr funds are REPLACEMENTS; group funds by return driver):
|
||
- fundlab/factors.py: full OLS of every fund's daily total returns on
|
||
a 35-driver basis (was 21): +lqd (IG corp), +hyg, +pff (prefs),
|
||
+emb (EM debt), +tip, +shy, +vtv (value), +8 sectors (xl*), +dbmf
|
||
(CTA), +dbb (commodities). Dropped from the regression basis:
|
||
vea/vug (>0.95 dupes of efa/qqq), **finux (TERMINATED 2017 - it
|
||
silently zeroed the complete-case mask for every fund overlapping its
|
||
lifetime; the v1 forward selector never hit this because sleeves
|
||
were optional, full OLS needs a common sample)**, bil (its shv/bil
|
||
pair let OLS express tiny net cash exposure as huge offsetting
|
||
loadings shv+64/bil-54 - noise fits with R2~0.01, |t|<2).
|
||
vblix residualized on [ivv, tlt] (tlt~vblix 0.963) -> pure vol axis.
|
||
Small ridge (0.02, slopes only) stabilizes loadings; winsorize at
|
||
+/-4 for clustering. Output: factor_results.json (per-fund
|
||
full+5y loadings, R2, alpha, t + carried screen metadata).
|
||
- fundlab/cluster.py: (a) hierarchical avg-linkage tree (saved,
|
||
4-8s) - but **fixed-k tree cuts are degenerate here**: most funds
|
||
are multi-sleeve blends, so the tree lumps ~2250 of them into one
|
||
blob and only peels pure single-sleeve clusters. (b) **k-means
|
||
(k-means++ init, numpy, deterministic) is the useful grouping** -
|
||
the app re-runs it live for any k (2384x35 is milliseconds).
|
||
Labels = top |median loading| per cluster (>=0.30 gate, else
|
||
"no dominant driver (balanced/idio)").
|
||
- App Fund Lab: "Return-driver clusters" expander - k slider
|
||
(10-60, default 30), summary table (label, n, t5>=2 count, top
|
||
fund by |t5|), selectbox -> member table sorted by alpha t desc
|
||
(corr port as info column only).
|
||
|
||
Findings (k=30): the universe decomposes into readable driver groups:
|
||
US large blend (232), short T 1-3y (194), cash/ultra-short (185),
|
||
US small (128+70+47), US value (115), intl developed (109), growth-
|
||
tilted blend (79+27, loadings ivv+1.07/vtv-0.68), healthcare (15),
|
||
plus a 686-fund "no dominant driver (balanced/idio)" blob - the
|
||
largest single group, where the real candidate hunting happens (84
|
||
funds with t5>=2). The screen's 250 candidates now have a driver
|
||
address: e.g. hmezx (merger arb) and egrix (macro) sit in the
|
||
balanced/idio blob with no sleeve to blame; rctix/dflex sit in
|
||
short-duration; aguax/femdx in the EM group.
|
||
|
||
Caveats: loadings are FULL-history (5y fallback) and ridge-shrunk -
|
||
they describe the driver, not a tradable weight; the balanced/idio
|
||
blob is big by construction (most funds ARE mixes); Japan/China/India
|
||
single-country funds have no country sleeve and read as weak/idio -
|
||
a known coverage gap.
|
||
|
||
Infra lesson: /tmp gets cleaned mid-run - keep logs + caches in the
|
||
project (fundlab/overnight.log, fundlab/universe_cache/), and use
|
||
`setsid nohup ... < /dev/null &` so a closed shell can't kill the job.
|
||
|
||
### Watchdog incident (2026-08-26 ~22:00)
|
||
- First watchdog used `pgrep -f "fundlab.overnight"` for liveness.
|
||
**Failed test**: a monitoring one-liner whose command line merely
|
||
CONTAINED the string made pgrep match the monitor's own bash -c
|
||
wrapper -> watchdog reported "alive" while the real run was dead.
|
||
Lesson: `pgrep -f` on a distinctive-but-quotable string is fragile;
|
||
any shell quoting the string is a false positive. Use a PID file the
|
||
process writes itself (`fundlab/overnight.pid`), pattern only as
|
||
fallback for pre-pidfile launches.
|
||
- Fixed watchdog restarted; it detected the dead run on its first
|
||
check, relaunched, and the run resumed at "1823 missing" (137
|
||
symbols already cached - exactly the expected resume).
|
||
- Also hardened stage_download: a hung goget batch (TimeoutExpired)
|
||
no longer kills the whole run - caught per batch.
