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).
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{"aaaax": {"sym": "aaaax", "name": "DWS RREEF Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021031804620376248, "alpha_t_5y": -1.2934097161520801, "alpha_t_full": -1.4746284211063236, "r2_5y": 0.8979534437752364, "r2_full": 0.8231306378787784, "corr_portfolio": 0.3663413480361542, "corr_benchmark": 0.5865351836854442, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.4016288379156525, "first": "2007-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaaox": {"sym": "aaaox", "name": "ONE CHOICE BLEND+ IN RETIREMENT PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014912342647210193, "alpha_t_5y": -0.24897136416866972, "alpha_t_full": -0.24897136416866972, "r2_5y": 0.9641051031760246, "r2_full": 0.9641051031760246, "corr_portfolio": 0.09542294247246016, "corr_benchmark": 0.8499877000535705, "alpha_pos_frac": 0.5, "fund_max_dd": -0.189499032730719, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaarx": {"sym": "aaarx", "name": "STRATEGIC ALLOCATION: AGGRESSIVE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012814638916395124, "alpha_t_5y": -1.3951084353601528, "alpha_t_full": -1.517319448564789, "r2_5y": 0.9720007678753134, "r2_full": 0.9580866262828812, "corr_portfolio": 0.3225122268166367, "corr_benchmark": 0.6465388382686551, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.4667608427434139, "first": "2005-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaatx": {"sym": "aaatx", "name": "American Funds 2010 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00861570534104983, "alpha_t_5y": 1.459611416897648, "alpha_t_full": 1.3323564137185264, "r2_5y": 0.9523174804964584, "r2_full": 0.9339074066082457, "corr_portfolio": 0.33136805339229963, "corr_benchmark": 0.7527783923898494, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.4044292356210355, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aabkx": {"sym": "aabkx", "name": "ONE CHOICE BLEND+ 2025 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0038553062391357895, "alpha_t_5y": -0.6280889159085827, "alpha_t_full": -0.6280889159085827, "r2_5y": 0.9692848216085848, "r2_full": 0.9692848216085848, "corr_portfolio": 0.10222345049772473, "corr_benchmark": 0.8224653871960524, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.1999851190917783, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aacpx": {"sym": "aacpx", "name": "ONE CHOICE BLEND+ 2035 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015340753257619702, "alpha_t_5y": -2.1444541373515267, "alpha_t_full": -2.1444541373515267, "r2_5y": 0.9748480740633347, "r2_full": 0.9748480740633347, "corr_portfolio": 0.11220858696305178, "corr_benchmark": 0.7619139629937716, "alpha_pos_frac": 0.55, "fund_max_dd": -0.23500701528020884, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aacrx": {"sym": "aacrx", "name": "STRATEGIC ALLOCATION: CONSERVATIVE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010932098050963951, "alpha_t_5y": -1.4595809867694296, "alpha_t_full": -2.789337297420753, "r2_5y": 0.9522139270237737, "r2_full": 0.9426664877171123, "corr_portfolio": 0.30122990940670624, "corr_benchmark": 0.7464743968327447, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.2633718959861281, "first": "2005-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aacsx": {"sym": "aacsx", "name": "ONE CHOICE BLEND+ 2040 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01034502745356626, "alpha_t_5y": -1.400534419447688, "alpha_t_full": -1.400534419447688, "r2_5y": 0.9784263174348858, "r2_full": 0.9784263174348858, "corr_portfolio": 0.11965500928327584, "corr_benchmark": 0.7346584705727536, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.24199180971833767, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aactx": {"sym": "aactx", "name": "American Funds 2020 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0050009142130185025, "alpha_t_5y": 0.8253519792998457, "alpha_t_full": 1.0473166229675388, "r2_5y": 0.9620679395206535, "r2_full": 0.9419204521571319, "corr_portfolio": 0.32588677049383846, "corr_benchmark": 0.7320990491701699, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.46279206672517414, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aadax": {"sym": "aadax", "name": "Invesco Select Risk: Growth Investor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016690478998113503, "alpha_t_5y": -1.9395142886940664, "alpha_t_full": -2.725951593863512, "r2_5y": 0.974801201373345, "r2_full": 0.9596580041381875, "corr_portfolio": 0.31477267314893853, "corr_benchmark": 0.6525003217498289, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5579120117330258, "first": "2004-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aadhx": {"sym": "aadhx", "name": "ONE CHOICE BLEND+ 2045 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010529313915735703, "alpha_t_5y": -1.3150745815657783, "alpha_t_full": -1.3150745815657783, "r2_5y": 0.9789522132820389, "r2_full": 0.9789522132820389, "corr_portfolio": 0.12394695711192133, "corr_benchmark": 0.7125163282529572, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.2504476004782987, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aadnx": {"sym": "aadnx", "name": "ONE CHOICE BLEND+ 2050 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00847309501116008, "alpha_t_5y": -0.9696138915698386, "alpha_t_full": -0.9696138915698386, "r2_5y": 0.9782105802821693, "r2_full": 0.9782105802821693, "corr_portfolio": 0.12970489995967874, "corr_benchmark": 0.7003248705163538, "alpha_pos_frac": 0.55, "fund_max_dd": -0.2548121875772631, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aadtx": {"sym": "aadtx", "name": "American Funds 2025 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00035246480660347973, "alpha_t_5y": -0.053499688331212436, "alpha_t_full": 0.9116061878020627, "r2_5y": 0.9633337360955745, "r2_full": 0.9502671575542385, "corr_portfolio": 0.3135647474767928, "corr_benchmark": 0.704383523966788, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.48799787041828646, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aadwx": {"sym": "aadwx", "name": "ONE CHOICE BLEND+ 2055 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007614252163451114, "alpha_t_5y": -0.8248743704496688, "alpha_t_full": -0.8248743704496688, "r2_5y": 0.9780716869391914, "r2_full": 0.9780716869391914, "corr_portfolio": 0.13366366350689182, "corr_benchmark": 0.689385854792006, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.2578901512058126, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaegx": {"sym": "aaegx", "name": "ONE CHOICE BLEND+ 2060 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0075669007491548914, "alpha_t_5y": -0.7456030714241346, "alpha_t_full": -0.7456030714241346, "r2_5y": 0.9744311723260899, "r2_full": 0.9744311723260899, "corr_portfolio": 0.1337595029412155, "corr_benchmark": 0.6831442399404491, "alpha_pos_frac": 0.5666666666666667, "fund_max_dd": -0.2595055648466871, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaekx": {"sym": "aaekx", "name": "ONE CHOICE BLEND+ 2065 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008770292693888225, "alpha_t_5y": -0.943140546345446, "alpha_t_full": -0.943140546345446, "r2_5y": 0.9784114996141643, "r2_full": 0.9784114996141643, "corr_portfolio": 0.1356271723120391, "corr_benchmark": 0.6832821736296689, "alpha_pos_frac": 0.55, "fund_max_dd": -0.2614266028125073, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaetx": {"sym": "aaetx", "name": "American Funds 2030 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003318048708621448, "alpha_t_5y": -0.4772297239416557, "alpha_t_full": 1.0033026457932044, "r2_5y": 0.9710898815062708, "r2_full": 0.9671976123127398, "corr_portfolio": 0.30995028539929786, "corr_benchmark": 0.674659023210108, "alpha_pos_frac": 0.5128205128205128, "fund_max_dd": -0.49495093483650876, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaewx": {"sym": "aaewx", "name": "ONE CHOICE BLEND+ 2030 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006203910578284838, "alpha_t_5y": -0.9214368203322618, "alpha_t_full": -0.9214368203322618, "r2_5y": 0.9713286431260029, "r2_full": 0.9713286431260029, "corr_portfolio": 0.1109345265235303, "corr_benchmark": 0.7946082434693186, "alpha_pos_frac": 0.55, "fund_max_dd": -0.21377539025005832, "first": "2021-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaftx": {"sym": "aaftx", "name": "American Funds 2035 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004796265089540965, "alpha_t_5y": -0.5921875191460281, "alpha_t_full": 0.3245448419074154, "r2_5y": 0.9718267836626265, "r2_full": 0.9772983593545951, "corr_portfolio": 0.3032288166941522, "corr_benchmark": 0.6520593912315188, "alpha_pos_frac": 0.5794871794871795, "fund_max_dd": -0.49892190096009825, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aagox": {"sym": "aagox", "name": "Alger Large Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029375494183079904, "alpha_t_5y": -0.7643928454212308, "alpha_t_full": 3.3039140680506676, "r2_5y": 0.8801288046504974, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.10578207624738772, "corr_benchmark": 0.5790333682802208, "alpha_pos_frac": 0.44621513944223107, "fund_max_dd": -0.6986403509814187, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aagtx": {"sym": "aagtx", "name": "American Funds 2040 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008990660814261841, "alpha_t_5y": -1.0332493712865518, "alpha_t_full": 0.11947218335375726, "r2_5y": 0.975867528117462, "r2_full": 0.9800454806076481, "corr_portfolio": 0.2979217542762339, "corr_benchmark": 0.6425748945686917, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5002589352276301, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aahmx": {"sym": "aahmx", "name": "abrdn Short Duration High Yield Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001953549259675465, "alpha_t_5y": 0.197380905002647, "alpha_t_full": 2.4403432052924803, "r2_5y": 0.3227067427584672, "r2_full": 0.32556890266745375, "corr_portfolio": 0.06916067345208148, "corr_benchmark": 0.2780667639095107, "alpha_pos_frac": 0.6013071895424836, "fund_max_dd": -0.11156567468087353, "first": "2013-06-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "aahtx": {"sym": "aahtx", "name": "American Funds 2045 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005931990946255555, "alpha_t_5y": -0.6479810573161962, "alpha_t_full": 0.0463319648565247, "r2_5y": 0.9758462362942855, "r2_full": 0.9794024252886367, "corr_portfolio": 0.2953268099317391, "corr_benchmark": 0.6405207544588571, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5004311163549822, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aaiix": {"sym": "aaiix", "name": "Ancora Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0047636187389640365, "alpha_t_5y": 0.2491406782596107, "alpha_t_full": -1.4089065066515742, "r2_5y": 0.5461632029669337, "r2_full": 0.476998425534101, "corr_portfolio": 0.23730504166551603, "corr_benchmark": 0.5462082906068926, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.35825890410441186, "first": "2004-01-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "aaltx": {"sym": "aaltx", "name": "American Funds 2050 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0074012488137602285, "alpha_t_5y": -0.7864271343271277, "alpha_t_full": -0.18688233748524546, "r2_5y": 0.9756654024471534, "r2_full": 0.9791920234926562, "corr_portfolio": 0.2902129453082289, "corr_benchmark": 0.63887430452258, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.5001694602001919, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aamtx": {"sym": "aamtx", "name": "American Funds 2055 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01248758315378192, "alpha_t_5y": -1.2767558093167584, "alpha_t_full": -0.44984051002953507, "r2_5y": 0.9748159858213497, "r2_full": 0.9786647352087195, "corr_portfolio": 0.28733922473488294, "corr_benchmark": 0.6391758707433657, "alpha_pos_frac": 0.5284974093264249, "fund_max_dd": -0.2931937829487764, "first": "2010-02-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aantx": {"sym": "aantx", "name": "American Funds 2060 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00857845175512725, "alpha_t_5y": -0.8551594499116322, "alpha_t_full": -0.2178034375424723, "r2_5y": 0.9739996652647314, "r2_full": 0.9763175943164369, "corr_portfolio": 0.2736775026375596, "corr_benchmark": 0.64961545737315, "alpha_pos_frac": 0.5572519083969466, "fund_max_dd": -0.29415951682602914, "first": "2015-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aasox": {"sym": "aasox", "name": "Alger Small Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06551629887211985, "alpha_t_5y": -0.5685665688799252, "alpha_t_full": 2.117933082722176, "r2_5y": 0.46438770128208995, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.06677511155956084, "corr_benchmark": 0.41083999715831154, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.8516388560205417, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "abaex": {"sym": "abaex", "name": "AB Emerging Markets Multi-Asset Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00522341883814045, "alpha_t_5y": 0.2154329543807285, "alpha_t_full": -0.8857078971785326, "r2_5y": 0.8290694499441946, "r2_full": 0.8216713776967232, "corr_portfolio": 0.3235424738503037, "corr_benchmark": 0.47470010348699265, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.38781264452593645, "first": "2011-09-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "abalx": {"sym": "abalx", "name": "AMERICAN BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010651292787887257, "alpha_t_5y": 1.120317924610738, "alpha_t_full": 5.225435963418801, "r2_5y": 0.953497972657029, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.30517974867434994, "corr_benchmark": 0.705526231240365, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.4020442112292766, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "abasx": {"sym": "abasx", "name": "AB Discovery Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030981118699972953, "alpha_t_5y": -0.11653805167671269, "alpha_t_full": 1.0997370558771309, "r2_5y": 0.9099882718762169, "r2_full": 0.9140693643991789, "corr_portfolio": 0.3516876665757004, "corr_benchmark": 0.5078745689162322, "alpha_pos_frac": 0.46303501945525294, "fund_max_dd": -0.6016590626156421, "first": "2001-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "abdax": {"sym": "abdax", "name": "Columbia Capital Allocation Conservative Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030631661644404456, "alpha_t_5y": -0.595492639675891, "alpha_t_full": -0.707582498349586, "r2_5y": 0.957752686130376, "r2_full": 0.8904730656440744, "corr_portfolio": 0.18593762286960241, "corr_benchmark": 0.8940062105719062, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.18433727342346207, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "adgax": {"sym": "adgax", "name": "AB CORE OPPORTUNITIES FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014345011145178962, "alpha_t_5y": -0.9734279606341592, "alpha_t_full": 1.1396540744853132, "r2_5y": 0.9554568684371771, "r2_full": 0.9002726746539202, "corr_portfolio": 0.2868417845433602, "corr_benchmark": 0.6114510239396592, "alpha_pos_frac": 0.5136186770428015, "fund_max_dd": -0.536509011014274, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "adjex": {"sym": "adjex", "name": "Azzad Ethical Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0859053322409035, "alpha_t_5y": -2.5860218330239606, "alpha_t_full": -1.3663659479970542, "r2_5y": 0.8795627182852822, "r2_full": 0.8368653408443654, "corr_portfolio": 0.14264849899505036, "corr_benchmark": 0.6160857553605216, "alpha_pos_frac": 0.556420233463035, "fund_max_dd": -0.5562516402991526, "first": "2000-12-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "adsix": {"sym": "adsix", "name": "DISCIPLINED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.034953754303961804, "alpha_t_5y": -2.1174382841845683, "alpha_t_full": -2.4463608735036027, "r2_5y": 0.966413496893892, "r2_full": 0.9590959612345891, "corr_portfolio": 0.17008974404883306, "corr_benchmark": 0.6229810315671923, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5303521149001402, "first": "2005-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "advdx": {"sym": "advdx", "name": "abrdn Dynamic Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010796715838883269, "alpha_t_5y": -0.7764366319756454, "alpha_t_full": -1.469745688574608, "r2_5y": 0.9426061457926413, "r2_full": 0.861777230196945, "corr_portfolio": 0.3605177978215865, "corr_benchmark": 0.5795795290537561, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6203391195043721, "first": "2003-09-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aedax": {"sym": "aedax", "name": "Invesco International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02113398057675739, "alpha_t_5y": -0.8865767196041369, "alpha_t_full": 0.5407769422905427, "r2_5y": 0.8948913027827099, "r2_full": 0.8532113243830878, "corr_portfolio": 0.34830500182759616, "corr_benchmark": 0.5183831340119257, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.6046242989202268, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aedfx": {"sym": "aedfx", "name": "WATER ISLAND EVENT-DRIVEN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -0.9183456551813983, "r2_5y": NaN, "r2_full": 0.3050657476436678, "corr_portfolio": 0.2729964995426361, "corr_benchmark": 0.3649926993279209, "alpha_pos_frac": 0.5950413223140496, "fund_max_dd": -0.16718886669410016, "first": "2010-10-04", "verdict": "no 5y window", "alpha_name": false}, "aepgx": {"sym": "aepgx", "name": "EUPAC FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04490141764921339, "alpha_t_5y": -2.0738600679292496, "alpha_t_full": 3.496807774947485, "r2_5y": 0.9080279604315107, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.32092192361207794, "corr_benchmark": 0.5457121344983279, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5397539581503874, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - 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idiosyncratic alpha, complements portfolio", "alpha_name": false}, "afocx": {"sym": "afocx", "name": "Archer Focus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0315900144147256, "alpha_t_5y": -1.5213715186735557, "alpha_t_full": -1.3405982638588199, "r2_5y": 0.893346438416864, "r2_full": 0.9216787297207445, "corr_portfolio": 0.3165979720060332, "corr_benchmark": 0.6437756356559866, "alpha_pos_frac": 0.5405405405405406, "fund_max_dd": -0.34034226949640145, "first": "2020-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "afrax": {"sym": "afrax", "name": "Invesco Floating Rate ESG Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 6.444270222993764, "r2_5y": NaN, "r2_full": 1.887379141862766e-15, "corr_portfolio": 0.32121391527356946, "corr_benchmark": 0.07807349131610312, "alpha_pos_frac": NaN, "fund_max_dd": -0.3600838453406485, "first": "1997-05-02", "verdict": "no 5y window", "alpha_name": false}, "aftex": {"sym": "aftex", "name": "TAX EXEMPT BOND FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004864135660572667, "alpha_t_5y": 0.40957080308730176, "alpha_t_full": 8.177102052802661, "r2_5y": 0.39776950952681134, "r2_full": -1.1102230246251565e-15, "corr_portfolio": 0.03480702450937875, "corr_benchmark": 0.35110064109633027, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.15018384141577013, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "agbvx": {"sym": "agbvx", "name": "GLOBAL BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021146642855490875, "alpha_t_5y": -0.2729927092840646, "alpha_t_full": 0.5417892326363435, "r2_5y": 0.8133740330206407, "r2_full": 0.7476549663838845, "corr_portfolio": -0.023905696684440016, "corr_benchmark": 0.6731968287776616, "alpha_pos_frac": 0.5680473372781065, "fund_max_dd": -0.16310312086773016, "first": "2012-02-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "agdax": {"sym": "agdax", "name": "AB HIGH INCOME FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008889200787545197, "alpha_t_5y": 1.130491918258311, "alpha_t_full": 4.630675965403618, "r2_5y": 0.8497511169480723, "r2_full": -2.6645352591003757e-15, "corr_portfolio": 0.3160413307227273, "corr_benchmark": 0.4651322132920176, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.4533398445202791, "first": "1994-02-28", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "aglox": {"sym": "aglox", "name": "Ariel Global Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03837742844066798, "alpha_t_5y": 1.4323830809871365, "alpha_t_full": 0.9484098190277866, "r2_5y": 0.7581053218781659, "r2_full": 0.8244565683579509, "corr_portfolio": 0.36092956352207095, "corr_benchmark": 0.5621935151373775, "alpha_pos_frac": 0.4411764705882353, "fund_max_dd": -0.24719102195169984, "first": "2012-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "agovx": {"sym": "agovx", "name": "INVESCO Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01588604766148142, "alpha_t_5y": 1.7988258224850684, "alpha_t_full": 4.3134778111441205, "r2_5y": 0.6129622493895153, "r2_full": 2.220446049250313e-15, "corr_portfolio": 0.1044420954607835, "corr_benchmark": 0.37292871574544945, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.3341386805480785, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "agrfx": {"sym": "agrfx", "name": "AB Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03613123618941394, "alpha_t_5y": -1.5819847280082704, "alpha_t_full": 3.2786038323802704, "r2_5y": 0.9314423202724965, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.15590929207971896, "corr_benchmark": 0.6238856101572792, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.6768829800571199, "first": "1990-09-04", "verdict": "sleeve mix (R\u00b2 high) - 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idiosyncratic alpha, complements portfolio", "alpha_name": false}, "ahitx": {"sym": "ahitx", "name": "AMERICAN HIGH INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011554056632886615, "alpha_t_5y": 1.5389352573338086, "alpha_t_full": 8.45746442703225, "r2_5y": 0.8621086943344908, "r2_full": 1.9984014443252818e-15, "corr_portfolio": 0.32480057286639274, "corr_benchmark": 0.4451750735387104, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.3480509234593463, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aibax": {"sym": "aibax", "name": "INTERMEDIATE BOND FUND OF AMERICA", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005709427286588185, "alpha_t_5y": 1.0149050872108714, "alpha_t_full": 7.3973807344706435, "r2_5y": 0.8903335082681646, "r2_full": 7.771561172376096e-16, "corr_portfolio": -0.10927922415149495, "corr_benchmark": 0.5484829161771173, "alpha_pos_frac": 0.4161849710982659, "fund_max_dd": -0.10992868801190814, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "ardsx": {"sym": "ardsx", "name": "ONE CHOICE 2040 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01526852652950809, "alpha_t_5y": -2.2153881034243312, "alpha_t_full": 0.06860363329935959, "r2_5y": 0.9749046427048819, "r2_full": 0.9485452951850952, "corr_portfolio": 0.3158098469784318, "corr_benchmark": 0.6717152860971849, "alpha_pos_frac": 0.5539906103286385, "fund_max_dd": -0.4368232501914394, "first": "2008-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "arevx": {"sym": "arevx", "name": "ONE CHOICE 2055 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016260667833776683, "alpha_t_5y": -2.0258172394571576, "alpha_t_full": -0.9755812794811298, "r2_5y": 0.9783701719820864, "r2_full": 0.952434044121321, "corr_portfolio": 0.316315045732053, "corr_benchmark": 0.6442895504497106, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.30155638793855777, "first": "2011-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "arfvx": {"sym": "arfvx", "name": "ONE CHOICE 2050 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019885518548176336, "alpha_t_5y": -2.564748320125105, "alpha_t_full": -0.8118431659657809, "r2_5y": 0.9771664691314815, "r2_full": 0.9573515774985809, "corr_portfolio": 0.314738518616855, "corr_benchmark": 0.6497262664497923, "alpha_pos_frac": 0.5633802816901409, "fund_max_dd": -0.4682592404771232, "first": "2008-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "argvx": {"sym": "argvx", "name": "ONE CHOICE 2060 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016888179178708267, "alpha_t_5y": -2.0365487351831497, "alpha_t_full": -2.2015836294279048, "r2_5y": 0.9781901909764239, "r2_full": 0.9835949946947624, "corr_portfolio": 0.2888538897463655, "corr_benchmark": 0.6622702913541155, "alpha_pos_frac": 0.576, "fund_max_dd": -0.30847971378669914, "first": "2015-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "arhfx": {"sym": "arhfx", "name": "One Choice 2065 Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022558198994521356, "alpha_t_5y": -2.68520083404096, "alpha_t_full": -2.4958174980849495, "r2_5y": 0.978539722704421, "r2_full": 0.9785033758848811, "corr_portfolio": 0.12832723543030577, "corr_benchmark": 0.6991218947841387, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.26433493222894733, "first": "2020-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ariix": {"sym": "ariix", "name": "AB Global Real Estate Investment Fund II", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015170314071368408, "alpha_t_5y": -0.9490576800432892, "alpha_t_full": 0.9185593215580351, "r2_5y": 0.9435478921821461, "r2_full": 0.6637103146434856, "corr_portfolio": 0.3015486347106098, "corr_benchmark": 0.5984826529217365, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.7035097729966395, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "arinx": {"sym": "arinx", "name": "Archer Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014042566110509308, "alpha_t_5y": 2.6498770365825726, "alpha_t_full": 2.365627636346574, "r2_5y": 0.6085352691571866, "r2_full": 0.3588508546167978, "corr_portfolio": 0.0847722756188009, "corr_benchmark": 0.5764358084684477, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.09372116318583112, "first": "2011-09-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "aroix": {"sym": "aroix", "name": "ONE CHOICE 2045 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018619101986191065, "alpha_t_5y": -2.5636535731879415, "alpha_t_full": -0.7442121370085877, "r2_5y": 0.9766999041860913, "r2_full": 0.9454106655038019, "corr_portfolio": 0.3164812810302356, "corr_benchmark": 0.6601082620896445, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.4895492205679943, "first": "2004-09-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "arskx": {"sym": "arskx", "name": "Archer Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015848179651179038, "alpha_t_5y": -0.9444574421168712, "alpha_t_full": -2.052820912602808, "r2_5y": 0.9400701713101538, "r2_full": 0.9237451990866735, "corr_portfolio": 0.2500632859169881, "corr_benchmark": 0.596912563070691, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.32442582839546363, "first": "2011-03-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "artox": {"sym": "artox", "name": "ONE CHOICE IN RETIREMENT PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006073986515903245, "alpha_t_5y": -1.1637947179693156, "alpha_t_full": -0.28978576953428936, "r2_5y": 0.9729866054782947, "r2_full": 0.935324721937762, "corr_portfolio": 0.30206301935869606, "corr_benchmark": 0.7341892763480635, "alpha_pos_frac": 0.49224806201550386, "fund_max_dd": -0.2765553877320617, "first": "2004-09-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "artrx": {"sym": "artrx", "name": "Artisan Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0830856256035389, "alpha_t_5y": -2.967434265008641, "alpha_t_full": -0.7937740261101957, "r2_5y": 0.8729137268405086, "r2_full": 0.9095604025458329, "corr_portfolio": 0.21222457135615286, "corr_benchmark": 0.607453488685992, "alpha_pos_frac": 0.5119617224880383, "fund_max_dd": -0.4599999609389349, "first": "2008-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "artsx": {"sym": "artsx", "name": "Artisan Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07822475720408704, "alpha_t_5y": -1.741348538600345, "alpha_t_full": 0.25170843424482653, "r2_5y": 0.8510099993447142, "r2_full": 0.8392004941447818, "corr_portfolio": 0.07322123486962524, "corr_benchmark": 0.5747676052172008, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.6276587285834823, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aryix": {"sym": "aryix", "name": "ONE CHOICE 2035 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013195316571796671, "alpha_t_5y": -2.1548500686075283, "alpha_t_full": -0.3033453469188286, "r2_5y": 0.9760297764458813, "r2_full": 0.9408469812271026, "corr_portfolio": 0.3178996694847194, "corr_benchmark": 0.6874201050854275, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.4509471437694327, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "asbax": {"sym": "asbax", "name": "Short-Term Bond Fund of America", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021036613660479857, "alpha_t_5y": -3.1946124792424224, "alpha_t_full": 2.4556561316723484, "r2_5y": 0.6567719065800368, "r2_full": 0.5359051040209739, "corr_portfolio": -0.10194378494399323, "corr_benchmark": 0.3440884309939334, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.059665974440396785, "first": "2006-10-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "ascgx": {"sym": "ascgx", "name": "Lisanti Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06458116438853331, "alpha_t_5y": -1.6232528694370119, "alpha_t_full": -0.9422090826162849, "r2_5y": 0.8754562839690747, "r2_full": 0.877513415103074, "corr_portfolio": 0.1590243482586561, "corr_benchmark": 0.5354118609760644, "alpha_pos_frac": 0.5447470817120622, "fund_max_dd": -0.5931191591382847, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "asdvx": {"sym": "asdvx", "name": "SHORT DURATION STRATEGIC INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020189992553325986, "alpha_t_5y": 3.48714189139368, "alpha_t_full": 3.5603995589292756, "r2_5y": 0.6410413569526502, "r2_full": 0.5621634902074528, "corr_portfolio": 0.11317382167081359, "corr_benchmark": 0.34701149906341794, "alpha_pos_frac": 0.5611510791366906, "fund_max_dd": -0.07859337841442937, "first": "2014-07-30", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "asfcx": {"sym": "asfcx", "name": "Virtus AlphaSimplex Managed Futures Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.050524321896119224, "alpha_t_5y": -1.0719592828469746, "alpha_t_full": 0.6737711569229176, "r2_5y": 0.32403220569525515, "r2_full": 0.1460167321719531, "corr_portfolio": 0.2109754219397301, "corr_benchmark": 0.007680002259431506, "alpha_pos_frac": 0.5294117647058824, "fund_max_dd": -0.38006080801338593, "first": "2010-08-02", "verdict": "weak/unstable alpha", "alpha_name": true}, "asiax": {"sym": "asiax", "name": "Invesco Asia Pacific Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008134668950225434, "alpha_t_5y": -0.2548568123228088, "alpha_t_full": 3.0197930412691245, "r2_5y": 0.7657400765285711, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.25857046103270287, "corr_benchmark": 0.4266787160115415, "alpha_pos_frac": 0.5258620689655172, "fund_max_dd": -0.6377951933582297, "first": "1997-11-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "asihx": {"sym": "asihx", "name": "MULTISECTOR INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017280264840227552, "alpha_t_5y": -0.24040995086239672, "alpha_t_full": -0.6909007612325723, "r2_5y": 0.8286034377569499, "r2_full": 0.8030496724266822, "corr_portfolio": 0.15481990395473977, "corr_benchmark": 0.5947970335099624, "alpha_pos_frac": 0.49640287769784175, "fund_max_dd": -0.14394450853912422, "first": "2014-07-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "asmmx": {"sym": "asmmx", "name": "INVESCO SUMMIT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07221779473425402, "alpha_t_5y": -2.7620455426028334, "alpha_t_full": -2.7985997098081854, "r2_5y": 0.9347630677018498, "r2_full": 0.9082401983254714, "corr_portfolio": 0.15544116019908738, "corr_benchmark": 0.5993451612459074, "alpha_pos_frac": 0.574468085106383, "fund_max_dd": -0.4920716315814331, "first": "2005-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "asqix": {"sym": "asqix", "name": "SMALL COMPANY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003569504332893202, "alpha_t_5y": 0.1920809589627283, "alpha_t_full": 0.3761456737235568, "r2_5y": 0.9586732584222771, "r2_full": 0.9444364897988156, "corr_portfolio": 0.29289480334142154, "corr_benchmark": 0.5332395187707428, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.6358085669164426, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "asrax": {"sym": "asrax", "name": "Invesco Global Real Estate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016202821011959412, "alpha_t_5y": -1.1038671132184634, "alpha_t_full": -0.8433436584409972, "r2_5y": 0.9239320394908429, "r2_full": 0.47944970121589625, "corr_portfolio": 0.278166413578444, "corr_benchmark": 0.611031001588412, "alpha_pos_frac": 0.7488789237668162, "fund_max_dd": -0.7856097614159634, "first": "2002-05-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "astex": {"sym": "astex", "name": "AMERICAN FUNDS SHORT-TERM TAX-EXEMPT BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01114293010585929, "alpha_t_5y": 1.9377373640958462, "alpha_t_full": 2.5146313028197027, "r2_5y": 0.33463860218701136, "r2_full": 0.26485323254355353, "corr_portfolio": 0.037701686976375604, "corr_benchmark": 0.2957943804963343, "alpha_pos_frac": 0.46733668341708545, "fund_max_dd": -0.054430118904711056, "first": "2009-08-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "asvix": {"sym": "asvix", "name": "SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01695737528004654, "alpha_t_5y": 0.5408782132612334, "alpha_t_full": 2.3558381869121208, "r2_5y": 0.8847886017226848, "r2_full": 0.8906004079858845, "corr_portfolio": 0.3409741560710824, "corr_benchmark": 0.47727544702948443, "alpha_pos_frac": 0.43529411764705883, "fund_max_dd": -0.5488621333327476, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "asylx": {"sym": "asylx", "name": "AB Select US Long/Short Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014911861426368508, "alpha_t_5y": 1.3672424657343596, "alpha_t_full": 1.1983126642578243, "r2_5y": 0.8955082293703375, "r2_full": 0.9215201422875486, "corr_portfolio": 0.3100471337195512, "corr_benchmark": 0.5552627812457924, "alpha_pos_frac": 0.5, "fund_max_dd": -0.1834452465867611, "first": "2012-12-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "atfax": {"sym": "atfax", "name": "Invesco Limited Term Municipal Income", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011441706711096154, "alpha_t_5y": 1.8294952371974633, "alpha_t_full": 3.3313712837921865, "r2_5y": 0.3673558275301111, "r2_full": 0.2917535640357868, "corr_portfolio": 0.05986052684904451, "corr_benchmark": 0.30226698987395606, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.0717992440384162, "first": "2002-11-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "atoax": {"sym": "atoax", "name": "abrdn Ultra Short Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01881909610034018, "alpha_t_5y": 6.326736305398161, "alpha_t_full": 11.905208749114312, "r2_5y": 0.19504932269972375, "r2_full": 0.03325563529007569, "corr_portfolio": 0.055915486085780564, "corr_benchmark": 0.03244446557297513, "alpha_pos_frac": 0.3641025641025641, "fund_max_dd": -0.011239417601101809, "first": "2004-03-31", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "attyx": {"sym": "attyx", "name": "AB Tax-Aware Fixed Income Opportunities Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014627467935433952, "alpha_t_5y": 1.1499103022459904, "alpha_t_full": 1.8729982156848297, "r2_5y": 0.41238934789551174, "r2_full": 0.4285701549119232, "corr_portfolio": 0.11754577576422559, "corr_benchmark": 0.35213641945101126, "alpha_pos_frac": 0.5068493150684932, "fund_max_dd": -0.18602623539539576, "first": "2013-12-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "atwax": {"sym": "atwax", "name": "AB Tax-Managed Wealth Appreciation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012461559450596906, "alpha_t_5y": -1.2287173075228492, "alpha_t_full": -3.4049634777449906, "r2_5y": 0.9773148916580655, "r2_full": 0.9758779010342573, "corr_portfolio": 0.3293266908696463, "corr_benchmark": 0.6096465240975878, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5931780509125283, "first": "2003-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "augax": {"sym": "augax", "name": "Columbia Quality Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010368820695668355, "alpha_t_5y": -1.1203725242670417, "alpha_t_full": -0.05243127263176494, "r2_5y": 0.9129888719007853, "r2_full": 0.5249923748377496, "corr_portfolio": -0.09675380342003924, "corr_benchmark": 0.571952442273569, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.2511190103751987, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "auiax": {"sym": "auiax", "name": "AB EQUITY INCOME FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018924610909761122, "alpha_t_5y": 1.253769831337443, "alpha_t_full": 3.8950515761101268, "r2_5y": 0.9435318657171591, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.35236252731601975, "corr_benchmark": 0.586318993977131, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.4696839921726118, "first": "1993-10-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aunax": {"sym": "aunax", "name": "AB Municipal Bond Inflation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009307800159657393, "alpha_t_5y": 0.7368087556445448, "alpha_t_full": 1.184302111540641, "r2_5y": 0.19242971875235004, "r2_full": 0.21030522570187937, "corr_portfolio": 0.1758125403949235, "corr_benchmark": 0.22724736677790008, "alpha_pos_frac": 0.5181347150259067, "fund_max_dd": -0.14218878942222746, "first": "2010-02-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "auuyx": {"sym": "auuyx", "name": "AB Select US Equity Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011447346406282727, "alpha_t_5y": 0.6033232155277348, "alpha_t_full": 0.8744181594426248, "r2_5y": 0.9167039198007073, "r2_full": 0.771659509591187, "corr_portfolio": 0.29845235513004115, "corr_benchmark": 0.5385151937189094, "alpha_pos_frac": 0.5058823529411764, "fund_max_dd": -0.3254505300848638, "first": "2011-12-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "avaax": {"sym": "avaax", "name": "AB Virginia Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029988609107280345, "alpha_t_5y": 0.2476461713979967, "alpha_t_full": 6.584487796667654, "r2_5y": 0.41859150433601167, "r2_full": -2.886579864025407e-15, "corr_portfolio": 0.03299234887675384, "corr_benchmark": 0.3577632276935698, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.1390505909834746, "first": "1994-05-02", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "avalx": {"sym": "avalx", "name": "Aegis Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0646983849276763, "alpha_t_5y": 1.2367544136698854, "alpha_t_full": 2.761040409694405, "r2_5y": 0.6936053414852277, "r2_full": 0.5524756959749011, "corr_portfolio": 0.2789848556191489, "corr_benchmark": 0.36651474910166765, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.7371949445329175, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "aveax": {"sym": "aveax", "name": "Ave Maria Growth Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0519497109384789, "alpha_t_5y": -1.1015903973556103, "alpha_t_full": -1.3542046670789627, "r2_5y": 0.7530807110384086, "r2_full": 0.7287160604643635, "corr_portfolio": 0.13312533902393495, "corr_benchmark": 0.5753243498959304, "alpha_pos_frac": 0.5142857142857142, "fund_max_dd": -0.44088830829523196, "first": "2020-05-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "avedx": {"sym": "avedx", "name": "Ave Maria Rising Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028927426812141235, "alpha_t_5y": -1.1776141460109129, "alpha_t_full": 0.48129526098265757, "r2_5y": 0.8567609011530444, "r2_full": 0.9086292703739607, "corr_portfolio": 0.34685219473983747, "corr_benchmark": 0.5464295609057599, "alpha_pos_frac": 0.6042553191489362, "fund_max_dd": -0.49031627293513014, "first": "2005-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "avefx": {"sym": "avefx", "name": "Ave Maria Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016278589702056135, "alpha_t_5y": 1.909616565691396, "alpha_t_full": 2.6430885831300546, "r2_5y": 0.7605668028554265, "r2_full": 0.7434213478859115, "corr_portfolio": 0.2994274311223647, "corr_benchmark": 0.6889314419196622, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.10242722740084176, "first": "2003-05-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "avegx": {"sym": "avegx", "name": "Ave Maria Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025082599437100058, "alpha_t_5y": -0.9229431150817636, "alpha_t_full": 0.20972944583349837, "r2_5y": 0.8768899321469337, "r2_full": 0.9083364000711496, "corr_portfolio": 0.252497779481658, "corr_benchmark": 0.6186337838469783, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.49038482247753956, "first": "2003-05-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "avemx": {"sym": "avemx", "name": "Ave Maria Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01206824656774958, "alpha_t_5y": 0.29691313430305594, "alpha_t_full": 0.4140647765859962, "r2_5y": 0.7263075965258399, "r2_full": 0.8504472153623235, "corr_portfolio": 0.3595137175867439, "corr_benchmark": 0.4816307755654023, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.6012215366159717, "first": "2001-05-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "averx": {"sym": "averx", "name": "Ave Maria Value Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.056604592591457635, "alpha_t_5y": 0.9519606566885082, "alpha_t_full": 3.336601879367139, "r2_5y": 0.5914537249503735, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.3276225907177993, "corr_benchmark": 0.42620466438793286, "alpha_pos_frac": 0.4595744680851064, "fund_max_dd": -0.5877152567857522, "first": "1990-01-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "avewx": {"sym": "avewx", "name": "Ave Maria World Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02750352526257505, "alpha_t_5y": -1.2187830794885848, "alpha_t_full": -2.789439088575109, "r2_5y": 0.9019066176817011, "r2_full": 0.9259171532808828, "corr_portfolio": 0.34308242411368894, "corr_benchmark": 0.5937776665244057, "alpha_pos_frac": 0.5, "fund_max_dd": -0.40257358718224034, "first": "2010-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "awaax": {"sym": "awaax", "name": "AB Wealth Appreciation Strategy", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009944233736302826, "alpha_t_5y": -0.9814429580821334, "alpha_t_full": -2.7733901411423085, "r2_5y": 0.9774715803832776, "r2_full": 0.9705031083856047, "corr_portfolio": 0.32516917759619807, "corr_benchmark": 0.6089355263149222, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6051321278227619, "first": "2003-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "awgix": {"sym": "awgix", "name": "CIBC ATLAS ALL CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04441818637787485, "alpha_t_5y": -1.4781614047006648, "alpha_t_full": -1.688066039093322, "r2_5y": 0.8792409917715208, "r2_full": 0.879826537262298, "corr_portfolio": 0.19909059202363766, "corr_benchmark": 0.6031917354415813, "alpha_pos_frac": 0.5203619909502263, "fund_max_dd": -0.5281774895085942, "first": "2007-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "awpax": {"sym": "awpax", "name": "AB SUSTAINABLE INTERNATIONAL THEMATIC FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09635264535432933, "alpha_t_5y": -4.433103401264237, "alpha_t_full": 2.3426922610326852, "r2_5y": 0.9134788902964965, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.27969258458992424, "corr_benchmark": 0.5805211173100417, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6300184034238479, "first": "1995-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "awsax": {"sym": "awsax", "name": "INVESCO Global Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025075466062810827, "alpha_t_5y": -1.3632914754456238, "alpha_t_full": -0.1690178179725286, "r2_5y": 0.9215738801273399, "r2_full": 0.8864952140540019, "corr_portfolio": 0.30179109639654944, "corr_benchmark": 0.5783848830452537, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.569935927484411, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "awshx": {"sym": "awshx", "name": "WASHINGTON MUTUAL INVESTORS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011998326391298868, "alpha_t_5y": 0.889412026113081, "alpha_t_full": 4.220170059555265, "r2_5y": 0.9474527245479373, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3470041192963953, "corr_benchmark": 0.5756819139374112, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5395102071911104, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "axbax": {"sym": "axbax", "name": "Columbia Capital Allocation Aggressive Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009903020743567864, "alpha_t_5y": -1.3023491617228282, "alpha_t_full": -2.0065751569661767, "r2_5y": 0.9830821325740421, "r2_full": 0.9658168848894417, "corr_portfolio": 0.3052500649008229, "corr_benchmark": 0.6450782269989903, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.5310840265655017, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "azbax": {"sym": "azbax", "name": "Virtus Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004673599919028924, "alpha_t_5y": 0.22674270773168687, "alpha_t_full": 0.04996541522635911, "r2_5y": 0.9369593345287851, "r2_full": 0.9434697464703002, "corr_portfolio": 0.2897213963708376, "corr_benchmark": 0.5522290690396443, "alpha_pos_frac": 0.5, "fund_max_dd": -0.40806740892868987, "first": "2013-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "aznax": {"sym": "aznax", "name": "Virtus Income & Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022754327215153202, "alpha_t_5y": -1.714581966014987, "alpha_t_full": -2.0648534451809653, "r2_5y": 0.9178009651980459, "r2_full": 0.9376527036672136, "corr_portfolio": 0.23295714683976038, "corr_benchmark": 0.6317288741190431, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.4366871025830581, "first": "2007-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bacix": {"sym": "bacix", "name": "BLACKROCK ENERGY OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04146966902938591, "alpha_t_5y": 0.716535161534573, "alpha_t_full": 0.09313743729990574, "r2_5y": 0.6693998815504536, "r2_full": 0.6110559246921092, "corr_portfolio": 0.3953517693774375, "corr_benchmark": 0.2787691184623408, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.7781228333578925, "first": "2005-02-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "bagix": {"sym": "bagix", "name": "Baird Aggregate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 5.32502780144016, "r2_5y": NaN, "r2_full": 0.07665055443966384, "corr_portfolio": -0.10349443677124642, "corr_benchmark": 0.5784224612496194, "alpha_pos_frac": 0.4954954954954955, "fund_max_dd": -0.08408877557685224, "first": "2000-10-02", "verdict": "no 5y window", "alpha_name": false}, "batex": {"sym": "batex", "name": "BATS: High Income Municipal Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018811979583745326, "alpha_t_5y": 0.97603005295404, "alpha_t_full": 2.368999587159864, "r2_5y": 0.33713052135840715, "r2_full": 0.3356254841687937, "corr_portfolio": 0.06968535813486498, "corr_benchmark": 0.2893713441144254, "alpha_pos_frac": 0.5539568345323741, "fund_max_dd": -0.1901113715326992, "first": "2014-08-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "batpx": {"sym": "batpx", "name": "BATS: Interest Rate Hedge Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030960038872998648, "alpha_t_5y": 3.3780698647973217, "alpha_t_full": 3.743901507261084, "r2_5y": 0.9483732695774286, "r2_full": 0.8999371023775684, "corr_portfolio": 0.20521104552674088, "corr_benchmark": -0.5874279856057909, "alpha_pos_frac": 0.38064516129032255, "fund_max_dd": -0.2467352989596696, "first": "2013-03-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bbcpx": {"sym": "bbcpx", "name": "Bridge Builder Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006332214268573715, "alpha_t_5y": 1.2496155181288413, "alpha_t_full": 1.4344616257786449, "r2_5y": 0.9570101524079032, "r2_full": 0.9407418511592993, "corr_portfolio": -0.046217446928404425, "corr_benchmark": 0.7110073266445393, "alpha_pos_frac": 0.4921875, "fund_max_dd": -0.1783548681699827, "first": "2015-07-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bbhlx": {"sym": "bbhlx", "name": "BBH Partner Fund - International Equity", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05593989912648848, "alpha_t_5y": -1.3997738814321992, "alpha_t_full": 2.3095908717310194, "r2_5y": 0.7623598464225594, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.2553591554424498, "corr_benchmark": 0.5350999113185636, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.5461906768395763, "first": "1995-04-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "bchyx": {"sym": "bchyx", "name": "CALIFORNIA HIGH-YIELD MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004907210484186062, "alpha_t_5y": 0.3249807535590938, "alpha_t_full": 6.402346028637227, "r2_5y": 0.4146627961637641, "r2_full": -1.1102230246251565e-15, "corr_portfolio": 0.03932388200017143, "corr_benchmark": 0.3536875591843055, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.17631242039370532, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "bciix": {"sym": "bciix", "name": "The Brown Capital Management International All Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.14037237307156003, "alpha_t_5y": -3.1667919230229225, "alpha_t_full": -2.311159432881256, "r2_5y": 0.6704043374173239, "r2_full": 0.648721069497733, "corr_portfolio": 0.12488389324425411, "corr_benchmark": 0.5681247700904081, "alpha_pos_frac": 0.6666666666666666, "fund_max_dd": -0.432159093950811, "first": "2019-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "bcitx": {"sym": "bcitx", "name": "CALIFORNIA INTERMEDIATE-TERM TAX-FREE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005950988318996051, "alpha_t_5y": 