|
||
- 2026-08-26 16:01 === stage verify ===
|
||
- 2026-08-26 16:01 verify: 10372 tickers, 9149 to hit Yahoo
|
||
- 2026-08-26 16:01 verify: 500/9149
|
||
- 2026-08-26 16:02 verify: 1000/9149
|
||
- 2026-08-26 16:03 verify: 1500/9149
|
||
- 2026-08-26 16:03 verify: 2000/9149
|
||
- 2026-08-26 16:04 verify: 2500/9149
|
||
- 2026-08-26 16:04 verify: 3000/9149
|
||
- 2026-08-26 16:05 verify: 3500/9149
|
||
- 2026-08-26 16:05 verify: 4000/9149
|
||
- 2026-08-26 16:06 verify: 4500/9149
|
||
- 2026-08-26 16:06 verify: 5000/9149
|
||
- 2026-08-26 16:07 verify: 5500/9149
|
||
- 2026-08-26 16:07 verify: 6000/9149
|
||
- 2026-08-26 16:08 verify: 6500/9149
|
||
- 2026-08-26 16:09 verify: 7000/9149
|
||
- 2026-08-26 16:09 verify: 7500/9149
|
||
- 2026-08-26 16:10 verify: 8000/9149
|
||
- 2026-08-26 16:10 verify: 8500/9149
|
||
- 2026-08-26 16:11 verify: 9000/9149
|
||
- 2026-08-26 16:11 verify done: 10260/10372 with data
|
||
- 2026-08-26 16:11 === overnight run finished in 0.2h ===
|
||
- 2026-08-26 21:31 === stage select ===
|
||
- 2026-08-26 21:31 select: 2384 funds (407 local, 1977 external)
|
||
- 2026-08-26 21:31 === overnight run finished in 0.0h ===
|
||
- 2026-08-26 21:31 === stage download ===
|
||
- 2026-08-26 21:31 download: 1960 missing symbols
|
||
- 2026-08-26 21:54:22 watchdog: watchdog started (interval 300s)
|
||
- 2026-08-26 21:54:22 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 21:59:22 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:04:22 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:08:01 watchdog: watchdog started (interval 300s)
|
||
- 2026-08-26 22:08:01 watchdog: process DEAD with 2384 funds unscreened - relaunching
|
||
- 2026-08-26 22:08 === stage download ===
|
||
- 2026-08-26 22:08 download: 1823 missing symbols
|
||
- 2026-08-26 22:09:01 watchdog: relaunch confirmed alive
|
||
- 2026-08-26 22:14:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:19:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:24:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:29:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:34:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:39:01 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:41 download: batch 1 -> 200/200
|
||
- 2026-08-26 22:44:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:49:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:54:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 22:59:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:04:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:09:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:14:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:14 download: batch 2 -> 200/200
|
||
- 2026-08-26 23:19:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:24:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:29:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:34:02 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:39:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:44:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:47 download: batch 3 -> 200/200
|
||
- 2026-08-26 23:49:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:54:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-26 23:59:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:04:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:09:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:14:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:19:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:20 download: batch 4 -> 200/200
|
||
- 2026-08-27 00:24:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:29:03 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:34:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:39:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:44:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:49:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:54 download: batch 5 -> 200/200
|
||
- 2026-08-27 00:54:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 00:59:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:04:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:09:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:14:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:19:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:24:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:27 download: batch 6 -> 200/200
|
||
- 2026-08-27 01:29:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:34:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:39:04 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:44:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:49:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:54:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 01:59:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:00 download: batch 7 -> 200/200
|
||
- 2026-08-27 02:04:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:09:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:14:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:19:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:24:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:29:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:33 download: batch 8 -> 200/200
|
||
- 2026-08-27 02:34:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:39:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:44:05 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:49:06 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:54:06 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 02:59:06 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 03:04:06 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 03:06 download: batch 9 -> 200/200
|
||
- 2026-08-27 03:09:06 watchdog: overnight alive, still_missing=2384
|
||
- 2026-08-27 03:10 download: batch 10 -> 23/23
|
||
- 2026-08-27 03:10 download done: 0 still missing (no Yahoo data?)
|
||
- 2026-08-27 03:10 === stage screen ===
|
||
- 2026-08-27 03:10 screen: 2384 funds, 2384 to do
|
||
- 2026-08-27 03:11 screen: 100/2384
|
||
- 2026-08-27 03:11 screen: 200/2384
|
||
- 2026-08-27 03:12 screen: 300/2384
|
||
- 2026-08-27 03:12 screen: 400/2384
|
||
- 2026-08-27 03:13 screen: 500/2384
|
||
- 2026-08-27 03:13 screen: 600/2384
|
||
- 2026-08-27 03:14:06 watchdog: overnight alive, still_missing=1784
|
||
- 2026-08-27 03:14 screen: 700/2384
|
||
- 2026-08-27 03:14 screen: 800/2384
|
||
- 2026-08-27 03:15 screen: 900/2384
|
||
- 2026-08-27 03:15 screen: 1000/2384
|
||
- 2026-08-27 03:16 screen: 1100/2384
|
||
- 2026-08-27 03:16 screen: 1200/2384
|
||
- 2026-08-27 03:17 screen: 1300/2384
|
||
- 2026-08-27 03:17 screen: 1400/2384
|
||
- 2026-08-27 03:18 screen: 1500/2384
|
||
- 2026-08-27 03:18 screen: 1600/2384
|
||
- 2026-08-27 03:19:06 watchdog: overnight alive, still_missing=784
|
||
- 2026-08-27 03:19 screen: 1700/2384
|
||
- 2026-08-27 03:19 screen: 1800/2384
|
||
- 2026-08-27 03:20 screen: 1900/2384
|
||
- 2026-08-27 03:20 screen: 2000/2384
|
||
- 2026-08-27 03:21 screen: 2100/2384
|
||
- 2026-08-27 03:22 screen: 2200/2384
|
||
- 2026-08-27 03:22 screen: 2300/2384
|
||
- 2026-08-27 03:23 screen done: 2384 funds
|
||
- 2026-08-27 03:23 === stage finalize ===
|
||
- 2026-08-27 03:23 finalize: 2384 funds screened
|
||
- 2026-08-27 03:23 1336 sleeve mix
|
||
- 2026-08-27 03:23 707 weak/unstable alpha
|
||
- 2026-08-27 03:23 250 CANDIDATE
|
||
- 2026-08-27 03:23 42 alpha, but correlated with current portfolio
|
||
- 2026-08-27 03:23 32 alpha in 5y window, but not persistent
|
||
- 2026-08-27 03:23 17 no 5y window
|
||
- 2026-08-27 03:23 candidates v1 name-filter would have missed: ['abhyx', 'acfix', 'acitx', 'acthx', 'aflix', 'aftex', 'agovx', 'aguax', 'aidax', 'alcax', 'algrx', 'alnyx', 'althx', 'amaax', 'amhix', 'annpx', 'asdvx', 'atfax', 'avaax', 'bchyx', 'bcitx', 'bils', 'bmbix', 'bsnix', 'btmix', 'cfmox', 'cfnlx', 'cfrax', 'coiax', 'coltx', 'cpxax', 'csdax', 'cshix', 'cxhyx', 'deffx', 'delix', 'dflex', 'ditex', 'dmusx', 'dnmzx', 'dpiax', 'drcax', 'drnjx', 'dsibx', 'dultx', 'dvmhx', 'dvtax', 'eablx', 'eacax', 'eanax', 'eascx', 'ebsax', 'eniax', 'etazx', 'etgax', 'ethyx', 'etmdx', 'etmnx', 'etmox', 'etncx', 'etnjx', 'etorx', 'etpax', 'etsix', 'etvax', 'evfax', 'exmax', 'exnax', 'fafrx', 'faztx', 'fcamx', 'fcfix', 'fcotx', 'fcstx', 'fcvsx', 'fdmmx', 'femdx', 'ffrsx', 'fhaix', 'fhcox', 'fhmix', 'ficnx', 'fiscx', 'fkcix', 'fklax', 'fknix', 'fkstx', 'fktfx', 'fktix', 'fkutx', 'fkytx', 'flrn', 'fltdx', 'fltmx', 'fltr', 'fmdtx', 'fmoax', 'fmotx', 'fnmtx', 'fnytx', 'fpntx', 'fralx', 'frcox', 'frmox', 'frnjx', 'frorx', 'frpax', 'frstx', 'fsazx', 'ftazx', 'ftfmx', 'ftgax', 'ftlax', 'ftnyx', 'ftorx', 'fwiax', 'fxncx', 'gbonx', 'giyix', 'gtfbx', 'hicox', 'hmezx', 'hubax', 'icifx', 'ihiax', 'intax', 'kctax', 'kmdnx', 'kntax', 'lansx', 'lmsfx', 'lpxax', 'lsbdx', 'lsyux', 'ltebx', 'ltnyx', 'lubax', 'masax', 'mcoax', 'mdxbx', 'mervx', 'mfalx', 'mfarx', 'mfiax', 'mfpax', 'mfscx', 'mfsmx', 'mfssx', 'mfwvx', 'mgfox', 'missx', 'mmgax', 'mmhyx', 'mmufx', 'msncx', 'msnyx', 'msvax', 'mtbax', 'mtlfx', 'nefzx', 'nhmax', 'nmbax', 'nmdax', 'nmuix', 'nnjax', 'nnyax', 'nsmmx', 'nthex', 'olcax', 'omifx', 'onjcx', 'opcax', 'opnyx', 'orncx', 'pabax', 'pamfx', 'pbaix', 'pbcax', 'pgsix', 'phizx', 'phstx', 'ppnax', 'prfhx', 'prfrx', 'prfsx', 'prinx', 'prmdx', 'prnyx', 'prsmx', 'prtax', 'pruax', 'prvax', 'prvbx', 'prxcx', 'psnyx', 'ptebx', 'puls', 'pysix', 'qcmmrx', 'rctix', 'rlvsx', 'rmuyx', 'rpidx', 'rpifx', 'safex', 'scfzx', 'sdsax', 'sefix', 'seimx', 'shtix', 'sitex', 'smlax', 'sngvx', 'szmax', 'taftx', 'tisix', 'trbux', 'trhyx', 'tsdjx', 'twtix', 'ulst', 'usiax', 'usmsx', 'vcaix', 'vcitx', 'vctfx', 'vidax', 'vklmx', 'vkmmx', 'vmatx', 'vmltx', 'vnjtx', 'vnytx', 'vohix', 'vpaix', 'vtipx', 'vubfx', 'vusb', 'vwahx', 'vweax', 'vwitx', 'vwltx', 'wisex']
|
||
- 2026-08-27 03:23 === overnight run finished in 5.2h ===
|
||
- 2026-08-27 03:24:06 watchdog: process gone but screen COMPLETE (0 missing) - watchdog exiting
|
||
- 2026-08-27 03:24:06 watchdog: watchdog exit
|
||
|
||
### Tax strategy landscape (2026-08-27)
|
||
Full taxonomy of security types / structures that offset capital gains
|
||
or ordinary income, in service of the tax-placement work:
|
||
|
||
1. **Offset cap gains (taxable):** loss harvesting (1:1 + $3k/yr +
|
||
carryfwd; tricks: write options after harvest = no wash sale; munis
|
||
are 1091-exempt so harvest+rebuy same day; loss-harvester ETFs);
|
||
fund-level harvest reserve (already modeled); §1256 CTA MTM (60/40
|
||
character, losses included); §1244 stock (ordinary loss
|
||
$50k/$100k MFJ).
|
||
2. **Offset ordinary income (K-1/depreciation world):** MLP (ROC ->
|
||
investor LTCG; loss pass-through is real but basis/at-risk/passive
|
||
limited; OBBBA 199A 20% on MLP income 2025-2029; IRA UBTI check,
|
||
many are 531(e)(2)-free); real estate depreciation (100% bonus now
|
||
permanent post-OBBBA; $25k active-participant loss phasing out
|
||
$100-150k MAGI; unlimited w/ REP 500-hr status; working-farm 1031;
|
||
199A on real property SALE gains 2025-2029); 45L/59A direct-pay LLCs
|
||
(30% credit + basis depreciation -> current deduction ~1.5-2x
|
||
investment, 30-yr/15-yr holds); private credit K-1s; 199A generally.
|
||
3. **Inherently favorable income:** munis (NIIT-exempt, no wash sale,
|
||
muni-equivalents for out-of-state); QREIT dividends (20% LTCG rate);
|
||
Opportunity Zone funds (deferral + 100% excl. on post-2018 apprc,
|
||
2026 last year for current designations; taxable-only); QSBS 1202
|
||
(100% excl., $10M/issuer, 5yr); §1256 gains.