0.6310169450615271, "alpha_t_full": 8.165783481968719, "r2_5y": 0.4049913416154779, "r2_full": 2.1094237467877974e-15, "corr_portfolio": 0.039737974046262066, "corr_benchmark": 0.337253851678768, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.11182616860112693, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "bcoix": {"sym": "bcoix", "name": "Baird Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009046908584923212, "alpha_t_5y": 2.285096046384829, "alpha_t_full": 2.818965958952286, "r2_5y": 0.9705475863500986, "r2_full": 0.8160981862066363, "corr_portfolio": -0.08115410658612981, "corr_benchmark": 0.722257823474074, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.18119399757278587, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bdsix": {"sym": "bdsix", "name": "BlackRock Advantage Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021709592787632122, "alpha_t_5y": 0.18404610188820072, "alpha_t_full": 0.7714409266596517, "r2_5y": 0.9847198916379473, "r2_full": 0.9796264254722205, "corr_portfolio": 0.263315077489379, "corr_benchmark": 0.5485685500991277, "alpha_pos_frac": 0.4967741935483871, "fund_max_dd": -0.4336059407333801, "first": "2013-03-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bearx": {"sym": "bearx", "name": "Federated Hermes Prudent Bear Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019288941536378276, "alpha_t_5y": 1.302098853013213, "alpha_t_full": 3.224931137436774, "r2_5y": 0.9712239689056782, "r2_full": 0.8647653194800083, "corr_portfolio": -0.24280372831359748, "corr_benchmark": -0.6007443415225678, "alpha_pos_frac": 0.45414847161572053, "fund_max_dd": -0.942660190731094, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bfiax": {"sym": "bfiax", "name": "AMERICAN FUNDS INFLATION LINKED BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007661596218339793, "alpha_t_5y": -0.05228184356795351, "alpha_t_full": 0.391445002112892, "r2_5y": 0.6641003951616216, "r2_full": 0.6506868245349047, "corr_portfolio": -0.08284191240370377, "corr_benchmark": 0.5337207726065842, "alpha_pos_frac": 0.5, "fund_max_dd": -0.16084630654805476, "first": "2012-12-17", "verdict": "weak/unstable alpha", "alpha_name": false}, "bflax": {"sym": "bflax", "name": "Lord Abbett Multi-Asset Balanced Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022357735532510435, "alpha_t_5y": -1.8796166397835283, "alpha_t_full": 0.5860029940181443, "r2_5y": 0.9239162542024056, "r2_full": 0.8946990731548573, "corr_portfolio": 0.3206688120952309, "corr_benchmark": 0.6237577355062855, "alpha_pos_frac": 0.441025641025641, "fund_max_dd": -0.4235010445079658, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "bgsix": {"sym": "bgsix", "name": "BlackRock Technology Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04316393957571195, "alpha_t_5y": -1.356056637662196, "alpha_t_full": 1.023383935666683, "r2_5y": 0.9328710446452873, "r2_full": 0.8221925578803957, "corr_portfolio": 0.09273757751124205, "corr_benchmark": 0.5799980000148506, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.7348066584652827, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bhiax": {"sym": "bhiax", "name": "HAWAII MUNICIPAL BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017976040409128436, "alpha_t_5y": -0.18402570448331848, "alpha_t_full": 4.320187337770262, "r2_5y": 0.3295307724981291, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.03698338436401536, "corr_benchmark": 0.3167235387660607, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.11278151031214667, "first": "1999-06-15", "verdict": "weak/unstable alpha", "alpha_name": false}, "biiex": {"sym": "biiex", "name": "BRANDES INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07928746297448688, "alpha_t_5y": 2.8030804082608425, "alpha_t_full": 1.5767202834897571, "r2_5y": 0.8066961574143552, "r2_full": 0.8301450339728429, "corr_portfolio": 0.41967649547512753, "corr_benchmark": 0.4545494282411486, "alpha_pos_frac": 0.4834710743801653, "fund_max_dd": -0.5876506695109158, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "bils": {"sym": "bils", "name": "State Street(R) SPDR(R) Bloomberg 3-12 Month T-Bill ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004313578236902691, "alpha_t_5y": 4.493785270023088, "alpha_t_full": 4.6330613276236825, "r2_5y": 0.651589756534569, "r2_full": 0.6518928998870075, "corr_portfolio": -0.1470531268014389, "corr_benchmark": 0.1917988232709761, "alpha_pos_frac": 0.6307692307692307, "fund_max_dd": -0.004097932524383285, "first": "2020-10-08", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "bimix": {"sym": "bimix", "name": "Baird Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00040871510964152305, "alpha_t_5y": 0.09060081301934617, "alpha_t_full": 5.5093840466150725, "r2_5y": 0.9473676175211249, "r2_full": 0.027525261524164235, "corr_portfolio": -0.1133116230887575, "corr_benchmark": 0.6191941909456905, "alpha_pos_frac": 0.4978165938864629, "fund_max_dd": -0.1275097673141814, "first": "2000-10-02", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "bmbix": {"sym": "bmbix", "name": "Baird Quality Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00689167247428314, "alpha_t_5y": 0.8500482213948424, "alpha_t_full": 5.683982708771801, "r2_5y": 0.32900376147403976, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.023989768251854015, "corr_benchmark": 0.3400250760619546, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.09307801152017259, "first": "2001-04-02", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "bmcix": {"sym": "bmcix", "name": "BLACKROCK HIGH EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007454030347603179, "alpha_t_5y": 0.39690596630415587, "alpha_t_full": -0.029679147445283275, "r2_5y": 0.8872917557503439, "r2_full": 0.8476386213075048, "corr_portfolio": 0.41865444924064255, "corr_benchmark": 0.511897232580181, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.72643421862846, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bmnix": {"sym": "bmnix", "name": "Baird Core Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013166824125499256, "alpha_t_5y": 1.507885402619887, "alpha_t_full": 2.536006048651751, "r2_5y": 0.3443735707751959, "r2_full": 0.2975900286702028, "corr_portfolio": 0.032155090280701557, "corr_benchmark": 0.35436116280381325, "alpha_pos_frac": 0.5396825396825397, "fund_max_dd": -0.0994863956040738, "first": "2015-09-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "bmqix": {"sym": "bmqix", "name": "Baird Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015421333934761888, "alpha_t_5y": 1.3218966349736605, "alpha_t_full": 1.671782551815733, "r2_5y": 0.3526645594568165, "r2_full": 0.3426751483667404, "corr_portfolio": 0.05860880915842941, "corr_benchmark": 0.361442779091899, "alpha_pos_frac": 0.52, "fund_max_dd": -0.1271771139040846, "first": "2019-11-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "bmsfx": {"sym": "bmsfx", "name": "MFS Blended Research Mid Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016519696528735917, "alpha_t_5y": 0.7994655815621613, "alpha_t_full": 0.11991882695073422, "r2_5y": 0.9276528779621005, "r2_full": 0.9414491895561231, "corr_portfolio": 0.32053787077144313, "corr_benchmark": 0.6154373971896723, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.4101345826192715, "first": "2016-08-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bndw": {"sym": "bndw", "name": "Vanguard Total World Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006847186327241348, "alpha_t_5y": 0.11674093613362044, "alpha_t_full": -0.10636819889925052, "r2_5y": 0.9246069120850632, "r2_full": 0.8926618024462147, "corr_portfolio": -0.1030686112694082, "corr_benchmark": 0.7643849147456302, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.17211503533105232, "first": "2018-09-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bnglx": {"sym": "bnglx", "name": "UBS GLOBAL ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015603647501308205, "alpha_t_5y": -1.1542498702367867, "alpha_t_full": 2.1692582451671707, "r2_5y": 0.9086380104954005, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.341106470754438, "corr_benchmark": 0.6558931754696289, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.5323052815138649, "first": "1997-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bniex": {"sym": "bniex", "name": "UBS International Sustainable Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011963312313234295, "alpha_t_5y": -0.4743550653461687, "alpha_t_full": 0.48699428308609916, "r2_5y": 0.8420138400412615, "r2_full": 0.8391055398395169, "corr_portfolio": 0.3821962016536943, "corr_benchmark": 0.5171807136831313, "alpha_pos_frac": 0.46808510638297873, "fund_max_dd": -0.6118458860229548, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "bogsx": {"sym": "bogsx", "name": "BLACK OAK EMERGING TECHNOLOGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008179141710026554, "alpha_t_5y": -0.22788023451768583, "alpha_t_full": -2.787371315703834, "r2_5y": 0.8912615797702188, "r2_full": 0.8171913415003416, "corr_portfolio": 0.16068901313405165, "corr_benchmark": 0.5640265184913473, "alpha_pos_frac": 0.5298804780876494, "fund_max_dd": -0.928024507948035, "first": "2001-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bosox": {"sym": "bosox", "name": "Boston Trust Walden Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002535106419783383, "alpha_t_5y": 0.10211344947624645, "alpha_t_full": 1.0976828750981626, "r2_5y": 0.8902671933928501, "r2_full": 0.9239360461406251, "corr_portfolio": 0.312103700162483, "corr_benchmark": 0.5137701421041376, "alpha_pos_frac": 0.5172413793103449, "fund_max_dd": -0.5377685903562113, "first": "2005-12-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bracx": {"sym": "bracx", "name": "BATS: Corporate Credit Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0078239233545951, "alpha_t_5y": 1.3693211512192196, "alpha_t_full": -1.9364862811885537, "r2_5y": 0.9564027265567262, "r2_full": 0.828116515036167, "corr_portfolio": -0.012112931604058548, "corr_benchmark": 0.7216456968072184, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.21621591470000556, "first": "2004-10-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bramx": {"sym": "bramx", "name": "BATS: Mortgage Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.000855540658964881, "alpha_t_5y": 0.12691559876718883, "alpha_t_full": -1.3212215533515932, "r2_5y": 0.9315196563040714, "r2_full": 0.47661656030646393, "corr_portfolio": -0.07427194300288935, "corr_benchmark": 0.6509638892199003, "alpha_pos_frac": 0.8034682080924855, "fund_max_dd": -0.23933748147388134, "first": "2004-10-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "brasx": {"sym": "brasx", "name": "BATS: Short Duration Taxable Total Return Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007294894371968502, "alpha_t_5y": -1.031659063229256, "alpha_t_full": 2.656232289174451, "r2_5y": 0.6293745212725779, "r2_full": 0.4349373020559679, "corr_portfolio": 0.0727174556951187, "corr_benchmark": 0.35538754272243217, "alpha_pos_frac": 0.6205128205128205, "fund_max_dd": -0.10612261737662043, "first": "2004-11-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "brcax": {"sym": "brcax", "name": "Invesco Balanced-Risk Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006536159547814687, "alpha_t_5y": -0.22245161126787477, "alpha_t_full": -0.23327258770889683, "r2_5y": 0.8068478825576184, "r2_full": 0.755634292315337, "corr_portfolio": 0.2570221795261163, "corr_benchmark": 0.12970198276818715, "alpha_pos_frac": 0.4426229508196721, "fund_max_dd": -0.6098478086401757, "first": "2010-12-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "brkax": {"sym": "brkax", "name": "MFS Blended Research Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03461989805264236, "alpha_t_5y": 0.953615012820109, "alpha_t_full": 0.9997373399362431, "r2_5y": 0.7348382429374226, "r2_full": 0.800499712322241, "corr_portfolio": 0.30827940684020216, "corr_benchmark": 0.43032548249333535, "alpha_pos_frac": 0.416, "fund_max_dd": -0.39572451666654274, "first": "2015-09-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "brsdx": {"sym": "brsdx", "name": "MFS Blended Research Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01293422089085705, "alpha_t_5y": -0.673233000614297, "alpha_t_full": -0.7435079495856431, "r2_5y": 0.9584074021176452, "r2_full": 0.9597698614012199, "corr_portfolio": 0.28325466994555876, "corr_benchmark": 0.5595327194168453, "alpha_pos_frac": 0.464, "fund_max_dd": -0.4524635018178047, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "brudx": {"sym": "brudx", "name": "MFS Blended Research Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026629717456098562, "alpha_t_5y": 1.7124305747116306, "alpha_t_full": 0.9256180175136872, "r2_5y": 0.9376094542125094, "r2_full": 0.951755554670608, "corr_portfolio": 0.3869012727262534, "corr_benchmark": 0.5492786962171395, "alpha_pos_frac": 0.472, "fund_max_dd": -0.38744584326744747, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "brwax": {"sym": "brwax", "name": "MFS Blended Research Growth Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01822858608088932, "alpha_t_5y": -1.1518059107159384, "alpha_t_full": -2.029669818829421, "r2_5y": 0.9684907101436019, "r2_full": 0.966532742217006, "corr_portfolio": 0.1514470927055474, "corr_benchmark": 0.6398616993424874, "alpha_pos_frac": 0.496, "fund_max_dd": -0.3225611864103761, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "brxax": {"sym": "brxax", "name": "MFS Blended Research International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03645352763041482, "alpha_t_5y": 2.0415586597490436, "alpha_t_full": 0.9555044761671815, "r2_5y": 0.9191820476197231, "r2_full": 0.933993508323186, "corr_portfolio": 0.3908893793034419, "corr_benchmark": 0.5373069500026164, "alpha_pos_frac": 0.48, "fund_max_dd": -0.36586131080541406, "first": "2015-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bsbix": {"sym": "bsbix", "name": "Baird Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 3.7711532082316808, "r2_5y": NaN, "r2_full": 0.44553505304670393, "corr_portfolio": -0.0969138704071855, "corr_benchmark": 0.311842233651157, "alpha_pos_frac": 0.5085714285714286, "fund_max_dd": -0.04591485709791521, "first": "2004-09-03", "verdict": "no 5y window", "alpha_name": false}, "bsnix": {"sym": "bsnix", "name": "Baird Strategic Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019655340763136762, "alpha_t_5y": 2.350948338078365, "alpha_t_full": 2.567616585839276, "r2_5y": 0.3764605202977016, "r2_full": 0.3476835521327567, "corr_portfolio": 0.06293023209942626, "corr_benchmark": 0.374716062994073, "alpha_pos_frac": 0.5066666666666667, "fund_max_dd": -0.09580545760994341, "first": "2019-11-18", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "btbfx": {"sym": "btbfx", "name": "Boston Trust Asset Management Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025921232957640917, "alpha_t_5y": -1.9068286733378899, "alpha_t_full": 2.5570862814669333, "r2_5y": 0.9245454283628863, "r2_full": 0.8870815013800263, "corr_portfolio": 0.29031676763168085, "corr_benchmark": 0.6307344453040894, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.2787549013625352, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "btefx": {"sym": "btefx", "name": "Boston Trust Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025049273051498174, "alpha_t_5y": -1.617575519147931, "alpha_t_full": 0.04639762749554345, "r2_5y": 0.9398120064977606, "r2_full": 0.9502974621271335, "corr_portfolio": 0.3102134274820844, "corr_benchmark": 0.5828695219380253, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.4767006118236323, "first": "2003-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "btiix": {"sym": "btiix", "name": "DWS Equity 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009114126656242742, "alpha_t_5y": -0.2552698234559087, "alpha_t_full": -0.15535175268899493, "r2_5y": 0.9974333631362978, "r2_full": 0.9808980778877044, "corr_portfolio": 0.28282764728644855, "corr_benchmark": 0.6165483206734501, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.5523776389791125, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "btmfx": {"sym": "btmfx", "name": "Boston Trust Midcap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013041770582567854, "alpha_t_5y": -0.568189032512805, "alpha_t_full": 1.1635660562266301, "r2_5y": 0.8766704471988135, "r2_full": 0.9189419309877138, "corr_portfolio": 0.3319391498863168, "corr_benchmark": 0.5622587762080522, "alpha_pos_frac": 0.5113122171945701, "fund_max_dd": -0.5057141589168932, "first": "2007-10-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "btmix": {"sym": "btmix", "name": "Baird Short-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01640159072284721, "alpha_t_5y": 2.83207932835309, "alpha_t_full": 3.483938025396266, "r2_5y": 0.25716868717885044, "r2_full": 0.2477404238095221, "corr_portfolio": 0.04877994949248887, "corr_benchmark": 0.3119727384381615, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.06340058474888499, "first": "2015-09-01", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "btsmx": {"sym": "btsmx", "name": "Boston Trust SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002180203247648455, "alpha_t_5y": -0.09084950059165557, "alpha_t_full": 0.9146728669841601, "r2_5y": 0.8817921503386693, "r2_full": 0.7846352676631999, "corr_portfolio": 0.3068438211099643, "corr_benchmark": 0.5048408703047145, "alpha_pos_frac": 0.4152046783625731, "fund_max_dd": -0.38038144969605914, "first": "2011-12-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bubsx": {"sym": "bubsx", "name": "Baird Ultra Short Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01773404599391841, "alpha_t_5y": 5.422586799408942, "alpha_t_full": 7.945263329705797, "r2_5y": 0.18850104948600865, "r2_full": 0.13407608372312196, "corr_portfolio": 0.039249728754247065, "corr_benchmark": 0.16019893834935847, "alpha_pos_frac": 0.3972602739726027, "fund_max_dd": -0.018848081804421213, "first": "2014-01-06", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "bufgx": {"sym": "bufgx", "name": "Buffalo Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.053694298932619164, "alpha_t_5y": -2.505208242390493, "alpha_t_full": -0.08475826536341372, "r2_5y": 0.9419870886126203, "r2_full": 0.9086639871233305, "corr_portfolio": 0.1629044849287588, "corr_benchmark": 0.6277052617606169, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.5065123626359362, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bufmx": {"sym": "bufmx", "name": "Buffalo Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10008729343715835, "alpha_t_5y": -3.0618019561227587, "alpha_t_full": -1.752971370011638, "r2_5y": 0.8533229733339578, "r2_full": 0.8717058957533128, "corr_portfolio": 0.1832470852859033, "corr_benchmark": 0.6074947100590657, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.5764281171806743, "first": "2001-12-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "buftx": {"sym": "buftx", "name": "Buffalo Mid Cap Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11003086815207037, "alpha_t_5y": -3.436881105810133, "alpha_t_full": -1.412594412438514, "r2_5y": 0.872006858621063, "r2_full": 0.877121805241976, "corr_portfolio": 0.16452743835989508, "corr_benchmark": 0.6117807994199662, "alpha_pos_frac": 0.556420233463035, "fund_max_dd": -0.6044963225041238, "first": "2001-04-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "bxfcx": {"sym": "bxfcx", "name": "MML Barings Global Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029100961358725738, "alpha_t_5y": 3.4359065119621763, "alpha_t_full": 2.4304514997801188, "r2_5y": 0.42552850957237287, "r2_full": 0.5772225765556389, "corr_portfolio": 0.3176191729169925, "corr_benchmark": 0.21481893995903636, "alpha_pos_frac": 0.4697986577181208, "fund_max_dd": -0.22324901580768086, "first": "2013-09-17", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "bxitx": {"sym": "bxitx", "name": "MML Barings Unconstrained Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037112112746596967, "alpha_t_5y": -0.28238628976364794, "alpha_t_full": 2.5468435295429734, "r2_5y": 0.5056025247840432, "r2_full": 0.6211505032166098, "corr_portfolio": 0.31098166796243903, "corr_benchmark": 0.26962812340936443, "alpha_pos_frac": 0.5369127516778524, "fund_max_dd": -0.24863348369243166, "first": "2013-09-17", "verdict": "weak/unstable alpha", "alpha_name": false}, "cabdx": {"sym": "cabdx", "name": "AB RELATIVE VALUE FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01688728798911227, "alpha_t_5y": 0.92785161175982, "alpha_t_full": 3.2687846347821083, "r2_5y": 0.9097028368139576, "r2_full": -1.7763568394002505e-15, "corr_portfolio": 0.4020338058839423, "corr_benchmark": 0.5313385053392616, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5740208303115659, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "cabix": {"sym": "cabix", "name": "AB GLOBAL RISK ALLOCATION FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001291960694234989, "alpha_t_5y": -0.1012090629895647, "alpha_t_full": -0.5420762428779787, "r2_5y": 0.8845638778610537, "r2_full": 0.8378160490700229, "corr_portfolio": 0.30433399548201784, "corr_benchmark": 0.7062567757399001, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.43568595855945036, "first": "2005-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "caeax": {"sym": "caeax", "name": "Columbia Acorn European Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07527783983572485, "alpha_t_5y": -1.823156884632709, "alpha_t_full": -0.9590016652411144, "r2_5y": 0.7908705059158136, "r2_full": 0.7800016709053588, "corr_portfolio": 0.23604839174006473, "corr_benchmark": 0.5328301964537524, "alpha_pos_frac": 0.5287356321839081, "fund_max_dd": -0.5112113867998018, "first": "2011-08-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "caibx": {"sym": "caibx", "name": "CAPITAL INCOME BUILDER", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02439801259385405, "alpha_t_5y": 2.1284474731510885, "alpha_t_full": 5.389208392006576, "r2_5y": 0.9241975285123762, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.40862954797602363, "corr_benchmark": 0.624624650766981, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.4322382118728304, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "canax": {"sym": "canax", "name": "American Funds Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016139060987969947, "alpha_t_5y": -0.157864930449631, "alpha_t_full": 1.484633033482392, "r2_5y": 0.8411806618158142, "r2_full": 0.8007747988944349, "corr_portfolio": -0.13472484858628656, "corr_benchmark": 0.5238826173570144, "alpha_pos_frac": 0.37815126050420167, "fund_max_dd": -0.19331479637359805, "first": "2016-03-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "capax": {"sym": "capax", "name": "Federated Hermes Capital Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0029460867673339777, "alpha_t_5y": -0.38418848003812034, "alpha_t_full": 3.75988586451022, "r2_5y": 0.9465025422365841, "r2_full": -1.7763568394002505e-15, "corr_portfolio": 0.3398230925944674, "corr_benchmark": 0.6680600164093814, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.5308023128796993, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cavax": {"sym": "cavax", "name": "Catholic Values Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018769046809564056, "alpha_t_5y": -1.7992118954654537, "alpha_t_full": -0.5774351324929683, "r2_5y": 0.97544093081433, "r2_full": 0.9294726166538734, "corr_portfolio": 0.3277824326129511, "corr_benchmark": 0.5921719989472143, "alpha_pos_frac": 0.4153846153846154, "fund_max_dd": -0.36554309691318876, "first": "2015-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cbhcx": {"sym": "cbhcx", "name": "Victory Market Neutral Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03808337401398237, "alpha_t_5y": 2.427362028982236, "alpha_t_full": 2.129300539898138, "r2_5y": 0.06993653699532021, "r2_full": 0.03704817892297507, "corr_portfolio": 0.10648062246387816, "corr_benchmark": -0.06978128142804037, "alpha_pos_frac": 0.5220125786163522, "fund_max_dd": -0.08258422957506384, "first": "2012-11-20", "verdict": "CANDIDATE - 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not alpha-driven", "alpha_name": false}, "ccrsx": {"sym": "ccrsx", "name": "Cantor Fitzgerald Commodity Return Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01595662510665855, "alpha_t_5y": 0.7867228692498865, "alpha_t_full": 0.39797015124126073, "r2_5y": 0.9095849916537707, "r2_full": 0.9110010924504629, "corr_portfolio": 0.21529015826697542, "corr_benchmark": 0.10841244251342742, "alpha_pos_frac": 0.4525862068965517, "fund_max_dd": -0.7309675891445069, "first": "2006-10-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ccsax": {"sym": "ccsax", "name": "Columbia Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0266998035371718, "alpha_t_5y": 1.0992298809752896, "alpha_t_full": 0.525308218423509, "r2_5y": 0.8839795401479902, "r2_full": 0.8882508560202994, "corr_portfolio": 0.2259886693211108, "corr_benchmark": 0.10685603566950336, "alpha_pos_frac": 0.4695121951219512, "fund_max_dd": -0.6208447909818353, "first": "2012-06-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ccsmx": {"sym": "ccsmx", "name": "Conestoga SMid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07985250502266501, "alpha_t_5y": -2.2611728571239285, "alpha_t_full": -1.6693321390934581, "r2_5y": 0.8311063767816753, "r2_full": 0.8570919215130052, "corr_portfolio": 0.16673439861064654, "corr_benchmark": 0.587111731906019, "alpha_pos_frac": 0.5793103448275863, "fund_max_dd": -0.3734061589669486, "first": "2014-01-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "cdazx": {"sym": "cdazx", "name": "Multi-Manager Directional Alternative Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05512684432523355, "alpha_t_5y": 2.2291065782162365, "alpha_t_full": 0.24661830289541073, "r2_5y": 0.6012669420463201, "r2_full": 0.7197363703485559, "corr_portfolio": 0.4579231297920752, "corr_benchmark": 0.4914274850949033, "alpha_pos_frac": 0.45871559633027525, "fund_max_dd": -0.30928871122470447, "first": "2017-01-13", "verdict": "weak/unstable alpha", "alpha_name": true}, "cdcdx": {"sym": "cdcdx", "name": "THE COMMUNITY DEVELOPMENT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010947632662156858, "alpha_t_5y": 1.9568285532426999, "alpha_t_full": 1.0987546585289134, "r2_5y": 0.8443491484976414, "r2_full": 0.644483728541007, "corr_portfolio": -0.1136834692366959, "corr_benchmark": 0.5213016053902977, "alpha_pos_frac": 0.5338983050847458, "fund_max_dd": -0.10358844254996025, "first": "2016-05-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "cdgrx": {"sym": "cdgrx", "name": "Copeland Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027694099283993866, "alpha_t_5y": -1.5647863153740516, "alpha_t_full": -1.925983849147062, "r2_5y": 0.9333186401090277, "r2_full": 0.8709046830155336, "corr_portfolio": 0.2969700835023504, "corr_benchmark": 0.6143171121842597, "alpha_pos_frac": 0.5769230769230769, "fund_max_dd": -0.3624902125676289, "first": "2010-12-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cdhax": {"sym": "cdhax", "name": "Calvert International Responsible Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0037413751697129146, "alpha_t_5y": 0.32292659269961743, "alpha_t_full": 0.014198399677314524, "r2_5y": 0.9720867439726146, "r2_full": 0.9671636643390646, "corr_portfolio": 0.33924694881077827, "corr_benchmark": 0.5844117180850429, "alpha_pos_frac": 0.4596774193548387, "fund_max_dd": -0.3230770504420455, "first": "2015-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cefix": {"sym": "cefix", "name": "Calvert Emerging Markets Advancement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.029656464659150946, "alpha_t_5y": 0.9145839012673592, "alpha_t_full": 0.880130541010919, "r2_5y": 0.7887844742710268, "r2_full": 0.8316927964575704, "corr_portfolio": 0.2552762342686834, "corr_benchmark": 0.464575645419557, "alpha_pos_frac": 0.4935064935064935, "fund_max_dd": -0.30728235549270944, "first": "2019-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "cemgx": {"sym": "cemgx", "name": "Cullen Emerging Markets High Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04490262560145535, "alpha_t_5y": 1.1559340414473251, "alpha_t_full": 0.47367809151144186, "r2_5y": 0.6124804988150656, "r2_full": 0.6846756451974962, "corr_portfolio": 0.38024233708245986, "corr_benchmark": 0.39006789903807254, "alpha_pos_frac": 0.47530864197530864, "fund_max_dd": -0.4013294411950058, "first": "2012-09-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "cemvx": {"sym": "cemvx", "name": "Causeway Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.025735017062383153, "alpha_t_5y": 0.6807332072690758, "alpha_t_full": 0.19264167838541002, "r2_5y": 0.7840420951116069, "r2_full": 0.8694273618214803, "corr_portfolio": 0.31132981988565955, "corr_benchmark": 0.41429115077271045, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.7047792194731916, "first": "2007-04-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "cenax": {"sym": "cenax", "name": "American Funds College Enrollment Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007605427337087165, "alpha_t_5y": 1.392714385719712, "alpha_t_full": 1.3267172803217464, "r2_5y": 0.8656740617073854, "r2_full": 0.792257743433864, "corr_portfolio": -0.08282129629361833, "corr_benchmark": 0.639868542336852, "alpha_pos_frac": 0.37888198757763975, "fund_max_dd": -0.1048312010051764, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cetfx": {"sym": "cetfx", "name": "Morningstar Conservative ETF Asset Allocation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005315520635503621, "alpha_t_5y": -1.1334088904760729, "alpha_t_full": -3.026647118687295, "r2_5y": 0.9629986319847437, "r2_full": 0.9180719154567085, "corr_portfolio": 0.203258708962709, "corr_benchmark": 0.8816309733044663, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.16495394631935656, "first": "2007-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfagx": {"sym": "cfagx", "name": "The MidCap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06165279920546126, "alpha_t_5y": -2.248082990299521, "alpha_t_full": -1.4286439021386665, "r2_5y": 0.874572829348992, "r2_full": 0.8989248692858289, "corr_portfolio": 0.23760368722835007, "corr_benchmark": 0.6136384921104272, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.6105441793333631, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfbnx": {"sym": "cfbnx", "name": "The Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007539242701984228, "alpha_t_5y": 1.247011200709692, "alpha_t_full": 5.665530991333767, "r2_5y": 0.9292106821790223, "r2_full": 2.220446049250313e-16, "corr_portfolio": -0.07413933997885729, "corr_benchmark": 0.6642348098707745, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.17284720384081453, "first": "1994-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfgrx": {"sym": "cfgrx", "name": "The Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025877374626076317, "alpha_t_5y": -1.819466874596007, "alpha_t_full": -0.5251812087027348, "r2_5y": 0.9694661431068285, "r2_full": 0.9478748853109401, "corr_portfolio": 0.19465803678240173, "corr_benchmark": 0.6340787784905233, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.5644467174364575, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfiax": {"sym": "cfiax", "name": "Columbia Flexible Capital Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006730084105295528, "alpha_t_5y": 0.5686247611124834, "alpha_t_full": 1.1547287472911607, "r2_5y": 0.9140397527449133, "r2_full": 0.9262590176549129, "corr_portfolio": 0.39431784807985487, "corr_benchmark": 0.576525039179415, "alpha_pos_frac": 0.4857142857142857, "fund_max_dd": -0.31216721204475395, "first": "2011-07-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cficx": {"sym": "cficx", "name": "Calvert Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008365142218954002, "alpha_t_5y": 1.5609147770996412, "alpha_t_full": 7.063520325401359, "r2_5y": 0.9466059111447928, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.015888564198465346, "corr_benchmark": 0.7042332738321989, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2079567424858244, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfimx": {"sym": "cfimx", "name": "Clipper Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.17037398723874972, "alpha_t_5y": -1.0097494551582928, "alpha_t_full": 0.9804977573579704, "r2_5y": 0.10614664908510696, "r2_full": 0.0, "corr_portfolio": 0.17530675769053233, "corr_benchmark": 0.28415155143999454, "alpha_pos_frac": 0.695067264573991, "fund_max_dd": -0.9105629567427087, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "cfipx": {"sym": "cfipx", "name": "Franklin Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015701348500762616, "alpha_t_5y": 1.2746976430082784, "alpha_t_full": 2.576708752402696, "r2_5y": 0.9666926248581811, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.36428903528165235, "corr_benchmark": 0.5947516337991512, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.6055689419129171, "first": "1991-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfmox": {"sym": "cfmox", "name": "The Missouri Tax-Free Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0004979936668935363, "alpha_t_5y": 0.044312819725945994, "alpha_t_full": 6.674427751130632, "r2_5y": 0.35866898030479233, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.022439878603947822, "corr_benchmark": 0.34322588289711503, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.117201485687628, "first": "1995-02-22", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "cfnlx": {"sym": "cfnlx", "name": "The National Tax-Free Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038803551239694756, "alpha_t_5y": 0.38090361349644447, "alpha_t_full": 6.846367932826881, "r2_5y": 0.41752893581431183, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.01832507354325999, "corr_benchmark": 0.3630512001254107, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.1185173418778217, "first": "1995-02-22", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "cfrax": {"sym": "cfrax", "name": "Catalyst/CIFC Senior Secured Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020324349410280905, "alpha_t_5y": 2.010224065892803, "alpha_t_full": 3.377643210462281, "r2_5y": 0.47614491578484186, "r2_full": 0.508738617488032, "corr_portfolio": 0.29318873586765865, "corr_benchmark": 0.2224216115476236, "alpha_pos_frac": 0.5189873417721519, "fund_max_dd": -0.19236067642081212, "first": "2013-01-03", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "cfsix": {"sym": "cfsix", "name": "TOUCHSTONE SANDS CAPITAL SELECT GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12361977497688655, "alpha_t_5y": -2.45599202585367, "alpha_t_full": -2.3739707465723137, "r2_5y": 0.841740146942678, "r2_full": 0.8579286428470279, "corr_portfolio": 0.03687364903187224, "corr_benchmark": 0.5758838793035987, "alpha_pos_frac": 0.5542635658914729, "fund_max_dd": -0.602446361406143, "first": "2004-08-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "cfvax": {"sym": "cfvax", "name": "Catholic Values Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0046328597342836335, "alpha_t_5y": -0.9840439936916265, "alpha_t_full": -1.0541567305138493, "r2_5y": 0.9675020404819887, "r2_full": 0.9248027102822656, "corr_portfolio": -0.06568406127744893, "corr_benchmark": 0.7236833034039607, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.20489099043643255, "first": "2015-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cfvlx": {"sym": "cfvlx", "name": "The Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009354988260709048, "alpha_t_5y": -0.05220817997351251, "alpha_t_full": 0.5701165105432329, "r2_5y": 0.9081972589584191, "r2_full": 0.9028709445018627, "corr_portfolio": 0.412172699754171, "corr_benchmark": 0.510626224630156, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5889876474742121, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cgafx": {"sym": "cgafx", "name": "Calvert Green Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002461301996483503, "alpha_t_5y": -0.4230337648879898, "alpha_t_full": 0.5817927953415453, "r2_5y": 0.9169477995828934, "r2_full": 0.87854658944575, "corr_portfolio": -0.07830314053756096, "corr_benchmark": 0.6686849689868236, "alpha_pos_frac": 0.5540540540540541, "fund_max_dd": -0.17397171727534122, "first": "2013-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cgoax": {"sym": "cgoax", "name": "Columbia Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03273558003657253, "alpha_t_5y": -0.8077086681957764, "alpha_t_full": -0.5257401516566897, "r2_5y": 0.87755687581831, "r2_full": 0.8990526077558401, "corr_portfolio": 0.11465669828547256, "corr_benchmark": 0.5665998374258396, "alpha_pos_frac": 0.5204918032786885, "fund_max_dd": -0.5577514211992851, "first": "2005-11-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cgvyx": {"sym": "cgvyx", "name": "American Funds Global Insight Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015442879116711416, "alpha_t_5y": -1.148885700017561, "alpha_t_full": -0.9122930540096762, "r2_5y": 0.953453595922758, "r2_full": 0.9634666078444183, "corr_portfolio": 0.26356185895058504, "corr_benchmark": 0.648308613904745, "alpha_pos_frac": 0.3684210526315789, "fund_max_dd": -0.29748281971314616, "first": "2019-11-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "chcgx": {"sym": "chcgx", "name": "The Chesapeake Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0772033321425639, "alpha_t_5y": -3.7581041299638005, "alpha_t_full": -2.2567374382224448, "r2_5y": 0.9272026528065018, "r2_full": 0.9184366712606744, "corr_portfolio": 0.21006977881343883, "corr_benchmark": 0.5881868425369062, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.601084686848129, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "chclx": {"sym": "chclx", "name": "AB DISCOVERY GROWTH FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08191028054215313, "alpha_t_5y": -2.160011913124591, "alpha_t_full": 2.567601140315927, "r2_5y": 0.8823268112296507, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.1391082167024179, "corr_benchmark": 0.5726830741983071, "alpha_pos_frac": 0.5048543689320388, "fund_max_dd": -0.6385221952474616, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "chtrx": {"sym": "chtrx", "name": "Invesco Charter Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017936199940782393, "alpha_t_5y": -1.6171710690422203, "alpha_t_full": 3.4918871964877476, "r2_5y": 0.9746759732740281, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.249148718749115, "corr_benchmark": 0.5533899799829015, "alpha_pos_frac": 0.56957928802589, "fund_max_dd": -0.5629758141581238, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "chusx": {"sym": "chusx", "name": "ALGER GLOBAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09548240032398103, "alpha_t_5y": -3.1803330794864824, "alpha_t_full": -1.7708500659841613, "r2_5y": 0.8917704954757504, "r2_full": 0.8341698118724029, "corr_portfolio": 0.20284846945399435, "corr_benchmark": 0.6051638101755797, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6609988992501596, "first": "2003-11-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cibr": {"sym": "cibr", "name": "First Trust NASDAQ Cybersecurity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020588566212597734, "alpha_t_5y": 0.32727052779107013, "alpha_t_full": 0.25434240829191607, "r2_5y": 0.6457368693434551, "r2_full": 0.6870888638026249, "corr_portfolio": 0.0900177648008925, "corr_benchmark": 0.5471893808387889, "alpha_pos_frac": 0.4609375, "fund_max_dd": -0.3388776581024162, "first": "2015-07-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "cigyx": {"sym": "cigyx", "name": "AB International Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.13755087194007032, "alpha_t_5y": -4.766381162465042, "alpha_t_full": -3.3545051433295967, "r2_5y": 0.8716413362417086, "r2_full": 0.8747755683400011, "corr_portfolio": 0.23867671110891847, "corr_benchmark": 0.5753477865285921, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.4501823058669454, "first": "2015-04-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "clazx": {"sym": "clazx", "name": "Columbia Multi Strategy Alternatives Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030407403284563123, "alpha_t_5y": 1.7167110474117429, "alpha_t_full": -0.5302875244297963, "r2_5y": 0.11693010766456258, "r2_full": 0.08960159569746606, "corr_portfolio": 0.3536996714256518, "corr_benchmark": 0.13340323696408043, "alpha_pos_frac": 0.5338345864661654, "fund_max_dd": -0.2944760958467697, "first": "2015-01-30", "verdict": "weak/unstable alpha", "alpha_name": true}, "cldax": {"sym": "cldax", "name": "Calvert Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00045855992144905284, "alpha_t_5y": 0.09238760946103161, "alpha_t_full": 2.9484039854624653, "r2_5y": 0.9545331649136646, "r2_full": 0.7716172936688719, "corr_portfolio": -0.05912903549634408, "corr_benchmark": 0.6287563234942088, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1888287853036671, "first": "2005-01-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "clmax": {"sym": "clmax", "name": "Columbia Mortgage Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016283422282609494, "alpha_t_5y": 1.2086129376246433, "alpha_t_full": 2.0933391309117924, "r2_5y": 0.7583616964276583, "r2_full": 0.5357081193532645, "corr_portfolio": -0.046601577797095305, "corr_benchmark": 0.47490899198444986, "alpha_pos_frac": 0.47183098591549294, "fund_max_dd": -0.2276102076259009, "first": "2014-05-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "clmpx": {"sym": "clmpx", "name": "Columbia Strategic California Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004467008226026636, "alpha_t_5y": -0.2603865214532447, "alpha_t_full": 5.203116937832125, "r2_5y": 0.40137649452257695, "r2_full": -1.3322676295501878e-15, "corr_portfolio": 0.034013605119420955, "corr_benchmark": 0.3572178473551318, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.2045318822467529, "first": "1996-06-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "cmaix": {"sym": "cmaix", "name": "Invesco Select Risk: Moderately Conservative Investor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0025825861470288804, "alpha_t_5y": -0.42556848418350796, "alpha_t_full": -1.625224772412802, "r2_5y": 0.966117577327492, "r2_full": 0.8881701728030424, "corr_portfolio": 0.26013724291360324, "corr_benchmark": 0.7508078314395692, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.28882067784068843, "first": "2005-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cmgix": {"sym": "cmgix", "name": "BLACKROCK MID CAP GROWTH EQUITY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10740906032518115, "alpha_t_5y": -2.543800068551448, "alpha_t_full": -1.3339757419342761, "r2_5y": 0.8431107942010396, "r2_full": 0.8539451661375259, "corr_portfolio": 0.12572878999219636, "corr_benchmark": 0.6106419522497468, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.7384704995783037, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "cmgux": {"sym": "cmgux", "name": "Columbia Ultra Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016778508956382335, "alpha_t_5y": 2.967566252326398, "alpha_t_full": 5.151510313179764, "r2_5y": 0.2227215072854315, "r2_full": 0.11241121080933625, "corr_portfolio": 0.08262610435958427, "corr_benchmark": 0.1327659451114899, "alpha_pos_frac": 0.388646288209607, "fund_max_dd": -0.034172050295477874, "first": "2004-03-09", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "cmiex": {"sym": "cmiex", "name": "Multi-Manager International Equity Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002331855387643293, "alpha_t_5y": 0.17639529799774897, "alpha_t_full": 0.6102573342678537, "r2_5y": 0.9638651024018033, "r2_full": 0.9670082571200014, "corr_portfolio": 0.34449815461155114, "corr_benchmark": 0.5772912659976659, "alpha_pos_frac": 0.3763440860215054, "fund_max_dd": -0.3535156169126247, "first": "2018-05-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "cmvix": {"sym": "cmvix", "name": "BLACKROCK ADVANTAGE LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0164840267983894, "alpha_t_5y": -1.1603571599314935, "alpha_t_full": 3.6237456481293746, "r2_5y": 0.9754470548978937, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.17005198642697925, "corr_benchmark": 0.6209877739513741, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.5840247556650069, "first": "1993-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cnsax": {"sym": "cnsax", "name": "INVESCO CONVERTIBLE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006601127416343212, "alpha_t_5y": -0.2557622389172072, "alpha_t_full": 2.6710005146137528, "r2_5y": 0.7909577128137197, "r2_full": 0.5698581671254354, "corr_portfolio": 0.16525270547191712, "corr_benchmark": 0.5490378579410627, "alpha_pos_frac": 0.5059760956175299, "fund_max_dd": -0.3948657987186165, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "cnxt": {"sym": "cnxt", "name": "VanEck ChiNext Innovators ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04687512427102841, "alpha_t_5y": 0.3927872413484875, "alpha_t_full": 1.0569562423580614, "r2_5y": 0.3745704832705904, "r2_full": 0.3150294621447569, "corr_portfolio": 0.0895312973950305, "corr_benchmark": 0.18206899295810386, "alpha_pos_frac": 0.43884892086330934, "fund_max_dd": -0.6898160282701138, "first": "2014-07-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "coeax": {"sym": "coeax", "name": "Columbia Oregon Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005736351219671699, "alpha_t_5y": 0.06651501582449484, "alpha_t_full": 1.7231416783321822, "r2_5y": 0.37305857798472775, "r2_full": 0.2959532974952014, "corr_portfolio": 0.027366078343223875, "corr_benchmark": 0.3315492332543071, "alpha_pos_frac": 0.5291828793774319, "fund_max_dd": -0.10670693495070271, "first": "2002-11-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "coiax": {"sym": "coiax", "name": "SIMT Conservative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02863554919812503, "alpha_t_5y": 6.970407323093557, "alpha_t_full": 4.559412758562281, "r2_5y": 0.1903904506867924, "r2_full": 0.11666608747014728, "corr_portfolio": 0.05713621484344017, "corr_benchmark": 0.03664070584111344, "alpha_pos_frac": 0.5056179775280899, "fund_max_dd": -0.0019976608136713647, "first": "2018-10-01", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "colnx": {"sym": "colnx", "name": "Columbia Strategic New York Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015713275300550656, "alpha_t_5y": -0.09235181439637621, "alpha_t_full": 5.110926967994358, "r2_5y": 0.38191684440795315, "r2_full": 2.6645352591003757e-15, "corr_portfolio": 0.0348745816334198, "corr_benchmark": 0.34717010788942354, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.19802609969984275, "first": "1996-06-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "coltx": {"sym": "coltx", "name": "Columbia Total Return Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004116395219051262, "alpha_t_5y": 0.24755892471027882, "alpha_t_full": 6.584535095733895, "r2_5y": 0.3812040806219059, "r2_full": -3.552713678800501e-15, "corr_portfolio": 0.04415948336824439, "corr_benchmark": 0.3402945756605481, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.17873193275084442, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "comax": {"sym": "comax", "name": "DWS Digital Horizons Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06245756879044417, "alpha_t_5y": -1.613201315475665, "alpha_t_full": 2.65846060024608, "r2_5y": 0.8179990377475437, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.15260101179665342, "corr_benchmark": 0.5829328592974747, "alpha_pos_frac": 0.5598705501618123, "fund_max_dd": -0.8152354518735918, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "cosix": {"sym": "cosix", "name": "Columbia Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010918442324802066, "alpha_t_5y": 1.6544462573044783, "alpha_t_full": 8.97921782878531, "r2_5y": 0.8663944005206073, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.14900065311998206, "corr_benchmark": 0.5726198691530625, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.261588575393748, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cpoax": {"sym": "cpoax", "name": "Morgan Stanley Insight Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12238838216344525, "alpha_t_5y": -1.397145915923353, "alpha_t_full": -0.2645964446364031, "r2_5y": 0.7181269761115558, "r2_full": 0.7332773760513557, "corr_portfolio": -0.04783552231926079, "corr_benchmark": 0.5400315946551595, "alpha_pos_frac": 0.4845360824742268, "fund_max_dd": -0.8457415819949012, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "cppcx": {"sym": "cppcx", "name": "American Funds Preservation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01636925763338449, "alpha_t_5y": -2.6498085972737275, "alpha_t_full": -2.3650696529420756, "r2_5y": 0.8389825139092967, "r2_full": 0.7839322138938172, "corr_portfolio": -0.1178745243515308, "corr_benchmark": 0.5078848908667623, "alpha_pos_frac": 0.43636363636363634, "fund_max_dd": -0.09747699191673409, "first": "2012-05-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "cptnx": {"sym": "cptnx", "name": "GOVERNMENT BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0004511321222281704, "alpha_t_5y": -0.07853384145182744, "alpha_t_full": 5.847025794165404, "r2_5y": 0.9493103262055929, "r2_full": 8.881784197001252e-16, "corr_portfolio": -0.14367553545814413, "corr_benchmark": 0.6455895514221145, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.1915010432556281, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cpxax": {"sym": "cpxax", "name": "Cohen & Steers Preferred Securities & Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010786240342662652, "alpha_t_5y": 0.5822177224226556, "alpha_t_full": 3.6412506314334916, "r2_5y": 0.4272539811661661, "r2_full": 0.5244021400481756, "corr_portfolio": 0.297230736431155, "corr_benchmark": 0.43120684115958297, "alpha_pos_frac": 0.5210526315789473, "fund_max_dd": -0.2551410892294047, "first": "2010-05-04", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "cracx": {"sym": "cracx", "name": "Columbia Adaptive Risk Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004111363575804427, "alpha_t_5y": -0.2687045057053054, "alpha_t_full": -0.5051798064253188, "r2_5y": 0.8233389974246169, "r2_full": 0.7253163997183417, "corr_portfolio": 0.22532847308145257, "corr_benchmark": 0.7462002315723436, "alpha_pos_frac": 0.573170731707317, "fund_max_dd": -0.19711747551724645, "first": "2012-06-20", "verdict": "weak/unstable alpha", "alpha_name": true}, "craix": {"sym": "craix", "name": "CCM Community Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008648429917340188, "alpha_t_5y": 0.20881308811852053, "alpha_t_full": 0.7614361861240132, "r2_5y": 0.9507701691332596, "r2_full": 0.8216338035695779, "corr_portfolio": -0.12780976941594752, "corr_benchmark": 0.6314201954724312, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.1449042942236617, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "crak": {"sym": "crak", "name": "VanEck Oil Refiners ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03386853559592284, "alpha_t_5y": 0.6180015400103968, "alpha_t_full": 1.3495157983961228, "r2_5y": 0.6126536370112932, "r2_full": 0.6282248167425115, "corr_portfolio": 0.44154640834709485, "corr_benchmark": 0.3525777013180548, "alpha_pos_frac": 0.5476190476190477, "fund_max_dd": -0.5882284870356655, "first": "2015-08-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "creax": {"sym": "creax", "name": "Columbia Real Estate Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017836669362939938, "alpha_t_5y": 1.249061664657635, "alpha_t_full": -0.07386978626343095, "r2_5y": 0.9671311514180333, "r2_full": 0.976156037143648, "corr_portfolio": 0.23768212860082066, "corr_benchmark": 0.5681057918479416, "alpha_pos_frac": 0.4564102564102564, "fund_max_dd": -0.709283957114219, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "crihx": {"sym": "crihx", "name": "CRM LONG/SHORT OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007485374462626657, "alpha_t_5y": -0.23393840653966574, "alpha_t_full": 0.11386798000136084, "r2_5y": 0.5970928094523608, "r2_full": 0.5767322167951201, "corr_portfolio": 0.23881152028192626, "corr_benchmark": 0.4717239779508285, "alpha_pos_frac": 0.5350877192982456, "fund_max_dd": -0.2132648191040607, "first": "2016-08-23", "verdict": "weak/unstable alpha", "alpha_name": true}, "crsox": {"sym": "crsox", "name": "Cantor Fitzgerald Commodity Return Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019083902821777333, "alpha_t_5y": 0.9528994793145646, "alpha_t_full": 0.6797392376082404, "r2_5y": 0.9114051626234875, "r2_full": 0.9185219733591821, "corr_portfolio": 0.21409020123230452, "corr_benchmark": 0.10791500045355475, "alpha_pos_frac": 0.5043103448275862, "fund_max_dd": -0.7266629200575665, "first": "2006-10-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csdax": {"sym": "csdax", "name": "Calvert Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02019324960086316, "alpha_t_5y": 4.475528981728228, "alpha_t_full": 5.860337197998187, "r2_5y": 0.7872452244073467, "r2_full": 0.5057243223863395, "corr_portfolio": 0.05323246528588834, "corr_benchmark": 0.4373912242746285, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.09963300737426395, "first": "2002-07-31", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "cseix": {"sym": "cseix", "name": "Cohen & Steers Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011315535939206055, "alpha_t_5y": 0.7443075392476869, "alpha_t_full": 0.5392428696642787, "r2_5y": 0.9612454903562206, "r2_full": 0.9750708811862446, "corr_portfolio": 0.2359617245755928, "corr_benchmark": 0.5626625461337378, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.7258172682312598, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csfax": {"sym": "csfax", "name": "Cohen & Steers Global Realty Shares, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02318459991638578, "alpha_t_5y": -1.3085042309041912, "alpha_t_full": -2.018082736291063, "r2_5y": 0.9275910137421541, "r2_full": 0.9079709082374016, "corr_portfolio": 0.3050305362528093, "corr_benchmark": 0.5893062224191481, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.738056784638371, "first": "2004-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cshix": {"sym": "cshix", "name": "Credit Suisse Floating Rate High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.040013152369848336, "alpha_t_5y": 4.094230689665389, "alpha_t_full": 3.3863678781816176, "r2_5y": 0.3731948505521395, "r2_full": 0.566265111145578, "corr_portfolio": 0.29103328055713173, "corr_benchmark": 0.21214981858791168, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.3727029229833573, "first": "2001-11-13", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "cshtx": {"sym": "cshtx", "name": "AB Taxable Multi-Sector Income Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005448435196420088, "alpha_t_5y": -0.9186764375211717, "alpha_t_full": 0.18792244129529176, "r2_5y": 0.6841726237503316, "r2_full": 0.5738474773491886, "corr_portfolio": 0.006816165978215763, "corr_benchmark": 0.4175931835649003, "alpha_pos_frac": 0.577639751552795, "fund_max_dd": -0.05566604305410827, "first": "2012-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "csibx": {"sym": "csibx", "name": "Calvert Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00815405106057932, "alpha_t_5y": 1.6773431195414596, "alpha_t_full": 5.682863224922399, "r2_5y": 0.9531079966079513, "r2_full": 9.992007221626409e-16, "corr_portfolio": -0.05935996297691614, "corr_benchmark": 0.6843261234584073, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.17180675892415864, "first": "1996-06-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csmdx": {"sym": "csmdx", "name": "Copeland SMID Cap Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02786740547317828, "alpha_t_5y": -1.2533088603439952, "alpha_t_full": -0.5578910275578791, "r2_5y": 0.9133285734752632, "r2_full": 0.9280567730832215, "corr_portfolio": 0.3022380150238775, "corr_benchmark": 0.5912426409653753, "alpha_pos_frac": 0.5833333333333334, "fund_max_dd": -0.3728300666000126, "first": "2017-02-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csmix": {"sym": "csmix", "name": "Columbia Small Cap Value Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.051189455637751645, "alpha_t_5y": 1.9384719337367438, "alpha_t_full": 3.258070656050147, "r2_5y": 0.9168720579378962, "r2_full": 0.0, "corr_portfolio": 0.31437704867992783, "corr_benchmark": 0.4688817513785984, "alpha_pos_frac": 0.46120689655172414, "fund_max_dd": -0.568837035176452, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csoax": {"sym": "csoax", "name": "Credit Suisse Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006560927424577815, "alpha_t_5y": 0.7381120230082334, "alpha_t_full": 5.11772648159917, "r2_5y": 0.7338585981734034, "r2_full": 0.7227490468512343, "corr_portfolio": 0.3199550604966908, "corr_benchmark": 0.30402825962683644, "alpha_pos_frac": 0.4720496894409938, "fund_max_dd": -0.19955244536543137, "first": "2012-10-01", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "csrix": {"sym": "csrix", "name": "Cohen & Steers Institutional Realty Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01751091873937689, "alpha_t_5y": 1.1536637300779, "alpha_t_full": 1.5862567363401303, "r2_5y": 0.960979827068901, "r2_full": 0.9801551478563492, "corr_portfolio": 0.23396974002922233, "corr_benchmark": 0.5627418268692082, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.7232012097996072, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csrsx": {"sym": "csrsx", "name": "Cohen & Steers Realty Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016516703825928333, "alpha_t_5y": 1.1670064174343884, "alpha_t_full": 3.293994922443493, "r2_5y": 0.9664151012764799, "r2_full": 0.0, "corr_portfolio": 0.2338349034359993, "corr_benchmark": 0.5633677250551414, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.7250838134252138, "first": "1991-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cstax": {"sym": "cstax", "name": "American Funds College 2027 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005677523260538097, "alpha_t_5y": 0.9947536420104309, "alpha_t_full": 1.4191310357684568, "r2_5y": 0.9284660603158248, "r2_full": 0.8003079243703122, "corr_portfolio": 0.29097203798924515, "corr_benchmark": 0.7145958513955426, "alpha_pos_frac": 0.4720496894409938, "fund_max_dd": -0.14517388151214972, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "csuax": {"sym": "csuax", "name": "Cohen & Steers Global Infrastructure Fund Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017960100946179433, "alpha_t_5y": 0.638359571449061, "alpha_t_full": 0.40681744187135377, "r2_5y": 0.7250364049340929, "r2_full": 0.7460027524806156, "corr_portfolio": 0.335281436257169, "corr_benchmark": 0.5579063461106334, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5236271916431511, "first": "2004-05-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "csvax": {"sym": "csvax", "name": "Columbia International Dividend Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008110802177085402, "alpha_t_5y": 0.5183489649872852, "alpha_t_full": -0.5712524355884597, "r2_5y": 0.9427984816541058, "r2_full": 0.9196591348684215, "corr_portfolio": 0.3811103660198612, "corr_benchmark": 0.5451520159247555, "alpha_pos_frac": 0.42152466367713004, "fund_max_dd": -0.5543990380038037, "first": "2002-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ctagx": {"sym": "ctagx", "name": "Calamos Timpani SMID Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02128264133987165, "alpha_t_5y": -0.41928450524625405, "alpha_t_full": -0.4925038994147817, "r2_5y": 0.8164244860082988, "r2_full": 0.818516658868043, "corr_portfolio": 0.08687582320090943, "corr_benchmark": 0.5765094563931232, "alpha_pos_frac": 0.569620253164557, "fund_max_dd": -0.46616997358146595, "first": "2019-08-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "ctcax": {"sym": "ctcax", "name": "Columbia Global Technology Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00466865252407276, "alpha_t_5y": 0.20227247140495355, "alpha_t_full": 0.9897676425552439, "r2_5y": 0.9576797585421684, "r2_full": 0.9157172081658314, "corr_portfolio": 0.1353958588519295, "corr_benchmark": 0.5927231480121536, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6103735080626729, "first": "2002-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ctfax": {"sym": "ctfax", "name": "Columbia Thermostat Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012174794444895286, "alpha_t_5y": 1.13072715476015, "alpha_t_full": 0.9900214201940367, "r2_5y": 0.8735482750143548, "r2_full": 0.7483765708070412, "corr_portfolio": 0.19533431960962236, "corr_benchmark": 0.7757812029679844, "alpha_pos_frac": 0.4669260700389105, "fund_max_dd": -0.47608616060833686, "first": "2003-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cthax": {"sym": "cthax", "name": "American Funds College 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019453875738179188, "alpha_t_5y": 0.3031530020256977, "alpha_t_full": 1.242382961884195, "r2_5y": 0.9472676198580698, "r2_full": 0.8717855793622413, "corr_portfolio": 0.3213946789819491, "corr_benchmark": 0.688690972827216, "alpha_pos_frac": 0.4720496894409938, "fund_max_dd": -0.17167364241103167, "first": "2012-09-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ctlax": {"sym": "ctlax", "name": "American Funds College 2033 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005814849829552134, "alpha_t_5y": -0.07276072307707751, "alpha_t_full": -0.09437286681652364, "r2_5y": 0.9530220612028706, "r2_full": 0.9331165751493565, "corr_portfolio": 0.2892663968944992, "corr_benchmark": 0.6808591418580229, "alpha_pos_frac": 0.5190839694656488, "fund_max_dd": -0.21426100921625013, "first": "2015-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ctrzx": {"sym": "ctrzx", "name": "Multi-Manager Total Return Bond Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002841792738683169, "alpha_t_5y": 0.5646938678714031, "alpha_t_full": 0.08126445518692349, "r2_5y": 0.9580842437964088, "r2_full": 0.9203142086222048, "corr_portfolio": -0.09873744886889077, "corr_benchmark": 0.7090443634269116, "alpha_pos_frac": 0.6272727272727273, "fund_max_dd": -0.19196661534815573, "first": "2017-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "cugax": {"sym": "cugax", "name": "abrdn Infrastructure Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 2.9635649092579213, "r2_5y": NaN, "r2_full": 0.09533289038442982, "corr_portfolio": 0.13683182532615717, "corr_benchmark": 0.31901902863821746, "alpha_pos_frac": 0.4889867841409692, "fund_max_dd": -0.13876766635421856, "first": "2001-12-03", "verdict": "no 5y window", "alpha_name": false}, "cusex": {"sym": "cusex", "name": "Capital Group U.S. Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0018676703975788272, "alpha_t_5y": -0.12328224910700027, "alpha_t_full": -0.1612780394295052, "r2_5y": 0.9461029325386221, "r2_full": 0.9618946968597764, "corr_portfolio": 0.27967211508772066, "corr_benchmark": 0.6146069280071785, "alpha_pos_frac": 0.5027932960893855, "fund_max_dd": -0.30159879425816694, "first": "2011-04-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cwbfx": {"sym": "cwbfx", "name": "CAPITAL WORLD BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01758181332597492, "alpha_t_5y": -2.1780183844859726, "alpha_t_full": 5.075221977121615, "r2_5y": 0.9089422449399308, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.017548836695955257, "corr_benchmark": 0.6025150967524927, "alpha_pos_frac": 0.4605263157894737, "fund_max_dd": -0.27913623429064505, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cwgix": {"sym": "cwgix", "name": "CAPITAL WORLD GROWTH & INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005295649387157745, "alpha_t_5y": -0.4024377755412209, "alpha_t_full": 4.269262342732834, "r2_5y": 0.9583629453802858, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.3455265621097431, "corr_benchmark": 0.5976259262526823, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5406273954586027, "first": "1993-03-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "cxhyx": {"sym": "cxhyx", "name": "Nomura National High-Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001692810370046654, "alpha_t_5y": 0.09001315641123613, "alpha_t_full": 6.216896724112668, "r2_5y": 0.4052257864276546, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.05541654463553314, "corr_benchmark": 0.35972360048557855, "alpha_pos_frac": 0.5953307392996109, "fund_max_dd": -0.21814596862872238, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "cybax": {"sym": "cybax", "name": "Calvert High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0022977821278152774, "alpha_t_5y": -0.41331100071632576, "alpha_t_full": 2.177232514381936, "r2_5y": 0.9102413561082331, "r2_full": 0.6641453846452645, "corr_portfolio": 0.2903668700091865, "corr_benchmark": 0.47094654702161676, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.3041131787534861, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "czmgx": {"sym": "czmgx", "name": "Columbia Integrated Large Cap Growth Fund II", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027511589911792138, "alpha_t_5y": -1.6120388371330538, "alpha_t_full": -1.201461795209821, "r2_5y": 0.9640363583694135, "r2_full": 0.9662715432574663, "corr_portfolio": 0.11409922483904655, "corr_benchmark": 0.6453034994261324, "alpha_pos_frac": 0.5181818181818182, "fund_max_dd": -0.3522679178989334, "first": "2017-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "czmsx": {"sym": "czmsx", "name": "Multi-Manager Small Cap Equity Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02151433452245592, "alpha_t_5y": -1.4827326889061718, "alpha_t_full": -0.7673926997498722, "r2_5y": 0.9742635338088821, "r2_full": 0.9775861673404711, "corr_portfolio": 0.2651823518503439, "corr_benchmark": 0.5719735967346525, "alpha_pos_frac": 0.5272727272727272, "fund_max_dd": -0.4156571769366513, "first": "2017-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "czmvx": {"sym": "czmvx", "name": "Multi-Manager Value Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -7.609071065594716e-06, "alpha_t_5y": -0.0004964458525896136, "alpha_t_full": 0.5857934648428721, "r2_5y": 0.9384666021247926, "r2_full": 0.9581696404079431, "corr_portfolio": 0.388798668971174, "corr_benchmark": 0.5577091562530161, "alpha_pos_frac": 0.5181818181818182, "fund_max_dd": -0.37423219651958606, "first": "2017-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "dagvx": {"sym": "dagvx", "name": "BNY Mellon Dynamic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.041550329252488, "alpha_t_5y": 2.106284973269072, "alpha_t_full": 1.1253782984261864, "r2_5y": 0.910129873802371, "r2_full": 0.9103567481054946, "corr_portfolio": 0.3990619591523295, "corr_benchmark": 0.5025180335739345, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.550402249445293, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "davpx": {"sym": "davpx", "name": "Davenport Core Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021704424876793065, "alpha_t_5y": -1.2929862646875623, "alpha_t_full": 0.07422967509332185, "r2_5y": 0.9414720717923156, "r2_full": 0.947504917314395, "corr_portfolio": 0.26715307721690285, "corr_benchmark": 0.6143301770940472, "alpha_pos_frac": 0.4708171206225681, "fund_max_dd": -0.5180554947853084, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dbalx": {"sym": "dbalx", "name": "Davenport Balanced Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0002752222575518082, "alpha_t_5y": 0.023451539120395437, "alpha_t_full": 0.18827806059659366, "r2_5y": 0.8941171924898418, "r2_full": 0.9265541718038284, "corr_portfolio": 0.3587815708726959, "corr_benchmark": 0.6230696546604301, "alpha_pos_frac": 0.6065573770491803, "fund_max_dd": -0.2788811818902781, "first": "2016-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dbicx": {"sym": "dbicx", "name": "DWS Global Macro Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008958521689852273, "alpha_t_5y": -0.781548491843171, "alpha_t_full": -0.1580111206369707, "r2_5y": 0.844675487118287, "r2_full": 0.7865956066939078, "corr_portfolio": 0.30334616811530735, "corr_benchmark": 0.5034606122491824, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.6394527499376437, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": true}, "dbmix": {"sym": "dbmix", "name": "BNY Mellon Bond Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009927905299534352, "alpha_t_5y": -0.21515100179507393, "alpha_t_full": 5.061843105366477, "r2_5y": 0.9652301591861139, "r2_full": -6.661338147750939e-16, "corr_portfolio": -0.11772772706375804, "corr_benchmark": 0.6890964385787227, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.19381479613484698, "first": "1994-04-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dboax": {"sym": "dboax", "name": "BNY Mellon Balanced Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01087810042326374, "alpha_t_5y": -1.1092097859328263, "alpha_t_full": -2.7428045096390687, "r2_5y": 0.9607615804713707, "r2_full": 0.9574071242476717, "corr_portfolio": 0.26024753055931127, "corr_benchmark": 0.6806589105482995, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.42425501582744496, "first": "2004-02-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dccax": {"sym": "dccax", "name": "Nomura Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010213712005567354, "alpha_t_5y": 0.5590415061198096, "alpha_t_full": 0.19974437716872917, "r2_5y": 0.9572466813195241, "r2_full": 0.8587095562774058, "corr_portfolio": 0.2797211782632119, "corr_benchmark": 0.5305667684501791, "alpha_pos_frac": 0.6470588235294118, "fund_max_dd": -0.6033743954451982, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dcpyx": {"sym": "dcpyx", "name": "BNY Mellon Core Plus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004289429347387334, "alpha_t_5y": 0.8347756777268637, "alpha_t_full": -0.43216952971445827, "r2_5y": 0.9535810233014901, "r2_full": 0.873050039221247, "corr_portfolio": -0.016272728918928288, "corr_benchmark": 0.7194908855328394, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1900828860903102, "first": "2010-12-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dcsvx": {"sym": "dcsvx", "name": "Dunham Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023714674664141146, "alpha_t_5y": 0.9097294159148681, "alpha_t_full": -0.43878536847497523, "r2_5y": 0.909257981788177, "r2_full": 0.9272973688616087, "corr_portfolio": 0.3618114563621494, "corr_benchmark": 0.4841282647698109, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6282930510334706, "first": "2004-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dcuax": {"sym": "dcuax", "name": "DWS CROCI U.S. Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013155635825317867, "alpha_t_5y": 0.5098007733705114, "alpha_t_full": -0.8488731327165226, "r2_5y": 0.85174044701647, "r2_full": 0.8839599734230728, "corr_portfolio": 0.3561586474358129, "corr_benchmark": 0.5562405727503742, "alpha_pos_frac": 0.48854961832061067, "fund_max_dd": -0.4190938206412135, "first": "2015-04-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dddax": {"sym": "dddax", "name": "13D Activist Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02025056611051434, "alpha_t_5y": -0.5458671563309999, "alpha_t_full": 0.14636845296440454, "r2_5y": 0.8039274293651604, "r2_full": 0.8454007688057258, "corr_portfolio": 0.29151716718119575, "corr_benchmark": 0.5391288980619449, "alpha_pos_frac": 0.5647058823529412, "fund_max_dd": -0.43831314666523946, "first": "2012-01-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "ddfax": {"sym": "ddfax", "name": "Nomura Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.041914194133957305, "alpha_t_5y": 5.099297100814656, "alpha_t_full": 3.2160530812919763, "r2_5y": 0.4342608942813231, "r2_full": 0.44780502382667786, "corr_portfolio": 0.2782139573064615, "corr_benchmark": 0.21449920370657755, "alpha_pos_frac": 0.4375, "fund_max_dd": -0.1808905013062625, "first": "2010-03-01", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "ddiax": {"sym": "ddiax", "name": "Nomura Wealth Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009976400248643658, "alpha_t_5y": 1.0996717470065709, "alpha_t_full": 2.41817778351011, "r2_5y": 0.9567454762289718, "r2_full": 0.8776756267553002, "corr_portfolio": 0.3564902135728801, "corr_benchmark": 0.6459200073292477, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.47216419966393997, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ddvax": {"sym": "ddvax", "name": "Nomura Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026372303039450637, "alpha_t_5y": -1.166688796815623, "alpha_t_full": -0.13215931942945164, "r2_5y": 0.861502206015113, "r2_full": 0.8710714508118008, "corr_portfolio": 0.3988104415560527, "corr_benchmark": 0.5172182781884438, "alpha_pos_frac": 0.5680933852140078, "fund_max_dd": -0.5373544319118111, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dedax": {"sym": "dedax", "name": "Nomura Emerging Markets Debt Corporate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012962857605108947, "alpha_t_5y": -1.0358914482895578, "alpha_t_full": 2.5366109605285576, "r2_5y": 0.48029315441583487, "r2_full": 0.5061293717113164, "corr_portfolio": 0.2547809871673848, "corr_benchmark": 0.4115065436045657, "alpha_pos_frac": 0.5838926174496645, "fund_max_dd": -0.20320790845836378, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "deeax": {"sym": "deeax", "name": "Nomura Extended Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010191069813289213, "alpha_t_5y": -1.165107729436209, "alpha_t_full": 3.3494631938672828, "r2_5y": 0.9667369564090277, "r2_full": 6.661338147750939e-16, "corr_portfolio": -0.03530938114328294, "corr_benchmark": 0.737169557947635, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.3467735164930591, "first": "1998-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "deffx": {"sym": "deffx", "name": "Nomura Tax-Free Minnesota Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018717910987163869, "alpha_t_5y": 0.12435193144419887, "alpha_t_full": 6.105596372538581, "r2_5y": 0.3683238184226155, "r2_full": -1.9984014443252818e-15, "corr_portfolio": 0.0347045108061029, "corr_benchmark": 0.33993463840610777, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.14700191331347756, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "deggx": {"sym": "deggx", "name": "Nomura Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006735207387590808, "alpha_t_5y": 0.8164310865590094, "alpha_t_full": 6.329763008131486, "r2_5y": 0.7503725703680424, "r2_full": -3.1086244689504383e-15, "corr_portfolio": 0.16807549200539695, "corr_benchmark": 0.5578936077181569, "alpha_pos_frac": 0.4262948207171315, "fund_max_dd": -0.1679588222682863, "first": "1996-06-21", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "delix": {"sym": "delix", "name": "Nomura Tax-Free Pennsylvania Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006783515096579566, "alpha_t_5y": 0.3954484444107668, "alpha_t_full": 5.6969749684743425, "r2_5y": 0.39706378418655985, "r2_full": -1.3322676295501878e-15, "corr_portfolio": 0.03155382856600083, "corr_benchmark": 0.35795300442927824, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.17299409643230312, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "demax": {"sym": "demax", "name": "Nomura Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09054438404570825, "alpha_t_5y": 1.1549450738947462, "alpha_t_full": 3.1254808097167213, "r2_5y": 0.613582669571339, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.24401351630599663, "corr_benchmark": 0.40265047451725144, "alpha_pos_frac": 0.4125560538116592, "fund_max_dd": -0.6322706754654585, "first": "1996-06-11", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "deopx": {"sym": "deopx", "name": "Davenport Equity Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0422386317866778, "alpha_t_5y": -1.326209561373008, "alpha_t_full": -0.6019890751493795, "r2_5y": 0.8390975724841188, "r2_full": 0.8797891604858035, "corr_portfolio": 0.2572406006709522, "corr_benchmark": 0.6060807106177574, "alpha_pos_frac": 0.5769230769230769, "fund_max_dd": -0.37757335513903734, "first": "2011-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "deqax": {"sym": "deqax", "name": "BNY Mellon Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02334274121558905, "alpha_t_5y": 1.1953615691330124, "alpha_t_full": 1.2901405261931231, "r2_5y": 0.8674081987864978, "r2_full": 0.8744209317739196, "corr_portfolio": 0.4143968153077278, "corr_benchmark": 0.552164118154381, "alpha_pos_frac": 0.5136363636363637, "fund_max_dd": -0.5285464529052734, "first": "2007-10-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dessx": {"sym": "dessx", "name": "DWS Enhanced Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014755853730983447, "alpha_t_5y": 1.4212454409113935, "alpha_t_full": -0.43734660607659875, "r2_5y": 0.9789026860557892, "r2_full": 0.9410278894879079, "corr_portfolio": 0.26947614275456194, "corr_benchmark": 0.5927596374182127, "alpha_pos_frac": 0.5748987854251012, "fund_max_dd": -0.5821335574744276, "first": "2005-08-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "devlx": {"sym": "devlx", "name": "Nomura Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014187568041301077, "alpha_t_5y": 0.5408365966590558, "alpha_t_full": 3.39032274152101, "r2_5y": 0.9131426547828262, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.36246876752111673, "corr_benchmark": 0.47796694714956156, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.6008127858495343, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfac": {"sym": "dfac", "name": "Dimensional U.S. Core Equity 2 ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033185230432256764, "alpha_t_5y": 0.3963931186837382, "alpha_t_full": 0.3963931186837382, "r2_5y": 0.9875241027327598, "r2_full": 0.9875241027327598, "corr_portfolio": 0.16747873728248439, "corr_benchmark": 0.6548113823430975, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.23113958654472233, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfas": {"sym": "dfas", "name": "Dimensional U.S. Small Cap ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0178976792102959, "alpha_t_5y": 1.0709699411325257, "alpha_t_full": 1.0709699411325257, "r2_5y": 0.9664043697047044, "r2_full": 0.9664043697047044, "corr_portfolio": 0.18879371269858014, "corr_benchmark": 0.5775836572097001, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.26129853679353865, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfat": {"sym": "dfat", "name": "Dimensional U.S. Targeted Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03998926276655368, "alpha_t_5y": 1.4946678211217461, "alpha_t_full": 1.4946678211217461, "r2_5y": 0.9184613640420478, "r2_full": 0.9184613640420478, "corr_portfolio": 0.2707254645063862, "corr_benchmark": 0.5209493781776272, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.26116933725218905, "first": "2021-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfeox": {"sym": "dfeox", "name": "U.S. CORE EQUITY 1 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005743963030147421, "alpha_t_5y": 0.8847892278798363, "alpha_t_full": 1.2759101525563108, "r2_5y": 0.9915758534890151, "r2_full": 0.9631788625780257, "corr_portfolio": 0.30463920703149805, "corr_benchmark": 0.5665994340119563, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.5677201057180712, "first": "2005-09-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dffvx": {"sym": "dffvx", "name": "U.S. Targeted Value Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05192080662831633, "alpha_t_5y": 2.0191713750499916, "alpha_t_full": 1.799884681146203, "r2_5y": 0.9203655372465399, "r2_full": 0.9069742182198998, "corr_portfolio": 0.3561392477750663, "corr_benchmark": 0.4342961375901443, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.6513103748708418, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dflax": {"sym": "dflax", "name": "BNY Mellon Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028600230366250597, "alpha_t_5y": 3.624539313567535, "alpha_t_full": 4.329482107135524, "r2_5y": 0.31741080803543786, "r2_full": 0.5009004741886638, "corr_portfolio": 0.31587241732489957, "corr_benchmark": 0.24736221127793148, "alpha_pos_frac": 0.5302013422818792, "fund_max_dd": -0.1895822666532624, "first": "2013-09-30", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "dflex": {"sym": "dflex", "name": "DoubleLine Flexible Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028406724392914213, "alpha_t_5y": 5.4419309306895505, "alpha_t_full": 4.164005626245614, "r2_5y": 0.565999355697792, "r2_full": 0.4185955200621432, "corr_portfolio": 0.16057088019139903, "corr_benchmark": 0.37341032895821474, "alpha_pos_frac": 0.6013986013986014, "fund_max_dd": -0.172953786181673, "first": "2014-04-10", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "dfqtx": {"sym": "dfqtx", "name": "U.S. CORE EQUITY 2 PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007800259117753435, "alpha_t_5y": 1.0036779907103788, "alpha_t_full": 1.2323779213704864, "r2_5y": 0.9880739050662481, "r2_full": 0.959521934101207, "corr_portfolio": 0.31206193350712147, "corr_benchmark": 0.5533855720079288, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.5935120770438427, "first": "2005-09-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfrex": {"sym": "dfrex", "name": "DFA REAL ESTATE SECURITIES PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008486825591755849, "alpha_t_5y": 1.2617747845659293, "alpha_t_full": 2.828169004334834, "r2_5y": 0.9924521235020608, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.22431609337800076, "corr_benchmark": 0.5390872797266717, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.7435856892153729, "first": "1993-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfstx": {"sym": "dfstx", "name": "U.S. SMALL CAP PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.025946965322963984, "alpha_t_5y": 1.588029621231152, "alpha_t_full": 3.4453161622368738, "r2_5y": 0.9648194718403937, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.30651412729276556, "corr_benchmark": 0.4844811662416213, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.609940920452767, "first": "1992-03-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfsvx": {"sym": "dfsvx", "name": "U.S. SMALL CAP VALUE PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05760642062969535, "alpha_t_5y": 2.127016196408087, "alpha_t_full": 3.5610367143044312, "r2_5y": 0.9120905333803518, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3541278112011921, "corr_benchmark": 0.425867242120258, "alpha_pos_frac": 0.44680851063829785, "fund_max_dd": -0.6670292066979779, "first": "1993-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfusx": {"sym": "dfusx", "name": "U.S. LARGE COMPANY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009914621692480013, "alpha_t_5y": 0.19309930130657227, "alpha_t_full": 0.10894801897732415, "r2_5y": 0.9946848359395642, "r2_full": 0.9817714194218655, "corr_portfolio": 0.28268444464424947, "corr_benchmark": 0.6152884362612918, "alpha_pos_frac": 0.5372168284789643, "fund_max_dd": -0.5495964160160751, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dfvex": {"sym": "dfvex", "name": "U.S. VECTOR EQUITY PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011632792281751035, "alpha_t_5y": 0.8234395540831263, "alpha_t_full": 1.4492067825957802, "r2_5y": 0.9661189823125828, "r2_full": 0.9488028338949345, "corr_portfolio": 0.34908907495294184, "corr_benchmark": 0.49565547725828896, "alpha_pos_frac": 0.4851063829787234, "fund_max_dd": -0.6271446828981191, "first": "2006-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dgagx": {"sym": "dgagx", "name": "BNY Mellon Appreciation Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04744405185685411, "alpha_t_5y": -2.950849828450629, "alpha_t_full": 3.77798319986986, "r2_5y": 0.9471978526860083, "r2_full": 0.0, "corr_portfolio": 0.2534308050139968, "corr_benchmark": 0.619725330700004, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.4880058138124963, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dgcax": {"sym": "dgcax", "name": "Nomura Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006324309595359236, "alpha_t_5y": -1.0878685994525508, "alpha_t_full": 4.865821346719446, "r2_5y": 0.9524245184144187, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.02335937417244287, "corr_benchmark": 0.7199018585340871, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.23176997002078337, "first": "1998-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dgeax": {"sym": "dgeax", "name": "BNY Mellon Global Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.047630655729883564, "alpha_t_5y": -1.218227649391482, "alpha_t_full": -0.22962904127581132, "r2_5y": 0.7255634964299813, "r2_full": 0.7537893743906288, "corr_portfolio": 0.25101831558617815, "corr_benchmark": 0.4478041964688626, "alpha_pos_frac": 0.43448275862068964, "fund_max_dd": -0.4321532826724248, "first": "2014-02-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "dglax": {"sym": "dglax", "name": "BNY Mellon Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05017044414157069, "alpha_t_5y": -2.3044467472291634, "alpha_t_full": -0.9161027922566527, "r2_5y": 0.8957143162926099, "r2_full": 0.9042245880734646, "corr_portfolio": 0.26884547636106726, "corr_benchmark": 0.6140940047720933, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.4388489535023249, "first": "2007-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dhgax": {"sym": "dhgax", "name": "BNY Mellon Global Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008395785065779886, "alpha_t_5y": 1.0371038205763823, "alpha_t_full": 1.2915787948811501, "r2_5y": 0.7479826025171576, "r2_full": 0.6366489045730359, "corr_portfolio": 0.018443089889281766, "corr_benchmark": 0.6402274363526256, "alpha_pos_frac": 0.4564102564102564, "fund_max_dd": -0.14846417880357787, "first": "2009-12-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "dhlax": {"sym": "dhlax", "name": "Diamond Hill Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024547796943762926, "alpha_t_5y": -1.1067791286606328, "alpha_t_full": 0.6692391866645093, "r2_5y": 0.8875361555089993, "r2_full": 0.9055843956855834, "corr_portfolio": 0.37413884182690993, "corr_benchmark": 0.5287589483814468, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5221163952892658, "first": "2001-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dhmbx": {"sym": "dhmbx", "name": "BNY Mellon High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0002771001821895039, "alpha_t_5y": -0.014529822769043283, "alpha_t_full": 0.7353029284890574, "r2_5y": 0.392177775830139, "r2_full": 0.300333819008481, "corr_portfolio": 0.06541736603955979, "corr_benchmark": 0.3439629956282137, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.27661284244412654, "first": "2005-10-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "dhtax": {"sym": "dhtax", "name": "Diamond Hill Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010286101720052896, "alpha_t_5y": 0.29095139178166085, "alpha_t_full": 0.504899184954585, "r2_5y": 0.8354394853462556, "r2_full": 0.880256877071824, "corr_portfolio": 0.34241889613018117, "corr_benchmark": 0.5103401976028332, "alpha_pos_frac": 0.4834710743801653, "fund_max_dd": -0.5142129870665421, "first": "2006-01-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "dial": {"sym": "dial", "name": "Columbia Diversified Fixed Income Allocation ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01779592754661891, "alpha_t_5y": -1.8118403516790604, "alpha_t_full": -0.3478843876177707, "r2_5y": 0.8820185472895994, "r2_full": 0.6571530305677018, "corr_portfolio": 0.051727050486643424, "corr_benchmark": 0.6713931743073369, "alpha_pos_frac": 0.51, "fund_max_dd": -0.22186745794811102, "first": "2017-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dibax": {"sym": "dibax", "name": "BNY Mellon International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016084421355358522, "alpha_t_5y": -1.255661127520654, "alpha_t_full": 0.009112773542115085, "r2_5y": 0.8257389758562138, "r2_full": 0.6477109379529071, "corr_portfolio": 0.06975656000439666, "corr_benchmark": 0.414924029102727, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.3099498897274241, "first": "2006-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "difax": {"sym": "difax", "name": "MFS Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007242113326169416, "alpha_t_5y": 0.1032694900725035, "alpha_t_full": -0.00015137256732595007, "r2_5y": 0.9369388051120815, "r2_full": 0.9453956827386147, "corr_portfolio": 0.33920779248964134, "corr_benchmark": 0.694429298012178, "alpha_pos_frac": 0.5527426160337553, "fund_max_dd": -0.35241227466974046, "first": "2006-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "diisx": {"sym": "diisx", "name": "BNY Mellon International Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0015510896048828316, "alpha_t_5y": 0.08357917766730465, "alpha_t_full": 0.8281591213898534, "r2_5y": 0.9220987881685192, "r2_full": 0.8472068427922702, "corr_portfolio": 0.38436017062138594, "corr_benchmark": 0.5241935899711841, "alpha_pos_frac": 0.512396694214876, "fund_max_dd": -0.605981406407339, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "disax": {"sym": "disax", "name": "BNY Mellon International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07812415988543833, "alpha_t_5y": -2.7885819935543625, "alpha_t_full": -1.205691088439532, "r2_5y": 0.8339992380607587, "r2_full": 0.847729850910793, "corr_portfolio": 0.2685181245126496, "corr_benchmark": 0.5536056275775565, "alpha_pos_frac": 0.591304347826087, "fund_max_dd": -0.45847016832989185, "first": "2007-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "dissx": {"sym": "dissx", "name": "BNY Mellon Smallcap Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014243954213642667, "alpha_t_5y": 0.7084644466315528, "alpha_t_full": 1.3619954675248913, "r2_5y": 0.951181508138551, "r2_full": 0.9526668960415876, "corr_portfolio": 0.30841779164833555, "corr_benchmark": 0.5162245215448675, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.5829664061874964, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ditex": {"sym": "ditex", "name": "BNY Mellon Intermediate Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0032251923173837135, "alpha_t_5y": 0.32342359815370453, "alpha_t_full": 8.164428737096845, "r2_5y": 0.37450327644765036, "r2_full": 0.0, "corr_portfolio": 0.03340548286177864, "corr_benchmark": 0.3403893421352578, "alpha_pos_frac": 0.5265017667844523, "fund_max_dd": -0.11677739954810062, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "divhx": {"sym": "divhx", "name": "Cutler Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01373361342416848, "alpha_t_5y": 0.2228921887764687, "alpha_t_full": 0.22387892265403458, "r2_5y": 0.4469583947504071, "r2_full": 0.4536630537555546, "corr_portfolio": 0.17297900516203735, "corr_benchmark": 0.41060670265789856, "alpha_pos_frac": 0.484375, "fund_max_dd": -0.3315026878953691, "first": "2020-10-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "dlhax": {"sym": "dlhax", "name": "Nomura Healthcare Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016859386688050263, "alpha_t_5y": 0.3484929671630248, "alpha_t_full": 2.390627694753001, "r2_5y": 0.501737953245766, "r2_full": 0.690179889824949, "corr_portfolio": 0.22129741856273794, "corr_benchmark": 0.49133203243323836, "alpha_pos_frac": 0.5067873303167421, "fund_max_dd": -0.3464478511220901, "first": "2007-10-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "dlqax": {"sym": "dlqax", "name": "BNY Mellon Large Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03821567463390154, "alpha_t_5y": -2.7040759825016787, "alpha_t_full": -0.5678022842163231, "r2_5y": 0.9627731433401128, "r2_full": 0.9328089917663408, "corr_portfolio": 0.2684712043554961, "corr_benchmark": 0.5973101938487969, "alpha_pos_frac": 0.543859649122807, "fund_max_dd": -0.6084888570091624, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dltrx": {"sym": "dltrx", "name": "Nomura Limited-Term Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014804666027616438, "alpha_t_5y": -2.410119727303281, "alpha_t_full": 2.639559373890048, "r2_5y": 0.7141450251814119, "r2_full": 0.53699842620344, "corr_portfolio": -0.023842928935355934, "corr_benchmark": 0.4670207303004375, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.0744118782838673, "first": "2003-06-02", "verdict": "weak/unstable alpha", "alpha_name": true}, "dmcvx": {"sym": "dmcvx", "name": "BNY Mellon Midcap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02640477022261345, "alpha_t_5y": -1.1936643020759081, "alpha_t_full": 0.5274037741824797, "r2_5y": 0.9075861895471402, "r2_full": 0.8839554140190911, "corr_portfolio": 0.33320416418562776, "corr_benchmark": 0.5308071480829266, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5831109378408257, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dmszx": {"sym": "dmszx", "name": "Destinations Multi Strategy Alternatives Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.033133369430583086, "alpha_t_5y": 3.4731356626798315, "alpha_t_full": 2.537079157986993, "r2_5y": 0.5658661130101695, "r2_full": 0.6183622430517614, "corr_portfolio": 0.27114533278059666, "corr_benchmark": 0.4543087195661785, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.2111802646567632, "first": "2018-07-19", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": true}, "dmtfx": {"sym": "dmtfx", "name": "Nomura Tax-Free USA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015972537834982713, "alpha_t_5y": -0.07892471126759609, "alpha_t_full": 4.810449300228083, "r2_5y": 0.4192296053090052, "r2_full": 1.3322676295501878e-15, "corr_portfolio": 0.036736675334167974, "corr_benchmark": 0.382730787321019, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.2191387404769738, "first": "1996-06-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "dmuax": {"sym": "dmuax", "name": "BNY Mellon AMT-Free Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002156309669307026, "alpha_t_5y": 0.16780938679184762, "alpha_t_full": 1.4858743044731042, "r2_5y": 0.370057844219133, "r2_full": 0.3041827222625402, "corr_portfolio": 0.03746674191228839, "corr_benchmark": 0.3457160976637616, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.14361555473881005, "first": "2003-04-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "dmusx": {"sym": "dmusx", "name": "Nomura Tax-Free USA Intermediate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021848553130692856, "alpha_t_5y": 0.15689089607979162, "alpha_t_full": 6.3385751264708246, "r2_5y": 0.40415100802611026, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.034201496748888525, "corr_benchmark": 0.359683317496382, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16399318464431345, "first": "1996-06-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "dnlax": {"sym": "dnlax", "name": "BNY Mellon Natural Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0004073307092559654, "alpha_t_5y": 0.007367669204971283, "alpha_t_full": 1.0114236772578198, "r2_5y": 0.7406702534396785, "r2_full": 0.6610573568542131, "corr_portfolio": 0.40808297282880157, "corr_benchmark": 0.3925872954677195, "alpha_pos_frac": 0.3991031390134529, "fund_max_dd": -0.6914119234571507, "first": "2003-11-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "dnldx": {"sym": "dnldx", "name": "BNY Mellon Active MidCap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029731348255590965, "alpha_t_5y": 0.16091812578034106, "alpha_t_full": 3.3964325858693187, "r2_5y": 0.9412390088467035, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.3173049122582174, "corr_benchmark": 0.5900722027722836, "alpha_pos_frac": 0.5680933852140078, "fund_max_dd": -0.6369021190727286, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dnmzx": {"sym": "dnmzx", "name": "PGIM NATIONAL MUNI FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008852419499294033, "alpha_t_5y": 0.8960162241916837, "alpha_t_full": 5.350810832763114, "r2_5y": 0.3374522198969441, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.06565112484460696, "corr_benchmark": 0.2731984044179144, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.1266882352215838, "first": "1999-01-26", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "dodwx": {"sym": "dodwx", "name": "Dodge & Cox Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0330502321250468, "alpha_t_5y": 1.4709959061069844, "alpha_t_full": 1.538092279873866, "r2_5y": 0.8861332956521408, "r2_full": 0.9363125989478127, "corr_portfolio": 0.40869798583939865, "corr_benchmark": 0.5042382991054778, "alpha_pos_frac": 0.4485981308411215, "fund_max_dd": -0.6299603238903883, "first": "2008-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "domix": {"sym": "domix", "name": "Domini Impact International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002074486369211233, "alpha_t_5y": 0.1073373807556698, "alpha_t_full": -0.8663787675864414, "r2_5y": 0.9174453682327193, "r2_full": 0.8634292118303811, "corr_portfolio": 0.38584491300828866, "corr_benchmark": 0.5134959550669821, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.6503433920226953, "first": "2006-12-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dpcfx": {"sym": "dpcfx", "name": "Nomura Diversified Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009827995765921152, "alpha_t_5y": -1.7573068717890346, "alpha_t_full": -0.3963947957386501, "r2_5y": 0.9482988236237405, "r2_full": 0.38187509130722885, "corr_portfolio": -0.009656929667627531, "corr_benchmark": 0.7216922354923229, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.2062761957149597, "first": "2002-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "dpiax": {"sym": "dpiax", "name": "Destra Flaherty & Crumrine Preferred and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.053313377151672156, "alpha_t_5y": 2.7149326228966277, "alpha_t_full": 2.4354163232402137, "r2_5y": 0.4254041825379421, "r2_full": 0.49347561710686305, "corr_portfolio": 0.2620759028493733, "corr_benchmark": 0.4467454568168038, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.2992446170973274, "first": "2011-04-13", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "dpltx": {"sym": "dpltx", "name": "BNY Mellon High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003255832784294117, "alpha_t_5y": -0.4071015550497357, "alpha_t_full": 4.706119146469426, "r2_5y": 0.8522889836982803, "r2_full": -1.3322676295501878e-15, "corr_portfolio": 0.3045541105076022, "corr_benchmark": 0.43779467998861443, "alpha_pos_frac": 0.4879725085910653, "fund_max_dd": -0.28790903609103113, "first": "1997-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dprex": {"sym": "dprex", "name": "Nomura Global Listed Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004575627351517898, "alpha_t_5y": 0.28722101132743744, "alpha_t_full": 2.9398288050478354, "r2_5y": 0.8662873113436009, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.3218496306006807, "corr_benchmark": 0.5589713649605147, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.7112247909054027, "first": "1995-11-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dqiax": {"sym": "dqiax", "name": "BNY Mellon Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020373165162797403, "alpha_t_5y": 1.4280882453151071, "alpha_t_full": 0.7483947456466892, "r2_5y": 0.9531424708072186, "r2_full": 0.9566651324766597, "corr_portfolio": 0.3479695908320923, "corr_benchmark": 0.5885668263927838, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.5097112787662614, "first": "2006-07-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "drcax": {"sym": "drcax", "name": "BNY Mellon California AMT-Free Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007666573005541194, "alpha_t_5y": 0.0599765686942929, "alpha_t_full": 6.392811725057247, "r2_5y": 0.41297405738165105, "r2_full": 2.55351295663786e-15, "corr_portfolio": 0.034329131261950294, "corr_benchmark": 0.3639811993788901, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15388195815049344, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "drcvx": {"sym": "drcvx", "name": "COMSTOCK CAPITAL VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02809901571740159, "alpha_t_5y": 2.111689500738219, "alpha_t_full": -2.1180602781760673, "r2_5y": 0.43997707341603776, "r2_full": 4.440892098500626e-16, "corr_portfolio": -0.15244119638974044, "corr_benchmark": -0.11068108122953976, "alpha_pos_frac": 0.44329896907216493, "fund_max_dd": -0.9668306570465114, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "dregx": {"sym": "dregx", "name": "DRIEHAUS EMERGING MARKETS GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018990192398031496, "alpha_t_5y": -0.6693457064545, "alpha_t_full": 2.3293726111160926, "r2_5y": 0.8561302976974396, "r2_full": 0.34428434905661776, "corr_portfolio": 0.2924649406410685, "corr_benchmark": 0.46803941523495624, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6543917964938011, "first": "1999-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dreqx": {"sym": "dreqx", "name": "BNY Mellon Research Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.053128733863620166, "alpha_t_5y": -2.055459709064311, "alpha_t_full": 3.3386946059257125, "r2_5y": 0.9332948806130833, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.12725585195737063, "corr_benchmark": 0.6154249836225658, "alpha_pos_frac": 0.47572815533980584, "fund_max_dd": -0.5201892772112281, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "drevx": {"sym": "drevx", "name": "BNY Mellon Large Cap Securities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010323541554385134, "alpha_t_5y": -0.6738515964150399, "alpha_t_full": 3.3980743423105197, "r2_5y": 0.9615891297705789, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.2541088104083007, "corr_benchmark": 0.6029482922964576, "alpha_pos_frac": 0.5258620689655172, "fund_max_dd": -0.546778014744478, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "drlix": {"sym": "drlix", "name": "BNY Mellon Developed Markets Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00718207454249549, "alpha_t_5y": -0.404322052154902, "alpha_t_full": -1.4960817381210172, "r2_5y": 0.9307933294532229, "r2_full": 0.9136846755454687, "corr_portfolio": 0.29432039074532024, "corr_benchmark": 0.5896873656579755, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6797366464600246, "first": "2007-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "drnjx": {"sym": "drnjx", "name": "BNY Mellon New Jersey Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006997120656346468, "alpha_t_5y": 0.05281205818877172, "alpha_t_full": 6.972568873774931, "r2_5y": 0.3733906353296197, "r2_full": 1.2212453270876722e-15, "corr_portfolio": 0.03351997154967943, "corr_benchmark": 0.3490311532860499, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.14480176413599744, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "drrax": {"sym": "drrax", "name": "BNY Mellon Global Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 0.2067529835369513, "r2_5y": NaN, "r2_full": 0.6736425116088385, "corr_portfolio": 0.4427608420456678, "corr_benchmark": 0.600649061594668, "alpha_pos_frac": 0.4603174603174603, "fund_max_dd": -0.15954052131449503, "first": "2010-05-13", "verdict": "no 5y window", "alpha_name": true}, "dscpx": {"sym": "dscpx", "name": "Davenport Small Cap Focus Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.033367313176834536, "alpha_t_5y": -1.010919908880988, "alpha_t_full": 0.38754128661193366, "r2_5y": 0.8410248722311553, "r2_full": 0.8651190811736287, "corr_portfolio": 0.2565656977420842, "corr_benchmark": 0.5513194352597292, "alpha_pos_frac": 0.5746268656716418, "fund_max_dd": -0.41992677064757566, "first": "2015-01-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "dsibx": {"sym": "dsibx", "name": "BNY Mellon Short Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008515595518795384, "alpha_t_5y": 1.730254601494266, "alpha_t_full": 10.955035197565307, "r2_5y": 0.3025084908139921, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.042088645703269444, "corr_benchmark": 0.2739841382499099, "alpha_pos_frac": 0.5123674911660777, "fund_max_dd": -0.05924076451734317, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "dspix": {"sym": "dspix", "name": "BNY Mellon Institutional S&P 500 Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0002599807916688486, "alpha_t_5y": -0.04229688474301563, "alpha_t_full": -0.07723845454491288, "r2_5y": 0.9923992259801443, "r2_full": 0.9796570470739399, "corr_portfolio": 0.27933354213830136, "corr_benchmark": 0.6165400903951814, "alpha_pos_frac": 0.48220064724919093, "fund_max_dd": -0.5531542458373537, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dstix": {"sym": "dstix", "name": "BNY Mellon Short Term Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012825218461286493, "alpha_t_5y": 2.5859378471967895, "alpha_t_full": 8.148950086079271, "r2_5y": 0.7754012958315166, "r2_full": 5.218048215738236e-15, "corr_portfolio": 0.06714814425872993, "corr_benchmark": 0.49263164043081403, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.08591386879643392, "first": "1992-08-19", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "dtcax": {"sym": "dtcax", "name": "BNY Mellon Sustainable U.S. Equity Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02776726608289761, "alpha_t_5y": -1.9134557003312158, "alpha_t_full": -2.4267333600409193, "r2_5y": 0.9622060247359655, "r2_full": 0.9465376924371556, "corr_portfolio": 0.24616118011124877, "corr_benchmark": 0.61508306985, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.644111222865915, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dtgrx": {"sym": "dtgrx", "name": "BNY Mellon Technology Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02812217257942316, "alpha_t_5y": -0.836577680453762, "alpha_t_full": -0.2959155391144827, "r2_5y": 0.9269897599459976, "r2_full": 0.8711618588083082, "corr_portfolio": 0.08230918368104896, "corr_benchmark": 0.5716362418983703, "alpha_pos_frac": 0.4701195219123506, "fund_max_dd": -0.8323281591115329, "first": "1999-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dtlgx": {"sym": "dtlgx", "name": "LARGE COMPANY GROWTH PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027558138265557773, "alpha_t_5y": -1.3713524370153765, "alpha_t_full": 3.542501105429648, "r2_5y": 0.9524056663572912, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.155855961606925, "corr_benchmark": 0.583197759067117, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.5584415867898354, "first": "1992-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dultx": {"sym": "dultx", "name": "Nomura Ultrashort Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015514833043040351, "alpha_t_5y": 2.9267646517808714, "alpha_t_full": 5.963531155924488, "r2_5y": 0.271179656890306, "r2_full": 0.22338386293363166, "corr_portfolio": 0.10322573220202592, "corr_benchmark": 0.11225008197521752, "alpha_pos_frac": 0.4666666666666667, "fund_max_dd": -0.054335432014206875, "first": "2016-03-08", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "dura": {"sym": "dura", "name": "VanEck Durable High Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010791615682725061, "alpha_t_5y": 0.3235541737822752, "alpha_t_full": 0.34621597931534404, "r2_5y": 0.6507339614776982, "r2_full": 0.7955404618005479, "corr_portfolio": 0.35947040355437215, "corr_benchmark": 0.49885233979163407, "alpha_pos_frac": 0.5113636363636364, "fund_max_dd": -0.33145309656420685, "first": "2018-11-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "durpx": {"sym": "durpx", "name": "U.S. High Relative Profitability Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0024246095078497803, "alpha_t_5y": -0.16230495688347746, "alpha_t_full": 0.9460361246598118, "r2_5y": 0.9490603443538893, "r2_full": 0.7016456662509637, "corr_portfolio": 0.23017095661758966, "corr_benchmark": 0.5890524088113159, "alpha_pos_frac": 0.47619047619047616, "fund_max_dd": -0.3101604741821373, "first": "2017-05-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dusa": {"sym": "dusa", "name": "Davis Select U.S. Equity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016561986825477736, "alpha_t_5y": 0.47986294139182184, "alpha_t_full": 0.5679038662151014, "r2_5y": 0.7998078680453055, "r2_full": 0.8327524472695883, "corr_portfolio": 0.3048620383627722, "corr_benchmark": 0.5419894985594372, "alpha_pos_frac": 0.5779816513761468, "fund_max_dd": -0.3670695856081796, "first": "2017-01-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "dvipx": {"sym": "dvipx", "name": "Davenport Value & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013755787189088405, "alpha_t_5y": -0.7420935153460833, "alpha_t_full": 0.5539367165544985, "r2_5y": 0.897586827715658, "r2_full": 0.9348160818733877, "corr_portfolio": 0.38346202984370553, "corr_benchmark": 0.559510547048988, "alpha_pos_frac": 0.5054945054945055, "fund_max_dd": -0.3840182641707547, "first": "2011-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dvmhx": {"sym": "dvmhx", "name": "Nomura Minnesota High-Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006742503368722792, "alpha_t_5y": 0.42247343589282477, "alpha_t_full": 6.089902168813711, "r2_5y": 0.3724765724766218, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.049883532401377446, "corr_benchmark": 0.33974367856511606, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.1573915043888543, "first": "1996-06-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "dvrkx": {"sym": "dvrkx", "name": "MFS Global Alternative Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03588287341918375, "alpha_t_5y": -2.5601792923871005, "alpha_t_full": 0.11825277390891355, "r2_5y": 0.698298629153074, "r2_full": 0.598689458825495, "corr_portfolio": 0.28939483231244806, "corr_benchmark": 0.528260982200822, "alpha_pos_frac": 0.44036697247706424, "fund_max_dd": -0.36526493436948204, "first": "2007-12-20", "verdict": "weak/unstable alpha", "alpha_name": true}, "dvrux": {"sym": "dvrux", "name": "UBS US Dividend Ruler Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003111601130057287, "alpha_t_5y": 0.16725479836717647, "alpha_t_full": 0.14620086704358182, "r2_5y": 0.9082327374722615, "r2_full": 0.9106268568307392, "corr_portfolio": 0.19992630810397963, "corr_benchmark": 0.6236122961622179, "alpha_pos_frac": 0.5, "fund_max_dd": -0.19057961597769368, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dvtax": {"sym": "dvtax", "name": "Nomura Tax-Free California Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002044004502731558, "alpha_t_5y": 0.11451389175285667, "alpha_t_full": 5.951389278636239, "r2_5y": 0.41278995319274514, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.03034395265203771, "corr_benchmark": 0.381125863100558, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.18377893301306059, "first": "1995-03-02", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "dwas": {"sym": "dwas", "name": "Invesco Dorsey Wright SmallCap Momentum ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01620736880492704, "alpha_t_5y": -0.3815967345769216, "alpha_t_full": -0.31479969797736723, "r2_5y": 0.8626158024873801, "r2_full": 0.8503754796894405, "corr_portfolio": 0.23412808528516077, "corr_benchmark": 0.5115177118320464, "alpha_pos_frac": 0.49079754601226994, "fund_max_dd": -0.46164202155985146, "first": "2012-07-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dxhyx": {"sym": "dxhyx", "name": "DIREXION MONTHLY HIGH YIELD BULL 1.2X FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03973104299671163, "alpha_t_5y": -2.5256993852942085, "alpha_t_full": -2.6947795089459814, "r2_5y": 0.7949344599426208, "r2_full": 0.7796557132818276, "corr_portfolio": 0.23914444356402656, "corr_benchmark": 0.649509388155997, "alpha_pos_frac": 0.43333333333333335, "fund_max_dd": -0.2639900428798184, "first": "2016-02-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "dxklx": {"sym": "dxklx", "name": "Direxion Monthly 7-10 Year Treasury Bull 1.75X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05327742592060944, "alpha_t_5y": -9.813571161137762, "alpha_t_full": -4.83618690411671, "r2_5y": 0.9912927502022926, "r2_full": 0.9494617500222639, "corr_portfolio": -0.1957721594969771, "corr_benchmark": 0.6164582690638762, "alpha_pos_frac": 0.6046511627906976, "fund_max_dd": -0.4764276570083107, "first": "2005-04-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dxksx": {"sym": "dxksx", "name": "Direxion Monthly 7-10 Year Treasury Bear 1.75X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05037710080444283, "alpha_t_5y": 6.975249604266987, "alpha_t_full": 3.413848991601011, "r2_5y": 0.9899402650949395, "r2_full": 0.9144876769034488, "corr_portfolio": 0.1950823168815919, "corr_benchmark": -0.6028588758320356, "alpha_pos_frac": 0.4381443298969072, "fund_max_dd": -0.8423255545801098, "first": "2004-05-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "dxnlx": {"sym": "dxnlx", "name": "Direxion Monthly NASDAQ-100(R) Bull 1.25X Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0310539956402633, "alpha_t_5y": -2.595293466647759, "alpha_t_full": 1.6637506590409845, "r2_5y": 0.9902857912195554, "r2_full": 0.8077546805725211, "corr_portfolio": 0.08683276086212995, "corr_benchmark": 0.5740753526707119, "alpha_pos_frac": 0.0847457627118644, "fund_max_dd": -0.43773529004162626, "first": "2016-04-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eaalx": {"sym": "eaalx", "name": "Eaton Vance Atlanta Capital Focused Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03696901265752422, "alpha_t_5y": -1.1317929490686065, "alpha_t_full": -0.5826290070124512, "r2_5y": 0.7866560992304283, "r2_full": 0.8655735216102656, "corr_portfolio": 0.2230849197328193, "corr_benchmark": 0.5984765949694, "alpha_pos_frac": 0.5086206896551724, "fund_max_dd": -0.5115264766751066, "first": "2003-12-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "eaamx": {"sym": "eaamx", "name": "Eaton Vance Multi-Asset Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004218667191140363, "alpha_t_5y": 0.5432281809740749, "alpha_t_full": 0.9831960616258333, "r2_5y": 0.7789721690191704, "r2_full": 0.5750631987228751, "corr_portfolio": 0.3597123650486147, "corr_benchmark": 0.4237519485096767, "alpha_pos_frac": 0.5116279069767442, "fund_max_dd": -0.20878691672365368, "first": "2011-11-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "eaasx": {"sym": "eaasx", "name": "Eaton Vance Atlanta Capital SMID-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021347415867136014, "alpha_t_5y": -0.693280447363873, "alpha_t_full": 1.652359497200809, "r2_5y": 0.8194408813332832, "r2_full": 0.8824401570769038, "corr_portfolio": 0.3177014082475925, "corr_benchmark": 0.5410859922282494, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.4554757423842022, "first": "2003-12-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "eablx": {"sym": "eablx", "name": "Eaton Vance Floating-Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030510881901090418, "alpha_t_5y": 3.903486115664523, "alpha_t_full": 3.1374143408052344, "r2_5y": 0.504156488008984, "r2_full": 0.507156778168417, "corr_portfolio": 0.2986668557019146, "corr_benchmark": 0.23175272300793182, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.3276498858898982, "first": "2001-11-13", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "eacax": {"sym": "eacax", "name": "Eaton Vance California Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007878176446237341, "alpha_t_5y": 0.6429912764094885, "alpha_t_full": 5.613507460862982, "r2_5y": 0.40927319398068807, "r2_full": 1.9984014443252818e-15, "corr_portfolio": 0.007281130014724794, "corr_benchmark": 0.36780226576336006, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2540129726852789, "first": "1994-05-31", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "eacox": {"sym": "eacox", "name": "Eaton Vance Emerging and Frontier Countries Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07470519765787476, "alpha_t_5y": 2.280845478431211, "alpha_t_full": 1.10122687376264, "r2_5y": 0.7233165667232633, "r2_full": 0.7622427732948873, "corr_portfolio": 0.3503994721720836, "corr_benchmark": 0.44029665974088145, "alpha_pos_frac": 0.5441176470588235, "fund_max_dd": -0.3905782377809244, "first": "2014-11-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "eacpx": {"sym": "eacpx", "name": "Eaton Vance Tax-Managed Multi-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05504489974500366, "alpha_t_5y": -2.615630195744913, "alpha_t_full": 0.11606493479752315, "r2_5y": 0.9395679462029565, "r2_full": 0.8542716291371466, "corr_portfolio": 0.16248589674323227, "corr_benchmark": 0.6097871953101764, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6338962265080781, "first": "2000-07-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eadix": {"sym": "eadix", "name": "Eaton Vance Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015439900443272092, "alpha_t_5y": -1.1849582220873642, "alpha_t_full": -1.870285050049061, "r2_5y": 0.9654666964629555, "r2_full": 0.93254072933722, "corr_portfolio": 0.3245131044438337, "corr_benchmark": 0.607675358776761, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.524640441925373, "first": "2003-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eaeax": {"sym": "eaeax", "name": "Eaton Vance Tax-Managed Equity Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01933252342359916, "alpha_t_5y": -1.869367173259894, "alpha_t_full": -1.0125562890768132, "r2_5y": 0.9748501488735138, "r2_full": 0.958451390350206, "corr_portfolio": 0.30164070103259244, "corr_benchmark": 0.6123462762401266, "alpha_pos_frac": 0.47844827586206895, "fund_max_dd": -0.5470898860237592, "first": "2002-03-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eaemx": {"sym": "eaemx", "name": "Parametric Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01640610548804318, "alpha_t_5y": 0.8467740713036904, "alpha_t_full": -0.8595818642322338, "r2_5y": 0.8513286506667974, "r2_full": 0.8874442182346726, "corr_portfolio": 0.3687978123369471, "corr_benchmark": 0.4574574727293512, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.6269482355167912, "first": "2006-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eaerx": {"sym": "eaerx", "name": "Eaton Vance Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014830609537938941, "alpha_t_5y": -1.1406610081977264, "alpha_t_full": 0.061742023412743506, "r2_5y": 0.9664374976573691, "r2_full": 0.9690809195910622, "corr_portfolio": 0.2602336920205062, "corr_benchmark": 0.6174188508050293, "alpha_pos_frac": 0.4691780821917808, "fund_max_dd": -0.48717755936188534, "first": "2001-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eafgx": {"sym": "eafgx", "name": "Eaton Vance Focused Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.053839525262554, "alpha_t_5y": -2.498387320233103, "alpha_t_full": -2.6232174666483896, "r2_5y": 0.9449995742146255, "r2_full": 0.9480885781245032, "corr_portfolio": 0.16805590928470746, "corr_benchmark": 0.6001436445062068, "alpha_pos_frac": 0.5444444444444444, "fund_max_dd": -0.3708790250245646, "first": "2011-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eafhx": {"sym": "eafhx", "name": "Eaton Vance Floating-Rate & High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02875269668850652, "alpha_t_5y": 4.089675868581449, "alpha_t_full": 3.20360147145462, "r2_5y": 0.6263919169057144, "r2_full": 0.6018210268312549, "corr_portfolio": 0.3144001347038375, "corr_benchmark": 0.29842362994861904, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.3379761447333196, "first": "2001-11-13", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "eafvx": {"sym": "eafvx", "name": "Eaton Vance Focused Value Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0069441073530895035, "alpha_t_5y": 0.31944396697242333, "alpha_t_full": 1.1071220678441465, "r2_5y": 0.890776579745837, "r2_full": 0.9332948645223829, "corr_portfolio": 0.39404311760646044, "corr_benchmark": 0.5240789764244876, "alpha_pos_frac": 0.5166666666666667, "fund_max_dd": -0.4066058126549581, "first": "2011-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "eagmx": {"sym": "eagmx", "name": "Eaton Vance Global Macro Absolute Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05559035554775872, "alpha_t_5y": 5.2379756386224, "alpha_t_full": 8.039707312489185, "r2_5y": 0.07396669655814492, "r2_full": -1.1102230246251565e-15, "corr_portfolio": 0.23667567422802827, "corr_benchmark": -0.02151029112701147, "alpha_pos_frac": 0.44223107569721115, "fund_max_dd": -0.0931393650735658, "first": "1997-11-03", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": true}, "eaiix": {"sym": "eaiix", "name": "Eaton Vance Diversified Currency Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01583925898783479, "alpha_t_5y": 1.0942973407945327, "alpha_t_full": 1.5240114297439873, "r2_5y": 0.7143116208079491, "r2_full": 0.4613579551724135, "corr_portfolio": 0.09900715819469041, "corr_benchmark": 0.4160120270383883, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.25325049297944235, "first": "2007-06-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "eaisx": {"sym": "eaisx", "name": "Parametric International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008084694183662819, "alpha_t_5y": -0.05854423647203432, "alpha_t_full": 0.05172677155472544, "r2_5y": 0.9463258680623922, "r2_full": 0.9542387429533368, "corr_portfolio": 0.37272659803094654, "corr_benchmark": 0.541307347168251, "alpha_pos_frac": 0.47643979057591623, "fund_max_dd": -0.3338057847479746, "first": "2010-04-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ealbx": {"sym": "ealbx", "name": "Parametric TABS 1-to-10 Year Laddered Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013675460824854676, "alpha_t_5y": 1.5133680517434664, "alpha_t_full": 2.0835526081954416, "r2_5y": 0.3538815691940074, "r2_full": 0.32721472593034195, "corr_portfolio": 0.03614008240448274, "corr_benchmark": 0.32628457956604495, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.09121672699689676, "first": "2015-05-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "ealcx": {"sym": "ealcx", "name": "Eaton Vance Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0440611542442016, "alpha_t_5y": -2.514865665162581, "alpha_t_full": -2.106869819959654, "r2_5y": 0.9605084001708735, "r2_full": 0.9485189296728637, "corr_portfolio": 0.17175278684910453, "corr_benchmark": 0.6086309405475732, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5016369271424237, "first": "2002-09-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ealdx": {"sym": "ealdx", "name": "Eaton Vance Short Duration Government Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015037285686228523, "alpha_t_5y": 1.4222162086730405, "alpha_t_full": 2.4898972108804935, "r2_5y": 0.38187155901726466, "r2_full": 0.27435549532334236, "corr_portfolio": 0.0013074657175294587, "corr_benchmark": 0.24407888685112553, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.05688164376336924, "first": "2002-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "ealtx": {"sym": "ealtx", "name": "Parametric TABS 5-to-15 Year Laddered Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006946699923238599, "alpha_t_5y": 0.5483158158357734, "alpha_t_full": 2.943326274032872, "r2_5y": 0.38249419870099644, "r2_full": 0.2917293392151753, "corr_portfolio": 0.016455493216809204, "corr_benchmark": 0.34537871764698747, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.13522807898881806, "first": "2010-02-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "eanax": {"sym": "eanax", "name": "Eaton Vance National Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0012800405233211508, "alpha_t_5y": 0.08776968078723449, "alpha_t_full": 4.970185034048299, "r2_5y": 0.3922525379795344, "r2_full": 3.6637359812630166e-15, "corr_portfolio": 0.029268195799753982, "corr_benchmark": 0.3370989959417019, "alpha_pos_frac": 0.6186770428015564, "fund_max_dd": -0.401348657486046, "first": "1994-04-06", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "earax": {"sym": "earax", "name": "Eaton Vance All Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013203719361572329, "alpha_t_5y": -1.1806946354379628, "alpha_t_full": -1.476245657101907, "r2_5y": 0.9112338609208538, "r2_full": 0.8610211186848021, "corr_portfolio": 0.2861148464460332, "corr_benchmark": 0.7029205406492305, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.19987118960568562, "first": "2011-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "earrx": {"sym": "earrx", "name": "Eaton Vance Short Duration Inflation-Protected Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023249016889393733, "alpha_t_5y": 2.7597180620853816, "alpha_t_full": 2.3475584370900484, "r2_5y": 0.4644220239974066, "r2_full": 0.41026489498966145, "corr_portfolio": 0.1740512995312191, "corr_benchmark": 0.3407776619640481, "alpha_pos_frac": 0.4397905759162304, "fund_max_dd": -0.10274703432721466, "first": "2010-04-05", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "eascx": {"sym": "eascx", "name": "Eaton Vance South Carolina Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006716224599922817, "alpha_t_5y": 0.5436783216466674, "alpha_t_full": 4.582581942073789, "r2_5y": 0.34923799345800477, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.026128940466246968, "corr_benchmark": 0.331081847188618, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.29698615475028334, "first": "1994-02-22", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "eatvx": {"sym": "eatvx", "name": "Eaton Vance Tax-Managed Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00011827254278089103, "alpha_t_5y": -0.0068626052592791476, "alpha_t_full": 0.8703372650116554, "r2_5y": 0.9262818019300674, "r2_full": 0.9261257628850713, "corr_portfolio": 0.38241232550792503, "corr_benchmark": 0.551173261233534, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5299926433865081, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ebabx": {"sym": "ebabx", "name": "Eaton Vance Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013846427690727406, "alpha_t_5y": 2.3075119215063, "alpha_t_full": 0.8885621224091212, "r2_5y": 0.9241045010144655, "r2_full": 0.6574085101685896, "corr_portfolio": 0.0437455195288118, "corr_benchmark": 0.6327621974655508, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.17203507336777002, "first": "2009-11-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ebnd": {"sym": "ebnd", "name": "State Street(R) SPDR(R) Bloomberg Emerging Markets Local Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011323790474346106, "alpha_t_5y": -0.6195190836004978, "alpha_t_full": -0.9291908390193124, "r2_5y": 0.7617567748467259, "r2_full": 0.6023412020093182, "corr_portfolio": 0.18737519696763094, "corr_benchmark": 0.5245250879003722, "alpha_pos_frac": 0.4777777777777778, "fund_max_dd": -0.29504746876441723, "first": "2011-02-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "ebsax": {"sym": "ebsax", "name": "Campbell Systematic Macro Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07497089032990685, "alpha_t_5y": 2.0743387241177764, "alpha_t_full": 1.7108004911922794, "r2_5y": 0.19405288011929833, "r2_full": 0.0719150570492959, "corr_portfolio": 0.16552819228588075, "corr_benchmark": -0.0169361883908226, "alpha_pos_frac": 0.4551282051282051, "fund_max_dd": -0.30758982702341153, "first": "2013-03-04", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "ecbsx": {"sym": "ecbsx", "name": "Parametric TABS Short-Term Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0023854577640720926, "alpha_t_5y": 0.2786047999944473, "alpha_t_full": -0.03714688311874164, "r2_5y": 0.4423345638673257, "r2_full": 0.30020896854973, "corr_portfolio": 0.0065621686361041825, "corr_benchmark": 0.3664444918693958, "alpha_pos_frac": 0.5073891625615764, "fund_max_dd": -0.10269103142615188, "first": "2009-03-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "ecctx": {"sym": "ecctx", "name": "Eaton Vance Connecticut Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003715353698777307, "alpha_t_5y": 0.028708177406360898, "alpha_t_full": 0.32589634306488524, "r2_5y": 0.36353588834882544, "r2_full": 0.22159171830907065, "corr_portfolio": 0.031128764697784188, "corr_benchmark": 0.33028381612877916, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.18962768259788387, "first": "2006-02-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "ediax": {"sym": "ediax", "name": "Eaton Vance Global Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008569317870600852, "alpha_t_5y": -0.904878630380159, "alpha_t_full": -1.2144157412219487, "r2_5y": 0.9613047519755431, "r2_full": 0.9394443707080269, "corr_portfolio": 0.34682943452982234, "corr_benchmark": 0.6088959642504187, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.5152707236472343, "first": "2005-12-02", "verdict": "sleeve mix (R\u00b2 high) - 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"etazx", "name": "Eaton Vance Arizona Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0063498045716303755, "alpha_t_5y": 0.5227020842651265, "alpha_t_full": 4.475537275015839, "r2_5y": 0.3928344443966081, "r2_full": 3.219646771412954e-15, "corr_portfolio": 0.0397228141965349, "corr_benchmark": 0.32602487844110445, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2150679531782903, "first": "1993-12-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "etegx": {"sym": "etegx", "name": "Eaton Vance Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.033276275987886204, "alpha_t_5y": -1.2692195187659159, "alpha_t_full": -1.1756783829064965, "r2_5y": 0.8899770790016911, "r2_full": 0.8895699884943906, "corr_portfolio": 0.2833109800903885, "corr_benchmark": 0.5302140999983783, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.7384674594858396, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "etgax": {"sym": "etgax", "name": "Eaton Vance Georgia Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005704118146727008, "alpha_t_5y": 0.4745989615406837, "alpha_t_full": 4.530950759527436, "r2_5y": 0.38154553660167523, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.03367015698722151, "corr_benchmark": 0.32048360607310045, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.27080115671355365, "first": "1993-12-15", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "etgix": {"sym": "etgix", "name": "Eaton Vance Greater India Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004001526844624067, "alpha_t_5y": 0.07614137389662627, "alpha_t_full": 2.137545346904349, "r2_5y": 0.3542343402246604, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.2646519871673826, "corr_benchmark": 0.31380935618891614, 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"evfax": {"sym": "evfax", "name": "Eaton Vance Floating-Rate Advantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.034345919347190945, "alpha_t_5y": 4.021323907165813, "alpha_t_full": 2.57295089662772, "r2_5y": 0.5437288632844735, "r2_full": 0.5633150335655936, "corr_portfolio": 0.29869390204325696, "corr_benchmark": 0.2258236719921, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.382227164695354, "first": "2008-03-18", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "evibx": {"sym": "evibx", "name": "Eaton Vance Income Fund of Boston", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006847817796490517, "alpha_t_5y": 0.8364764047987797, "alpha_t_full": 8.474354870062657, "r2_5y": 0.8309662606563035, "r2_full": -3.3306690738754696e-15, "corr_portfolio": 0.3100889943584041, "corr_benchmark": 0.4472616460605401, "alpha_pos_frac": 0.3917525773195876, "fund_max_dd": -0.36749081489536306, "first": "1990-01-03", 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0.5201793721973094, "fund_max_dd": -0.5373554575806381, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "evvcx": {"sym": "evvcx", "name": "The E-Valuator Very Conservative (0%-15%) RMS Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006134732206778789, "alpha_t_5y": 0.5817712388657545, "alpha_t_full": 0.7057733143272826, "r2_5y": 0.6371121087111834, "r2_full": 0.40266603839267723, "corr_portfolio": 0.17121927716575955, "corr_benchmark": 0.5676574019199958, "alpha_pos_frac": 0.49572649572649574, "fund_max_dd": -0.1570482899340091, "first": "2016-05-27", "verdict": "weak/unstable alpha", "alpha_name": false}, "exflx": {"sym": "exflx", "name": "Eaton Vance National Ultra-Short Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017968907557328537, "alpha_t_5y": 4.953805480702568, "alpha_t_full": 6.593918541132724, "r2_5y": 0.19486995320211276, "r2_full": -7.327471962526033e-15, 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0.011215972665131559, "alpha_t_5y": 1.5828657425668524, "alpha_t_full": 6.633180833529157, "r2_5y": 0.3533979658860412, "r2_full": 2.6645352591003757e-15, "corr_portfolio": 0.04265226594998753, "corr_benchmark": 0.28915513693241757, "alpha_pos_frac": 0.5265017667844523, "fund_max_dd": -0.13809914542372126, "first": "1992-05-26", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "extgx": {"sym": "extgx", "name": "Eaton Vance Tax-Managed Growth Fund 1.2", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015002889996466574, "alpha_t_5y": -1.5763801846977499, "alpha_t_full": -0.6099073816597673, "r2_5y": 0.9826394288178375, "r2_full": 0.9649340913777172, "corr_portfolio": 0.2608453934673268, "corr_benchmark": 0.6073640322410885, "alpha_pos_frac": 0.490272373540856, "fund_max_dd": -0.5216534709796947, "first": "2001-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "facdx": {"sym": "facdx", "name": 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false}, "facnx": {"sym": "facnx", "name": "Fidelity Canada Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019245439802222146, "alpha_t_5y": 0.5945367718164201, "alpha_t_full": -1.1094693069066959, "r2_5y": 0.7623032513545821, "r2_full": 0.7891010866429528, "corr_portfolio": 0.34299985498483593, "corr_benchmark": 0.4977936409115238, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.5817797075183647, "first": "2007-05-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "fafdx": {"sym": "fafdx", "name": "Fidelity Advisor Financials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04037312746464954, "alpha_t_5y": 1.0737943162215335, "alpha_t_full": -0.7761612158459908, "r2_5y": 0.8136167893500179, "r2_full": 0.7976283226600079, "corr_portfolio": 0.40501621686762496, "corr_benchmark": 0.41609589226677446, "alpha_pos_frac": 0.49019607843137253, "fund_max_dd": -0.7568907112010624, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "fafrx": {"sym": "fafrx", "name": "FRANKLIN FLOATING RATE DAILY ACCESS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04950215503719578, "alpha_t_5y": 4.5389934068951625, "alpha_t_full": 2.8772442302002457, "r2_5y": 0.3676163207568798, "r2_full": 0.431867514775631, "corr_portfolio": 0.25034999241740596, "corr_benchmark": 0.20864848078718998, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.25916238268819036, "first": "2001-11-13", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "fagax": {"sym": "fagax", "name": "Fidelity Advisor Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03620613336592593, "alpha_t_5y": -1.300921143322413, "alpha_t_full": 3.260515628926594, "r2_5y": 0.930897018529816, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.12142345178805553, "corr_benchmark": 0.5984048180295308, "alpha_pos_frac": 0.49800796812749004, "fund_max_dd": -0.6523576145651425, "first": "1994-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fagix": {"sym": "fagix", "name": "Fidelity Capital & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017202405219530054, "alpha_t_5y": 1.6139189979082451, "alpha_t_full": 8.087859889631673, "r2_5y": 0.8558729940792958, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.33808986339702785, "corr_benchmark": 0.5669019457657691, "alpha_pos_frac": 0.45867768595041325, "fund_max_dd": -0.3779621835428717, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fairx": {"sym": "fairx", "name": "The Fairholme Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0031274854132986242, "alpha_t_5y": 0.03779422667013526, "alpha_t_full": 1.4335495716268205, "r2_5y": 0.44644955632672245, "r2_full": 0.49758284304940803, "corr_portfolio": 0.1644405866652513, "corr_benchmark": 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"fdcax", "name": "Fidelity Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022387231264100068, "alpha_t_5y": 0.13329282467570044, "alpha_t_full": 3.852988380919437, "r2_5y": 0.9540359851069566, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2251570152370107, "corr_benchmark": 0.6047465784425757, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.5852813709043551, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fdegx": {"sym": "fdegx", "name": "Fidelity Growth Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04494543359863645, "alpha_t_5y": -1.1876978302048784, "alpha_t_full": 3.0196030499519537, "r2_5y": 0.8502415083123672, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.1862629218995779, "corr_benchmark": 0.6046848070126736, "alpha_pos_frac": 0.5631067961165048, "fund_max_dd": -0.859635015750664, "first": "1990-12-31", "verdict": "sleeve mix 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0.007616541058881975, "alpha_t_5y": 1.5597147484332314, "alpha_t_full": 6.174483207823291, "r2_5y": 0.9229911704747277, "r2_full": 1.3322676295501878e-15, "corr_portfolio": -0.012525883937382793, "corr_benchmark": 0.6235043597595988, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.14355550740730638, "first": "1993-12-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "filfx": {"sym": "filfx", "name": "Strategic Advisers International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002061690009201581, "alpha_t_5y": 0.09200917112158744, "alpha_t_full": -0.7986218889632755, "r2_5y": 0.88297816137683, "r2_full": 0.7466622030853847, "corr_portfolio": 0.3712526955683894, "corr_benchmark": 0.5381800695693268, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6167137698524872, "first": "2006-03-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fimyx": {"sym": "fimyx", "name": "Federated Hermes Intermediate Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007064471638118637, "alpha_t_5y": 0.7156227094946127, "alpha_t_full": 2.1880911460553447, "r2_5y": 0.39063696995848696, "r2_full": 0.28233675400639, "corr_portfolio": 0.04143770092798555, "corr_benchmark": 0.3245734987179667, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.11875713502924523, "first": "2003-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "fisax": {"sym": "fisax", "name": "FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003256432825898275, "alpha_t_5y": 0.4751633686029479, "alpha_t_full": 10.966782010156162, "r2_5y": 0.34386543345375764, "r2_full": 1.2212453270876722e-15, "corr_portfolio": -0.02163686881330993, "corr_benchmark": 0.15913420506680487, "alpha_pos_frac": 0.4046242774566474, "fund_max_dd": -0.047651524287965596, "first": "1990-01-03", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "fiscx": {"sym": "fiscx", "name": "FRANKLIN CONVERTIBLE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017166592329769012, "alpha_t_5y": 0.8327327286364533, "alpha_t_full": 5.2472399198678605, "r2_5y": 0.8290760169442085, "r2_full": 0.0, "corr_portfolio": 0.16063466343929783, "corr_benchmark": 0.5827470951855143, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.4915683069056488, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "fisex": {"sym": "fisex", "name": "FRANKLIN EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011336992508063458, "alpha_t_5y": 0.7941070855590396, "alpha_t_full": 3.842669406573551, "r2_5y": 0.9389050290510687, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.37683528230834645, "corr_benchmark": 0.5621860262838744, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.5646168310984256, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fite": {"sym": "fite", "name": "State Street(R) SPDR(R) S&P Kensho Future Security ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04370019500722244, "alpha_t_5y": 0.9419899905551398, "alpha_t_full": 0.7690269186567842, "r2_5y": 0.7662282267840792, "r2_full": 0.7857313484297846, "corr_portfolio": 0.1781322555124147, "corr_benchmark": 0.5790093907142072, "alpha_pos_frac": 0.46938775510204084, "fund_max_dd": -0.3689549155334264, "first": "2017-12-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "fiusx": {"sym": "fiusx", "name": "Nomura Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007542373089780648, "alpha_t_5y": 0.3263964985064765, "alpha_t_full": 3.1318394471809547, "r2_5y": 0.9076857430639176, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3756084047144957, "corr_benchmark": 0.5313688119053955, 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false, "alpha_ann_5y": 3.056176938381113e-05, "alpha_t_5y": 0.0020650200448625493, "alpha_t_full": 7.3584387440573575, "r2_5y": 0.3652848230519, "r2_full": -3.552713678800501e-15, "corr_portfolio": 0.028148757960405855, "corr_benchmark": 0.33703656794937964, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.15217626616910584, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "flaax": {"sym": "flaax", "name": "Nuveen All-American Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04657947513893723, "alpha_t_5y": -2.631726912386671, "alpha_t_full": 5.46474120840009, "r2_5y": 0.39744941094631836, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.047378915544202524, "corr_benchmark": 0.33901428720498755, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.2098899215148109, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "fldax": {"sym": "fldax", "name": "FRANKLIN LOW DURATION TOTAL RETURN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015031127187426486, "alpha_t_5y": -2.323939575322524, "alpha_t_full": 2.5076440646897185, "r2_5y": 0.6543615687524982, "r2_full": 0.4374871498792132, "corr_portfolio": 0.09648299329217484, "corr_benchmark": 0.3139301661826249, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.12836424864651963, "first": "2004-11-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "flerx": {"sym": "flerx", "name": "Franklin LifeSmart 2030 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004419383156703502, "alpha_t_5y": -0.49587567981669656, "alpha_t_full": -0.09251741737621468, "r2_5y": 0.9625727834154707, "r2_full": 0.6461520180282287, "corr_portfolio": 0.2547448057012771, "corr_benchmark": 0.5902522142071095, "alpha_pos_frac": 0.5673758865248227, "fund_max_dd": -0.2538294414496378, "first": "2014-05-23", "verdict": "sleeve mix (R\u00b2 high) 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0.5838150289017341, "fund_max_dd": -0.17714811313244938, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "flpsx": {"sym": "flpsx", "name": "Fidelity Low-Priced Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016843539683592642, "alpha_t_5y": 0.9499322562256793, "alpha_t_full": 5.474006591523252, "r2_5y": 0.920106812828507, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.4301521797881466, "corr_benchmark": 0.5339420332127395, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5480573470118593, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "flrex": {"sym": "flrex", "name": "Franklin LifeSmart 2040 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00731697453650466, "alpha_t_5y": -0.7169010552576391, "alpha_t_full": 0.5100992175016648, "r2_5y": 0.9665042742315573, "r2_full": 0.6410980323346369, "corr_portfolio": 0.2674140587662955, 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"in_portfolio": false, "alpha_ann_5y": 0.006199830178600114, "alpha_t_5y": 0.6452039530266694, "alpha_t_full": 8.649790404081108, "r2_5y": 0.37110562606986297, "r2_full": 6.217248937900877e-15, "corr_portfolio": 0.04456910784556028, "corr_benchmark": 0.3378424551747977, "alpha_pos_frac": 0.5300353356890459, "fund_max_dd": -0.1297451360200933, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "fltr": {"sym": "fltr", "name": "VanEck IG Floating Rate ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03654062443394048, "alpha_t_5y": 4.540223385953635, "alpha_t_full": 3.4882191101923725, "r2_5y": 0.1372216014070572, "r2_full": 0.3131012627702314, "corr_portfolio": 0.145253641889904, "corr_benchmark": 0.272160803939042, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.1783716241542872, "first": "2011-04-27", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "flvcx": {"sym": "flvcx", "name": "Fidelity Leveraged Company Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012647595065148192, "alpha_t_5y": -0.3869548301846794, "alpha_t_full": 1.599238844892835, "r2_5y": 0.8886799456536404, "r2_full": 0.8372011540675668, "corr_portfolio": 0.25392523031296393, "corr_benchmark": 0.5763282808736145, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.7002471338952535, "first": "2000-12-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fmagx": {"sym": "fmagx", "name": "Fidelity Magellan Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.040151771811970556, "alpha_t_5y": -1.859796989804183, "alpha_t_full": 3.541835663229085, "r2_5y": 0.9341719460509058, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.18824281846246044, "corr_benchmark": 0.6149847669645675, "alpha_pos_frac": 0.5603448275862069, "fund_max_dd": -0.6162321507850019, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fmbpx": {"sym": "fmbpx", "name": "Federated Hermes Mortgage Strategy Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018586599922468321, "alpha_t_5y": 0.26969305467022353, "alpha_t_full": -5.0059080760513295, "r2_5y": 0.936622882125485, "r2_full": 0.8872361983862198, "corr_portfolio": -0.08957037751888076, "corr_benchmark": 0.6389782859386306, "alpha_pos_frac": 0.6666666666666666, "fund_max_dd": -0.17247800417003623, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fmcdx": {"sym": "fmcdx", "name": "Fidelity Advisor Stock Selector Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0067646402788047654, "alpha_t_5y": -0.3306310208545764, "alpha_t_full": 0.450666671241382, "r2_5y": 0.9404249170386116, "r2_full": 0.8844936417004643, "corr_portfolio": 0.32542519278364684, "corr_benchmark": 0.5628732401454469, 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"FRANKLIN CORE PLUS BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006351925678479044, "alpha_t_5y": 0.8780259378643804, "alpha_t_full": 7.919004740851904, "r2_5y": 0.8148399104239801, "r2_full": -1.7763568394002505e-15, "corr_portfolio": 0.17129477054094516, "corr_benchmark": 0.593169052926885, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.19086457510209887, "first": "1994-05-25", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "frtsx": {"sym": "frtsx", "name": "Franklin LifeSmart 2020 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002063610863324056, "alpha_t_5y": -0.2379317389620376, "alpha_t_full": -0.11057385172753502, "r2_5y": 0.9449909979076072, "r2_full": 0.6587760158012745, "corr_portfolio": 0.24296520751700718, "corr_benchmark": 0.6450148811613365, "alpha_pos_frac": 0.5815602836879432, "fund_max_dd": -0.19695763915405173, "first": "2014-05-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "frvax": {"sym": "frvax", "name": "FRANKLIN VIRGINIA TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005323136414162545, "alpha_t_5y": -0.038319364652261954, "alpha_t_full": 7.01263010794001, "r2_5y": 0.39342584611076503, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.01715915792224081, "corr_benchmark": 0.3543617784518996, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.16446656916501567, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "frvlx": {"sym": "frvlx", "name": "FRANKLIN SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02060078742035556, "alpha_t_5y": 0.7238617633622837, "alpha_t_full": 1.3171500650298456, "r2_5y": 0.8995519280561194, "r2_full": 0.8926792815188227, "corr_portfolio": 0.36177010923479935, "corr_benchmark": 0.4811910223515999, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6027390318934945, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fsamx": {"sym": "fsamx", "name": "Strategic Advisers Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0077336860392392855, "alpha_t_5y": 0.2696254713225273, "alpha_t_full": -0.5038136059809218, "r2_5y": 0.8620292199967541, "r2_full": 0.7376563308092471, "corr_portfolio": 0.27295007160391915, "corr_benchmark": 0.46399286589155186, "alpha_pos_frac": 0.5027027027027027, "fund_max_dd": -0.408692639472626, "first": "2010-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fsazx": {"sym": "fsazx", "name": "Fidelity Arizona Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005981958478381192, "alpha_t_5y": 0.5309831050313054, "alpha_t_full": 6.532577678689371, "r2_5y": 0.3946173225420211, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.022907380352472844, 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0.0019094026549321824, "alpha_t_5y": 0.041620989182273894, "alpha_t_full": 3.6577283764610717, "r2_5y": 0.7690201903415083, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3071559612412713, "corr_benchmark": 0.48777741149393655, "alpha_pos_frac": 0.4745098039215686, "fund_max_dd": -0.6819603279946704, "first": "1990-01-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "fsoax": {"sym": "fsoax", "name": "Fidelity Advisor Value Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0372958268316791, "alpha_t_5y": 1.2668663742964472, "alpha_t_full": 2.6177734100821386, "r2_5y": 0.8781341487921753, "r2_full": 0.0, "corr_portfolio": 0.38433603057043403, "corr_benchmark": 0.5302547988136777, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.7002277987270853, "first": "1994-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fspcx": {"sym": "fspcx", "name": "Insurance Portfolio", 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{"sym": "fstbx", "name": "Federated Hermes Global Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012797558774059832, "alpha_t_5y": -1.4903149323601346, "alpha_t_full": 3.827680600991798, "r2_5y": 0.9624074129625502, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.3359353016434706, "corr_benchmark": 0.6640146975002685, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.37350965507884193, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fstkx": {"sym": "fstkx", "name": "Federated Hermes