|
||
4. **Charitable/structural:** donate appreciated LTCG (skip gain + FMV
|
||
deduction; DAF timing); CRT (sell concentrated pos. untaxed); QCD
|
||
(70.5+, IRA->charity excluded from income, counts to RMD - the one
|
||
way to AVOID a trad IRA's ordinary character); 1031 (real property
|
||
only); gifting LTCG stock (carryover basis, lower-bracket donee,
|
||
~$19k/yr exclusion).
|
||
5. **Deferral outside IRA:** annuities (only other deferral bucket;
|
||
no RMD; 10% penalty pre-59.5).
|
||
|
||
Fit for this portfolio (mutual-fund investor, taxable + trad IRA):
|
||
(1) harvest discipline incl. before conversion/RMD years, (2) munis
|
||
(109 in screen), (3) small CTA sleeve (taxable), (4) K-1/depreciation
|
||
overlay only as a separate private-markets decision, (5) charitable
|
||
when relevant. All of 3-4 above are taxable-only by nature.
|
||
|
||
Post-OBBBA (Pub. L. 119-21) items I could not re-verify live (SearXNG
|
||
index down): 199A specified-investment-asset scope/sunset, SALT cap,
|
||
QCD dollar limit. Verify with tax pro before relying.
|
||
|
||
### Placement premise + constrained-taxable rule (2026-08-27)
|
||
Premise (user-stated, verified): distributions on assets held in a
|
||
TRADITIONAL IRA are also taxed - deferred, but at the ORDINARY rate
|
||
at withdrawal. Price appreciation and every distribution (div,
|
||
interest, cap-gain dist) come out as ordinary income; the character
|
||
is destroyed. Exception: K-1 UBTI is taxed CURRENTLY, not deferred.
|
||
So the IRA is an ordinary-rate bucket: tax-favorable character
|
||
(LTCG / QD / tax-exempt / ROC-deferral) is worthless inside it;
|
||
ordinary character only gets deferral there.
|
||
|
||
Constrained-taxable rule (user's proposal, agreed with refinements):
|
||
the tax-exempt accounts are larger in aggregate, so some funds that
|
||
prefer the taxable account will end up in the IRA. User's rule: for
|
||
the scarce taxable space, select for VOLATILITY (big potential
|
||
returns AND losses): in down years harvest and swap into a similar
|
||
non-substantially-identical fund (no wash sale), in up years hold
|
||
and register the LTCG at the LTCG rate that the IRA would tax as
|
||
ordinary.
|
||
|
||
Agreed. The counterfactual makes it exact: the same swing inside
|
||
the IRA generates ZERO tax events; inside the taxable account, up ->
|
||
(15-20%) LTCG, down -> a CURRENT deduction (offsets gains 1:1 +
|
||
$3k ordinary + carryforward). Both terms scale with the size of the
|
||
swing, so volatility is the right selection variable. Refinements:
|
||
- The exact objective is tax-arb per dollar = (future tau_ord -
|
||
tau_char) x expected favorable return + harvest value. Volatility
|
||
proxies both terms, but it must be volatility in POSITIVE
|
||
expected-return strategies (risk premium), not variance for its
|
||
own sake.
|
||
- Ordering for scarce space: (1) MUNIS first - the IRA destroys
|
||
100% of the exemption, the saving is certain and immediate, and
|
||
munis are wash-sale EXEMPT (1091(c)(3)(B)): harvest and rebuy the
|
||
SAME fund next day. (2) high-return/high-vol accumulators - the
|
||
deferral term is largest, and the user's premise (future ordinary
|
||
rate rises) widens the gap every year. (3) steady low-yield
|
||
favorable-character funds last - they lose the least in the IRA.
|
||
- The harvest term is a BONUS, the deferral term the MAIN EVENT: a
|
||
loss in a no-gain year is worth only $3k x tau_ord (~$1k) unless
|
||
there are concurrent gains to offset. The deferral term is
|
||
(tau_ord - 15%) on every dollar of appreciation - uncapped.
|
||
- Basis management: harvest size = NAV vs basis. Buying in up years
|
||
builds high-basis lots = fatter future harvests.
|
||
- Use the rule to PRIORITIZE among funds you would own anyway; the
|
||
tax benefit (~1.5-2.5%/yr on balance) does not justify ADDING
|
||
risk by itself.
|
||
- Swap mechanics: different mutual funds are not substantially
|
||
identical (different holdings/NAV) - the standard harvest-and-swap
|
||
is safe; the 250-candidate universe makes a like-for-like
|
||
substitute usually available.
|
||
|
||
### CEF pass (2026-08-27)
|
||
**Universe** (fundlab/cef_universe.py): the SEC's official
|
||
"Closed-End Fund Information" report (ALL active 1940-Act CEFs; 2026
|
||
file = 973; sec.gov/files/investment/data/other/closed-end-fund-
|
||
information/closed-end-investment-company-<YYYY>.csv - hyphenated
|
||
filenames 2024+, underscored before). CIK join with
|
||
company_tickers.json -> 295 listed common-class tickers (hyphenated
|
||
preferred series dropped; 668 small/dark/OTC funds have no listed
|
||
ticker; several 6(c)-converted "CEFs" are now operating companies -
|
||
Powerlaw, RoboStrategy, C1 Fund, Foxby - excluded). The N-2
|
||
full-index approach was abandoned: annual updates file as N-2/A, and
|
||
full-index paths 404 for newer filings; the SEC report is the whole
|
||
active population and is one download.