MDT Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04384838521618517, "alpha_t_5y": 2.4167690227989627, "alpha_t_full": 4.032367402509681, "r2_5y": 0.9226353058442258, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.38752070665304267, "corr_benchmark": 0.5364893582343886, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.532118648701316, "first": "1990-01-03", 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0.001976958431182689, "alpha_t_5y": 0.1354530922404612, "alpha_t_full": 7.135954026373318, "r2_5y": 0.3990066115253107, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.018390127439754576, "corr_benchmark": 0.3593082447302564, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16447053047446725, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "ftgsx": {"sym": "ftgsx", "name": "Federated Hermes Total Return Government Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002826945511868485, "alpha_t_5y": -0.5697812305190104, "alpha_t_full": 4.042703084027988, "r2_5y": 0.9580471615111611, "r2_full": -2.220446049250313e-16, "corr_portfolio": -0.16596085921787743, "corr_benchmark": 0.6382446621312179, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.20526447832468653, "first": "1995-10-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftiax": {"sym": "ftiax", "name": "Federated Hermes Short-Term Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002509690773175421, "alpha_t_5y": 0.3939755569757987, "alpha_t_full": 4.086998969106183, "r2_5y": 0.6430049125268871, "r2_full": 0.49231038922316117, "corr_portfolio": -0.033250572639175864, "corr_benchmark": 0.40672993756969905, "alpha_pos_frac": 0.3988439306358382, "fund_max_dd": -0.05343091160125346, "first": "2004-08-27", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "ftlax": {"sym": "ftlax", "name": "Nuveen Louisiana Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004744762529590087, "alpha_t_5y": 0.33852852509917086, "alpha_t_full": 7.51115050616268, "r2_5y": 0.368067118100895, "r2_full": -4.440892098500626e-15, "corr_portfolio": 0.042525847059877574, "corr_benchmark": 0.341290652044643, "alpha_pos_frac": 0.5836575875486382, "fund_max_dd": -0.17059618409561295, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "ftnyx": {"sym": "ftnyx", "name": "Nomura Tax-Free New York Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038048083764528795, "alpha_t_5y": 0.2270806357994201, "alpha_t_full": 6.908967659428904, "r2_5y": 0.3922426196290528, "r2_full": -3.3306690738754696e-15, "corr_portfolio": 0.03421045614263646, "corr_benchmark": 0.37092838478649454, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.17107662393375034, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "ftoix": {"sym": "ftoix", "name": "FRANKLIN OHIO TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0028588260916633064, "alpha_t_5y": -0.21222678866956335, "alpha_t_full": 7.416312236287175, "r2_5y": 0.39522513334788234, "r2_full": 1.3322676295501878e-15, "corr_portfolio": 0.015404188956118737, "corr_benchmark": 0.3614007185778522, "alpha_pos_frac": 0.5992217898832685, "fund_max_dd": -0.16399834578061057, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "ftorx": {"sym": "ftorx", "name": "Nomura Tax-Free Oregon Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005348156694178752, "alpha_t_5y": 0.34334407746773066, "alpha_t_full": 6.085392060532456, "r2_5y": 0.38095567070990577, "r2_full": -2.886579864025407e-15, "corr_portfolio": 0.04259101417997382, "corr_benchmark": 0.3595973425633313, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.14647579836619007, "first": "1992-05-05", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "ftrax": {"sym": "ftrax", "name": "Franklin LifeSmart Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003837818306149321, "alpha_t_5y": -0.5226437576004306, "alpha_t_full": 0.36818180534208195, "r2_5y": 0.9374297924048708, "r2_full": 0.8329380178429259, "corr_portfolio": 0.2723652241397532, "corr_benchmark": 0.7081608500276022, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.38461447372427426, "first": "2006-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftrcx": {"sym": "ftrcx", "name": "Franklin LifeSmart 2035 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01635417883632639, "alpha_t_5y": -1.595400530774896, "alpha_t_full": -0.48014015713449226, "r2_5y": 0.959773611426655, "r2_full": 0.8254549818683918, "corr_portfolio": 0.2792491283593437, "corr_benchmark": 0.593349919369904, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.5170495813112018, "first": "2006-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftrfx": {"sym": "ftrfx", "name": "Federated Hermes Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 2.4649666163797967e-05, "alpha_t_5y": 0.004640452377462173, "alpha_t_full": 5.4543361297542985, "r2_5y": 0.9501319148883302, "r2_full": 8.881784197001252e-16, "corr_portfolio": -0.04190120176301571, "corr_benchmark": 0.6953018657429701, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.17158848595537513, "first": "1996-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftrnx": {"sym": "ftrnx", "name": "Fidelity Trend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01884942579247809, "alpha_t_5y": -0.7661861153305032, "alpha_t_full": 3.7728584529020406, "r2_5y": 0.9465511931032596, "r2_full": 0.0, "corr_portfolio": 0.1370489391994637, "corr_benchmark": 0.5979637484025647, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.562562563714947, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftrtx": {"sym": "ftrtx", "name": "Franklin LifeSmart 2025 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009808481798467456, "alpha_t_5y": -1.1830686606224334, "alpha_t_full": 0.10009926690369701, "r2_5y": 0.9600685767168146, "r2_full": 0.85802554085755, "corr_portfolio": 0.28039372144725155, "corr_benchmark": 0.6477594146247166, "alpha_pos_frac": 0.5874439461883408, "fund_max_dd": -0.4594764532663549, "first": "2006-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ftsd": {"sym": "ftsd", "name": "Franklin Short Duration U.S. Government ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001031951243338993, "alpha_t_5y": 0.14710756084461615, "alpha_t_full": 1.0941378337350403, "r2_5y": 0.44036029008540434, "r2_full": 0.27306606693694324, "corr_portfolio": -0.06619646753337831, "corr_benchmark": 0.2667055114219655, "alpha_pos_frac": 0.49324324324324326, "fund_max_dd": -0.05319164713731206, "first": "2013-11-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "fttax": {"sym": "fttax", "name": "Franklin LifeSmart 2045 Retirement Target Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011543036742187889, "alpha_t_5y": -0.9885309278313317, "alpha_t_full": -0.5195399621524368, "r2_5y": 0.9625754090421075, "r2_full": 0.8613999727481321, "corr_portfolio": 0.2966844959383955, "corr_benchmark": 0.5961400697104088, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.532313010343341, "first": "2006-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fttmx": {"sym": "fttmx", "name": "FRANKLIN MICHIGAN TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006212312242914357, "alpha_t_5y": -0.048675133161461465, "alpha_t_full": 7.488470216175699, "r2_5y": 0.4087784519299742, "r2_full": -1.5543122344752192e-15, "corr_portfolio": 0.030386064276062247, "corr_benchmark": 0.35009940033145737, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.15648909898365393, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "fulax": {"sym": "fulax", "name": "Federated Hermes Ultrashort Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010031848033755267, "alpha_t_5y": 1.7138914028182257, "alpha_t_full": 6.131632395598892, "r2_5y": 0.3383157607024875, "r2_full": 0.17289078744729025, "corr_portfolio": 0.05345494877391817, "corr_benchmark": 0.23860152422219072, "alpha_pos_frac": 0.3583815028901734, "fund_max_dd": -0.05723176673681474, "first": "2002-10-14", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "fusgx": {"sym": "fusgx", "name": "Federated Hermes Fund for U.S. Government Securities", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006525843024051323, "alpha_t_5y": -1.0236056665738338, "alpha_t_full": 6.252671402292402, "r2_5y": 0.9445228270929185, "r2_full": 1.4432899320127035e-15, "corr_portfolio": -0.09558513282930542, "corr_benchmark": 0.6400200128223943, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.24644487112967772, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fusix": {"sym": "fusix", "name": "Strategic Advisers Fidelity International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00026941403287010106, "alpha_t_5y": -0.024119934760885618, "alpha_t_full": -1.0633668406281667, "r2_5y": 0.9720291129248255, "r2_full": 0.956216389860804, "corr_portfolio": 0.38027089593579194, "corr_benchmark": 0.5560726587789968, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.6509161948085842, "first": "2007-03-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "fvatx": {"sym": "fvatx", "name": "Nuveen Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00019635620237207614, "alpha_t_5y": -0.013962359214560044, "alpha_t_full": 7.298417512308838, "r2_5y": 0.3973290128210688, "r2_full": -1.1102230246251565e-15, 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TAX-FREE INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007594756385080216, "alpha_t_5y": 0.05360942366457367, "alpha_t_full": 6.81940741054177, "r2_5y": 0.39251829950758577, "r2_full": 3.1086244689504383e-15, "corr_portfolio": 0.01843905074162645, "corr_benchmark": 0.35662441543946566, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.16109332141622723, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "fyhtx": {"sym": "fyhtx", "name": "Fidelity Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 2.3956875251438383, "alpha_t_5y": 0.8951044876416684, "alpha_t_full": 0.7880384061071497, "r2_5y": 0.0, "r2_full": 0.0, "corr_portfolio": 0.024713011317094843, "corr_benchmark": -0.0036996827778513035, "alpha_pos_frac": NaN, "fund_max_dd": -1.4368015725411327, "first": "2017-05-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "gaaex": {"sym": "gaaex", 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"all", "in_portfolio": false, "alpha_ann_5y": 0.026076114996722084, "alpha_t_5y": 2.612347788472403, "alpha_t_full": 3.71200618577139, "r2_5y": 0.523800354717606, "r2_full": 0.5988654207690782, "corr_portfolio": 0.32732077736856824, "corr_benchmark": 0.22524175846677288, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2455127142894945, "first": "2007-12-19", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "lftlx": {"sym": "lftlx", "name": "MFS Lifetime 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012328780452620218, "alpha_t_5y": -1.1027979519602762, "alpha_t_full": -1.1027979519602762, "r2_5y": 0.9694114583207412, "r2_full": 0.9694114583207412, "corr_portfolio": 0.17111669597552215, "corr_benchmark": 0.6918577769280655, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.23564209915398082, "first": "2021-09-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lgcax": {"sym": "lgcax", "name": "Lord Abbett Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016186356786627942, "alpha_t_5y": -1.0324970573800134, "alpha_t_full": -0.5930893075512648, "r2_5y": 0.9509114064111098, "r2_full": 0.9575936663674031, "corr_portfolio": 0.27223123424218953, "corr_benchmark": 0.6330368130284624, "alpha_pos_frac": 0.42201834862385323, "fund_max_dd": -0.32907352389426203, "first": "2017-01-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lgilx": {"sym": "lgilx", "name": "Schwab Select Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06623680421177171, "alpha_t_5y": -3.2568859646574286, "alpha_t_full": -0.7042097352958112, "r2_5y": 0.9553415174043173, "r2_full": 0.8971880989485197, "corr_portfolio": 0.14212965668676317, "corr_benchmark": 0.61929848624319, "alpha_pos_frac": 0.5326460481099656, "fund_max_dd": -0.677379595633125, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lglax": {"sym": "lglax", "name": "Lord Abbett Growth Leaders Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07665068888606513, "alpha_t_5y": -2.219892489167622, "alpha_t_full": -1.7445421778490113, "r2_5y": 0.9020416463459442, "r2_full": 0.8944557921574834, "corr_portfolio": 0.10990416132530081, "corr_benchmark": 0.5811615410344639, "alpha_pos_frac": 0.5113636363636364, "fund_max_dd": -0.46112997582794335, "first": "2011-06-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lglv": {"sym": "lglv", "name": "State Street(R) SPDR(R) US Large Cap Low Volatility Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0139970677513018, "alpha_t_5y": 0.6692183201028367, "alpha_t_full": 1.3635887371829858, "r2_5y": 0.8530394722880732, "r2_full": 0.8230704977556376, "corr_portfolio": 0.32243046503034684, "corr_benchmark": 0.5412799552963252, "alpha_pos_frac": 0.5192307692307693, "fund_max_dd": -0.3663712569753943, "first": "2013-02-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lhcax": {"sym": "lhcax", "name": "Lord Abbett Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013510293765368725, "alpha_t_5y": -0.26557501943952555, "alpha_t_full": -0.025905628374184482, "r2_5y": 0.5883682948397966, "r2_full": 0.6495317598350847, "corr_portfolio": 0.07420008890840657, "corr_benchmark": 0.5684903030799477, "alpha_pos_frac": 0.43037974683544306, "fund_max_dd": -0.2794117963023308, "first": "2019-08-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "lhiax": {"sym": "lhiax", "name": "Columbia High Yield Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03351691966433244, "alpha_t_5y": -1.5035420102315848, "alpha_t_full": 4.568538842056272, "r2_5y": 0.40624464917701575, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.05836551918611899, "corr_benchmark": 0.34533180946875963, "alpha_pos_frac": 0.6069364161849711, "fund_max_dd": -0.26271496195536326, "first": "2000-07-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "lhyax": {"sym": "lhyax", "name": "Lord Abbett High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008129100151846862, "alpha_t_5y": -0.9941107558175883, "alpha_t_full": 5.994243792505904, "r2_5y": 0.8479332423734703, "r2_full": 1.1102230246251565e-15, "corr_portfolio": 0.3296646412529174, "corr_benchmark": 0.46734406374935616, "alpha_pos_frac": 0.502127659574468, "fund_max_dd": -0.3165500414674369, "first": "1998-12-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "libax": {"sym": "libax", "name": "Columbia Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0012025355077453254, "alpha_t_5y": -0.18427503394530464, "alpha_t_full": -0.4079087621821619, "r2_5y": 0.9404495251868596, "r2_full": 0.7850118746437021, "corr_portfolio": -0.06831113169640796, "corr_benchmark": 0.6690102484118049, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.23011676871772457, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "licax": {"sym": "licax", "name": "Lord Abbett International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011578996269740792, "alpha_t_5y": -0.6722287322416806, "alpha_t_full": -0.9777234540412142, "r2_5y": 0.9437007888199619, "r2_full": 0.8871460738259875, "corr_portfolio": 0.3651164263172017, "corr_benchmark": 0.5287509263343231, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5927700521376595, "first": "2004-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lidax": {"sym": "lidax", "name": "Lord Abbett International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026164185325920148, "alpha_t_5y": 1.5011896205464808, "alpha_t_full": -0.4527193361398767, 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-0.6211949714612292, "alpha_t_full": 4.357824417286159, "r2_5y": 0.956593258587838, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.042662000306044695, "corr_benchmark": 0.7343714551849637, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.21591810605872663, "first": "2000-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lisax": {"sym": "lisax", "name": "Lord Abbett Intermediate Tax Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018526833156118278, "alpha_t_5y": 0.17462694961625544, "alpha_t_full": 2.0273565716252904, "r2_5y": 0.39487827807982967, "r2_full": 0.28304220539503644, "corr_portfolio": 0.05774612603446026, "corr_benchmark": 0.3390339718906981, "alpha_pos_frac": 0.5551470588235294, "fund_max_dd": -0.1467824913925866, "first": "2003-07-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "litax": {"sym": "litax", "name": "Columbia Intermediate Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007947506257767602, "alpha_t_5y": 0.9037489580546969, "alpha_t_full": 1.8635071928239542, "r2_5y": 0.41041026628557187, "r2_full": 0.29741745197658187, "corr_portfolio": 0.042208339708650795, "corr_benchmark": 0.3196906249199756, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.11144965601794898, "first": "2002-11-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "lldyx": {"sym": "lldyx", "name": "Lord Abbett Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006865283038669283, "alpha_t_5y": -0.07097736271051372, "alpha_t_full": 3.4041695046725016, "r2_5y": 0.5211396594869349, "r2_full": 0.34844685144171983, "corr_portfolio": 0.07260113675410229, "corr_benchmark": 0.31503227493265995, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.10536036159879458, "first": "2004-10-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "lmecx": {"sym": "lmecx", "name": "Western Asset SMASh Series Core Plus Completion Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.055610008732384544, "alpha_t_5y": -2.3051885068252895, "alpha_t_full": -2.9917250284697454, "r2_5y": 0.583046379785358, "r2_full": 0.5060384383723046, "corr_portfolio": 0.1624461064124661, "corr_benchmark": 0.6290138255502976, "alpha_pos_frac": 0.5757575757575758, "fund_max_dd": -0.36975083982776646, "first": "2012-05-24", "verdict": "weak/unstable alpha", "alpha_name": false}, "lmgax": {"sym": "lmgax", "name": "Lord Abbett Growth Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07874306435231668, "alpha_t_5y": -1.6738653301112547, "alpha_t_full": 2.7765099911135436, "r2_5y": 0.8200025490318212, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.1316053822425377, "corr_benchmark": 0.5638942363907654, "alpha_pos_frac": 0.5080906148867314, "fund_max_dd": -0.49959828765678904, "first": "1995-07-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "lmiax": {"sym": "lmiax", "name": "Columbia Massachusetts Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011963964329538797, "alpha_t_5y": -0.131966955284085, "alpha_t_full": 1.1315337886558883, "r2_5y": 0.36973284220192226, "r2_full": 0.28483879197731266, "corr_portfolio": 0.05225783328662071, "corr_benchmark": 0.3232572113333861, "alpha_pos_frac": 0.5071942446043165, "fund_max_dd": -0.11841038859356534, "first": "2002-12-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "lmiyx": {"sym": "lmiyx", "name": "Lord Abbett Micro-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003792715021627512, "alpha_t_5y": -0.0798987861360044, "alpha_t_full": 0.16495685208869984, "r2_5y": 0.8473535983935746, "r2_full": 0.6966592219966528, "corr_portfolio": 0.11502327115708799, "corr_benchmark": 0.49951009769444865, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.6719993637327024, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "lmsfx": {"sym": "lmsfx", "name": "Federated Hermes Municipal Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003533806546733722, "alpha_t_5y": 0.02631751607646473, "alpha_t_full": 6.494697263201304, "r2_5y": 0.40693008347579385, "r2_full": -2.6645352591003757e-15, "corr_portfolio": 0.02595858620388842, "corr_benchmark": 0.357904915381168, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.25822225856570447, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "lmvyx": {"sym": "lmvyx", "name": "Lord Abbett Focused Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018963659357601574, "alpha_t_5y": -0.5944594072820891, "alpha_t_full": 0.5055605456732392, "r2_5y": 0.887602691132377, "r2_full": 0.7924935983073002, "corr_portfolio": 0.34305071842956036, "corr_benchmark": 0.4706579721444059, "alpha_pos_frac": 0.45614035087719296, "fund_max_dd": -0.6257505856091978, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lnyax": {"sym": "lnyax", "name": "Columbia New York Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.000477427631212616, "alpha_t_5y": 0.0553432615772366, "alpha_t_full": 1.5678206111716406, "r2_5y": 0.36101336496428726, "r2_full": 0.28088805851139265, "corr_portfolio": 0.046621831062723905, "corr_benchmark": 0.3157560213426895, "alpha_pos_frac": 0.5340501792114696, "fund_max_dd": -0.11441136232159599, "first": "2002-11-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "lphax": {"sym": "lphax", "name": "BlackRock LifePath Dynamic 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008857042849940551, "alpha_t_5y": -0.4654841763175135, "alpha_t_full": -0.0913097440643731, "r2_5y": 0.9153292390906483, "r2_full": 0.8621845098095271, "corr_portfolio": 0.3008702985045181, "corr_benchmark": 0.5760610672463166, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.34376993896702257, "first": "2010-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lpjrx": {"sym": "lpjrx", "name": "BlackRock LifePath Dynamic 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010387880349755907, "alpha_t_5y": -0.6487990476320455, "alpha_t_full": -0.22627851765299142, "r2_5y": 0.9064365730349705, "r2_full": 0.8417239088437641, "corr_portfolio": 0.29253854556778164, "corr_benchmark": 0.596660566123592, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.2990398620839757, "first": "2010-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lprax": {"sym": "lprax", "name": "BlackRock LifePath Dynamic Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003920682425871072, "alpha_t_5y": -0.16820708717872285, "alpha_t_full": 1.714795931997409, "r2_5y": 0.6815447016845078, "r2_full": 0.6605079359768946, "corr_portfolio": 0.21605857393415892, "corr_benchmark": 0.6459216393438382, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.25857110650611626, "first": "2001-05-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "lprdx": {"sym": "lprdx", "name": "BlackRock LifePath Dynamic 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007124388130294296, "alpha_t_5y": -0.48253617385911657, "alpha_t_full": -0.3888988645511884, "r2_5y": 0.8955550861134127, "r2_full": 0.8762865720184846, "corr_portfolio": 0.27651609253370835, "corr_benchmark": 0.6090820592213827, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.4860593854890858, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lprex": {"sym": "lprex", "name": "BlackRock LifePath Dynamic 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 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Dynamic 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009682468004062129, "alpha_t_5y": -0.47120700574294067, "alpha_t_full": 0.27505838662808324, "r2_5y": 0.9157417560321683, "r2_full": 0.8598376076487108, "corr_portfolio": 0.298173360369884, "corr_benchmark": 0.5788786536900337, "alpha_pos_frac": 0.5478723404255319, "fund_max_dd": -0.3431915850917141, "first": "2010-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "lpxax": {"sym": "lpxax", "name": "Cohen & Steers Low Duration Preferred & Income Fund,Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02230574048438336, "alpha_t_5y": 2.570447332198512, "alpha_t_full": 2.1024169493998635, "r2_5y": 0.3681394333651793, "r2_full": 0.5361974906374579, "corr_portfolio": 0.2891136404609443, "corr_benchmark": 0.3751051076772553, "alpha_pos_frac": 0.5121951219512195, "fund_max_dd": -0.18137683376025815, "first": "2015-12-01", "verdict": "CANDIDATE - idiosyncratic 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not alpha-driven", "alpha_name": false}, "mfcpx": {"sym": "mfcpx", "name": "M Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01892785156140338, "alpha_t_5y": -0.7070858711771992, "alpha_t_full": -0.9673200523009524, "r2_5y": 0.9333416793280701, "r2_full": 0.8894961089544493, "corr_portfolio": 0.25952942042787197, "corr_benchmark": 0.5559764298087186, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6300034699676369, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfegx": {"sym": "mfegx", "name": "MFS Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.050789988767160246, "alpha_t_5y": -2.538432511262309, "alpha_t_full": -1.1056956289410824, "r2_5y": 0.9495660317976106, "r2_full": 0.9217650718599657, "corr_portfolio": 0.15407008501252803, "corr_benchmark": 0.6176694541780383, "alpha_pos_frac": 0.5086206896551724, "fund_max_dd": -0.7242210955224545, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mffsx": {"sym": "mffsx", "name": "MFS Lifetime 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010189390208153373, "alpha_t_5y": -1.0548744502943965, "alpha_t_full": -0.3303961806030915, "r2_5y": 0.9728596480924246, "r2_full": 0.973490504859295, "corr_portfolio": 0.3395281297320811, "corr_benchmark": 0.628359592181844, "alpha_pos_frac": 0.4918918918918919, "fund_max_dd": -0.32837300052361196, "first": "2010-09-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfiax": {"sym": "mfiax", "name": "MFS Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006640885141279144, "alpha_t_5y": 0.4777905921613778, "alpha_t_full": 5.850356793766823, "r2_5y": 0.4117601356746018, "r2_full": 1.5543122344752192e-15, "corr_portfolio": 0.040822613253877156, "corr_benchmark": 0.3609649583033511, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.16063322974906646, "first": "1993-09-08", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mfiox": {"sym": "mfiox", "name": "MFS Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006318287290912356, "alpha_t_5y": 1.0990947799727848, "alpha_t_full": 6.891650757854296, "r2_5y": 0.9348865150311987, "r2_full": -2.886579864025407e-15, "corr_portfolio": 0.030582380696160705, "corr_benchmark": 0.6636251361604526, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.18492235312769179, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfjax": {"sym": "mfjax", "name": "MFS Lifetime 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010089537781970703, "alpha_t_5y": -1.0210915580912714, "alpha_t_full": -0.4763945726515382, "r2_5y": 0.9716000473204144, "r2_full": 0.9738581036899381, "corr_portfolio": 0.31285057279273243, "corr_benchmark": 0.6589898590783575, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.3298350542409729, "first": "2016-12-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfpax": {"sym": "mfpax", "name": "MFS Pennsylvania Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006883171384577617, "alpha_t_5y": 0.5050298625448095, "alpha_t_full": 6.3551893283357455, "r2_5y": 0.3874227207979547, "r2_full": 1.3322676295501878e-15, "corr_portfolio": 0.03650822920090405, "corr_benchmark": 0.3523380155809375, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.15721166860622415, "first": "1993-02-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mfrkx": {"sym": "mfrkx", "name": "MFS Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025793862834040324, "alpha_t_5y": -2.5705650756138128, "alpha_t_full": -0.6461185932350837, "r2_5y": 0.9788046584688824, "r2_full": 0.9805701597350227, "corr_portfolio": 0.2751198803792067, "corr_benchmark": 0.6201147084452369, "alpha_pos_frac": 0.5168067226890757, "fund_max_dd": -0.52229245276682, "first": "2006-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfscx": {"sym": "mfscx", "name": "MFS South Carolina Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008044187800244385, "alpha_t_5y": 0.0565540476062628, "alpha_t_full": 6.716077359803239, "r2_5y": 0.39859751630310325, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.03344869803622136, "corr_benchmark": 0.3691486743395041, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.15904209433700334, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mfsmx": {"sym": "mfsmx", "name": "MFS Maryland Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003795362458755186, "alpha_t_5y": 0.28269499853649704, "alpha_t_full": 6.8512418511611095, "r2_5y": 0.40152055605879533, "r2_full": 2.9976021664879227e-15, "corr_portfolio": 0.04800689407078949, "corr_benchmark": 0.35008542214482724, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.1486639174577573, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mfssx": {"sym": "mfssx", "name": "MFS Massachusetts Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0003131037345781588, "alpha_t_5y": 0.023427303157719914, "alpha_t_full": 6.979945331501847, "r2_5y": 0.39325389120586896, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.045540515275922976, "corr_benchmark": 0.3541905040178228, "alpha_pos_frac": 0.5875486381322957, "fund_max_dd": -0.15613429643019316, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mfwtx": {"sym": "mfwtx", "name": "MFS Global Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009682403941341421, "alpha_t_5y": 0.10366002883649138, "alpha_t_full": 4.986464467053304, "r2_5y": 0.9390573291456654, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3973400121594816, "corr_benchmark": 0.6622511401108665, "alpha_pos_frac": 0.5, "fund_max_dd": -0.33213192157428795, "first": "1990-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mfwvx": {"sym": "mfwvx", "name": "MFS West Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0043221193923123355, "alpha_t_5y": 0.3067867595429904, "alpha_t_full": 6.975310582372534, "r2_5y": 0.3914996352365715, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.0168838892195488, "corr_benchmark": 0.36126085629164495, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.14323970357783644, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mgfox": {"sym": "mgfox", "name": "Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026452589928619808, "alpha_t_5y": 3.1228489219827082, "alpha_t_full": 3.451707286603494, "r2_5y": 0.5800012996313164, "r2_full": 0.547734623915205, "corr_portfolio": 0.1175539403175502, "corr_benchmark": 0.5305769152874877, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.12019741006691975, "first": "2019-01-03", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "mghax": {"sym": "mghax", "name": "NYLI Candriam Emerging Markets Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0070163608216457585, "alpha_t_5y": -0.3704194202928966, "alpha_t_full": 4.316699727873747, "r2_5y": 0.5220498705084371, "r2_full": 0.0, "corr_portfolio": 0.24351720759190532, "corr_benchmark": 0.46073904306480623, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.3269400046665226, "first": "1998-06-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "mgiax": {"sym": "mgiax", "name": "MFS International Intrinsic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0153533048601892, "alpha_t_5y": -0.6852558324855665, "alpha_t_full": 3.418942096325677, "r2_5y": 0.8855694516091662, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.2942403533342004, "corr_benchmark": 0.5773293015583884, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.5194145628242859, "first": "1995-10-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mglax": {"sym": "mglax", "name": "MFS Global Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044180075807086626, "alpha_t_5y": -2.7011916606555535, "alpha_t_full": -1.0722204878260975, "r2_5y": 0.9416351411275938, "r2_full": 0.9259432209143335, "corr_portfolio": 0.2817107060825477, "corr_benchmark": 0.6120320216987074, "alpha_pos_frac": 0.47549019607843135, "fund_max_dd": -0.38549612234965636, "first": "2009-03-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mgrax": {"sym": "mgrax", "name": "MFS International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010707614985157654, "alpha_t_5y": -0.47727353929660143, "alpha_t_full": 2.5759275490176328, "r2_5y": 0.8736805068948574, "r2_full": 0.0, "corr_portfolio": 0.3147090461687435, "corr_benchmark": 0.5464630271760532, "alpha_pos_frac": 0.5319148936170213, "fund_max_dd": -0.552866740151589, "first": "1995-10-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mgsex": {"sym": "mgsex", "name": "AMG Veritas Asia Pacific Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0046720152690084005, "alpha_t_5y": -0.09378876278456892, "alpha_t_full": 3.0616519058486227, "r2_5y": 0.7181944088187829, "r2_full": 0.0, "corr_portfolio": 0.20789473475757803, "corr_benchmark": 0.46895680073660795, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6205084885941838, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "mgsix": {"sym": "mgsix", "name": "MFS Government Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0001449840847779058, "alpha_t_5y": 0.02722411275943238, "alpha_t_full": 4.729048061150423, "r2_5y": 0.9515953740758043, "r2_full": 2.220446049250313e-16, "corr_portfolio": -0.14548801784044005, "corr_benchmark": 0.653086887321985, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.18416369695853496, "first": "1997-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mgvax": {"sym": "mgvax", "name": "NYLI MacKay U.S. Infrastructure Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015539960467369242, "alpha_t_5y": 2.3824497231825887, "alpha_t_full": 5.061940356523121, "r2_5y": 0.9211124158130176, "r2_full": -8.881784197001252e-16, "corr_portfolio": -0.1112774913744201, "corr_benchmark": 0.6073090086734083, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.17242481610992233, "first": "1995-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mhcax": {"sym": "mhcax", "name": "NYLI MacKay High Yield Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009431974907546542, "alpha_t_5y": 1.1291009006715989, "alpha_t_full": 8.76694240763274, "r2_5y": 0.7326252574841785, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3073651290547232, "corr_benchmark": 0.45808889376872775, "alpha_pos_frac": 0.4956896551724138, "fund_max_dd": -0.2938752305540392, "first": "1995-01-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "mhitx": {"sym": "mhitx", "name": "MFS High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004605523284966248, "alpha_t_5y": -0.4226805506103496, "alpha_t_full": 7.457389220056021, "r2_5y": 0.7605544247325582, "r2_full": -5.995204332975845e-15, "corr_portfolio": 0.28028737938879433, "corr_benchmark": 0.4250876807984767, "alpha_pos_frac": 0.38144329896907214, "fund_max_dd": -0.36808717635897825, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "mhoax": {"sym": "mhoax", "name": "MFS Global High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006542395295223362, "alpha_t_5y": 0.5942597996492694, "alpha_t_full": 5.312974167628529, "r2_5y": 0.6908554355034355, "r2_full": 2.7755575615628914e-15, "corr_portfolio": 0.30456198897159154, "corr_benchmark": 0.3957718541677147, "alpha_pos_frac": 0.47766323024054985, "fund_max_dd": -0.4071365652905, "first": "1998-07-01", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "miaax": {"sym": "miaax", "name": "MFS Inflation-Adjusted Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009104475113850766, "alpha_t_5y": -0.0688684790311801, "alpha_t_full": -0.585309476995666, "r2_5y": 0.7254559701160725, "r2_full": 0.6318130483771504, "corr_portfolio": -0.06085626706382225, "corr_benchmark": 0.6136043932592227, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.16045155675726652, "first": "2003-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "miazx": {"sym": "miazx", "name": "American Funds Multi-Sector Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010338825438792146, "alpha_t_5y": 1.537555963250717, "alpha_t_full": 1.1358155668362127, "r2_5y": 0.882935487842261, "r2_full": 0.8659186937870744, "corr_portfolio": 0.188515737598151, "corr_benchmark": 0.6524867591427497, "alpha_pos_frac": 0.6385542168674698, "fund_max_dd": -0.16540777978717514, "first": "2019-03-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "midax": {"sym": "midax", "name": "MFS International New Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029535018480557455, "alpha_t_5y": -1.4277487966398312, "alpha_t_full": 1.1522119001178972, "r2_5y": 0.8615990838304975, "r2_full": 0.8542660814204679, "corr_portfolio": 0.33810503095247857, "corr_benchmark": 0.5471006709669395, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5859082757343431, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "midsx": {"sym": "midsx", "name": "Midas Discovery", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06208090694235108, "alpha_t_5y": -0.7635851367643817, "alpha_t_full": 1.07047462398137, "r2_5y": 0.7107641661619009, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.07419810240469338, "corr_benchmark": 0.321855252738924, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.8972083614697808, "first": "1995-11-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "mieix": {"sym": "mieix", "name": "MFS International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002931712899200693, "alpha_t_5y": 0.15230068022339197, "alpha_t_full": 2.39185693007181, "r2_5y": 0.9087849373149821, "r2_full": 0.8846952588022736, "corr_portfolio": 0.36036571349694957, "corr_benchmark": 0.5241524250062757, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5313386071776649, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "migfx": {"sym": "migfx", "name": "Massachusetts Investors Growth Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04158667768560414, "alpha_t_5y": -2.2798102851251274, "alpha_t_full": 3.2321422674754348, "r2_5y": 0.9336986198197801, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.24585830162798583, "corr_benchmark": 0.6230312827479214, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.6203790823370595, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mishx": {"sym": "mishx", "name": "AB Municipal Income Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011446764811625796, "alpha_t_5y": 0.7419287284250975, "alpha_t_full": 1.835673656579206, "r2_5y": 0.41444699689333964, "r2_full": 0.38754983738488114, "corr_portfolio": 0.07425345783766146, "corr_benchmark": 0.36791631091459787, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.190287122274294, "first": "2012-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "missx": {"sym": "missx", "name": "MFS Mississippi Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0012290669059077611, "alpha_t_5y": 0.09067103851556427, "alpha_t_full": 6.236777692457195, "r2_5y": 0.3944342801888926, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.043796846835850334, "corr_benchmark": 0.3679095184987909, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.14610287868826866, "first": "1992-08-04", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mittx": {"sym": "mittx", "name": "Massachusetts Investors Trust", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01597981555542135, "alpha_t_5y": -1.367731246029588, "alpha_t_full": 3.207235035810628, "r2_5y": 0.9680114311786376, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.29394342048664124, "corr_benchmark": 0.6057170728650096, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.49533912566647176, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "miucx": {"sym": "miucx", "name": "MFS Municipal Intermediate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007736679077789817, "alpha_t_5y": 0.06900515606492541, "alpha_t_full": 0.06900515606492541, "r2_5y": 0.397695178425423, "r2_full": 0.397695178425423, "corr_portfolio": -0.044368406885342215, "corr_benchmark": 0.38225745246066273, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.13149310973505723, "first": "2021-05-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "mkvhx": {"sym": "mkvhx", "name": "MFS International Large Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04115854081605162, "alpha_t_5y": 2.1935895543826374, "alpha_t_full": 1.9106552370931311, "r2_5y": 0.9142000449411467, "r2_full": 0.913000033808753, "corr_portfolio": 0.33790459233033604, "corr_benchmark": 0.5127451133626689, "alpha_pos_frac": 0.5, "fund_max_dd": -0.267053612596316, "first": "2020-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mlaax": {"sym": "mlaax", "name": "NYLI Winslow Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04693919508043705, "alpha_t_5y": -2.218898761905965, "alpha_t_full": 1.9919994273639843, "r2_5y": 0.9498331750302941, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.15129553297888432, "corr_benchmark": 0.6072017080180797, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.830086591930398, "first": "1995-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mlfax": {"sym": "mlfax", "name": "MFS Lifetime 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010662257242045314, "alpha_t_5y": -1.1925212912316558, "alpha_t_full": -0.5309967772585511, "r2_5y": 0.9715740223020346, "r2_full": 0.9606868665944949, "corr_portfolio": 0.3403442129200188, "corr_benchmark": 0.6310227427889278, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5520543210285819, "first": "2005-09-30", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "mort": {"sym": "mort", "name": "VanEck Mortgage REIT Income ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.046574801220298084, "alpha_t_5y": -0.8001561033635611, "alpha_t_full": -1.351198286262291, "r2_5y": 0.6514336771813702, "r2_full": 0.5440210655287441, "corr_portfolio": 0.2600694928777911, "corr_benchmark": 0.4819310106601174, "alpha_pos_frac": 0.5574712643678161, "fund_max_dd": -0.7013105192180734, "first": "2011-08-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "motg": {"sym": "motg", "name": "VanEck Morningstar Global Wide Moat ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017439916615886474, "alpha_t_5y": -0.8584007779566446, "alpha_t_full": -0.14115790567306477, "r2_5y": 0.9055281106991185, "r2_full": 0.9075642364477754, "corr_portfolio": 0.2759722374625135, "corr_benchmark": 0.638475519029152, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.3182100949407586, "first": "2018-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "moti": {"sym": "moti", "name": "VanEck Morningstar International Moat ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008080821558984102, "alpha_t_5y": -0.23882261313975328, "alpha_t_full": -0.37169982628595566, "r2_5y": 0.7849723527818004, "r2_full": 0.733603657180085, "corr_portfolio": 0.31413539446318167, "corr_benchmark": 0.46236600397976585, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.36695680814492315, "first": "2015-07-15", "verdict": "weak/unstable alpha", "alpha_name": false}, "mpblx": {"sym": "mpblx", "name": "BNY Mellon Asset Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0063375315112128554, "alpha_t_5y": -0.8691672215177436, "alpha_t_full": 1.0731449622390088, "r2_5y": 0.9779779399512936, "r2_full": 0.9136779324851007, "corr_portfolio": 0.30356474535184985, "corr_benchmark": 0.6389030802175217, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.3475601561759969, "first": "2000-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mqlix": {"sym": "mqlix", "name": "MFS Limited Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008341035221594158, "alpha_t_5y": -1.0837457888624018, "alpha_t_full": 7.510323071189861, "r2_5y": 0.6117190859980202, "r2_full": 5.995204332975845e-15, "corr_portfolio": -0.0016491179864874315, "corr_benchmark": 0.3711911676887714, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.08488763305466285, "first": "1997-01-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "mrbkx": {"sym": "mrbkx", "name": "MFS Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00497761202887931, "alpha_t_5y": 1.0930032463783625, "alpha_t_full": 0.20912403852135503, "r2_5y": 0.961757131551161, "r2_full": 0.8353996808125417, "corr_portfolio": -0.024247344596193824, "corr_benchmark": 0.7131435704013737, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.18572770035473607, "first": "2006-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mresx": {"sym": "mresx", "name": "Cromwell CenterSquare Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009769795318857718, "alpha_t_5y": 1.0962634498652928, "alpha_t_full": -0.4490540138517166, "r2_5y": 0.9870242762155096, "r2_full": 0.9659027346289282, "corr_portfolio": 0.2321578792288191, "corr_benchmark": 0.563378091334705, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.7174363305643854, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mrgax": {"sym": "mrgax", "name": "MFS Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017908658471921742, "alpha_t_5y": -1.9521149661313162, "alpha_t_full": 0.5350147882341537, "r2_5y": 0.982734090842256, "r2_full": 0.9650489709742334, "corr_portfolio": 0.27634311013642404, "corr_benchmark": 0.6188897497389253, "alpha_pos_frac": 0.5058365758754864, "fund_max_dd": -0.5403562390304523, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mrskx": {"sym": "mrskx", "name": "MFS Research International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013332755638747558, "alpha_t_5y": -0.8140070168444207, "alpha_t_full": -1.2254763461876501, "r2_5y": 0.9309799803948292, "r2_full": 0.9231394937663148, "corr_portfolio": 0.3581214974209057, "corr_benchmark": 0.5366540658866393, "alpha_pos_frac": 0.5672268907563025, "fund_max_dd": -0.6399014789588952, "first": "2006-05-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mscgx": {"sym": "mscgx", "name": "Mercer US Small/Mid Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008260717541526586, "alpha_t_5y": -0.4498670753751562, "alpha_t_full": 0.07501833418209852, "r2_5y": 0.9501515116405865, "r2_full": 0.9574693774526903, "corr_portfolio": 0.2782281710530694, "corr_benchmark": 0.6015776672938628, "alpha_pos_frac": 0.5783132530120482, "fund_max_dd": -0.41296625208979, "first": "2019-04-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "msfrx": {"sym": "msfrx", "name": "MFS Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003467575355310126, "alpha_t_5y": 0.3024521290653845, "alpha_t_full": 4.645766274387914, "r2_5y": 0.9131399172020205, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.3683323917778254, "corr_benchmark": 0.6657721745608794, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.3727951218647938, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "msggx": {"sym": "msggx", "name": "Meridian Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05596125493203907, "alpha_t_5y": -1.7929810350570483, "alpha_t_full": 0.03078713081864525, "r2_5y": 0.8728532043174718, "r2_full": 0.8805701922862396, "corr_portfolio": 0.19653228345622936, "corr_benchmark": 0.5303521303763729, "alpha_pos_frac": 0.5205479452054794, "fund_max_dd": -0.4056165443062063, "first": "2013-12-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "msncx": {"sym": "msncx", "name": "MFS North Carolina Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0028645287763224073, "alpha_t_5y": 0.20384050699588666, "alpha_t_full": 6.853949402327766, "r2_5y": 0.4018300658006301, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.048390994087632665, "corr_benchmark": 0.3544622367222928, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.15249646452010668, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "msnyx": {"sym": "msnyx", "name": "MFS New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00283618873030621, "alpha_t_5y": 0.18007206237640622, "alpha_t_full": 6.446994527187502, "r2_5y": 0.39602356898398894, "r2_full": 1.5543122344752192e-15, "corr_portfolio": 0.03825837225700997, "corr_benchmark": 0.36868272488606396, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.17864511320809917, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "msoax": {"sym": "msoax", "name": "NYLI WMC Enduring Capital Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013009819221650227, "alpha_t_5y": -0.48138864630322453, "alpha_t_full": -1.6793859948257104, "r2_5y": 0.8349372697453376, "r2_full": 0.9166798448904425, "corr_portfolio": 0.31599586906236515, "corr_benchmark": 0.5826976480331095, "alpha_pos_frac": 0.6297872340425532, "fund_max_dd": -0.551564023805529, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "mstbx": {"sym": "mstbx", "name": "Morningstar Defensive Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006952152959684926, "alpha_t_5y": 1.3302126864268995, "alpha_t_full": 1.9904119935690736, "r2_5y": 0.79276252522522, "r2_full": 0.7539032181951857, "corr_portfolio": -0.09222762338952366, "corr_benchmark": 0.5873942176275673, "alpha_pos_frac": 0.5348837209302325, "fund_max_dd": -0.06306496083748692, "first": "2019-01-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "mstfx": {"sym": "mstfx", "name": "Morningstar International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010593667797037707, "alpha_t_5y": -0.06525150810133654, "alpha_t_full": 0.2019244785497293, "r2_5y": 0.941603838892913, "r2_full": 0.9427575689006388, "corr_portfolio": 0.3481834003496687, "corr_benchmark": 0.5520930028543095, "alpha_pos_frac": 0.4431818181818182, "fund_max_dd": -0.36651986586523566, "first": "2018-11-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mstgx": {"sym": "mstgx", "name": "Morningstar Global Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012616965265088518, "alpha_t_5y": 0.9933531707798834, "alpha_t_full": 0.009920716223700035, "r2_5y": 0.849490393089128, "r2_full": 0.8775993592498914, "corr_portfolio": 0.39633968676694725, "corr_benchmark": 0.6542921591700454, "alpha_pos_frac": 0.5909090909090909, "fund_max_dd": -0.2796213154884577, "first": "2018-11-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "mstpx": {"sym": "mstpx", "name": "Morningstar Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008090068325794926, "alpha_t_5y": 0.8044695679879178, "alpha_t_full": 1.2278391809339508, "r2_5y": 0.3261032262972764, "r2_full": 0.33832288751941175, "corr_portfolio": 0.06023607150977809, "corr_benchmark": 0.3602284180579085, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.10903136070947106, "first": "2018-11-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "mstqx": {"sym": "mstqx", "name": "Morningstar U.S. Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0041315170609814225, "alpha_t_5y": -0.1608694975109107, "alpha_t_full": 0.002749717600027579, "r2_5y": 0.8671194959326117, "r2_full": 0.9097937452625725, "corr_portfolio": 0.28865935307024193, "corr_benchmark": 0.610527221674232, "alpha_pos_frac": 0.4772727272727273, "fund_max_dd": -0.3826394269893434, "first": "2018-11-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "msvax": {"sym": "msvax", "name": "MFS Virginia Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009957515234129623, "alpha_t_5y": 0.0687098259676151, "alpha_t_full": 6.721629916597085, "r2_5y": 0.40142484409289936, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.0410074257904861, "corr_benchmark": 0.3592617062686689, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.15078391213833298, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mtbax": {"sym": "mtbax", "name": "NYLI MacKay Tax Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0007406245087870841, "alpha_t_5y": 0.05489553348841294, "alpha_t_full": 6.17380049147084, "r2_5y": 0.3701846687422887, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.04895433019990402, "corr_benchmark": 0.3117556708427996, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.15756058686053198, "first": "1995-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mtcax": {"sym": "mtcax", "name": "MFS Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027948351418715777, "alpha_t_5y": -1.0468238163735417, "alpha_t_full": -0.38039341423190526, "r2_5y": 0.9355560729322734, "r2_full": 0.8536476241827782, "corr_portfolio": 0.11863020730276233, "corr_benchmark": 0.5963410669889054, "alpha_pos_frac": 0.4980544747081712, "fund_max_dd": -0.8237184835912401, "first": "1999-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mtcgx": {"sym": "mtcgx", "name": "M Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04818340767691862, "alpha_t_5y": -1.8592490141886018, "alpha_t_full": -1.557256016944811, "r2_5y": 0.9191567941727183, "r2_full": 0.8935161897718299, "corr_portfolio": 0.17749945161539604, "corr_benchmark": 0.5887721429687378, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.687002029036043, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mtlfx": {"sym": "mtlfx", "name": "MFS Municipal Limited Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010389942388520671, "alpha_t_5y": 1.4411309183080558, "alpha_t_full": 8.781688694029642, "r2_5y": 0.3536661213625758, "r2_full": 5.88418203051333e-15, "corr_portfolio": 0.055601718906850804, "corr_benchmark": 0.2971610207231145, "alpha_pos_frac": 0.5229681978798587, "fund_max_dd": -0.08983481078113775, "first": "1992-03-09", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "mtrax": {"sym": "mtrax", "name": "NYLI Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0028062468581811027, "alpha_t_5y": 0.2772142500410893, "alpha_t_full": 3.7033720266814707, "r2_5y": 0.9457001596003809, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.36856847268694853, "corr_benchmark": 0.7129337687029124, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.394416892904464, "first": "1995-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mueax": {"sym": "mueax", "name": "MFS Blended Research Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007885358533487952, "alpha_t_5y": 0.7467263110146874, "alpha_t_full": 0.49345141231747336, "r2_5y": 0.9777631780046948, "r2_full": 0.9706810874599625, "corr_portfolio": 0.29953587757080846, "corr_benchmark": 0.6074593206404288, "alpha_pos_frac": 0.4396887159533074, "fund_max_dd": -0.5493505386033902, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mvalx": {"sym": "mvalx", "name": "MERIDIAN CONTRARIAN FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00851572844848401, "alpha_t_5y": -0.35100415979053534, "alpha_t_full": 4.173820863779294, "r2_5y": 0.9193474389232729, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.28539187167281904, "corr_benchmark": 0.5522631834282212, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5015239598535404, "first": "1994-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mvcax": {"sym": "mvcax", "name": "MFS Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010088266755254429, "alpha_t_5y": 0.5090570929725464, "alpha_t_full": 1.0426824563383235, "r2_5y": 0.9247326563834822, "r2_full": 0.9276671415045272, "corr_portfolio": 0.3834691698977543, "corr_benchmark": 0.5398883441042209, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.59894717847924, "first": "2001-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mveix": {"sym": "mveix", "name": "Monteagle Select Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02068591312408421, "alpha_t_5y": 0.7421827545915518, "alpha_t_full": 0.10302683595007181, "r2_5y": 0.8141080716316506, "r2_full": 0.702385631776761, "corr_portfolio": 0.2671727990757026, "corr_benchmark": 0.3996588954214522, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.6344483605702842, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "mvgax": {"sym": "mvgax", "name": "MFS Low Volatility Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024493208280847382, "alpha_t_5y": 1.355411563208218, "alpha_t_full": 1.5868461289551385, "r2_5y": 0.8336004690678962, "r2_full": 0.8875881621117452, "corr_portfolio": 0.3671156432313979, "corr_benchmark": 0.5954406095695969, "alpha_pos_frac": 0.5034013605442177, "fund_max_dd": -0.3018741053817767, "first": "2013-12-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "mwefx": {"sym": "mwefx", "name": "MFS Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.046016562393525806, "alpha_t_5y": -2.3525855128403492, "alpha_t_full": 3.174672136981501, "r2_5y": 0.9058948589188601, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3415246808052925, "corr_benchmark": 0.5858993989460842, "alpha_pos_frac": 0.5617021276595745, "fund_max_dd": -0.5182111972004291, "first": "1993-09-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mwofx": {"sym": "mwofx", "name": "MFS Global Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.050464411630205624, "alpha_t_5y": -2.6787926472571937, "alpha_t_full": 3.076940558674128, "r2_5y": 0.9177401809254034, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.2724918535417036, "corr_benchmark": 0.6201686020427634, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5610081522487622, "first": "1993-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mxccx": {"sym": "mxccx", "name": "Federated Hermes Max-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010981953119772202, "alpha_t_5y": -1.6392675457752635, "alpha_t_full": -2.3132338109119606, "r2_5y": 0.9909915901625186, "r2_full": 0.9820050485237828, "corr_portfolio": 0.28164085365563, "corr_benchmark": 0.6143525480827162, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.5533403130854504, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "mxigx": {"sym": "mxigx", "name": "Empower International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09303195913206451, "alpha_t_5y": -2.462720695469626, "alpha_t_full": -2.188939776688119, "r2_5y": 0.7803614400971474, "r2_full": 0.7615701365143606, "corr_portfolio": 0.23829870978608336, "corr_benchmark": 0.5337297636747963, "alpha_pos_frac": 0.5909090909090909, "fund_max_dd": -0.6328326683877019, "first": "2003-05-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "naarx": {"sym": "naarx", "name": "American Funds Retirement Income Portfolio - Conservative", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008196931972328712, "alpha_t_5y": 1.3072062850402153, "alpha_t_full": 1.508139259851316, "r2_5y": 0.9469743044248847, "r2_full": 0.9416446885231008, "corr_portfolio": 0.2989441800367642, "corr_benchmark": 0.8134963379469772, "alpha_pos_frac": 0.5317460317460317, "fund_max_dd": -0.15660811975188482, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nacmx": {"sym": "nacmx", "name": "Columbia California Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0008383925917745087, "alpha_t_5y": 0.09396480245326518, "alpha_t_full": 1.709557845331734, "r2_5y": 0.37124083595422896, "r2_full": 0.2884382182721765, "corr_portfolio": 0.043295790890780374, "corr_benchmark": 0.33270049719259176, "alpha_pos_frac": 0.5354609929078015, "fund_max_dd": -0.10979002300264618, "first": "2002-08-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "nanr": {"sym": "nanr", "name": "State Street(R) SPDR(R) S&P(R) North American Natural Resources ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028272203484037993, "alpha_t_5y": 0.5466302547761017, "alpha_t_full": 0.13768053702556518, "r2_5y": 0.7197922281806508, "r2_full": 0.7420941342091105, "corr_portfolio": 0.37113923738377547, "corr_benchmark": 0.3883920696888027, "alpha_pos_frac": 0.4016393442622951, "fund_max_dd": -0.4914929593462255, "first": "2015-12-21", "verdict": "weak/unstable alpha", "alpha_name": false}, "napix": {"sym": "napix", "name": "Voya Multi-Manager International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00010772911027657289, "alpha_t_5y": 0.005725340198476609, "alpha_t_full": -0.7870548179900667, "r2_5y": 0.9278725823430072, "r2_full": 0.8810943332512947, "corr_portfolio": 0.3828035762522231, "corr_benchmark": 0.5469650177880592, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.6835497479017605, "first": "2005-12-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "nbarx": {"sym": "nbarx", "name": "American Funds Retirement Income Portfolio - Moderate", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010204272837832562, "alpha_t_5y": 1.4007587078841768, "alpha_t_full": 1.416191376043171, "r2_5y": 0.9517097687454344, "r2_full": 0.9557864181750656, "corr_portfolio": 0.3413642604774375, "corr_benchmark": 0.7374111133024424, "alpha_pos_frac": 0.49206349206349204, "fund_max_dd": -0.18502935621882088, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nbiax": {"sym": "nbiax", "name": "Columbia Capital Allocation Moderate Aggressive Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010337903821484935, "alpha_t_5y": -1.3772404613115654, "alpha_t_full": 2.2833402682054063, "r2_5y": 0.9767644957239986, "r2_full": 0.9086209645146527, "corr_portfolio": 0.29696032043443304, "corr_benchmark": 0.6835078068194935, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.40741997900150106, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nbngx": {"sym": "nbngx", "name": "SIT MID CAP GROWTH FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04631617498831234, "alpha_t_5y": -1.5296341818558834, "alpha_t_full": -2.141674190043151, "r2_5y": 0.887882485013179, "r2_full": 0.9092643534463735, "corr_portfolio": 0.20404761280611597, "corr_benchmark": 0.6005250620322223, "alpha_pos_frac": 0.4692556634304207, "fund_max_dd": -0.7093938787018769, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nbrvx": {"sym": "nbrvx", "name": "Neuberger Mid Cap Intrinsic Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013367657400416023, "alpha_t_5y": -0.5424708792138131, "alpha_t_full": -0.22368751159643166, "r2_5y": 0.9067424359016215, "r2_full": 0.8702329188027909, "corr_portfolio": 0.3552160849152223, "corr_benchmark": 0.5261277782128675, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.6515275755343999, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ncaax": {"sym": "ncaax", "name": "Nuveen California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005714536024724924, "alpha_t_5y": -0.4168978725143216, "alpha_t_full": 6.020507687655612, "r2_5y": 0.3938485259204658, "r2_full": 9.992007221626409e-16, "corr_portfolio": 0.04365935184667315, "corr_benchmark": 0.3610594313851647, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.17492733497872037, "first": "1994-09-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "ncbgx": {"sym": "ncbgx", "name": "New Covenant Balanced Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006195003947133346, "alpha_t_5y": -1.3393183654919558, "alpha_t_full": 0.02731587518965528, "r2_5y": 0.9894736419596207, "r2_full": 0.8228715700819835, "corr_portfolio": 0.2453627938211466, "corr_benchmark": 0.634453461279351, "alpha_pos_frac": 0.6153846153846154, "fund_max_dd": -0.4127239541997887, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ncbix": {"sym": "ncbix", "name": "New Covenant Balanced Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002975461859904378, "alpha_t_5y": -0.7158635301584895, "alpha_t_full": 1.3989601039606603, "r2_5y": 0.9804647517050243, "r2_full": 0.7721183066574717, "corr_portfolio": 0.22805894703209006, "corr_benchmark": 0.7734445580028494, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.32186460917610726, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ncgfx": {"sym": "ncgfx", "name": "New Covenant Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010187664205641937, "alpha_t_5y": -1.5743029915763584, "alpha_t_full": -0.7324805067330775, "r2_5y": 0.9919433218211839, "r2_full": 0.949497931325705, "corr_portfolio": 0.27681392175362945, "corr_benchmark": 0.6025337991138241, "alpha_pos_frac": 0.5326460481099656, "fund_max_dd": -0.5813334375458721, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nchax": {"sym": "nchax", "name": "Nuveen California High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01971693999136053, "alpha_t_5y": -0.8845901598319669, "alpha_t_full": 0.011904556330449602, "r2_5y": 0.38772521872039245, "r2_full": 0.1987639792900926, "corr_portfolio": 0.07303664238728719, "corr_benchmark": 0.32271524446858346, "alpha_pos_frac": 0.5840336134453782, "fund_max_dd": -0.397841543462636, "first": "2006-04-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "ncicx": {"sym": "ncicx", "name": "New Covenant Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00020008747532278818, "alpha_t_5y": -0.04739152982244618, "alpha_t_full": 3.026748053724257, "r2_5y": 0.9531365682646572, "r2_full": 5.551115123125783e-16, "corr_portfolio": -0.06398565563681417, "corr_benchmark": 0.6499833365836933, "alpha_pos_frac": 0.6358381502890174, "fund_max_dd": -0.21117585714599907, "first": "1999-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ncirx": {"sym": "ncirx", "name": "Nuveen Core Impact Bond Managed Accounts Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011996230404796974, "alpha_t_5y": -1.4329515068452245, "alpha_t_full": -0.9950644287044746, "r2_5y": 0.9427371208918975, "r2_full": 0.08110645393006122, "corr_portfolio": -0.0343748666498373, "corr_benchmark": 0.22596612090111118, "alpha_pos_frac": 0.9852941176470589, "fund_max_dd": -0.6041785694893618, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nclex": {"sym": "nclex", "name": "NICHOLAS LTD EDITION INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06358072217478611, "alpha_t_5y": -2.0326605486131437, "alpha_t_full": 2.9817756596622504, "r2_5y": 0.8541000803647427, "r2_full": 0.0, "corr_portfolio": 0.20661377332384387, "corr_benchmark": 0.5784593120843269, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.48677847543596364, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ncoax": {"sym": "ncoax", "name": "Nuveen High Yield Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009026304255676397, "alpha_t_5y": 1.362503340232803, "alpha_t_full": -0.0937403070530004, "r2_5y": 0.894927049630921, "r2_full": 0.8281102823321325, "corr_portfolio": 0.31640160909042697, "corr_benchmark": 0.423969647958734, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.23049932577752508, "first": "2010-04-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nctwx": {"sym": "nctwx", "name": "NICHOLAS II INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0475901870617115, "alpha_t_5y": -1.6128804987823193, "alpha_t_full": 3.462871279449025, "r2_5y": 0.8479568862090829, "r2_full": 0.0, "corr_portfolio": 0.24851656176619372, "corr_benchmark": 0.5921875179720019, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.4646150667051202, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "ndarx": {"sym": "ndarx", "name": "American Funds Retirement Income Portfolio - Enhanced", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006282215743182556, "alpha_t_5y": 0.8154419164824598, "alpha_t_full": 0.8398364714778019, "r2_5y": 0.9621156173981273, "r2_full": 0.9655697471289288, "corr_portfolio": 0.34374519607458276, "corr_benchmark": 0.6867942692686523, "alpha_pos_frac": 0.5079365079365079, "fund_max_dd": -0.23620140654224853, "first": "2015-08-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ndvax": {"sym": "ndvax", "name": "MFS New Discovery Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004161752396315417, "alpha_t_5y": 0.17881004193510458, "alpha_t_full": 1.7669071762753275, "r2_5y": 0.9242882155088114, "r2_full": 0.9346991008915189, "corr_portfolio": 0.3535439794998781, "corr_benchmark": 0.49632550324751207, "alpha_pos_frac": 0.480225988700565, "fund_max_dd": -0.4405761685202628, "first": "2011-05-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nefjx": {"sym": "nefjx", "name": "Vaughan Nelson Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01750177067813415, "alpha_t_5y": 0.6600215438950806, "alpha_t_full": -0.1308178426349989, "r2_5y": 0.9044271352185649, "r2_full": 0.9127738611460281, "corr_portfolio": 0.32576348070799194, "corr_benchmark": 0.5205915259109286, "alpha_pos_frac": 0.5087719298245614, "fund_max_dd": -0.6557731614248759, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nefox": {"sym": "nefox", "name": "Natixis Oakmark Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02023894946592134, "alpha_t_5y": 0.7064423213528095, "alpha_t_full": 3.1664243664686627, "r2_5y": 0.862080771768091, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.36024682999505664, "corr_benchmark": 0.5172901943475076, "alpha_pos_frac": 0.4425531914893617, "fund_max_dd": -0.6235146360993009, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nefrx": {"sym": "nefrx", "name": "Loomis Sayles Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0019547730266806207, "alpha_t_5y": -0.3775061410688526, "alpha_t_full": 6.754041707114993, "r2_5y": 0.9559545828983692, "r2_full": 0.0, "corr_portfolio": -0.04483250045239879, "corr_benchmark": 0.741855111831975, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.18761691011519233, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nefzx": {"sym": "nefzx", "name": "Loomis Sayles Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003658102956048982, "alpha_t_5y": 0.42368016283446797, "alpha_t_full": 6.384607898117147, "r2_5y": 0.8422584085173231, "r2_full": 1.4432899320127035e-15, "corr_portfolio": 0.2502792435552544, "corr_benchmark": 0.6788801020511249, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.32059621521826565, "first": "1995-05-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nesgx": {"sym": "nesgx", "name": "Needham Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000727708126189692, "alpha_t_5y": -0.012951966507039458, "alpha_t_full": 1.1212238316307588, "r2_5y": 0.8042956362863204, "r2_full": 0.7249222872946699, "corr_portfolio": 0.11422310600775452, "corr_benchmark": 0.5001454457402623, "alpha_pos_frac": 0.5099601593625498, "fund_max_dd": -0.5028739969400402, "first": "2002-05-24", "verdict": "weak/unstable alpha", "alpha_name": false}, "newfx": {"sym": "newfx", "name": "NEW WORLD FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02674531031712862, "alpha_t_5y": -1.1962453841989074, "alpha_t_full": 1.410105831694773, "r2_5y": 0.8916598105730408, "r2_full": 0.6752369855247218, "corr_portfolio": 0.2893721125804052, "corr_benchmark": 0.5525697146382463, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.5671112134075851, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nfrax": {"sym": "nfrax", "name": "Nuveen Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.039775474148876694, "alpha_t_5y": 4.9322736737743265, "alpha_t_full": 2.566406739703, "r2_5y": 0.5155538409442189, "r2_full": 0.6444374434560212, "corr_portfolio": 0.32008937488256256, "corr_benchmark": 0.27902724282000824, "alpha_pos_frac": 0.5730337078651685, "fund_max_dd": -0.22122247588526112, "first": "2011-05-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "ngcax": {"sym": "ngcax", "name": "Columbia Greater China Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11171968713402765, "alpha_t_5y": -1.9158713504078442, "alpha_t_full": 2.0277973510139473, "r2_5y": 0.7817706379995097, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.13124746807645205, "corr_benchmark": 0.3254892861386413, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.7245094703035198, "first": "1997-05-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "nhmax": {"sym": "nhmax", "name": "Nuveen High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0039149169142773665, "alpha_t_5y": 0.18272527923420856, "alpha_t_full": 4.3596556202742125, "r2_5y": 0.3950874990475812, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.09222306824618037, "corr_benchmark": 0.32726452086357527, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.455557856545038, "first": "1999-06-08", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nicsx": {"sym": "nicsx", "name": "NICHOLAS FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019179771553007922, "alpha_t_5y": -1.0734891037849508, "alpha_t_full": 3.9556043528342597, "r2_5y": 0.9357959714416347, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.23453129754015895, "corr_benchmark": 0.6143190663887192, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5019454475181375, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "njtfx": {"sym": "njtfx", "name": "T. Rowe Price New Jersey Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00763258129119727, "alpha_t_5y": 0.6152588519873272, "alpha_t_full": 1.0166774796533244, "r2_5y": 0.4018469690328146, "r2_full": 0.38504388654030763, "corr_portfolio": 0.04417422438142261, "corr_benchmark": 0.36453334833515727, "alpha_pos_frac": 0.5752212389380531, "fund_max_dd": -0.14602096066049086, "first": "2016-09-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "nlgax": {"sym": "nlgax", "name": "Columbia Capital Allocation Moderate Conservative Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0047046293335274115, "alpha_t_5y": -0.7942240932657684, "alpha_t_full": 4.631083986080843, "r2_5y": 0.9656179424741757, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.25900962498748575, "corr_benchmark": 0.8170080796951049, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.2685073688423413, "first": "1996-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nlsax": {"sym": "nlsax", "name": "Neuberger Berman Long Short Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.0489649800504441, "r2_5y": NaN, "r2_full": 0.7597914180929699, "corr_portfolio": 0.3938191096744254, "corr_benchmark": 0.5145794299058428, "alpha_pos_frac": 0.5471698113207547, "fund_max_dd": -0.17941457915503312, "first": "2011-12-30", "verdict": "no 5y window", "alpha_name": true}, "nmaax": {"sym": "nmaax", "name": "Nuveen Massachusetts Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004437530827823734, "alpha_t_5y": -0.36106150457886943, "alpha_t_full": 6.10331057889652, "r2_5y": 0.40732732287297946, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.03781494868656306, "corr_benchmark": 0.354062381715125, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.16735502698997318, "first": "1994-09-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "nmbax": {"sym": "nmbax", "name": "Nuveen Intermediate Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038154217858431226, "alpha_t_5y": 0.35536241947149133, "alpha_t_full": 6.893963361871559, "r2_5y": 0.39934463751586835, "r2_full": -2.220446049250313e-15, "corr_portfolio": 0.05331358698509937, "corr_benchmark": 0.3435115582159923, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.12121394413654496, "first": "1995-06-14", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nmdax": {"sym": "nmdax", "name": "Nuveen Maryland Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0029036049464424246, "alpha_t_5y": 0.19942998805631712, "alpha_t_full": 6.266687198343474, "r2_5y": 0.39513324397494487, "r2_full": 0.0, "corr_portfolio": 0.03606238437182063, "corr_benchmark": 0.3606551075888768, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.16157676717926772, "first": "1994-09-07", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nmiex": {"sym": "nmiex", "name": "ACTIVE M INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010101356397738646, "alpha_t_5y": 0.5194819856247018, "alpha_t_full": -1.5736450959640675, "r2_5y": 0.9182926832504101, "r2_full": 0.8998929970315899, "corr_portfolio": 0.373239667676834, "corr_benchmark": 0.5525007233478543, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.5592623901298053, "first": "2006-06-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nmmex": {"sym": "nmmex", "name": "ACTIVE M EMERGING MARKETS EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01261342357626106, "alpha_t_5y": -0.3873971184733235, "alpha_t_full": -0.8783621545848586, "r2_5y": 0.7960343866837077, "r2_full": 0.8538517429721262, "corr_portfolio": 0.3187242722465449, "corr_benchmark": 0.46378030125479613, "alpha_pos_frac": 0.45145631067961167, "fund_max_dd": -0.3979868369592223, "first": "2008-12-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "nmmgx": {"sym": "nmmgx", "name": "MULTI-MANAGER GLOBAL REAL ESTATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03924589113646899, "alpha_t_5y": -1.6674972243241934, "alpha_t_full": -1.5105559984393955, "r2_5y": 0.8810856670385193, "r2_full": 0.8953011928041585, "corr_portfolio": 0.28490440299527303, "corr_benchmark": 0.6072181334227575, "alpha_pos_frac": 0.5776699029126213, "fund_max_dd": -0.4028238812682835, "first": "2008-12-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "nmuix": {"sym": "nmuix", "name": "Neuberger Municipal Intermediate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014789231966426666, "alpha_t_5y": 0.15120668817106414, "alpha_t_full": 7.704237708597729, "r2_5y": 0.4077392277691507, "r2_full": 1.1102230246251565e-15, "corr_portfolio": 0.03703433854372351, "corr_benchmark": 0.3471776550938575, "alpha_pos_frac": 0.5214007782101168, "fund_max_dd": -0.1341026057609117, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nnjax": {"sym": "nnjax", "name": "Nuveen New Jersey Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021338138566512946, "alpha_t_5y": 0.1487288268076536, "alpha_t_full": 6.084782833685566, "r2_5y": 0.395810708974886, "r2_full": 2.220446049250313e-15, "corr_portfolio": 0.037425505792616685, "corr_benchmark": 0.348456335007589, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.1635994339801028, "first": "1994-09-07", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nnyax": {"sym": "nnyax", "name": "Nuveen New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005212408901512473, "alpha_t_5y": 0.0358315136149504, "alpha_t_full": 6.045471044102319, "r2_5y": 0.41620939148989033, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.03868299559179597, "corr_benchmark": 0.3746829137139221, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.17596595747875665, "first": "1994-09-07", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "noiax": {"sym": "noiax", "name": "Natixis Oakmark International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011222685449204677, "alpha_t_5y": -0.3674126222295156, "alpha_t_full": -0.46893563363238466, "r2_5y": 0.8623214959495591, "r2_full": 0.8765820055342614, "corr_portfolio": 0.37828800074791696, "corr_benchmark": 0.4573006288174468, "alpha_pos_frac": 0.47802197802197804, "fund_max_dd": -0.5397340398603887, "first": "2010-12-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "notax": {"sym": "notax", "name": "DWS Strategic High Yield Tax-Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03458997462862232, "alpha_t_5y": -1.7410536981851819, "alpha_t_full": 4.957620371253398, "r2_5y": 0.41681860660568026, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.04383475934520356, "corr_benchmark": 0.34879325042498033, "alpha_pos_frac": 0.6242774566473989, "fund_max_dd": -0.2737867312725175, "first": "2000-05-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "novix": {"sym": "novix", "name": "Global Secured Options Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -1.9240525759262788, "r2_5y": NaN, "r2_full": 0.8862366353649794, "corr_portfolio": -0.09989696332632156, "corr_benchmark": -0.034472357733126575, "alpha_pos_frac": 0.6470588235294118, "fund_max_dd": -0.2549019607843137, "first": "2012-10-01", "verdict": "no 5y window", "alpha_name": false}, "nphix": {"sym": "nphix", "name": "HIGH INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002272599538395023, "alpha_t_5y": 0.31662536619806503, "alpha_t_full": -0.398579920411846, "r2_5y": 0.8899091739975755, "r2_full": 0.825722745852435, "corr_portfolio": 0.3057061267757481, "corr_benchmark": 0.4464795045046101, "alpha_pos_frac": 0.5189873417721519, "fund_max_dd": -0.21677112434348134, "first": "2013-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "npscx": {"sym": "npscx", "name": "Nuveen Preferred Securities and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016727231375163513, "alpha_t_5y": 0.8919480005195736, "alpha_t_full": 0.15249574467740243, "r2_5y": 0.4723608396710586, "r2_full": 0.33735725198746824, "corr_portfolio": 0.31228592721714066, "corr_benchmark": 0.39446752579030814, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.6144110941366212, "first": "2006-12-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "nrfax": {"sym": "nrfax", "name": "AEW Global Focused Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015345276440864936, "alpha_t_5y": -0.9017434413213036, "alpha_t_full": 0.12833375383749868, "r2_5y": 0.9380244136918998, "r2_full": 0.9658373292590096, "corr_portfolio": 0.27070702838404087, "corr_benchmark": 0.581487562708043, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.7417654816645052, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nsaox": {"sym": "nsaox", "name": "Nuveen Strategic Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0019825446995119468, "alpha_t_5y": -0.13906876621021944, "alpha_t_full": 1.6646756997196956, "r2_5y": 0.39847021128872284, "r2_full": 0.37628538064413486, "corr_portfolio": 0.06210329639707311, "corr_benchmark": 0.3411290481338952, "alpha_pos_frac": 0.5597014925373134, "fund_max_dd": -0.19036210278069154, "first": "2015-01-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "nsbax": {"sym": "nsbax", "name": "Nuveen Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01393654584839839, "alpha_t_5y": -0.9221635563647291, "alpha_t_full": 1.2120464598988823, "r2_5y": 0.935084161986524, "r2_full": 0.9502992710747553, "corr_portfolio": 0.3366858977482437, "corr_benchmark": 0.5884276803133492, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.4529234031764503, "first": "2006-03-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nseix": {"sym": "nseix", "name": "NICHOLAS EQUITY INCOME FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00950162239321549, "alpha_t_5y": -0.5649936182087678, "alpha_t_full": 3.5380512400561344, "r2_5y": 0.9124679275342406, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.35928196616379293, "corr_benchmark": 0.5495465087126717, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.4810865780289436, "first": "1993-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nsmax": {"sym": "nsmax", "name": "Nuveen Small/Mid Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03951890404206272, "alpha_t_5y": 1.5209001241271212, "alpha_t_full": 0.11844888601047103, "r2_5y": 0.900085644572342, "r2_full": 0.9102120270032975, "corr_portfolio": 0.34892264523238886, "corr_benchmark": 0.5039841356231192, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.679084196678065, "first": "2006-12-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nsmmx": {"sym": "nsmmx", "name": "Columbia Short Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011769081353212267, "alpha_t_5y": 2.0908363335975677, "alpha_t_full": 7.081954148403921, "r2_5y": 0.30826005592877403, "r2_full": 6.8833827526759706e-15, "corr_portfolio": 0.057607466928766934, "corr_benchmark": 0.2686272984478024, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.054232095757011045, "first": "1993-11-03", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "nstrx": {"sym": "nstrx", "name": "Columbia Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021418355690017456, "alpha_t_5y": 4.339387784265224, "alpha_t_full": 9.262303050744128, "r2_5y": 0.7024309647229904, "r2_full": 2.220446049250313e-15, "corr_portfolio": 0.01981580740616467, "corr_benchmark": 0.3924380404819054, "alpha_pos_frac": 0.37572254335260113, "fund_max_dd": -0.09387369848990468, "first": "1992-10-05", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "nthex": {"sym": "nthex", "name": "NORTHEAST INVESTORS TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03956693027480881, "alpha_t_5y": 1.8022220176987005, "alpha_t_full": 5.859685374752044, "r2_5y": 0.11860985272118241, "r2_full": 1.4432899320127035e-15, "corr_portfolio": 0.25014664725373204, "corr_benchmark": 0.2077029279027634, "alpha_pos_frac": 0.5738831615120275, "fund_max_dd": -0.5061479511892839, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "nugax": {"sym": "nugax", "name": "Nuveen Global Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013309737089017493, "alpha_t_5y": -0.967655282856788, "alpha_t_full": -1.3302928733108201, "r2_5y": 0.9424176227328116, "r2_full": 0.9476771020087064, "corr_portfolio": 0.36446663347120906, "corr_benchmark": 0.5975218309033357, "alpha_pos_frac": 0.4878048780487805, "fund_max_dd": -0.3367928767803565, "first": "2012-06-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nvhax": {"sym": "nvhax", "name": "Nuveen Short Duration High Yield Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01716342633498619, "alpha_t_5y": 1.4923718940941686, "alpha_t_full": 2.5434927229965516, "r2_5y": 0.2761662225895567, "r2_full": 0.3336647236144682, "corr_portfolio": 0.12459817908509871, "corr_benchmark": 0.21281943090130565, "alpha_pos_frac": 0.5987261146496815, "fund_max_dd": -0.13568773973825887, "first": "2013-02-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "nwhnx": {"sym": "nwhnx", "name": "Nationwide Bailard International Equities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023097390679575284, "alpha_t_5y": 1.5342647756988546, "alpha_t_full": 0.35788100103676307, "r2_5y": 0.9468873725991509, "r2_full": 0.9411487859697635, "corr_portfolio": 0.41181144969138145, "corr_benchmark": 0.5301195600323073, "alpha_pos_frac": 0.4563758389261745, "fund_max_dd": -0.3907159879047074, "first": "2013-09-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nwqax": {"sym": "nwqax", "name": "Nuveen Flexible Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015355884280233894, "alpha_t_5y": -0.20032520772573356, "alpha_t_full": -0.5102527740679758, "r2_5y": 0.8902934461716631, "r2_full": 0.6705300665081666, "corr_portfolio": 0.3139708138195088, "corr_benchmark": 0.6577482554532937, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.23891440633127548, "first": "2009-12-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "nyaax": {"sym": "nyaax", "name": "AMERICAN FUNDS TAX-EXEMPT FUND OF NEW YORK", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0040225473583517185, "alpha_t_5y": 0.2848485416020885, "alpha_t_full": 1.452604450501682, "r2_5y": 0.3840851288146777, "r2_full": 0.32776512746331776, "corr_portfolio": 0.02123427901126245, "corr_benchmark": 0.3559276914011442, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.15890876328928205, "first": "2010-11-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "nyvtx": {"sym": "nyvtx", "name": "Davis New York Venture Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00906994750994993, "alpha_t_5y": 0.305030339887884, "alpha_t_full": 3.646805890653166, "r2_5y": 0.8519677159844525, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.33328620674551024, "corr_benchmark": 0.5197930132625113, "alpha_pos_frac": 0.5099601593625498, "fund_max_dd": -0.5855488265322925, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oafix": {"sym": "oafix", "name": "OPTIMUM FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004886175852258569, "alpha_t_5y": -0.9567030956863072, "alpha_t_full": 0.22929349281069544, "r2_5y": 0.9549785540240688, "r2_full": 0.8063553215738923, "corr_portfolio": -0.05197692247785588, "corr_benchmark": 0.7327534684611048, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.1983065547731483, "first": "2003-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oaiex": {"sym": "oaiex", "name": "OPTIMUM INTERNATIONAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027500742626035517, "alpha_t_5y": -1.2271578548125173, "alpha_t_full": -1.8180381062551658, "r2_5y": 0.900583457931256, "r2_full": 0.8887094224713082, "corr_portfolio": 0.356212961585428, "corr_benchmark": 0.5405836256500143, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.6068510831098042, "first": "2003-07-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oakbx": {"sym": "oakbx", "name": "Oakmark Equity and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006153799853102344, "alpha_t_5y": 0.3411134866879809, "alpha_t_full": 4.834313694041731, "r2_5y": 0.8697699605701001, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.371246958449659, "corr_benchmark": 0.5564203556231527, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.3131187584366041, "first": "1995-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oakex": {"sym": "oakex", "name": "Oakmark International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002909191565613683, "alpha_t_5y": -0.0838268344792201, "alpha_t_full": 3.3525421105519158, "r2_5y": 0.7772834086816796, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.38778961147919666, "corr_benchmark": 0.45956469430126223, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.6613610166616855, "first": "1995-11-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "oakgx": {"sym": "oakgx", "name": "Oakmark Global Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014911555869546988, "alpha_t_5y": -0.49411143847921185, "alpha_t_full": 1.36122573906225, "r2_5y": 0.8382604893632662, "r2_full": 0.7584205009971967, "corr_portfolio": 0.38368831105478474, "corr_benchmark": 0.5043402457363078, "alpha_pos_frac": 0.50199203187251, "fund_max_dd": -0.5857179701818698, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "oakix": {"sym": "oakix", "name": "Oakmark International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005500821155048251, "alpha_t_5y": -0.15158001376875913, "alpha_t_full": 3.209806599965518, "r2_5y": 0.7944081494232356, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.39305299592865506, "corr_benchmark": 0.43608412917871386, "alpha_pos_frac": 0.4824561403508772, "fund_max_dd": -0.608329384339853, "first": "1992-10-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "oaklx": {"sym": "oaklx", "name": "Oakmark Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028332396062816945, "alpha_t_5y": 0.7433530011353997, "alpha_t_full": 1.2215562911659312, "r2_5y": 0.7869487186214208, "r2_full": 0.8300096938877808, "corr_portfolio": 0.3292542457621716, "corr_benchmark": 0.5012938649157518, "alpha_pos_frac": 0.44680851063829785, "fund_max_dd": -0.6115065158779194, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "oakmx": {"sym": "oakmx", "name": "Oakmark Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019531388772424278, "alpha_t_5y": 0.6820528429873625, "alpha_t_full": 4.55203077291563, "r2_5y": 0.8610429606212693, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3614110401250136, "corr_benchmark": 0.5151302280815169, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.5619480347429107, "first": "1991-08-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oakwx": {"sym": "oakwx", "name": "Oakmark Global Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026905018755528646, "alpha_t_5y": -0.8342949415080407, "alpha_t_full": 0.07388663953933082, "r2_5y": 0.7866918424661704, "r2_full": 0.8636228706466956, "corr_portfolio": 0.3572884769591909, "corr_benchmark": 0.4936797641965902, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.5626085375538958, "first": "2006-10-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "oalgx": {"sym": "oalgx", "name": "OPTIMUM LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05224085433719177, "alpha_t_5y": -1.2238479750597648, "alpha_t_full": -1.872613743738928, "r2_5y": 0.8224579525317999, "r2_full": 0.8979443860797308, "corr_portfolio": 0.15027332377364522, "corr_benchmark": 0.5939729402466465, "alpha_pos_frac": 0.5608856088560885, "fund_max_dd": -0.5538777452969619, "first": "2003-07-24", "verdict": "weak/unstable alpha", "alpha_name": false}, "oalvx": {"sym": "oalvx", "name": "OPTIMUM LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005784198631549606, "alpha_t_5y": 0.37899607351213915, "alpha_t_full": 0.1528527496688441, "r2_5y": 0.9335884311617505, "r2_full": 0.9440641766301339, "corr_portfolio": 0.3899025452244982, "corr_benchmark": 0.5383179557314257, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5680712313630496, "first": "2003-07-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oasgx": {"sym": "oasgx", "name": "OPTIMUM SMALL-MID CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05580355795175359, "alpha_t_5y": -2.132480666474915, "alpha_t_full": -1.9518553108817416, "r2_5y": 0.9297895759697788, "r2_full": 0.9256946560447268, "corr_portfolio": 0.18308409102204284, "corr_benchmark": 0.5758795523889668, "alpha_pos_frac": 0.4723404255319149, "fund_max_dd": -0.6297166275317017, "first": "2003-07-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oasvx": {"sym": "oasvx", "name": "OPTIMUM SMALL-MID CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011674467147936874, "alpha_t_5y": -0.48273202914651253, "alpha_t_full": -1.2848990301839842, "r2_5y": 0.9165042017337135, "r2_full": 0.9227519059762149, "corr_portfolio": 0.3645870426194703, "corr_benchmark": 0.5102162345176466, "alpha_pos_frac": 0.5058365758754864, "fund_max_dd": -0.6582753385397521, "first": "2003-07-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oaycx": {"sym": "oaycx", "name": "Oakmark Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010223908206263208, "alpha_t_5y": 1.6336991939583092, "alpha_t_full": 3.3987124797106127, "r2_5y": 0.9073013482642371, "r2_full": 0.9004505863307541, "corr_portfolio": -0.05592867742699571, "corr_benchmark": 0.7852053780847446, "alpha_pos_frac": 0.4492753623188406, "fund_max_dd": -0.14991298285667864, "first": "2020-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "obegx": {"sym": "obegx", "name": "Oberweis Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023204861808848957, "alpha_t_5y": -0.5528040062107605, "alpha_t_full": 2.790029180469928, "r2_5y": 0.8252516941093051, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.2111946331361633, "corr_benchmark": 0.5343067079530714, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.714024768155322, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "olcax": {"sym": "olcax", "name": "Invesco Limited Term California Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008149140962807212, "alpha_t_5y": 0.7711933676612448, "alpha_t_full": 3.1095862620514243, "r2_5y": 0.24902004168051162, "r2_full": 0.1396173357578978, "corr_portfolio": 0.037146901485240455, "corr_benchmark": 0.23934231992690763, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.1459259128570778, "first": "2004-02-26", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "omfcx": {"sym": "omfcx", "name": "Invesco AMT-Free Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004773394249878183, "alpha_t_5y": -0.306479321662273, "alpha_t_full": 3.8965438589868557, "r2_5y": 0.3776850076600805, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.04380186576319111, "corr_benchmark": 0.3495710888511325, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.49189868567581385, "first": "1995-08-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "omfl": {"sym": "omfl", "name": "Invesco Russell 1000(R) Dynamic Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004843621318681714, "alpha_t_5y": -0.19156824004429862, "alpha_t_full": 0.9451649524507112, "r2_5y": 0.8719220217351126, "r2_full": 0.8385022193085783, "corr_portfolio": 0.29430402201853684, "corr_benchmark": 0.5542270218963034, "alpha_pos_frac": 0.5252525252525253, "fund_max_dd": -0.3324192056150126, "first": "2017-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "omfs": {"sym": "omfs", "name": "Invesco Russell 2000(R) Dynamic Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019607396328953367, "alpha_t_5y": 0.6847551823718495, "alpha_t_full": 1.0779253435664151, "r2_5y": 0.9027742946376981, "r2_full": 0.8198009178420389, "corr_portfolio": 0.303636900879426, "corr_benchmark": 0.46929114450192144, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.42502779611546027, "first": "2017-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "omifx": {"sym": "omifx", "name": "Federated Hermes Ohio Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00021106372838363872, "alpha_t_5y": 0.016927665806262975, "alpha_t_full": 7.191552394403276, "r2_5y": 0.32515792968956614, "r2_full": -3.1086244689504383e-15, "corr_portfolio": 0.01601933667818547, "corr_benchmark": 0.3560475018900643, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.128786560376425, "first": "1990-10-15", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "oneo": {"sym": "oneo", "name": "State Street(R) SPDR(R) Russell 1000 Momentum Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006737886244674868, "alpha_t_5y": 0.3390983028993232, "alpha_t_full": 0.06664391673080072, "r2_5y": 0.9235258944827985, "r2_full": 0.8790365153616514, "corr_portfolio": 0.3427412505732648, "corr_benchmark": 0.5863269204281072, "alpha_pos_frac": 0.4959349593495935, "fund_max_dd": -0.4086262790174634, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oneq": {"sym": "oneq", "name": "Fidelity Nasdaq Composite Index ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010054264878433547, "alpha_t_5y": -0.8425343303158125, "alpha_t_full": -1.1532539559774913, "r2_5y": 0.9837501251933067, "r2_full": 0.9615703093077298, "corr_portfolio": 0.1560306917231467, "corr_benchmark": 0.6114335738006046, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5508863650434419, "first": "2003-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "onev": {"sym": "onev", "name": "State Street(R) SPDR(R) Russell 1000 Low Volatility Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02096452905908343, "alpha_t_5y": 1.0047813435079238, "alpha_t_full": 1.1075606137001983, "r2_5y": 0.8837593232091043, "r2_full": 0.8453744601860113, "corr_portfolio": 0.34306727591059877, "corr_benchmark": 0.5522614352861341, "alpha_pos_frac": 0.5203252032520326, "fund_max_dd": -0.39715773905231566, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "oney": {"sym": "oney", "name": "State Street(R) SPDR(R) Russell 1000 Yield Focus ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03515214842563244, "alpha_t_5y": 1.4219969359286198, "alpha_t_full": 1.1137181758695978, "r2_5y": 0.8728689833792886, "r2_full": 0.7744790213816011, "corr_portfolio": 0.38368395271898603, "corr_benchmark": 0.47242881329095504, "alpha_pos_frac": 0.4065040650406504, "fund_max_dd": -0.4679796420573904, "first": "2015-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "onjcx": {"sym": "onjcx", "name": "Invesco New Jersey Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003364532437314904, "alpha_t_5y": 0.24808161066882115, "alpha_t_full": 4.108293800585044, "r2_5y": 0.38306898115003996, "r2_full": 4.440892098500626e-15, "corr_portfolio": 0.06695743772049785, "corr_benchmark": 0.31564127507899487, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.4140228519140272, "first": "1995-08-30", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "opacx": {"sym": "opacx", "name": "Invesco Pennsylvania Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003559543028831579, "alpha_t_5y": -0.23029050156838615, "alpha_t_full": 4.765683162145082, "r2_5y": 0.35999828593777505, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.04132377237750224, "corr_benchmark": 0.3149667754559082, "alpha_pos_frac": 0.5992217898832685, "fund_max_dd": -0.38955667999668053, "first": "1995-08-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "opcax": {"sym": "opcax", "name": "Invesco California Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002085041219357773, "alpha_t_5y": 0.12281996495938682, "alpha_t_full": 5.812402431971052, "r2_5y": 0.39848800227145764, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.04440212878224746, "corr_benchmark": 0.34996284503088493, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.4735707729608609, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "opnyx": {"sym": "opnyx", "name": "Invesco Rochester AMT-Free New York Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0006681845541084621, "alpha_t_5y": 0.03759246373750551, "alpha_t_full": 5.694753378206453, "r2_5y": 0.39265244749518236, "r2_full": -1.7763568394002505e-15, "corr_portfolio": 0.03867434841608233, "corr_benchmark": 0.34970464905241994, "alpha_pos_frac": 0.6069364161849711, "fund_max_dd": -0.3459499584131701, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "origx": {"sym": "origx", "name": "NORTH SQUARE SPECTRUM ALPHA FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011747690517504131, "alpha_t_5y": -0.49370192716614214, "alpha_t_full": 3.1989170625120655, "r2_5y": 0.9332461572819861, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.22193308460528877, "corr_benchmark": 0.5586202144915828, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.49060619311860776, "first": "1994-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "orilx": {"sym": "orilx", "name": "NORTH SQUARE MULTI STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004094564146332569, "alpha_t_5y": 0.37896947051588986, "alpha_t_full": -1.112500680629622, "r2_5y": 0.9633390192463587, "r2_full": 0.9141513074005219, "corr_portfolio": 0.3126301165977903, "corr_benchmark": 0.5953364968349182, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.505846985181069, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "orncx": {"sym": "orncx", "name": "Invesco Rochester Municipal Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009040889073557055, "alpha_t_5y": 0.04934279283168825, "alpha_t_full": 3.706760154241528, "r2_5y": 0.41251377620465124, "r2_full": 1.6653345369377348e-15, "corr_portfolio": 0.06116409683918144, "corr_benchmark": 