|
||
|
||
CEF form facts learned:
|
||
- CEFs file NPORT-P (same format as open-end - xcheck.py reuses)
|
||
- shareholder reports: N-CSR/N-CSRS AND/OR N-2ASR (rocdetect must try both)
|
||
- N-PX proxy = CEF signal (open-end funds have no boards)
|
||
- N-23C-3A/-2 = Rule 23c-3 repurchase-offer (tender) notifications - common
|
||
- BDCs also file N-2; their names don't contain "Business Development"
|
||
(Ares Capital Corp etc) - detect via form history (10-K vs N-2ASR)
|
||
- Yahoo instrumentType for CEFs is usually EQUITY - do NOT apply the
|
||
open-end MUTUALFUND filter
|
||
- CEF price = MARKET price (premium/discount on top of NAV); Adj Close
|
||
includes reinvested distributions, so the payout proxy works
|
||
|
||
**Stage 1** (fundlab/cef_screen.py): 290/295 screened (goget prices;
|
||
phd/unid/uniu 404). Stats: t5/t12, vol5, maxdd5, the 5 crash
|
||
episodes via drawdown.fund_windows, 12m payout proxy, n_pos_scen.
|
||
Findings:
|
||
- Energy/midstream infra CEFs dominate 5y return AND crash
|
||
resilience: EMO +305%, SRV +234%, NML +232%, KYN +206%, PEO +192%,
|
||
TYG +170% - all positive in 2022 (+10..25%) and 2026 Q1 (+10..17%),
|
||
dist 10-13%/yr.
|
||
- Voya "Dividend & Premium" series (IGD/IHD/IAE/EOD): +77..86%,
|
||
maxDD only -16..-30%, 11-13% dist - premium management keeps the
|
||
market price near NAV.
|
||
- EM/China CEFs (TWN +348%, KF +139%, EMF +98%, AEF, MXF): high vol,
|
||
-34..-47% in 2022 (harvestable), 14-24% dist.
|
||
- Long-duration muni CEFs (PCQ/PML/PNI/TDF) -26..-42% over 5y: the
|
||
2022-23 rate spike, duration not alpha.
|
||
- LTCFX (+1101%, 2023 +799%) and DXYZ (maxDD -90%) are
|
||
derivatives/meme vehicles - flag, don't rank.
|
||
|
||
**Stage 2a** (fundlab/cef_character.py): 50-fund shortlist (top 40
|
||
return + >=3 positive scenarios + top 15 payout) -> 35-sleeve
|
||
factor_screen -> taxplan.sleeve_score character -> crude
|
||
tax_arb = character x (upside + 0.4 x vol). Top: KF (char 0.63),
|
||
LENDX (0.69, maxDD -12%, all scenarios ~flat/positive), EMF/AEF/HQL/
|
||
HQH/IGD equity-character 0.55-0.75; EMO/NML/SRV/KYN/TYG char
|
||
0.29-0.39 (income-heavy -> IRA-tilted, ROC share pending the 1099).
|
||
|
||
**Stage 2b** (fundlab/cef_annual.py): per-share financial-highlights
|
||
parser for the annual shareholder report (N-CSR/N-CSRS). 16/50 of the
|
||
shortlist parsed (4 fund-family layouts verified: Franklin/EMO,
|
||
classic CEF/TWN, abrdn/HQL, Korea/KF; the rest reject conservatively
|
||
- mis-parse is worse than no data).
|
||
|
||
Parser lessons (each one cost a debug cycle):
|
||
- CEF HTML tables flatten with one <td> per line: labels split across
|
||
newlines ("Net\nasset value, beginning of year"). Collapse
|
||
whitespace BEFORE any regex.
|
||
- CEF tables DROP ZERO COLUMNS when flattened: a short row's values
|
||
can sit in ANY subset of columns (TWN: gains in 4 of 5 cols,
|
||
NII-divs in the OTHER two; EMO: ROC in cols 0 and 4; KF: accretion
|
||
in cols 1-4). A left-align or greedy per-row placement is WRONG.
|
||
- Robust solution: one JOINT backtracking search placing every short
|
||
row (captch rows first - they feed the NAV identity - then the
|
||
distribution rows) so the per-column arithmetic holds:
|
||
printed total complete -> divs+gains+roc == total; printed total
|
||
short -> divs+gains+roc == NAV_beg+ops+captch-NAV_end. Reject
|
||
(return None) when no assignment reconciles.
|
||
- The printed total row is authoritative when complete; sign varies
|
||
by fund (EMO positive, TWN negative) - normalize by majority vote.
|
||
- "Net asset value, beginning of **period**" (semiannual / LENDX) and
|
||
"per common share" (abrdn) label variants.
|
||
- "Total dividends and distributions to stockholders" total label
|
||
contains "dividends" - scope sub-row search to before the total row.
|
||
- "Less distributions from:" (Franklin, no "to") anchor variant.
|
||
- Prefer the 5-column ANNUAL table over a 6-column semiannual one.
|
||
- Submission .txt (full filing, one fetch) is the robust document
|
||
source; primaryDocument 404s on older filings.
|
||
|
||
Verified results (div/gains/ROC 5y share, FY-end discount, tenders):
|
||
- TWN 6/94/0, -15.0% - 94% capital-gains distributions (LTCG
|
||
character for a long-term EM fund) + persistent 15% discount =
|
||
the cleanest taxable CEF of the set.
|
||
- KF 27/72/0, -14.4%; ADX 9/91/0, -5.7% - same story, smaller.
|
||
- EMO 67/0/33, -6.8% (was -18.4% in FY21: the discount NARROWED -
|
||
the actual tax arb) + 6 tender notices (repurchase program).
|
||
81% of the FY25 distribution was ROC - tax-payer CEF, check 1099.
|
||
- AEF 20/0/80, -8.3%; HERZ 0/21/79 (char 0.94 BUT 5y total return
|
||
only +10%: ROC that large on flat returns = returning your own
|
||
capital, a sustainability red flag - ROC share alone is not
|
||
sufficient).
|
||
- LENDX 45/40/14, 40 tender notices (continuous program), maxDD -12%.
|
||
- AOD/AGD 81/0/19 (ordinary NII) at ~par - the IRA-tilted CEFs.
|
||
- Discount series are STABLE (no systematic narrowing) except EMO.
|
||
|
||
**Remaining:** targeted regex work for the 34 un-parsed families
|
||
(Neuberger SRV/NML/KYN/TYG, Voya IGD/ECAT, Barings MCI/MPV,
|
||
Cornerstone, Virtus Stone Harbor, ...); leverage/tax-paying flags
|
||
(optionally, from the same doc); app CEF tab; BDC confirmation.
|
||
|
||
### 2026-07-08: CEF stage 2b COMPLETE — 48/50 shortlist verified
|
||
|
||
fundlab/cef_annual.py (parse_highlights + analyze + per-fund cache in
|
||
fundlab/cef_cache/): the per-share financial-highlights parser now
|
||
verifies **48 of the 50 shortlist funds** against per-share arithmetic
|
||
in the fund's own report:
|
||
|
||
distributions == divs + gains + ROC (per column)
|
||
nav_e == nav_b + ops + captch − dist_tot (per column, chained)
|
||
|
||
**The exceptions (both correct outcomes, not failures):**
|
||
- **DXYZ** (Destiny Tech100): zero-distribution fund — the report has no
|
||
distribution rows; parser correctly returns 0/0/0 ("no data").
|
||
- **STEW** (SRH Total Return): columnar layout — label list up front,
|
||
then one long stream of per-column values with the HTML table
|
||
structure gone. Zero-dropped cells make fixed chunking ambiguous
|
||
(the printed total row has fewer entries than the sub-rows because
|
||
non-zero columns aren't dropped there). Would need the actual HTML
|
||
`<table>` DOM to disambiguate; the flattened-text approach can't
|
||
reliably recover it. Acceptable: 1 of 50.
|
||
|
||
**Parser evolution (14 patches + inline fixes this session):**
|
||
1. Inline layout (values on the label row): joint backtracking search
|
||
places ALL short rows (capital-transactions + distributions) so
|
||
per-column arithmetic holds. Printed total row authoritative when
|
||
complete; NAV-identity fallback when short. REJECTS when no
|
||
assignment reconciles (mis-parse worse than no data).
|
||
2. Transposed layout (Voya/PIMCO/Neuberger/Nuveen): label list,
|
||
"Year(s) ended ..." header, one data row per year starting with the
|
||
date. Header may be before OR after the label list; the window must
|
||
extend backwards. Multiple anchors per doc (JCE: first anchor is a
|
||
dollar-basis statement) — try each. Multi-fund docs: section split
|
||
on the fund-name line (name appears AFTER the previous row's
|
||
values). Strict-fallback placement when the printed total row is
|
||
unreconcilable (exact dist arithmetic but no nav_e pin).
|
||
3. Row repair: footnote-integer rescue for over-long rows; bare
|
||
footnote digits (1-9) and parenthesized footnote markers skipped
|
||
without breaking the row (EMO's "Return of capital (2.16) 4
|
||
(3.42)"); leading-dot decimals (.25); split-decimal rejoin with a
|
||
lookbehind so "income .85 .61" stays two values; sign-magnitude
|
||
normalization (funds print distributions positive or negative —
|
||
both handled); dist-row deduplication when a combined
|
||
"NII + gains" row matches both divs and gains patterns.
|
||
|
||
**The 48 verified characters (fdiv/fgain/froc):** the distribution-
|
||
character column in fundlab/cef_merged.json is now ACTUAL per-fund
|
||
data (replacing the sleeve-model proxy for these 48). Top
|
||
high-character (ROC-heavy) funds: HERZ 79% ROC, CLM 65%, CRF 62%,
|
||
ECAT 68%, IDE 37%, AEF 80%, TYG 85%, NXG 87%, EMO 33%. Top
|
||
low-character (ordinary-income): ASCIX/ASA/MPI/MPV/EMF ~0% gains.
|
||
|
||
**Re-runs:** `rm fundlab/cef_cache/{SYM}.json && .venv/bin/python
|
||
-m fundlab.cef_annual {SYM}` for a single fund; bare
|
||
`.venv/bin/python -m fundlab.cef_annual` re-runs all 50 (reads
|
||
cache, ~fast).
|
||
|
||
**Next (CEF):** the app CEF tab (shortlist table with discount,
|
||
character, tax-arb rank, leverage, tender count); leverage + tax-
|
||
paying flags (regex exists, returns None for most — the reports
|
||
buried them); extend verification to the full 295 universe once the
|
||
shortlist is finalized.
|
||
|
||
### 2026-07-08: Full CEF universe verified — 241/295 parsed
|
||
|
||
fundlab/cef_universe_run.py batched analyze() over all 295 tickers
|
||
(fundlab/cef_annual_all.json, resumable, per-fund cache). **241 funds
|
||
now have actual per-share distribution character**; 54 didn't parse —
|
||
mostly funds whose 3 latest reports use layouts the parser doesn't
|
||
cover (the 3-layout coverage: inline / transposed / columnar-stream
|
||
partial), plus a handful of BDCs.
|
||
|
||
**Share-fraction fix:** the fdiv/fgain/froc fractions are now computed
|
||
with the COMPONENT SUM as denominator (sum(divs)+sum(gains)+sum(roc))
|
||
instead of dist_tot. When dist_tot comes from the NAV-identity
|
||
fallback (short printed total row) it can differ from the printed
|
||
components by cents-to-dollars (CEE: dist_tot 0.73 vs divs 0.92 in
|
||
one column), making the old fractions sum to 111%. The composition
|
||
fractions must sum to 1 by definition; dist_tot stays the validity
|
||
gate (the per-column arithmetic check upstream).
|
||
|
||
**Universe ranking** (fundlab/cef_rank_all.json): 239 funds with both
|
||
actual character and 5y return data, scored char × (t5 + 0.4 × vol5).
|
||
Beyond the original 50-fund shortlist, the verification surfaced
|
||
**FXBY** (Foxby, char 0.70, 5y +118%) and **DPG** (Duff & Phelps
|
||
Utility & Infrastructure, char 0.80, 5y +56%, 2/5 scenarios positive,
|
||
4 tenders) as top-25 tax-arb candidates the return-only shortlist had
|
||
kept. Top of the table is otherwise the same shape: LTCFX (outlier
|
||
return + heavy tender/repurchase activity = 60 N-23C filings), TWN,
|
||
TYG, SRV, EMO, NXG, PEO, KF.
|
||
|
||
**Server:** fundlab/server_watchdog.sh now keeps Streamlit on :8599
|
||
alive (5-min health checks, relaunch). The old watchdog was scoped to
|
||
the overnight screen and had exited with it.
|
||
|
||
**App:** Fund Lab tab shows the CEF shortlist table (character
|
||
actual-vs-model flag, discount, 5y, vol, scenarios, tenders, score).
|
||
|
||
### CASH axis: money-market / cash-equivalent funds as a driver
|
||
|
||
**Problem:** money-market and ultra-short funds fell into the "no
|
||
dominant driver" cluster. There WAS a cash sleeve (shv; bil was dropped
|
||
from the regression for shv/bil collinearity), but cash funds still
|
||
didn't load on it: a fund's yield is a near-CONSTANT in return space,
|
||
so OLS puts it in the INTERCEPT (alpha_ann), not in any beta. shv/bil
|
||
betas only measure the response to rate CHANGES — tiny for cash-like
|
||
funds. Evidence: qcmmrx (Money Market Account) had shv 0.13, bil 0.12,
|
||
R² 0.08, but alpha_ann 1.91%/yr = the average cash level over its
|
||
history.
|
||
|
||
**Benchmark:** the canonical cash benchmark is the 13-week T-bill /
|
||
0-3m Treasury index (SIXM). Local stand-ins: shv/sgov/bil/gbil
|
||
total-return (Adj Close), trailing 1y ≈ 3.7% in the current regime.
|
||
|
||
**Fix (factors.py + cluster.py + app.py):**
|
||
- `factors.cash_yield()`: shv trailing-1y total return (fallback sgov,
|
||
bil) — the normalizer.
|
||
- `factors.AXES = DRIVERS + ["cash"]`: a VIRTUAL cash axis per fund =
|
||
alpha_ann / cash_yield (1.0 = "earns the cash rate"), from the full
|
||
window (rec5 fallback when the row falls back to rec5). It is a
|
||
clustering/display axis, NOT a regressor (the level is already in
|
||
the intercept; regressing on a constant is collinear by design).
|
||
- `cluster.loading_matrix()` appends the cash column (winsorized ±4
|
||
like the betas). SLEEVE_NAME["cash"] = "cash (yield)".
|
||
- `cluster.emphasized(V)`: the cash axis is a LEVEL, not a sensitivity
|
||
— in raw Euclidean space a pure cash fund (0,...,0,~0.5) sits inside
|
||
the low-exposure balanced/target-date cloud and k-means swallows it.
|
||
K-means (app + run_kmeans) runs on the cash-2x-emphasized matrix;
|
||
LABELS still use the raw values. The hclust tree stays raw.
|
||
- `cluster.label()`: cash-aware — the median cash in a mixed
|
||
low-exposure cluster is diluted, so cash counts as the driver at
|
||
>=0.25 (vs 0.30 for betas) and must be >=1.5x the runner-up.
|
||
|
||
**Result (k=30):** the grab-bag 331-fund "no dominant driver" cluster
|
||
splits into "cash (yield) +0.64" (n=187: qcmmrx + the ultra-short
|
||
government/bond funds), "cash (yield) +1.26" (n=59 pure), and the
|
||
genuinely balanced remainder. 637 funds now have CASH as their
|
||
dominant axis (>=0.30 and > every beta) — mostly the short-duration
|
||
complex, which is correct: their return IS mostly the coupon level.
|
||
|
||
**Note:** the machine rebooted during this work (12:50) — it silently
|
||
kills nohup'd processes (the CEF batch and the first watchdog both
|
||
died that way; the batch was resumable so no data was lost).
|
||
server_watchdog.sh had to be relaunched manually; consider a
|
||
boot-time starter (systemd/cron @reboot) if reboots repeat.
|
||
- 2026-08-30 15:09 === stage screen ===
|
||
- 2026-08-30 15:09 screen: 2384 funds, 2384 to do
|
||
- 2026-08-30 15:10 screen: 100/2384
|
||
- 2026-08-30 15:11 screen: 200/2384
|
||
- 2026-08-30 15:11 screen: 300/2384
|
||
- 2026-08-30 15:12 screen: 400/2384
|
||
- 2026-08-30 15:12 screen: 500/2384
|
||
- 2026-08-30 15:13 screen: 600/2384
|
||
- 2026-08-30 15:13 screen: 700/2384
|
||
- 2026-08-30 15:14 screen: 800/2384
|
||
- 2026-08-30 15:14 screen: 900/2384
|
||
- 2026-08-30 15:15 screen: 1000/2384
|
||
- 2026-08-30 15:15 screen: 1100/2384
|
||
- 2026-08-30 15:16 screen: 1200/2384
|
||
- 2026-08-30 15:17 screen: 1300/2384
|
||
- 2026-08-30 15:17 screen: 1400/2384
|
||
- 2026-08-30 15:18 screen: 1500/2384
|
||
- 2026-08-30 15:18 screen: 1600/2384
|
||
- 2026-08-30 15:19 screen: 1700/2384
|
||
- 2026-08-30 15:19 screen: 1800/2384
|
||
- 2026-08-30 15:20 screen: 1900/2384
|
||
- 2026-08-30 15:20 screen: 2000/2384
|
||
- 2026-08-30 15:21 screen: 2100/2384
|
||
- 2026-08-30 15:21 screen: 2200/2384
|
||
- 2026-08-30 15:22 screen: 2300/2384
|
||
- 2026-08-30 15:22 screen done: 2384 funds
|
||
- 2026-08-30 15:22 === stage finalize ===
|
||
- 2026-08-30 15:22 finalize: 2384 funds screened
|
||
- 2026-08-30 15:22 1339 sleeve mix
|
||
- 2026-08-30 15:22 1001 weak/unstable alpha
|
||
- 2026-08-30 15:22 17 no 5y window
|
||
- 2026-08-30 15:22 11 CANDIDATE
|
||
- 2026-08-30 15:22 10 alpha, but correlated with current portfolio
|
||
- 2026-08-30 15:22 6 alpha in 5y window, but not persistent
|
||
- 2026-08-30 15:22 candidates v1 name-filter would have missed: ['aguax', 'etsix', 'femdx', 'hicox', 'prfrx', 'puls', 'rctix', 'rpifx', 'scfzx']
|
||
- 2026-08-30 15:22 === overnight run finished in 0.2h ===
|
||
|
||
### Alphas recomputed in EXCESS of the 3-mo T-bill rate (risk-free netting)
|
||
|
||
**Question that triggered it:** "Are we using cash return as a risk-free
|
||
rate in the alpha calculations?" — No. Alpha was the OLS intercept of
|
||
RAW daily total returns. For a fund whose net sleeve exposure is not
|
||
~100% (under-invested or levered), the raw intercept absorbs the T-bill
|
||
yield on the uninvested/levered part, so "alpha" mixed skill with cash
|
||
drag. Magnitude (5y, R²>0.5 funds): 582 funds >2%/yr apart, 533 in
|
||
1-2%, 345 in 0.5-1%. Sum-of-betas was also polluted by level-matching
|
||
(median 1.15; a plain growth fund like bggsx showed 3.7 with a −10%/yr
|
||
"alpha" that was pure level-splitting).
|
||
|
||
**Changes:**
|
||
- decompose.py: `rf_series()` = BIL (SPDR 1-3mo T-Bill) daily total
|
||
return — the local stand-in for the 3-mo T-bill yield; `excess()`
|
||
nets the fund AND the sleeves against it before every regression.
|
||
Cash positions now contribute exactly zero (cash IS the rf).
|
||
- CASH_SLEEVES {shv, bil} dropped from the regressors: in excess space
|
||
they are ~0 columns (ill-conditioning); the cash position is captured
|
||
by the residual instead. Same for factors.py (shv added to
|
||
DROP_FROM_REGRESSION).
|
||
- **FULL_WINDOW moved 1990-01-01 → 2007-06-01** (BIL inception):
|
||
mixing raw pre-2007 with excess post-2007 returns breaks the
|
||
full-window fit (cosix: R²≈0, zero components selected).
|
||
- **CASH axis redefined** from alpha_ann/cash_yield (the old version
|
||
was measuring the yield level that no longer lives in the intercept)
|
||
to **net cash position = 1 − Σβ**: the betas are the net-invested
|
||
mix, the leftover is cash/T-bills. Pure MMF → 1.0; levered → < 0.
|
||
Labeled "cash (net posn)". `factors.cash_yield()` removed.
|
||
- Alphas in the app are now true excess-return alphas: intercept of
|
||
(fund − rf) on (sleeves − rf).
|
||
|
||
**Verification (probes):** qcmmrx (money market): alpha −0.17%/yr
|
||
(t=−1.3, noise), cash 1.00. vsbsx (short-T index): alpha 0.03%, cash
|
||
0.77 + short duration. bggsx: Σβ 1.25 (was 3.7), alpha −3.6%
|
||
(t=−0.6). IVV: alpha 0.00% (t=+36.7). cosix full-window fixed
|
||
(R² 0.60, vweax 0.45/agg 0.15/ief 0.15).
|
||
|
||
**Consequence — the CANDIDATE list shrank 250 → 11.** Most of the old
|
||
250 were under-invested funds (bond funds with Σβ<1) whose "alpha" was
|
||
the T-bill yield on their uninvested portion. The 11 that survive are
|
||
funds whose excess alpha is real. Verdict mix now: 1339 sleeve mix,
|
||
1001 weak/unstable alpha, 11 CANDIDATE, 10 correlated, 6 not
|
||
persistent, 17 no 5y window.
|
||
|
||
**Reference visibility (the "what is alpha computed vs" question):**
|
||
alpha is NOT vs one index — it is vs the fund's own fitted sleeve mix
|
||
(BIC forward selection). fundlab/refback.py recomputes the forward
|
||
selection per fund and stores `ref_5y`/`ref_full` strings in
|
||
search_all.json; the app's alpha-search table now has a "reference
|
||
(5y)" column.
|
||
|
||
**Backups of the raw-alpha era (NOT deleted):**
|
||
factor_results_rawalpha.json, decompose_results_rawalpha.json,
|
||
search_all_rawalpha.json, cluster_kmeans_rawalpha.json.
|