0.34555587376713937, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.5604218323058511, "first": "1995-08-30", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "oscbx": {"sym": "oscbx", "name": "Overseas SMA Completion Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016805502517667156, "alpha_t_5y": 0.6025517998033428, "alpha_t_full": 0.5567398626785826, "r2_5y": 0.8315489807260928, "r2_full": 0.8720502561712581, "corr_portfolio": 0.38988286779613984, "corr_benchmark": 0.5168207493299157, "alpha_pos_frac": 0.4358974358974359, "fund_max_dd": -0.3950338101990687, "first": "2019-09-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "ostax": {"sym": "ostax", "name": "JPMorgan Short-Intermediate Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010407778416834483, "alpha_t_5y": -1.2997954098712943, "alpha_t_full": 6.514249322414792, "r2_5y": 0.30776469995189215, "r2_full": -8.881784197001252e-16, "corr_portfolio": 0.03480540353218741, "corr_benchmark": 0.3292838130758523, "alpha_pos_frac": 0.5283842794759825, "fund_max_dd": -0.08722627428438368, "first": "1998-05-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "ostfx": {"sym": "ostfx", "name": "Osterweis Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0328292079170144, "alpha_t_5y": -1.812646164511442, "alpha_t_full": 4.112801702636659, "r2_5y": 0.9229786462321198, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.24423997908745645, "corr_benchmark": 0.6178814545559946, "alpha_pos_frac": 0.5234042553191489, "fund_max_dd": -0.42801951202699595, "first": "1993-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "otcax": {"sym": "otcax", "name": "MFS Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07715506634601459, "alpha_t_5y": -2.4031132570756344, "alpha_t_full": 2.517412920187541, "r2_5y": 0.8567571923251208, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.17085654348149606, "corr_benchmark": 0.6167283551879356, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.7425673764185973, "first": "1993-12-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "otcfx": {"sym": "otcfx", "name": "T. Rowe Price Small-Cap Stock Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018821354432127943, "alpha_t_5y": -1.0276782538307054, "alpha_t_full": 3.5850242505851373, "r2_5y": 0.9520417835844943, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.24543526552486156, "corr_benchmark": 0.5668984948668035, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5636825646343744, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "owacx": {"sym": "owacx", "name": "Old Westbury All Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04670762934075022, "alpha_t_5y": -2.3867213920758976, "alpha_t_full": -2.634752973040722, "r2_5y": 0.9284557178808351, "r2_full": 0.9201312098700253, "corr_portfolio": 0.262708944380579, "corr_benchmark": 0.6198872972749484, "alpha_pos_frac": 0.600896860986547, "fund_max_dd": -0.5931858376394941, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "owcax": {"sym": "owcax", "name": "Old Westbury California Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.000574056414694246, "alpha_t_5y": 0.07002911325230707, "alpha_t_full": 0.5325641497794075, "r2_5y": 0.4039919997858039, "r2_full": 0.38052793551175956, "corr_portfolio": 0.004478905148697983, "corr_benchmark": 0.4080213069251456, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.08914587053802547, "first": "2018-12-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "owcix": {"sym": "owcix", "name": "Old Westbury Credit Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002103864524609918, "alpha_t_5y": 0.25211566209332836, "alpha_t_full": 0.35997052268557933, "r2_5y": 0.8865007137213889, "r2_full": 0.8856603442162633, "corr_portfolio": -0.10770440633066697, "corr_benchmark": 0.8496441691436327, "alpha_pos_frac": 0.6153846153846154, "fund_max_dd": -0.19910039198706198, "first": "2020-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "owfix": {"sym": "owfix", "name": "Old Westbury Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013638993503456384, "alpha_t_5y": 0.22696895678173054, "alpha_t_full": 4.313659525492938, "r2_5y": 0.8835444089571618, "r2_full": 2.3314683517128287e-15, "corr_portfolio": -0.15737763269114566, "corr_benchmark": 0.5992136213659078, "alpha_pos_frac": 0.45454545454545453, "fund_max_dd": -0.12866899594662473, "first": "1998-03-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "owlsx": {"sym": "owlsx", "name": "Old Westbury Large Cap Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04808057676349274, "alpha_t_5y": -1.9822366087228702, "alpha_t_full": 2.0801721085774356, "r2_5y": 0.8787317225546588, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.2813199070884734, "corr_benchmark": 0.6081724454074314, "alpha_pos_frac": 0.5537848605577689, "fund_max_dd": -0.5317703502237789, "first": "1993-10-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "owmbx": {"sym": "owmbx", "name": "Old Westbury Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017037733297662115, "alpha_t_5y": -0.19664637835704296, "alpha_t_full": 4.015694749462754, "r2_5y": 0.37701538200956497, "r2_full": 1.7763568394002505e-15, "corr_portfolio": -0.0027759167346638287, "corr_benchmark": 0.3714054973589138, "alpha_pos_frac": 0.49070631970260226, "fund_max_dd": -0.09542187684459635, "first": "1998-03-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "ownyx": {"sym": "ownyx", "name": "Old Westbury New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00040879621217242027, "alpha_t_5y": 0.048976650435389096, "alpha_t_full": 0.5007962283706363, "r2_5y": 0.39098264957578754, "r2_full": 0.36011348697025813, "corr_portfolio": 0.01038791464832866, "corr_benchmark": 0.38567054496127623, "alpha_pos_frac": 0.5057471264367817, "fund_max_dd": -0.08980633887013367, "first": "2018-12-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "owsmx": {"sym": "owsmx", "name": "Old Westbury Small & Mid Cap Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06600790995303324, "alpha_t_5y": -2.7156753094117443, "alpha_t_full": -0.5702554592001546, "r2_5y": 0.8787672233764227, "r2_full": 0.8195806893193711, "corr_portfolio": 0.27740092911944125, "corr_benchmark": 0.6167979421966362, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.38347694507590435, "first": "2005-04-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paakx": {"sym": "paakx", "name": "Putnam Retirement Advantage 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00891724822660089, "alpha_t_5y": 0.7348709912306101, "alpha_t_full": 0.457896431760276, "r2_5y": 0.9650524230728249, "r2_full": 0.9661952159834865, "corr_portfolio": 0.24969583599943557, "corr_benchmark": 0.6647790718170579, "alpha_pos_frac": 0.47297297297297297, "fund_max_dd": -0.33075430297223685, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pabax": {"sym": "pabax", "name": "Putnam Dynamic Asset Allocation Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010385596495128957, "alpha_t_5y": 0.34918494468566885, "alpha_t_full": 3.8148628929890425, "r2_5y": 0.6733546049535386, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.2799692589209536, "corr_benchmark": 0.6448811561272372, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.45909946819604797, "first": "1994-02-08", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pacax": {"sym": "pacax", "name": "Putnam Dynamic Asset Allocation Conservative Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001195942265276163, "alpha_t_5y": 0.17043621768800113, "alpha_t_full": 5.038453971481578, "r2_5y": 0.9421129774361299, "r2_full": 1.4432899320127035e-15, "corr_portfolio": 0.22838171137594437, "corr_benchmark": 0.8639282352562012, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.33052926254503456, "first": "1994-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pacex": {"sym": "pacex", "name": "T. Rowe Price Emerging Markets Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029784061056221316, "alpha_t_5y": -2.4373056348810094, "alpha_t_full": 2.540102671711059, "r2_5y": 0.5244710502799271, "r2_full": 0.4989378391807404, "corr_portfolio": 0.2083813536476997, "corr_benchmark": 0.2964794344021169, "alpha_pos_frac": 0.5393939393939394, "fund_max_dd": -0.22577654642309408, "first": "2012-05-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "pacjx": {"sym": "pacjx", "name": "Putnam Retirement Advantage 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00902959095767796, "alpha_t_5y": 0.8276727313441403, "alpha_t_full": 0.5247963651366399, "r2_5y": 0.9690012638242537, "r2_full": 0.9681313232712505, "corr_portfolio": 0.25136479315584387, "corr_benchmark": 0.668973066279746, "alpha_pos_frac": 0.4189189189189189, "fund_max_dd": -0.3213938888806894, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "padcx": {"sym": "padcx", "name": "PGIM Absolute Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009662575109199524, "alpha_t_5y": 1.1017317652378988, "alpha_t_full": 2.0011643519435998, "r2_5y": 0.2658887884471809, "r2_full": 0.403778553758245, "corr_portfolio": 0.29093168096348476, "corr_benchmark": 0.1517945188590106, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.18070752793130407, "first": "2011-03-31", "verdict": "weak/unstable alpha", "alpha_name": true}, "padlx": {"sym": "padlx", "name": "Putnam Retirement Advantage Maturity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009500630093189593, "alpha_t_5y": 1.3545995722690176, "alpha_t_full": 1.0261013773532046, "r2_5y": 0.9338935359638698, "r2_full": 0.9331610447857579, "corr_portfolio": 0.16931137694406587, "corr_benchmark": 0.8731742496797607, "alpha_pos_frac": 0.4594594594594595, "fund_max_dd": -0.16454305312833462, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paeax": {"sym": "paeax", "name": "Putnam Dynamic Asset Allocation Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002835696682676412, "alpha_t_5y": 0.3114549441717415, "alpha_t_full": 3.607221922616947, "r2_5y": 0.9739758571375768, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.3231359622542102, "corr_benchmark": 0.638175923866089, "alpha_pos_frac": 0.5794871794871795, "fund_max_dd": -0.5325376581994163, "first": "1994-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paekx": {"sym": "paekx", "name": "Putnam Retirement Advantage 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011363014510100574, "alpha_t_5y": 1.0246210347160993, "alpha_t_full": 0.5311792743946464, "r2_5y": 0.9645614610689988, "r2_full": 0.9641515519788711, "corr_portfolio": 0.2534741608954214, "corr_benchmark": 0.6777870598940468, "alpha_pos_frac": 0.4594594594594595, "fund_max_dd": -0.3071704587826122, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paelx": {"sym": "paelx", "name": "T. Rowe Price Emerging Markets Local Currency Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007414413265222142, "alpha_t_5y": -0.3730812994788119, "alpha_t_full": -1.0326220142853437, "r2_5y": 0.6408072437290246, "r2_full": 0.5920065928262552, "corr_portfolio": 0.2515849240133518, "corr_benchmark": 0.35012801992808307, "alpha_pos_frac": 0.536723163841808, "fund_max_dd": -0.3471025356466323, "first": "2011-05-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "paffx": {"sym": "paffx", "name": "T. Rowe Price Target 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01227340014217768, "alpha_t_5y": -1.2180134429300506, "alpha_t_full": 1.7785902722084501, "r2_5y": 0.9684745783194038, "r2_full": 0.39196132011028073, "corr_portfolio": 0.1920931357420296, "corr_benchmark": 0.4106407436212837, "alpha_pos_frac": 0.06, "fund_max_dd": -0.2985283298973661, "first": "2013-08-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pafmx": {"sym": "pafmx", "name": "Putnam Retirement Advantage 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010225650145875264, "alpha_t_5y": 0.9303034691694104, "alpha_t_full": 0.8398405256207017, "r2_5y": 0.9608264248558164, "r2_full": 0.9619747191176523, "corr_portfolio": 0.2552308453591416, "corr_benchmark": 0.684143261006678, "alpha_pos_frac": 0.5, "fund_max_dd": -0.2922330133126778, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pajrx": {"sym": "pajrx", "name": "T. Rowe Price Target 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00332002383087611, "alpha_t_5y": -0.48389648610656616, "alpha_t_full": 0.3022123652308795, "r2_5y": 0.9554622276510547, "r2_full": 0.8891769247409311, "corr_portfolio": 0.30150612291698736, "corr_benchmark": 0.6518583036205818, "alpha_pos_frac": 0.54, "fund_max_dd": -0.2247884235099975, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pamfx": {"sym": "pamfx", "name": "Federated Hermes Pennsylvania Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0024942615324732905, "alpha_t_5y": 0.2061124665475312, "alpha_t_full": 7.65057386193905, "r2_5y": 0.32491806283753244, "r2_full": -2.4424906541753444e-15, "corr_portfolio": 0.017487474655490075, "corr_benchmark": 0.3582883958626961, "alpha_pos_frac": 0.5914396887159533, "fund_max_dd": -0.1550346835743337, "first": "1990-10-12", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pappx": {"sym": "pappx", "name": "Papp Small & Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07592958937745582, "alpha_t_5y": -2.430858259430634, "alpha_t_full": -1.6373228279957797, "r2_5y": 0.819037750390796, "r2_full": 0.8754424520888777, "corr_portfolio": 0.23771978011145273, "corr_benchmark": 0.5885610771155372, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.34507048706344157, "first": "2010-03-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "parmx": {"sym": "parmx", "name": "Parnassus Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04267597639370613, "alpha_t_5y": -1.699292150118334, "alpha_t_full": -0.5165032006041697, "r2_5y": 0.8801971584008118, "r2_full": 0.903578171499473, "corr_portfolio": 0.26342323955782126, "corr_benchmark": 0.6119723340352121, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.4987332812733648, "first": "2005-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "parnx": {"sym": "parnx", "name": "Parnassus Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08242011170130978, "alpha_t_5y": -2.112695417788619, "alpha_t_full": 3.00435258273467, "r2_5y": 0.850150466497406, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.1299055680772606, "corr_benchmark": 0.6075286312199196, "alpha_pos_frac": 0.5517241379310345, "fund_max_dd": -0.543354010838193, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "parwx": {"sym": "parwx", "name": "Parnassus Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010751323903286907, "alpha_t_5y": 0.258438746885427, "alpha_t_full": 1.92681179462933, "r2_5y": 0.71866421828126, "r2_full": 0.8546935700153009, "corr_portfolio": 0.3168857601968209, "corr_benchmark": 0.5174048806231558, "alpha_pos_frac": 0.46, "fund_max_dd": -0.4775975520519904, "first": "2005-05-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "pasux": {"sym": "pasux", "name": "T. Rowe Price Retirement 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014199624350127915, "alpha_t_5y": -1.2686963849143098, "alpha_t_full": -1.149470413074661, "r2_5y": 0.9691018780661653, "r2_full": 0.9696738867513581, "corr_portfolio": 0.1435986409014807, "corr_benchmark": 0.6732456264384227, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.28234064166743467, "first": "2020-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paxhx": {"sym": "paxhx", "name": "Impax High Yield Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012395041071125854, "alpha_t_5y": -1.5488176887273055, "alpha_t_full": 0.6973188626004404, "r2_5y": 0.8557277050779756, "r2_full": 0.7572399290302186, "corr_portfolio": 0.28935698848359653, "corr_benchmark": 0.4475340765013552, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.25667060766039873, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "paxwx": {"sym": "paxwx", "name": "Impax Sustainable Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018352610657320738, "alpha_t_5y": -1.6465036968152327, "alpha_t_full": 4.140771972755035, "r2_5y": 0.9385809366148687, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2835793123347549, "corr_benchmark": 0.7058211707676609, "alpha_pos_frac": 0.5574468085106383, "fund_max_dd": -0.4011704784077629, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pazlx": {"sym": "pazlx", "name": "T. Rowe Price Target 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014310525141066675, "alpha_t_5y": -1.2769221995118432, "alpha_t_full": -1.1451677976752883, "r2_5y": 0.968904581895168, "r2_full": 0.9694429607269002, "corr_portfolio": 0.14345644844421257, "corr_benchmark": 0.6735941866233561, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.2822705514640369, "first": "2020-10-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pbaix": {"sym": "pbaix", "name": "BLACKROCK TACTICAL OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04790560433254764, "alpha_t_5y": 1.9584168684636383, "alpha_t_full": 3.5389326076140497, "r2_5y": 0.18724968846540346, "r2_full": 9.992007221626409e-16, "corr_portfolio": 0.2695792703045866, "corr_benchmark": 0.016520104440359434, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.39249287248987896, "first": "1993-06-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pbamx": {"sym": "pbamx", "name": "Putnam Retirement Advantage 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006793787554806139, "alpha_t_5y": 0.6457535508190279, "alpha_t_full": 0.754847667460761, "r2_5y": 0.9574098716233309, "r2_full": 0.959677533144429, "corr_portfolio": 0.2534039262718372, "corr_benchmark": 0.6987646630075736, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.2757282276158258, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pbbbx": {"sym": "pbbbx", "name": "PIA BBB Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005881201696622642, "alpha_t_5y": 0.595739502421347, "alpha_t_full": -0.47592294835721255, "r2_5y": 0.8707082764497436, "r2_full": 0.7930900996075123, "corr_portfolio": -0.008158122296365403, "corr_benchmark": 0.7026369029152514, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.2274405382732736, "first": "2003-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pbcax": {"sym": "pbcax", "name": "PGIM CALIFORNIA MUNI INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004817554878606139, "alpha_t_5y": 0.4970874636131826, "alpha_t_full": 7.780567911992082, "r2_5y": 0.3099665848298714, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.06112092308892659, "corr_benchmark": 0.27421125771550475, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.12256233407173134, "first": "1990-12-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pbdix": {"sym": "pbdix", "name": "T. Rowe Price QM U.S. Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0034540226158731534, "alpha_t_5y": 0.7593426315458411, "alpha_t_full": -0.052996404742555785, "r2_5y": 0.9656150124307087, "r2_full": 0.879616121227012, "corr_portfolio": -0.12067708726934477, "corr_benchmark": 0.6643800803842884, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.18628419709103805, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pbqax": {"sym": "pbqax", "name": "PGIM Jennison Blend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020162717507956437, "alpha_t_5y": -1.540358451636547, "alpha_t_full": 3.3203930187864183, "r2_5y": 0.9736876429765704, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.23477399134760737, "corr_benchmark": 0.5803442494285033, "alpha_pos_frac": 0.490272373540856, "fund_max_dd": -0.5389378140674224, "first": "1990-01-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pbsmx": {"sym": "pbsmx", "name": "PGIM SHORT-TERM CORPORATE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011114692797236253, "alpha_t_5y": -1.7499118270509664, "alpha_t_full": 9.40536125744306, "r2_5y": 0.8123348679507127, "r2_full": -2.220446049250313e-15, "corr_portfolio": 0.035315849491460494, "corr_benchmark": 0.5072261886396883, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.1035367488039487, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "pbus": {"sym": "pbus", "name": "Invesco MSCI USA ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015557501452626874, "alpha_t_5y": -0.1688510402932283, "alpha_t_full": 0.6687671344511329, "r2_5y": 0.9831577943553412, "r2_full": 0.7899888623790129, "corr_portfolio": 0.22482660784505068, "corr_benchmark": 0.6020035939179506, "alpha_pos_frac": 0.5643564356435643, "fund_max_dd": -0.33153983156373135, "first": "2017-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pcdlx": {"sym": "pcdlx", "name": "Putnam Retirement Advantage 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009692338156106817, "alpha_t_5y": 1.0457501934622992, "alpha_t_full": 0.39029489632360476, "r2_5y": 0.9570227909370321, "r2_full": 0.9588288246241897, "corr_portfolio": 0.24569529384555935, "corr_benchmark": 0.7267358434840885, "alpha_pos_frac": 0.5135135135135135, "fund_max_dd": -0.24781348986250962, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pcef": {"sym": "pcef", "name": "Invesco CEF Income Composite ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020303305866000685, "alpha_t_5y": -0.8928583497832183, "alpha_t_full": -1.9906149305140393, "r2_5y": 0.7702058391419888, "r2_full": 0.7331065290751341, "corr_portfolio": 0.31097148749226433, "corr_benchmark": 0.6238819944643696, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.3863544069898822, "first": "2010-02-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "pcjsx": {"sym": "pcjsx", "name": "Putnam Retirement Advantage Plus 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00846520734233115, "alpha_t_5y": -0.5370818314832475, "alpha_t_full": -0.5370818314832475, "r2_5y": 0.9366938123494435, "r2_full": 0.9366938123494435, "corr_portfolio": 0.12019192471696326, "corr_benchmark": 0.6565459954307089, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.22445516803522447, "first": "2021-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pckex": {"sym": "pckex", "name": "Putnam Retirement Advantage 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0075746348102405285, "alpha_t_5y": 0.7285977741086249, "alpha_t_full": 0.7285977741086249, "r2_5y": 0.9751541943078464, "r2_full": 0.9751541943078464, "corr_portfolio": 0.1287446631130224, "corr_benchmark": 0.6730184445061044, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.24841664222161408, "first": "2021-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pclcx": {"sym": "pclcx", "name": "PACE Large Co Growth Equity Investments", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05805175519516592, "alpha_t_5y": -3.1175729035535626, "alpha_t_full": -2.1430115363935154, "r2_5y": 0.9513538713124289, "r2_full": 0.941496693004151, "corr_portfolio": 0.18688602618820402, "corr_benchmark": 0.619399847663849, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.6398237825414241, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pclrx": {"sym": "pclrx", "name": "PGIM INCOME BUILDER FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018304913943733677, "alpha_t_5y": 1.309592788560438, "alpha_t_full": -1.0297653544960026, "r2_5y": 0.8410646509221504, "r2_full": 0.7604141765404143, "corr_portfolio": 0.3577821109011818, "corr_benchmark": 0.6396543411902245, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.31199034710577367, "first": "2004-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "pconx": {"sym": "pconx", "name": "PUTNAM CONVERTIBLE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01073332173719811, "alpha_t_5y": -0.4369855409750212, "alpha_t_full": 4.848153025547787, "r2_5y": 0.8198896646408533, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.1686685629112609, "corr_benchmark": 0.5797410016874776, "alpha_pos_frac": 0.5657370517928287, "fund_max_dd": -0.4769840693520889, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "pcrix": {"sym": "pcrix", "name": "PIMCO CommodityRealReturn Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006742768447695586, "alpha_t_5y": 0.25766020689140984, "alpha_t_full": 0.591877710613131, "r2_5y": 0.8734326747796497, "r2_full": 0.14603373786378837, "corr_portfolio": 0.2230505578777076, "corr_benchmark": 0.1799548119525162, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.7204192600560511, "first": "2002-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pcvax": {"sym": "pcvax", "name": "Virtus NFJ Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0015682398506259685, "alpha_t_5y": -0.054924218644246625, "alpha_t_full": 1.3227310947527349, "r2_5y": 0.8906477896705692, "r2_full": 0.8938616410449873, "corr_portfolio": 0.31790831590723373, "corr_benchmark": 0.5237102130488784, "alpha_pos_frac": 0.5019455252918288, "fund_max_dd": -0.5097647671897545, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pdbax": {"sym": "pdbax", "name": "PGIM TOTAL RETURN BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006176029613084067, "alpha_t_5y": 0.7849784438491307, "alpha_t_full": 5.936489800801218, "r2_5y": 0.9002152568851371, "r2_full": -1.7763568394002505e-15, "corr_portfolio": -0.040165300557592445, "corr_benchmark": 0.6841564159332755, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.20625378219460078, "first": "1995-01-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pdeax": {"sym": "pdeax", "name": "PGIM JENNISON EMERGING MARKETS EQUITY OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05305471601082259, "alpha_t_5y": -1.0581462896889096, "alpha_t_full": -0.28368375927322476, "r2_5y": 0.7837943085445228, "r2_full": 0.7498704434206669, "corr_portfolio": 0.15648877934987504, "corr_benchmark": 0.45920382448737745, "alpha_pos_frac": 0.5182481751824818, "fund_max_dd": -0.552362980769046, "first": "2014-09-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "pdhax": {"sym": "pdhax", "name": "PGIM Emerging Markets Debt Hard Currency Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005915620580249121, "alpha_t_5y": 0.3278762504745587, "alpha_t_full": -0.4579496338925686, "r2_5y": 0.5837444712311526, "r2_full": 0.5920628926480627, "corr_portfolio": 0.2210099352847333, "corr_benchmark": 0.5089472744567569, "alpha_pos_frac": 0.6224489795918368, "fund_max_dd": -0.29248890105732606, "first": "2017-12-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "pdinx": {"sym": "pdinx", "name": "PUTNAM DIVERSIFIED INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007870595552057455, "alpha_t_5y": 0.25603001007596793, "alpha_t_full": 5.7757613946139115, "r2_5y": 0.10939675559633755, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.1515436580369243, "corr_benchmark": 0.20295102993548317, "alpha_pos_frac": 0.6205128205128205, "fund_max_dd": -0.4551253654646945, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": true}, "pdizx": {"sym": "pdizx", "name": "Putnam Retirement Advantage 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007271321392502256, "alpha_t_5y": 0.7886346210078021, "alpha_t_full": 0.1697858080753807, "r2_5y": 0.9314067670259374, "r2_full": 0.9392043339405481, "corr_portfolio": 0.22337045683986115, "corr_benchmark": 0.7682622807213977, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.21032149783938647, "first": "2020-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pdsax": {"sym": "pdsax", "name": "PGIM Short Duration Muni Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008697645763767158, "alpha_t_5y": -0.9490147305785134, "alpha_t_full": 2.422023951962814, "r2_5y": 0.31558437014257745, "r2_full": 0.31906962267466954, "corr_portfolio": 0.06475583689920278, "corr_benchmark": 0.25957593213886526, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.1022519074994317, "first": "2014-06-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "pennx": {"sym": "pennx", "name": "Royce Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009726121322793027, "alpha_t_5y": 0.4554771774980609, "alpha_t_full": 3.8500708363984057, "r2_5y": 0.9406332159024925, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.2879428555445985, "corr_benchmark": 0.5413396435438118, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.5699986832089872, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "peopx": {"sym": "peopx", "name": "BNY Mellon S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0035913522899650866, "alpha_t_5y": -0.5836808973177723, "alpha_t_full": -0.5377282471427501, "r2_5y": 0.9923666082270542, "r2_full": 0.9797612874095046, "corr_portfolio": 0.279275175918218, "corr_benchmark": 0.6163057871975196, "alpha_pos_frac": 0.40129449838187703, "fund_max_dd": -0.5551421648262652, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pequx": {"sym": "pequx", "name": "PUTNAM FOCUSED INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038824618493101116, "alpha_t_5y": 0.15913611833209704, "alpha_t_full": 2.975741034319493, "r2_5y": 0.8694632491624296, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.31470685857300573, "corr_benchmark": 0.5824471863761062, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.703122952170135, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pespx": {"sym": "pespx", "name": "BNY Mellon Midcap Index Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010999664191487948, "alpha_t_5y": -0.5690147353192967, "alpha_t_full": 3.6714273012052883, "r2_5y": 0.9453836202211632, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.3185452135295827, "corr_benchmark": 0.5641308516169997, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5542950102770463, "first": "1991-06-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pexmx": {"sym": "pexmx", "name": "T. Rowe Price Extended Equity Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029291425008172754, "alpha_t_5y": -1.57924938037728, "alpha_t_full": 0.0832476825061214, "r2_5y": 0.9608874758870909, "r2_full": 0.945509494737267, "corr_portfolio": 0.22763119450862992, "corr_benchmark": 0.5666831622055984, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5794748064132105, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "peyax": {"sym": "peyax", "name": "PUTNAM LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.038238423570826734, "alpha_t_5y": 2.535882771088448, "alpha_t_full": 4.097487983379198, "r2_5y": 0.9373019742063371, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.399023279762834, "corr_benchmark": 0.5344381468066888, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.5146951503243322, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pflrx": {"sym": "pflrx", "name": "Putnam Floating Rate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030391073004216836, "alpha_t_5y": 3.541135268202159, "alpha_t_full": 1.585498321597516, "r2_5y": 0.47272065327012247, "r2_full": 0.5650668462831917, "corr_portfolio": 0.3094628283236659, "corr_benchmark": 0.24933113853514885, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.32851697194627005, "first": "2004-08-06", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "pfsax": {"sym": "pfsax", "name": "PGIM Jennison Financial Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010986857706066085, "alpha_t_5y": 0.3093739500224108, "alpha_t_full": 0.5611156814426181, "r2_5y": 0.8246545329718439, "r2_full": 0.8028935984912559, "corr_portfolio": 0.3595935750629374, "corr_benchmark": 0.4582700398168905, "alpha_pos_frac": 0.4470588235294118, "fund_max_dd": -0.5523287357447194, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "pfslx": {"sym": "pfslx", "name": "Paradigm Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.037983264480292565, "alpha_t_5y": 0.9449936714823882, "alpha_t_full": 0.7034139168480674, "r2_5y": 0.8532537848127546, "r2_full": 0.8931478552421699, "corr_portfolio": 0.2328617107071564, "corr_benchmark": 0.5663674824077501, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.5238151042823442, "first": "2005-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pfxf": {"sym": "pfxf", "name": "VanEck Preferred Securities ex Financials ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022332878880026982, "alpha_t_5y": -0.8322256499550678, "alpha_t_full": -1.172517074780516, "r2_5y": 0.6561553267089688, "r2_full": 0.6261053162491539, "corr_portfolio": 0.2335996519509493, "corr_benchmark": 0.5981419395547352, "alpha_pos_frac": 0.50920245398773, "fund_max_dd": -0.3549405222980784, "first": "2012-07-20", "verdict": "weak/unstable alpha", "alpha_name": false}, "pgdix": {"sym": "pgdix", "name": "Diversified Income Fund (f/k/a Global Diversified Income Fund)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011021267230538269, "alpha_t_5y": 1.176338106480683, "alpha_t_full": 2.3403818173569553, "r2_5y": 0.6959185108108339, "r2_full": 0.6351184595877413, "corr_portfolio": 0.30646260408143494, "corr_benchmark": 0.589110782118715, "alpha_pos_frac": 0.4563106796116505, "fund_max_dd": -0.237601821742342, "first": "2008-12-17", "verdict": "weak/unstable alpha", "alpha_name": true}, "pgeix": {"sym": "pgeix", "name": "Polen Emerging Markets Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07551974802683063, "alpha_t_5y": -1.334552951852035, "alpha_t_full": -1.319287948877762, "r2_5y": 0.6480350867841163, "r2_full": 0.621508515553193, "corr_portfolio": 0.06634917200636273, "corr_benchmark": 0.4009328143855441, "alpha_pos_frac": 0.625, "fund_max_dd": -0.492424219393378, "first": "2020-10-19", "verdict": "weak/unstable alpha", "alpha_name": false}, "pgeox": {"sym": "pgeox", "name": "GEORGE PUTNAM FUND OF BOSTON", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005163689776198642, "alpha_t_5y": 0.7830734179306102, "alpha_t_full": 4.1378845985816195, "r2_5y": 0.9802068464437529, "r2_full": -8.881784197001252e-16, "corr_portfolio": 0.2590824763726946, "corr_benchmark": 0.7144321680815223, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5063291505183176, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pggax": {"sym": "pggax", "name": "American Funds Global Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02872020393391556, "alpha_t_5y": -2.05125377094395, "alpha_t_full": -1.4247626205147488, "r2_5y": 0.962984307728542, "r2_full": 0.9609462369907775, "corr_portfolio": 0.2665020520448951, "corr_benchmark": 0.6180825355663426, "alpha_pos_frac": 0.5212121212121212, "fund_max_dd": -0.3440665191990774, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pggix": {"sym": "pggix", "name": "PUTNAM GLOBAL INCOME TRUST", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01499821573847721, "alpha_t_5y": -2.197114655331362, "alpha_t_full": 3.7178076336670176, "r2_5y": 0.8917065331030135, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.02258874692232828, "corr_benchmark": 0.6071702323378692, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.2681045724793484, "first": "1996-06-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgjax": {"sym": "pgjax", "name": "PGIM Jennison Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0024518560913109554, "alpha_t_5y": 0.07947600449267134, "alpha_t_full": -0.05280125624347114, "r2_5y": 0.7142433238994828, "r2_full": 0.7699291836212773, "corr_portfolio": 0.3399575947961548, "corr_benchmark": 0.5611659877896849, "alpha_pos_frac": 0.5100671140939598, "fund_max_dd": -0.36664638198669763, "first": "2013-09-26", "verdict": "weak/unstable alpha", "alpha_name": false}, "pgkax": {"sym": "pgkax", "name": "PGIM Jennison Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008094637731113671, "alpha_t_5y": -0.218473592572552, "alpha_t_full": 0.1348000461416803, "r2_5y": 0.9049367293865277, "r2_full": 0.9062198639917447, "corr_portfolio": 0.027682586996486454, "corr_benchmark": 0.6150427301662096, "alpha_pos_frac": 0.43478260869565216, "fund_max_dd": -0.485896478277541, "first": "2018-06-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgnax": {"sym": "pgnax", "name": "PGIM Jennison Natural Resources Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 2.2780731753409653, "r2_5y": NaN, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.08183608016663571, "corr_benchmark": 0.21430211496599427, "alpha_pos_frac": NaN, "fund_max_dd": -0.7156398043070942, "first": "1990-01-23", "verdict": "no 5y window", "alpha_name": false}, "pgoax": {"sym": "pgoax", "name": "PGIM JENNISON SMALL COMPANY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014951369443629242, "alpha_t_5y": -0.692726780799233, "alpha_t_full": 3.416358089663622, "r2_5y": 0.9375824371948344, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.27704460529005365, "corr_benchmark": 0.5533331881550394, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.5656820575753753, "first": "1990-01-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgrnx": {"sym": "pgrnx", "name": "Impax Global Environmental Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04654462730550963, "alpha_t_5y": -1.7585470988594156, "alpha_t_full": -1.3536562820350229, "r2_5y": 0.8831405720128434, "r2_full": 0.9065473136412708, "corr_portfolio": 0.28908973826942125, "corr_benchmark": 0.6063037634388917, "alpha_pos_frac": 0.46511627906976744, "fund_max_dd": -0.5254395246869658, "first": "2008-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgrox": {"sym": "pgrox", "name": "BNY Mellon Worldwide Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.044834012020789696, "alpha_t_5y": -2.620460727022271, "alpha_t_full": 3.6125704905905565, "r2_5y": 0.9399448272544365, "r2_full": 0.0, "corr_portfolio": 0.25372969602646644, "corr_benchmark": 0.6214504030025514, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.47747953213589023, "first": "1993-07-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgsix": {"sym": "pgsix", "name": "PUTNAM MORTGAGE SECURITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007760443201267376, "alpha_t_5y": 0.2931746338664741, "alpha_t_full": 4.1820510714033, "r2_5y": 0.4566851371451671, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.03291500162663316, "corr_benchmark": 0.442574634983087, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.22278455023542265, "first": "1996-06-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pgvax": {"sym": "pgvax", "name": "PGIM GOVERNMENT INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0072592032686236456, "alpha_t_5y": -1.1075971377715066, "alpha_t_full": 5.159994314805401, "r2_5y": 0.9321567798582333, "r2_full": 2.1094237467877974e-15, "corr_portfolio": -0.13365504927537805, "corr_benchmark": 0.6345641743946662, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.21587822357319053, "first": "1990-01-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pgwax": {"sym": "pgwax", "name": "Virtus Silvant Focused Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02810853738456608, "alpha_t_5y": -1.1307944600072044, "alpha_t_full": 3.371890900822078, "r2_5y": 0.9351030321882126, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.14337637652874352, "corr_benchmark": 0.604940388326626, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.664607312347052, "first": "1990-10-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pheax": {"sym": "pheax", "name": "PGIM Global Total Return (USD Hedged) Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011204388406018586, "alpha_t_5y": -0.128444235603477, "alpha_t_full": 0.7812947492763578, "r2_5y": 0.7817129217703762, "r2_full": 0.7605149439412424, "corr_portfolio": 0.007729324796808906, "corr_benchmark": 0.6876315559429306, "alpha_pos_frac": 0.5816326530612245, "fund_max_dd": -0.2343623880675647, "first": "2017-12-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "phizx": {"sym": "phizx", "name": "PGIM Muni High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011223925114200351, "alpha_t_5y": 0.6893606843082871, "alpha_t_full": 5.655941686048611, "r2_5y": 0.3608257341678719, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.06294927896467394, "corr_benchmark": 0.29976447839320225, "alpha_pos_frac": 0.6184971098265896, "fund_max_dd": -0.1880123438222404, "first": "1996-09-17", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "phlax": {"sym": "phlax", "name": "PGIM Jennison Health Sciences Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 3.0051209809947173, "r2_5y": NaN, "r2_full": 0.35830961818610707, "corr_portfolio": 0.22800399630732848, "corr_benchmark": 0.27563957739853234, "alpha_pos_frac": 0.49767441860465117, "fund_max_dd": -0.42408484202177965, "first": "1999-07-01", "verdict": "no 5y window", "alpha_name": false}, "phstx": {"sym": "phstx", "name": "PUTNAM GLOBAL HEALTH CARE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017065934105168965, "alpha_t_5y": 0.41334482537676615, "alpha_t_full": 3.8653915721945316, "r2_5y": 0.5273265780082941, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.2545256412608181, "corr_benchmark": 0.4842871825185496, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.45513778475316935, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "phyix": {"sym": "phyix", "name": "PUTNAM HIGH YIELD FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004622664994174524, "alpha_t_5y": 0.5042453583995471, "alpha_t_full": 9.166485481918494, "r2_5y": 0.774638101971778, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3173759246439919, "corr_benchmark": 0.4674865934254459, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.3124573345260716, "first": "1990-01-03", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "phyl": {"sym": "phyl", "name": "PGIM Active High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -2.3943030660413822e-06, "alpha_t_5y": -0.00022905775084075596, "alpha_t_full": -0.291132392365543, "r2_5y": 0.7973390471723192, "r2_full": 0.7514676405229113, "corr_portfolio": 0.23769756784724355, "corr_benchmark": 0.6175546391264902, "alpha_pos_frac": 0.550561797752809, "fund_max_dd": -0.2206842807858872, "first": "2018-09-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "physx": {"sym": "physx", "name": "PIA High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017355513932412154, "alpha_t_5y": 1.603314651747347, "alpha_t_full": 4.132619190292692, "r2_5y": 0.5485338779580614, "r2_full": 0.5942614528308012, "corr_portfolio": 0.32596098530328316, "corr_benchmark": 0.3534302681773009, "alpha_pos_frac": 0.5524861878453039, "fund_max_dd": -0.19862598531080722, "first": "2011-01-13", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "piafx": {"sym": "piafx", "name": "Invesco Multi-Asset Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00728027511397978, "alpha_t_5y": -0.6870960946580325, "alpha_t_full": -1.9790595023701771, "r2_5y": 0.8699571979399088, "r2_full": 0.7075962167836265, "corr_portfolio": 0.2936242675533314, "corr_benchmark": 0.720787301610445, "alpha_pos_frac": 0.6058823529411764, "fund_max_dd": -0.30412713823920845, "first": "2011-12-15", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "piefx": {"sym": "piefx", "name": "Federated Hermes Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00843221387534459, "alpha_t_5y": -0.20231919881624377, "alpha_t_full": 0.7192021254734798, "r2_5y": 0.7617365880560258, "r2_full": 0.7956354317064367, "corr_portfolio": 0.2069763289118946, "corr_benchmark": 0.4591403791900099, "alpha_pos_frac": 0.5327102803738317, "fund_max_dd": -0.48433300315432926, "first": "2017-04-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "pieqx": {"sym": "pieqx", "name": "T. Rowe Price International Equity Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001826520899113657, "alpha_t_5y": 0.17727351715262274, "alpha_t_full": 0.8617043361854181, "r2_5y": 0.9767487192606958, "r2_full": 0.9344495889838551, "corr_portfolio": 0.3812007982122021, "corr_benchmark": 0.5424897135117049, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6073070563191256, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pigdx": {"sym": "pigdx", "name": "Federated Hermes International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06583725062702384, "alpha_t_5y": -2.459921058671588, "alpha_t_full": -1.403563740146651, "r2_5y": 0.8785159011999497, "r2_full": 0.8846516079010189, "corr_portfolio": 0.2181459046319916, "corr_benchmark": 0.5927330572596915, "alpha_pos_frac": 0.48333333333333334, "fund_max_dd": -0.42755967279964624, "first": "2016-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pincx": {"sym": "pincx", "name": "PUTNAM INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02199077597735828, "alpha_t_5y": -2.141161076855564, "alpha_t_full": 6.4288417119731305, "r2_5y": 0.8805390155695537, "r2_full": 1.6653345369377348e-15, "corr_portfolio": -0.04570700363792774, "corr_benchmark": 0.6181058191498182, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.31077846025439837, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pisdx": {"sym": "pisdx", "name": "Columbia Pyrford International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01802488631915298, "alpha_t_5y": 1.1200523151544894, "alpha_t_full": 1.1200523151544894, "r2_5y": 0.9008197770386956, "r2_full": 0.9008197770386956, "corr_portfolio": 0.2289659175572172, "corr_benchmark": 0.5830557466916126, "alpha_pos_frac": 0.46774193548387094, "fund_max_dd": -0.23697281953978122, "first": "2021-01-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pishx": {"sym": "pishx", "name": "Preferred Securities and Income SMA Shares", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023320237861832568, "alpha_t_5y": 1.2146984373394836, "alpha_t_full": 3.6260714190634715, "r2_5y": 0.33310260580615314, "r2_full": 0.5294039203496995, "corr_portfolio": 0.3036180456843369, "corr_benchmark": 0.39437601826808766, "alpha_pos_frac": 0.5119047619047619, "fund_max_dd": -0.2711869425820461, "first": "2019-03-04", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "piuix": {"sym": "piuix", "name": "Federated Hermes International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03581781611319571, "alpha_t_5y": -1.8986407506882619, "alpha_t_full": -0.1919038911109301, "r2_5y": 0.9223732010327725, "r2_full": 0.8869199980397241, "corr_portfolio": 0.3660623641534356, "corr_benchmark": 0.5445072914992202, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.6141731734667119, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "pjgrx": {"sym": "pjgrx", "name": "PGIM JENNISON GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.054744472884086945, "alpha_t_5y": -2.1064780323134427, "alpha_t_full": -1.8695366683949337, "r2_5y": 0.9334139340412391, "r2_full": 0.9276354870267998, "corr_portfolio": 0.10389450539478608, "corr_benchmark": 0.5992972509184841, "alpha_pos_frac": 0.4881889763779528, "fund_max_dd": -0.48009082818281856, "first": "2004-12-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pjiax": {"sym": "pjiax", "name": "PGIM JENNISON FOCUSED VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02073666027879478, "alpha_t_5y": 1.0305887616400875, "alpha_t_full": 1.0592877760390993, "r2_5y": 0.9101030750790894, "r2_full": 0.8507248933257041, "corr_portfolio": 0.3646155331018018, "corr_benchmark": 0.5219155227733477, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5803350460949311, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pjrax": {"sym": "pjrax", "name": "PGIM QUANT SOLUTIONS INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021037741721442745, "alpha_t_5y": 1.2502734368155664, "alpha_t_full": 0.1514901951202325, "r2_5y": 0.9350871499834039, "r2_full": 0.8862176509581654, "corr_portfolio": 0.41221789578212525, "corr_benchmark": 0.5274803386892036, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6794493377977772, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "plbbx": {"sym": "plbbx", "name": "Plumb Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04144043026050626, "alpha_t_5y": -1.7201029121529514, "alpha_t_full": -2.656621925003413, "r2_5y": 0.8568662211535908, "r2_full": 0.8996001101453567, "corr_portfolio": 0.19757991275531636, "corr_benchmark": 0.6159554625609988, "alpha_pos_frac": 0.5466666666666666, "fund_max_dd": -0.4325927703704806, "first": "2007-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "plbex": {"sym": "plbex", "name": "Plumb Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07387798038576425, "alpha_t_5y": -2.3719402895585486, "alpha_t_full": -3.221052133914302, "r2_5y": 0.8994159752034296, "r2_full": 0.9087562516734722, "corr_portfolio": 0.16104965543037375, "corr_benchmark": 0.5986018656823955, "alpha_pos_frac": 0.4711111111111111, "fund_max_dd": -0.5247915013625419, "first": "2007-05-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "plusx": {"sym": "plusx", "name": "DWS Multi-Asset Moderate Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00962570406636677, "alpha_t_5y": -1.501985477291146, "alpha_t_full": -2.6297744553057525, "r2_5y": 0.9801282268907113, "r2_full": 0.9518390910436362, "corr_portfolio": 0.314050610220202, "corr_benchmark": 0.6911824172729804, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.5338651598679094, "first": "2004-11-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pmegx": {"sym": "pmegx", "name": "T. Rowe Price Institutional Mid-Cap Equity Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06378550234423168, "alpha_t_5y": -2.422982260493029, "alpha_t_full": 1.1508365251609547, "r2_5y": 0.8878778546980858, "r2_full": 0.9135613623212402, "corr_portfolio": 0.219901371065793, "corr_benchmark": 0.6100665472341495, "alpha_pos_frac": 0.5560344827586207, "fund_max_dd": -0.5588499494696892, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pmtgx": {"sym": "pmtgx", "name": "PIA MBS Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011145266194566388, "alpha_t_5y": 0.12571659361489895, "alpha_t_full": 0.4363007099014157, "r2_5y": 0.8791140158667089, "r2_full": 0.6330264247446302, "corr_portfolio": -0.10449523975284405, "corr_benchmark": 0.6266629240509172, "alpha_pos_frac": 0.6102564102564103, "fund_max_dd": -0.16907023360243612, "first": "2006-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pmvax": {"sym": "pmvax", "name": "Putnam Sustainable Future Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09456741357390297, "alpha_t_5y": -3.0009644814547345, "alpha_t_full": -1.9213502965955647, "r2_5y": 0.8798217630430863, "r2_full": 0.8913125579520403, "corr_portfolio": 0.07997805413937256, "corr_benchmark": 0.6523307263767432, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.4419999274222084, "first": "2019-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pnbax": {"sym": "pnbax", "name": "Virtus NFJ Large-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021492368503141672, "alpha_t_5y": -0.958290039932699, "alpha_t_full": -1.5738533628978375, "r2_5y": 0.89295093447753, "r2_full": 0.9392352442637837, "corr_portfolio": 0.3409935266835361, "corr_benchmark": 0.5722840211585848, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.627428151228808, "first": "2002-07-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pneax": {"sym": "pneax", "name": "Virtus NFJ Dividend Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003772619753803793, "alpha_t_5y": 0.1552536364874618, "alpha_t_full": -0.955426419457238, "r2_5y": 0.8711737443157401, "r2_full": 0.9166926059647932, "corr_portfolio": 0.3445880684032292, "corr_benchmark": 0.5672948921963767, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5968318435957211, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pngax": {"sym": "pngax", "name": "Putnam International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.034852777499856755, "alpha_t_5y": 1.798907028318978, "alpha_t_full": -0.12299859415814182, "r2_5y": 0.9133324217171169, "r2_full": 0.9105796991790509, "corr_portfolio": 0.456500172262473, "corr_benchmark": 0.48588485439583146, "alpha_pos_frac": 0.5361702127659574, "fund_max_dd": -0.6478085173149496, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pnopx": {"sym": "pnopx", "name": "PUTNAM SUSTAINABLE LEADERS FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.034943784535261486, "alpha_t_5y": -2.605814427275855, "alpha_t_full": 3.7770488240464726, "r2_5y": 0.9656691117856804, "r2_full": 0.0, "corr_portfolio": 0.24102511009539707, "corr_benchmark": 0.6136347268875793, "alpha_pos_frac": 0.574468085106383, "fund_max_dd": -0.7414695528069606, "first": "1990-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pnrax": {"sym": "pnrax", "name": "Putnam U.S. Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0078006379936287, "alpha_t_5y": 0.6819207949445134, "alpha_t_full": -0.49127034085497623, "r2_5y": 0.9742406045226302, "r2_full": 0.9576933425492666, "corr_portfolio": 0.276478412264447, "corr_benchmark": 0.6082408893482397, "alpha_pos_frac": 0.5369649805447471, "fund_max_dd": -0.5727464927405788, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pnsax": {"sym": "pnsax", "name": "Putnam Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013138703584124807, "alpha_t_5y": -0.38602354240621056, "alpha_t_full": -0.040860454829000616, "r2_5y": 0.8868207594604377, "r2_full": 0.8911854260394549, "corr_portfolio": 0.18048580695872893, "corr_benchmark": 0.5557651740392132, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.6756500265416356, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pnvax": {"sym": "pnvax", "name": "Putnam International Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01777045367072421, "alpha_t_5y": -0.7418658434781341, "alpha_t_full": 3.148881109128048, "r2_5y": 0.866818737661125, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.37843130784261586, "corr_benchmark": 0.5341436653861956, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6490959755048249, "first": "1995-12-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pogax": {"sym": "pogax", "name": "Putnam Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03699181922939444, "alpha_t_5y": -2.190143201327193, "alpha_t_full": -1.771779866542727, "r2_5y": 0.9658299354712779, "r2_full": 0.9288351430114181, "corr_portfolio": 0.15037798580951137, "corr_benchmark": 0.6178617057386717, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.7655163818400119, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pomix": {"sym": "pomix", "name": "T. Rowe Price Total Equity Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003909460143702534, "alpha_t_5y": -0.45004494071921014, "alpha_t_full": 0.08684242680273922, "r2_5y": 0.9856292672508115, "r2_full": 0.9838611165640959, "corr_portfolio": 0.27750396171977787, "corr_benchmark": 0.6183564949247312, "alpha_pos_frac": 0.48109965635738833, "fund_max_dd": -0.5560786338303656, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "povsx": {"sym": "povsx", "name": "PUTNAM INTERNATIONAL EQUITY FUND /MA/", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008246774373235599, "alpha_t_5y": 0.45391160669396213, "alpha_t_full": 2.9818902535875664, "r2_5y": 0.9296842833671449, "r2_full": 0.0, "corr_portfolio": 0.3812505260466762, "corr_benchmark": 0.536012503953651, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.6296914328002784, "first": "1991-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ppiax": {"sym": "ppiax", "name": "DWS Short Duration Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019432530150408602, "alpha_t_5y": 3.644510147313814, "alpha_t_full": 2.5875772471322165, "r2_5y": 0.7024788166295107, "r2_full": 0.14225749049281577, "corr_portfolio": 0.060166731590796295, "corr_benchmark": 0.4109016209718758, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.09012090529392658, "first": "2002-12-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "ppnax": {"sym": "ppnax", "name": "Putnam Strategic Intermediate Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01032129065948187, "alpha_t_5y": 1.0191118873201728, "alpha_t_full": 6.250894619228572, "r2_5y": 0.3867962277552154, "r2_full": -2.6645352591003757e-15, "corr_portfolio": 0.05979544508950956, "corr_benchmark": 0.3293428694148038, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.1246807269628053, "first": "1993-09-21", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "ppqax": {"sym": "ppqax", "name": "PIMCO REALPATH Blend 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004593342096957326, "alpha_t_5y": -0.5531597224081772, "alpha_t_full": -0.48410161182789085, "r2_5y": 0.980345418288382, "r2_full": 0.972747336033345, "corr_portfolio": 0.3203385256305766, "corr_benchmark": 0.654820832770519, "alpha_pos_frac": 0.5895522388059702, "fund_max_dd": -0.3159144350886982, "first": "2015-01-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pqcnx": {"sym": "pqcnx", "name": "PGIM Core Conservative Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00024987648351208216, "alpha_t_5y": -0.05243749088243829, "alpha_t_full": -0.16321430658510086, "r2_5y": 0.9637506391046765, "r2_full": 0.9426915908071314, "corr_portfolio": -0.12208725182398114, "corr_benchmark": 0.7103048425543876, "alpha_pos_frac": 0.5523809523809524, "fund_max_dd": -0.1966830194156195, "first": "2017-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pqnax": {"sym": "pqnax", "name": "Virtus NFJ Mid-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01752714661655643, "alpha_t_5y": -0.618897430248418, "alpha_t_full": 3.920399798820715, "r2_5y": 0.8651926964118197, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.3193668779213482, "corr_benchmark": 0.5833355814293157, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5903013076750305, "first": "1991-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "pqtsx": {"sym": "pqtsx", "name": "PGIM TIPS Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0051541478541658236, "alpha_t_5y": 0.3513170989280061, "alpha_t_full": 0.7633861517833801, "r2_5y": 0.6810836392518516, "r2_full": 0.6504972614852221, "corr_portfolio": -0.05620344151323078, "corr_benchmark": 0.5929100656524257, "alpha_pos_frac": 0.47619047619047616, "fund_max_dd": -0.14529576855936022, "first": "2017-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "prafx": {"sym": "prafx", "name": "T. Rowe Price Real Assets Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028370447974804213, "alpha_t_5y": -1.1593583917602257, "alpha_t_full": -1.5875430016323073, "r2_5y": 0.890006581638537, "r2_full": 0.8815352795689141, "corr_portfolio": 0.3616104070333625, "corr_benchmark": 0.5200870121157017, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.3804713911897474, "first": "2010-07-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prasx": {"sym": "prasx", "name": "T. Rowe Price New Asia Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03676582860298671, "alpha_t_5y": -1.162621641080458, "alpha_t_full": 3.0796570548117366, "r2_5y": 0.8617553574182966, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.2270964862712669, "corr_benchmark": 0.42628099815029613, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.7052965632119634, "first": "1990-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prblx": {"sym": "prblx", "name": "Parnassus Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012650593581459505, "alpha_t_5y": -0.765083373213355, "alpha_t_full": 4.492611135518076, "r2_5y": 0.9409817367395459, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2529541274621002, "corr_benchmark": 0.6219976429749845, "alpha_pos_frac": 0.4425531914893617, "fund_max_dd": -0.4220243990379131, "first": "1992-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prcix": {"sym": "prcix", "name": "T. Rowe Price New Income Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007107788562143668, "alpha_t_5y": -0.13723433201003477, "alpha_t_full": 6.365050834911989, "r2_5y": 0.9540044117902331, "r2_full": -6.661338147750939e-16, "corr_portfolio": -0.07390681462461982, "corr_benchmark": 0.6730349742448988, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1914343226386086, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prcox": {"sym": "prcox", "name": "T. Rowe Price U.S. Equity Research Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022392286081116615, "alpha_t_5y": 0.2514160392085182, "alpha_t_full": 0.7548211809712864, "r2_5y": 0.9845663679664178, "r2_full": 0.9811963553015384, "corr_portfolio": 0.2793212368117234, "corr_benchmark": 0.6156565329333397, "alpha_pos_frac": 0.42718446601941745, "fund_max_dd": -0.5396349449411743, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prcpx": {"sym": "prcpx", "name": "T. Rowe Price Credit Opportunities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01454886653880402, "alpha_t_5y": 1.966352022579707, "alpha_t_full": 0.7690031419380468, "r2_5y": 0.853237838102522, "r2_full": 0.7341770502492548, "corr_portfolio": 0.29507505709464416, "corr_benchmark": 0.34975035520803566, "alpha_pos_frac": 0.704225352112676, "fund_max_dd": -0.23069708071542339, "first": "2014-05-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prdgx": {"sym": "prdgx", "name": "T. Rowe Price Dividend Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007802843212795324, "alpha_t_5y": -0.05559737972462914, "alpha_t_full": 1.9328575109128734, "r2_5y": 0.9417773708804356, "r2_full": 0.951806638081249, "corr_portfolio": 0.33565727897385983, "corr_benchmark": 0.5920883360618564, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.4979905429846535, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prdmx": {"sym": "prdmx", "name": "T. Rowe Price Diversified Mid-Cap Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052543920039495165, "alpha_t_5y": -1.6126165694919894, "alpha_t_full": -0.8832180136752312, "r2_5y": 0.8760041405572795, "r2_full": 0.9227915836352913, "corr_portfolio": 0.1684411951880748, "corr_benchmark": 0.6117438083271549, "alpha_pos_frac": 0.5408560311284046, "fund_max_dd": -0.5757291400081517, "first": "2004-01-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prdsx": {"sym": "prdsx", "name": "T. Rowe Price Integrated U.S. Small-Cap Growth Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019300840960520402, "alpha_t_5y": -0.9195925460289647, "alpha_t_full": -0.14367301092895488, "r2_5y": 0.9461558534652775, "r2_full": 0.9340540021663557, "corr_portfolio": 0.22615277703065123, "corr_benchmark": 0.5869032907231128, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.5894759809358068, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prefx": {"sym": "prefx", "name": "T. Rowe Price Tax-Efficient Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03672957597824043, "alpha_t_5y": -2.0873421539216492, "alpha_t_full": -0.09645456015390926, "r2_5y": 0.9621225504535822, "r2_full": 0.9414534206891431, "corr_portfolio": 0.1609796336184138, "corr_benchmark": 0.6229780554004963, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5670103213099924, "first": "2001-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "preix": {"sym": "preix", "name": "T. Rowe Price Equity Index 500 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001152431738326835, "alpha_t_5y": 0.15271533683191882, "alpha_t_full": -0.3102243378754565, "r2_5y": 0.9884564723114179, "r2_full": 0.984415375166557, "corr_portfolio": 0.28552423571778457, "corr_benchmark": 0.6163541166252502, "alpha_pos_frac": 0.5307443365695793, "fund_max_dd": -0.5532910116612155, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "premx": {"sym": "premx", "name": "T. Rowe Price Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.056375460202302, "alpha_t_5y": -2.5658470612262696, "alpha_t_full": 4.766941457136117, "r2_5y": 0.5762639472143979, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.2151914326331403, "corr_benchmark": 0.38165826465490116, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.43220405372884274, "first": "1995-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "presx": {"sym": "presx", "name": "T. Rowe Price European Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029196846513351225, "alpha_t_5y": -1.3568772995283505, "alpha_t_full": 2.8645035578837703, "r2_5y": 0.9158384369735281, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.3143544878092174, "corr_benchmark": 0.5244409722437705, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.598619723420077, "first": "1990-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prfdx": {"sym": "prfdx", "name": "T. Rowe Price Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015144714056529306, "alpha_t_5y": 0.8493285891163505, "alpha_t_full": 3.9344757446636915, "r2_5y": 0.9162651084834567, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.41059227467005194, "corr_benchmark": 0.5068245207131868, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.5814048748826355, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prfhx": {"sym": "prfhx", "name": "T. Rowe Price Tax-Free High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013999806050202592, "alpha_t_5y": 0.9252909898532471, "alpha_t_full": 8.042945877917154, "r2_5y": 0.41075393039604735, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.061850043959495386, "corr_benchmark": 0.3499297396557526, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.24761367532506873, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "prfrx": {"sym": "prfrx", "name": "T. Rowe Price Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.040500742151048756, "alpha_t_5y": 4.941659064754437, "alpha_t_full": 3.592806670581966, "r2_5y": 0.46465886753841934, "r2_full": 0.49264769913091044, "corr_portfolio": 0.2690895919530133, "corr_benchmark": 0.16759630181760646, "alpha_pos_frac": 0.4685714285714286, "fund_max_dd": -0.2004492320156408, "first": "2011-08-02", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "prfsx": {"sym": "prfsx", "name": "T. Rowe Price Tax-Free Short-Intermediate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00997569672816443, "alpha_t_5y": 1.4082729119149122, "alpha_t_full": 10.089233171999387, "r2_5y": 0.2997009635773026, "r2_full": 4.551914400963142e-15, "corr_portfolio": 0.02885677905964834, "corr_benchmark": 0.3022315338394705, "alpha_pos_frac": 0.4734982332155477, "fund_max_dd": -0.06622702235182476, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "prfz": {"sym": "prfz", "name": "Invesco RAFI US 1500 Small-Mid ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026785246260197654, "alpha_t_5y": 1.7501722701733153, "alpha_t_full": 1.2418381455076604, "r2_5y": 0.9713117722028056, "r2_full": 0.9584793416331252, "corr_portfolio": 0.2959095779192841, "corr_benchmark": 0.5285197425638496, "alpha_pos_frac": 0.39914163090128757, "fund_max_dd": -0.6241380163404521, "first": "2006-09-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prgfx": {"sym": "prgfx", "name": "T. Rowe Price Growth Stock Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06644729552718905, "alpha_t_5y": -2.8134703041451337, "alpha_t_full": 3.671781931003564, "r2_5y": 0.9386873388017147, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.13003335259566215, "corr_benchmark": 0.607589773306901, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.540133607461905, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prgmx": {"sym": "prgmx", "name": "T. Rowe Price GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006808206189273871, "alpha_t_5y": -0.9840285049952521, "alpha_t_full": 6.306284734026009, "r2_5y": 0.927911455732233, "r2_full": 2.1094237467877974e-15, "corr_portfolio": -0.0706605559505961, "corr_benchmark": 0.6280981231943326, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.17794116364332313, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prgsx": {"sym": "prgsx", "name": "T. Rowe Price Global Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03339126163938253, "alpha_t_5y": -1.5198415816388946, "alpha_t_full": 0.47645853235373414, "r2_5y": 0.9319587251974788, "r2_full": 0.8500954616190598, "corr_portfolio": 0.22843565147246797, "corr_benchmark": 0.5943008202800062, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6405935323784374, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prgtx": {"sym": "prgtx", "name": "T. Rowe Price Global Technology Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03381740444222203, "alpha_t_5y": -0.6585885458491253, "alpha_t_full": 0.6926977955541698, "r2_5y": 0.8580974232114932, "r2_full": 0.8396841623686278, "corr_portfolio": 0.025204360570885428, "corr_benchmark": 0.557364417280563, "alpha_pos_frac": 0.549800796812749, "fund_max_dd": -0.7500000923581741, "first": "2000-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prhsx": {"sym": "prhsx", "name": "T. Rowe Price Health Sciences Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004043210447405969, "alpha_t_5y": -0.08281148720398579, "alpha_t_full": 3.993490071553214, "r2_5y": 0.5629543196815602, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.16322865740056094, "corr_benchmark": 0.5108171837399165, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.42956042298912245, "first": "1996-01-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "prhyx": {"sym": "prhyx", "name": "T. Rowe Price High Yield Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018431331004805325, "alpha_t_5y": -1.7196655431233385, "alpha_t_full": 8.778663446185258, "r2_5y": 0.8361077352816044, "r2_full": 1.1102230246251565e-15, "corr_portfolio": 0.3039921344562706, "corr_benchmark": 0.4106169009086231, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.3081286486380057, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "pridx": {"sym": "pridx", "name": "T. Rowe Price International Discovery Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.056056963501482475, "alpha_t_5y": -2.3041902027684213, "alpha_t_full": 3.9463439005226832, "r2_5y": 0.8808745776344086, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2886968205250515, "corr_benchmark": 0.5585139298374133, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6493353201241514, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prigx": {"sym": "prigx", "name": "T. Rowe Price Global Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02291735951525677, "alpha_t_5y": 1.4593446267140102, "alpha_t_full": 1.8534993818439036, "r2_5y": 0.9357062539911187, "r2_full": 0.9517208468386225, "corr_portfolio": 0.4001366014303038, "corr_benchmark": 0.5593039064285317, "alpha_pos_frac": 0.4601226993865031, "fund_max_dd": -0.36762480335847036, "first": "2012-07-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prihx": {"sym": "prihx", "name": "T. Rowe Price Intermediate Tax-Free High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003094518251398983, "alpha_t_5y": -0.27249664997420786, "alpha_t_full": 3.262119050046315, "r2_5y": 0.41316898566446647, "r2_full": 0.3954116237334713, "corr_portfolio": 0.05114643882505112, "corr_benchmark": 0.3309124222672294, "alpha_pos_frac": 0.5467625899280576, "fund_max_dd": -0.12415744889699931, "first": "2014-07-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "prijx": {"sym": "prijx", "name": "T. Rowe Price Emerging Markets Discovery Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018328439719325833, "alpha_t_5y": 0.6440874397375941, "alpha_t_full": 0.4991306223284297, "r2_5y": 0.8514915015829952, "r2_full": 0.8557599658458541, "corr_portfolio": 0.3115481043672766, "corr_benchmark": 0.4624454533771541, "alpha_pos_frac": 0.56, "fund_max_dd": -0.416667744005374, "first": "2015-09-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prinx": {"sym": "prinx", "name": "T. Rowe Price Summit Municipal Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0064091756321478744, "alpha_t_5y": 0.4669921937771193, "alpha_t_full": 6.578242840055412, "r2_5y": 0.4064625331035604, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.03896594900073883, "corr_benchmark": 0.35209533399342435, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.15702059853289585, "first": "1993-11-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "pripx": {"sym": "pripx", "name": "T. Rowe Price Inflation Protected Bond Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000988557408989985, "alpha_t_5y": -0.06396117503791127, "alpha_t_full": 0.3981645522697866, "r2_5y": 0.6555544661832564, "r2_full": 0.6465252218891002, "corr_portfolio": -0.06251941913314667, "corr_benchmark": 0.5722967287360559, "alpha_pos_frac": 0.5431034482758621, "fund_max_dd": -0.1625834136777914, "first": "2002-11-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "prisx": {"sym": "prisx", "name": "T. Rowe Price Financial Services Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04950540527251342, "alpha_t_5y": 1.3370959313865873, "alpha_t_full": 0.6848335960985407, "r2_5y": 0.8109556342816165, "r2_full": 0.8090919447419718, "corr_portfolio": 0.41080611841916165, "corr_benchmark": 0.40907622947010697, "alpha_pos_frac": 0.4980392156862745, "fund_max_dd": -0.6734298933227485, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "pritx": {"sym": "pritx", "name": "T. Rowe Price International Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.034452471102131045, "alpha_t_5y": -1.6371506790867947, "alpha_t_full": 2.588883057434916, "r2_5y": 0.9072534580611586, "r2_full": 0.0, "corr_portfolio": 0.3020770186310091, "corr_benchmark": 0.5574954597843025, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.6137944333392843, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prjax": {"sym": "prjax", "name": "PGIM Jennison Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10379651819544831, "alpha_t_5y": -2.808418507390307, "alpha_t_full": -1.5191441649291237, "r2_5y": 0.8767468801771156, "r2_full": 0.8615543667477721, "corr_portfolio": 0.10844358415893751, "corr_benchmark": 0.5807989990720986, "alpha_pos_frac": 0.5329341317365269, "fund_max_dd": -0.4829429733194731, "first": "2012-03-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prjpx": {"sym": "prjpx", "name": "T. Rowe Price Japan Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05504712833344171, "alpha_t_5y": -1.2114201817483619, "alpha_t_full": 1.6580746434110933, "r2_5y": 0.6829176726393213, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.2589504178041694, "corr_benchmark": 0.5036844171665527, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.6825796088518659, "first": "1991-12-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "prkax": {"sym": "prkax", "name": "PGIM Real Estate Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017722987782298874, "alpha_t_5y": 0.8213535881343723, "alpha_t_full": -0.03983828221235891, "r2_5y": 0.8702052232779999, "r2_full": 0.8532906454471174, "corr_portfolio": 0.28782008348335264, "corr_benchmark": 0.5770476055265025, "alpha_pos_frac": 0.5426356589147286, "fund_max_dd": -0.4696394258424941, "first": "2015-06-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prlax": {"sym": "prlax", "name": "T. 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Rowe Price Maryland Short-Term Tax-Free Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011940587557662207, "alpha_t_5y": 2.0996599140924417, "alpha_t_full": 8.455179039689671, "r2_5y": 0.23972182321611524, "r2_full": -9.769962616701378e-15, "corr_portfolio": 0.06381874322112839, "corr_benchmark": 0.20100782302514555, "alpha_pos_frac": 0.47398843930635837, "fund_max_dd": -0.04174511905757483, "first": "1993-02-01", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "prmsx": {"sym": "prmsx", "name": "T. Rowe Price Emerging Markets Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04274582194574465, "alpha_t_5y": -1.5207619964848047, "alpha_t_full": 2.5163137803046816, "r2_5y": 0.8771908308777385, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.26268027427304835, "corr_benchmark": 0.45007254950763487, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.711286566746999, "first": "1995-04-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prmtx": {"sym": "prmtx", "name": "T. Rowe Price Communications & Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08957587855437572, "alpha_t_5y": -2.812216225248002, "alpha_t_full": 3.771592408219686, "r2_5y": 0.8750382094680028, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.09362266575662449, "corr_benchmark": 0.602266922646351, "alpha_pos_frac": 0.5603112840466926, "fund_max_dd": -0.6611533420175144, "first": "1993-10-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "prnex": {"sym": "prnex", "name": "T. Rowe Price New Era Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.024655475451157875, "alpha_t_5y": -0.7091624838473614, "alpha_t_full": 2.8486771552688683, "r2_5y": 0.8012180485928782, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.39461346009344894, "corr_benchmark": 0.41842753924468734, "alpha_pos_frac": 0.42152466367713004, "fund_max_dd": -0.6655944095425406, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "prnhx": {"sym": "prnhx", "name": "T. Rowe Price New Horizons Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08783712268194573, "alpha_t_5y": -2.1588297415137956, "alpha_t_full": 3.8615335902050223, "r2_5y": 0.8430784857540183, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.07001504200858648, "corr_benchmark": 0.5998385295343488, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.5579003262041085, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "prnyx": {"sym": "prnyx", "name": "T. 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not alpha-driven", "alpha_name": false}, "qgrpx": {"sym": "qgrpx", "name": "UBS US Quality Growth At Reasonable Price Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03296939462780508, "alpha_t_5y": -1.842223579761648, "alpha_t_full": -1.917187207914575, "r2_5y": 0.9514304946792129, "r2_full": 0.9515385138550377, "corr_portfolio": 0.006582596539856888, "corr_benchmark": 0.6599041203060875, "alpha_pos_frac": 0.5294117647058824, "fund_max_dd": -0.3028413267873665, "first": "2020-07-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "qlenx": {"sym": "qlenx", "name": "AQR Long-Short Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.16307235557336403, "alpha_t_5y": 4.333243493367011, "alpha_t_full": 3.890576190299045, "r2_5y": 0.25948410199218974, "r2_full": 0.44697589041768093, "corr_portfolio": 0.7066792887973038, "corr_benchmark": 0.2659786491507395, "alpha_pos_frac": 0.5761589403973509, "fund_max_dd": -0.39590585442596415, "first": "2013-07-17", "verdict": "alpha, but correlated with current portfolio", "alpha_name": true}, "qlmlfx": {"sym": "qlmlfx", "name": "Franklin Multi-Asset Variable Conservative Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07893491478029137, "alpha_t_5y": -3.0476916517805264, "alpha_t_full": -3.1658098823296283, "r2_5y": 0.7318904574058431, "r2_full": 0.7982557764267725, "corr_portfolio": 0.2545525127077821, "corr_benchmark": 0.6876095779309312, "alpha_pos_frac": 0.5616438356164384, "fund_max_dd": -0.3008596389192182, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "qlmlsx": {"sym": "qlmlsx", "name": "Franklin Multi-Asset Variable Moderate Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10186283022015444, "alpha_t_5y": -3.1722719668471915, "alpha_t_full": -3.084799556163183, "r2_5y": 0.7455115435345729, "r2_full": 0.8155178045334754, "corr_portfolio": 0.27919907115483544, "corr_benchmark": 0.6294974462433921, "alpha_pos_frac": 0.5616438356164384, "fund_max_dd": -0.33847980997624694, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "qlmltx": {"sym": "qlmltx", "name": "Franklin Multi-Asset Variable Growth", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11679429269173985, "alpha_t_5y": -3.053868262362495, "alpha_t_full": -3.101219985646366, "r2_5y": 0.7370977944504765, "r2_full": 0.8129442918110088, "corr_portfolio": 0.28945980833369467, "corr_benchmark": 0.5956692896942339, "alpha_pos_frac": 0.5753424657534246, "fund_max_dd": -0.3752131893121088, "first": "2020-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "qmnix": {"sym": "qmnix", "name": "AQR Equity Market Neutral Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.15811438267491967, "alpha_t_5y": 4.603367997108109, "alpha_t_full": 3.6662325141829846, "r2_5y": 0.26831193910045903, "r2_full": 0.0761350421023228, "corr_portfolio": 0.606529943249583, "corr_benchmark": -0.13917695906733554, "alpha_pos_frac": 0.5401459854014599, "fund_max_dd": -0.3879617644035105, "first": "2014-10-10", "verdict": "alpha, but correlated with current portfolio", "alpha_name": true}, "qqqm": {"sym": "qqqm", "name": "Invesco NASDAQ 100 ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016304847360174087, "alpha_t_5y": 0.5395683993368726, "alpha_t_full": 0.4532941303292237, "r2_5y": 0.9989798290319792, "r2_full": 0.9984644875153267, "corr_portfolio": -0.05597997583315415, "corr_benchmark": 0.6536140284218636, "alpha_pos_frac": 0.6307692307692307, "fund_max_dd": -0.3504380987399789, "first": "2020-10-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "qspmx": {"sym": "qspmx", "name": "Quantified Pattern Recognition Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017086073022137306, "alpha_t_5y": 0.3002297301991839, "alpha_t_full": 0.22678498198208302, "r2_5y": 0.4226581911878208, "r2_full": 0.43365798883814266, "corr_portfolio": 0.11069339661718501, "corr_benchmark": 0.41865364154184664, "alpha_pos_frac": 0.47435897435897434, "fund_max_dd": -0.2836016233997094, "first": "2019-08-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "qstax": {"sym": "qstax", "name": "Quantified STF Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04509703853690174, "alpha_t_5y": 0.4755427168998746, "alpha_t_full": 0.3235769855103673, "r2_5y": 0.354537681760248, "r2_full": 0.446120688290777, "corr_portfolio": 0.05137473027453916, "corr_benchmark": 0.3708777344264506, "alpha_pos_frac": 0.5447154471544715, "fund_max_dd": -0.49376981822111365, "first": "2015-11-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "quasx": {"sym": "quasx", "name": "AB Small Cap Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07450119243685056, "alpha_t_5y": -2.213013857656312, "alpha_t_full": 2.5003927755095128, "r2_5y": 0.9106128061003224, "r2_full": 0.0, "corr_portfolio": 0.14416944487191602, "corr_benchmark": 0.5603800389301393, "alpha_pos_frac": 0.47896440129449835, "fund_max_dd": -0.6097122361208666, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "qusox": {"sym": "qusox", "name": "Pear Tree Polaris Foreign Value Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01525868457890274, "alpha_t_5y": 0.3810550067223092, "alpha_t_full": 0.8346214790449425, "r2_5y": 0.5455736200136281, "r2_full": 0.5482095882794886, "corr_portfolio": 0.44386193314850486, "corr_benchmark": 0.296646688474429, "alpha_pos_frac": 0.48130841121495327, "fund_max_dd": -0.5798724249672338, "first": "2008-05-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "qwld": {"sym": "qwld", "name": "State Street(R) SPDR(R) MSCI World StrategicFactors(SM) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007302856002370346, "alpha_t_5y": 0.636634018048203, "alpha_t_full": 0.46909867279669015, "r2_5y": 0.958364353997895, "r2_full": 0.7075316908537062, "corr_portfolio": 0.2973682109571012, "corr_benchmark": 0.5344077900314895, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.3189073975828345, "first": "2014-06-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "qwvox": {"sym": "qwvox", "name": "Clearwater Select Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.051055371182532644, "alpha_t_5y": -1.3916354231700783, "alpha_t_full": -2.6398389197892453, "r2_5y": 0.8437729848303014, "r2_full": 0.7683353168014644, "corr_portfolio": 0.2713559983225675, "corr_benchmark": 0.4905302675665461, "alpha_pos_frac": 0.6574585635359116, "fund_max_dd": -0.5651990023201119, "first": "2011-01-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "raax": {"sym": "raax", "name": "VanEck Real Assets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006055958152158769, "alpha_t_5y": -0.21515978838141853, "alpha_t_full": -0.6994525447187424, "r2_5y": 0.8190142124607508, "r2_full": 0.7520622816968522, "corr_portfolio": 0.31781265331078756, "corr_benchmark": 0.4343231968213434, "alpha_pos_frac": 0.6105263157894737, "fund_max_dd": -0.3390697706139564, "first": "2018-04-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "raghx": {"sym": "raghx", "name": "Virtus KAR Health Sciences Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04256301702258181, "alpha_t_5y": -0.952382426012316, "alpha_t_full": 0.019849184334518485, "r2_5y": 0.5950154231946856, "r2_full": 0.6732198147680257, "corr_portfolio": 0.22831230875522945, "corr_benchmark": 0.5193052145673235, "alpha_pos_frac": 0.5361702127659574, "fund_max_dd": -0.40227603674772683, "first": "2002-02-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "ragtx": {"sym": "ragtx", "name": "Virtus Zevenbergen Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018148810804930277, "alpha_t_5y": -0.5597046189953375, "alpha_t_full": 0.14507575975238202, "r2_5y": 0.9286232465396088, "r2_full": 0.8695296105879333, "corr_portfolio": 0.07846992304041289, "corr_benchmark": 0.5759993417928082, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.5955175034749385, "first": "2002-02-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ralax": {"sym": "ralax", "name": "Aggressive Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006965351025079943, "alpha_t_5y": -0.7264226794693941, "alpha_t_full": -0.8901085550339062, "r2_5y": 0.9699907612697082, "r2_full": 0.8143202741112344, "corr_portfolio": 0.3022366416652295, "corr_benchmark": 0.5513627234547034, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.5205758201058003, "first": "2003-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rapax": {"sym": "rapax", "name": "Cohen & Steers Real Assets Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014059460212515749, "alpha_t_5y": 0.10085747821065565, "alpha_t_full": -1.794531560241649, "r2_5y": 0.9115982834364076, "r2_full": 0.921972301832787, "corr_portfolio": 0.38056818356690264, "corr_benchmark": 0.4963737367784319, "alpha_pos_frac": 0.5443786982248521, "fund_max_dd": -0.3145089247680882, "first": "2012-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ravi": {"sym": "ravi", "name": "FlexShares Ultra-Short Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014783906529738478, "alpha_t_5y": 2.1578996409664244, "alpha_t_full": 4.71364275198703, "r2_5y": 0.07961879522165005, "r2_full": 0.0922522101569464, "corr_portfolio": 0.05942262171747824, "corr_benchmark": 0.18047488494850816, "alpha_pos_frac": 0.40625, "fund_max_dd": -0.0372180683259794, "first": "2012-10-12", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "rbbax": {"sym": "rbbax", "name": "Columbia Income Builder Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009886340868644355, "alpha_t_5y": 1.6969051744620036, "alpha_t_full": 2.031155043123416, "r2_5y": 0.9492321393518978, "r2_full": 0.8737219168236271, "corr_portfolio": 0.2819816606519108, "corr_benchmark": 0.770525388287296, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.23220798767684725, "first": "2006-02-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rbcgx": {"sym": "rbcgx", "name": "REYNOLDS BLUE CHIP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02579270044346518, "alpha_t_5y": -0.8751427444204318, "alpha_t_full": 3.192642936732295, "r2_5y": 0.8618994933447838, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.16011640513963807, "corr_benchmark": 0.575970868361616, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.7712266630600033, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rblax": {"sym": "rblax", "name": "Balanced Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008049387293525464, "alpha_t_5y": -0.9657103447413325, "alpha_t_full": -1.6310316178590178, "r2_5y": 0.9639717048297762, "r2_full": 0.9029077473494188, "corr_portfolio": 0.3391361870208502, "corr_benchmark": 0.6676901657950982, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.4366025564307384, "first": "2003-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rcbax": {"sym": "rcbax", "name": "AMERICAN FUNDS CORPORATE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009524016985086073, "alpha_t_5y": -1.9688613300010493, "alpha_t_full": -1.0996640448919186, "r2_5y": 0.9691725049096271, "r2_full": 0.9444035028006014, "corr_portfolio": -0.040754077751630334, "corr_benchmark": 0.7459269852496433, "alpha_pos_frac": 0.40869565217391307, "fund_max_dd": -0.23654725874312477, "first": "2016-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rcjtx": {"sym": "rcjtx", "name": "American Funds 2015 Target Date Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003823359679261124, "alpha_t_5y": 0.6319305373807538, "alpha_t_full": 0.6808713673882628, "r2_5y": 0.9559001923776146, "r2_full": 0.9426626513864749, "corr_portfolio": 0.330624809689852, "corr_benchmark": 0.743929662519092, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.426893837619131, "first": "2007-02-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rclax": {"sym": "rclax", "name": "Conservative Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00424560344935127, "alpha_t_5y": -0.6953432709496168, "alpha_t_full": -2.532855272752586, "r2_5y": 0.9391278742427428, "r2_full": 0.8421603635681731, "corr_portfolio": 0.23369545812904702, "corr_benchmark": 0.8148543934998574, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.22367659916368066, "first": "2003-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rcmcx": {"sym": "rcmcx", "name": "Royce Capital Fund - Micro-Cap Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0453829700961284, "alpha_t_5y": 1.5804919733725784, "alpha_t_full": 1.5959591254329262, "r2_5y": 0.9169230620098997, "r2_full": 0.8548944282272368, "corr_portfolio": 0.2482786009897491, "corr_benchmark": 0.5127775215455846, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.5867440295753957, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rctix": {"sym": "rctix", "name": "River Canyon Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.044764336987351175, "alpha_t_5y": 5.633674810785656, "alpha_t_full": 4.60564281131002, "r2_5y": 0.40680239756139003, "r2_full": 0.18057319107552217, "corr_portfolio": 0.09628859734864363, "corr_benchmark": 0.2314747842384135, "alpha_pos_frac": 0.5074626865671642, "fund_max_dd": -0.10891145943481484, "first": "2015-01-08", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "rdccx": {"sym": "rdccx", "name": "Columbia Disciplined Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02858109233157634, "alpha_t_5y": 1.5927788113836125, "alpha_t_full": 0.14888708574757, "r2_5y": 0.920436700076577, "r2_full": 0.9535267357174171, "corr_portfolio": 0.40051764726032113, "corr_benchmark": 0.5471027461682731, "alpha_pos_frac": 0.5260663507109005, "fund_max_dd": -0.5539920293534388, "first": "2008-07-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rdiv": {"sym": "rdiv", "name": "Invesco S&P Ultra Dividend Revenue ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05874965544930831, "alpha_t_5y": 1.638555758559509, "alpha_t_full": 1.9666703870553315, "r2_5y": 0.7724434726070879, "r2_full": 0.7964580322670116, "corr_portfolio": 0.3939137087076264, "corr_benchmark": 0.44934704295871364, "alpha_pos_frac": 0.48322147651006714, "fund_max_dd": -0.49973901487914574, "first": "2013-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "rdlax": {"sym": "rdlax", "name": "Columbia Disciplined Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02685458847666308, "alpha_t_5y": -1.7143142739261468, "alpha_t_full": -2.3443324861841486, "r2_5y": 0.9694887900292062, "r2_full": 0.9646117277617873, "corr_portfolio": 0.19326467403078917, "corr_benchmark": 0.6211156525355901, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5431841948997745, "first": "2007-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rdwbx": {"sym": "rdwbx", "name": "AMERICAN FUNDS DEVELOPING WORLD GROWTH & INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01577599389335302, "alpha_t_5y": -0.48372674888925027, "alpha_t_full": -1.4508444953371675, "r2_5y": 0.7856610665392331, "r2_full": 0.8264528789887298, "corr_portfolio": 0.2904207955476652, "corr_benchmark": 0.4620312059782935, "alpha_pos_frac": 0.5069444444444444, "fund_max_dd": -0.3945155911853395, "first": "2014-03-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "reaax": {"sym": "reaax", "name": "Equity Aggressive Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009610629630194486, "alpha_t_5y": -0.911927345239089, "alpha_t_full": -0.8244073343966148, "r2_5y": 0.9703256704234481, "r2_full": 0.8283243494007869, "corr_portfolio": 0.3121804216018028, "corr_benchmark": 0.5365689785431843, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5952630559272116, "first": "2003-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rebax": {"sym": "rebax", "name": "Columbia Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0038467806017592333, "alpha_t_5y": -0.24392893109766392, "alpha_t_full": 0.21806183452377884, "r2_5y": 0.620291210398388, "r2_full": 0.5036054948683183, "corr_portfolio": 0.22768778982893756, "corr_benchmark": 0.5392750031689936, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.3443010279970157, "first": "2006-02-15", "verdict": "weak/unstable alpha", "alpha_name": false}, "rebyx": {"sym": "rebyx", "name": "U.S. Small Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016226644609574733, "alpha_t_5y": 0.9235971133421599, "alpha_t_full": -1.9134992553725603, "r2_5y": 0.9613337708802903, "r2_full": 0.8547203202611856, "corr_portfolio": 0.2850392009124828, "corr_benchmark": 0.5291834320614589, "alpha_pos_frac": 0.7450980392156863, "fund_max_dd": -0.7615521588880102, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "recs": {"sym": "recs", "name": "Columbia Research Enhanced Core ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017945612150313633, "alpha_t_5y": 1.0764599322764894, "alpha_t_full": 0.6149000287159534, "r2_5y": 0.9397033057296666, "r2_full": 0.8520937271443234, "corr_portfolio": 0.2545670731647488, "corr_benchmark": 0.6044217636669303, "alpha_pos_frac": 0.4805194805194805, "fund_max_dd": -0.34289666003770125, "first": "2019-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "redwx": {"sym": "redwx", "name": "GreenFi Redwood Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02656110325631339, "alpha_t_5y": -1.3304577755135993, "alpha_t_full": -0.6271657178168581, "r2_5y": 0.9298975466364304, "r2_full": 0.9174306316100826, "corr_portfolio": 0.2434499340781259, "corr_benchmark": 0.605252541289675, "alpha_pos_frac": 0.5609756097560976, "fund_max_dd": -0.4108874278245135, "first": "2015-11-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "remsx": {"sym": "remsx", "name": "Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006798181147766376, "alpha_t_5y": -0.203151473092633, "alpha_t_full": 2.447095471802592, "r2_5y": 0.79327379357862, "r2_full": 0.0, "corr_portfolio": 0.3216163479976866, "corr_benchmark": 0.43914429679885514, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6680208421110567, "first": "1993-02-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "remx": {"sym": "remx", "name": "VanEck Rare Earth and Strategic Metals ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.2408622111269718, "alpha_t_5y": 1.6065574528581363, "alpha_t_full": -1.7768963439991712, "r2_5y": 0.5028001631304666, "r2_full": 0.5173389550335683, "corr_portfolio": 0.18584936522214107, "corr_benchmark": 0.3409931622357713, "alpha_pos_frac": 0.4076086956521739, "fund_max_dd": -0.9020686740549454, "first": "2010-10-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "retsx": {"sym": "retsx", "name": "Tax-Managed U.S. Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017368687610258695, "alpha_t_5y": -1.713171620503713, "alpha_t_full": -1.6522372666491603, "r2_5y": 0.9786962113952677, "r2_full": 0.9709347688920095, "corr_portfolio": 0.2829792955352158, "corr_benchmark": 0.6081894368803957, "alpha_pos_frac": 0.4919093851132686, "fund_max_dd": -0.5735461228306303, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "reuyx": {"sym": "reuyx", "name": "Sustainable Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013993959415502832, "alpha_t_5y": -1.0398235007776877, "alpha_t_full": -2.0764364054166933, "r2_5y": 0.958400655567005, "r2_full": 0.9442030822177356, "corr_portfolio": 0.3005329808930533, "corr_benchmark": 0.6212041247737974, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6120220029113703, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "revs": {"sym": "revs", "name": "Columbia Research Enhanced Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.035340289795724844, "alpha_t_5y": 1.7201977587604507, "alpha_t_full": 1.058433980099497, "r2_5y": 0.8914295162612313, "r2_full": 0.8117964752859708, "corr_portfolio": 0.3823377405862101, "corr_benchmark": 0.5205121732427481, "alpha_pos_frac": 0.4025974025974026, "fund_max_dd": -0.37852710335878714, "first": "2019-09-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rfayx": {"sym": "rfayx", "name": "Investment Grade Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026554781676071146, "alpha_t_5y": 0.6702934916056605, "alpha_t_full": 3.697186818903952, "r2_5y": 0.9730890692900457, "r2_full": 0.007367072794613461, "corr_portfolio": -0.10162455579807453, "corr_benchmark": 0.6709151223362981, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.19353580606665932, "first": "2000-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rfbsx": {"sym": "rfbsx", "name": "Short Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010350637199934037, "alpha_t_5y": -2.647376692506757, "alpha_t_full": 13.471786824700152, "r2_5y": 0.85815247229472, "r2_full": 1.1102230246251565e-15, "corr_portfolio": -0.004165975491361336, "corr_benchmark": 0.528861052727931, "alpha_pos_frac": 0.49230769230769234, "fund_max_dd": -0.15657235864601915, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rfcyx": {"sym": "rfcyx", "name": "Strategic Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00013412625554506518, "alpha_t_5y": -0.023114708549170627, "alpha_t_full": 0.05819766457875691, "r2_5y": 0.9435063025261847, "r2_full": 0.8080411729811553, "corr_portfolio": -0.069717658319351, "corr_benchmark": 0.7006782068351609, "alpha_pos_frac": 0.4564102564102564, "fund_max_dd": -0.19344217156737453, "first": "2005-06-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rfrax": {"sym": "rfrax", "name": "Columbia Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020002477583427117, "alpha_t_5y": 2.108467104707222, "alpha_t_full": 3.1821973003998343, "r2_5y": 0.5224165714201254, "r2_full": 0.48912823658616766, "corr_portfolio": 0.3216202051593705, "corr_benchmark": 0.25119114641574236, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.3202355692127631, "first": "2006-03-27", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "rgcyx": {"sym": "rgcyx", "name": "Opportunistic Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01904870236935229, "alpha_t_5y": 2.718938910466566, "alpha_t_full": 1.8207901916227112, "r2_5y": 0.7539045725256566, "r2_full": 0.6753798990463038, "corr_portfolio": 0.25965817797288643, "corr_benchmark": 0.5353043458729024, "alpha_pos_frac": 0.6054054054054054, "fund_max_dd": -0.19472435399793253, "first": "2010-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "rgeax": {"sym": "rgeax", "name": "Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005824131212112497, "alpha_t_5y": -0.4843319608524486, "alpha_t_full": 0.2303630909626073, "r2_5y": 0.9661483165454653, "r2_full": 0.9432420830579061, "corr_portfolio": 0.35005470755765083, "corr_benchmark": 0.5912839923918596, "alpha_pos_frac": 0.5526315789473685, "fund_max_dd": -0.595071607888996, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rgiax": {"sym": "rgiax", "name": "Global Infrastructure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013139739142479026, "alpha_t_5y": 0.45773601885692694, "alpha_t_full": 0.19267100536411044, "r2_5y": 0.7301389881756639, "r2_full": 0.813883411296699, "corr_portfolio": 0.3617432528033279, "corr_benchmark": 0.5429934817090951, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.3918671377462152, "first": "2010-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "rgsax": {"sym": "rgsax", "name": "Virtus KAR Global Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04911620818292997, "alpha_t_5y": -1.5643369969501386, "alpha_t_full": -0.863728345938125, "r2_5y": 0.7943908192840033, "r2_full": 0.8809690279292518, "corr_portfolio": 0.3257729814894868, "corr_benchmark": 0.5502253015883982, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.6837079365742649, "first": "2002-02-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "rgwfx": {"sym": "rgwfx", "name": "American Funds Growth Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021498111972212842, "alpha_t_5y": -1.5920290779000825, "alpha_t_full": -1.197106049335746, "r2_5y": 0.9691815812167689, "r2_full": 0.9664977118703615, "corr_portfolio": 0.23291306628594832, "corr_benchmark": 0.6276280896895802, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.33931809534681534, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rhltx": {"sym": "rhltx", "name": "American Funds 2065 Target Date Retirement Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011035477572585372, "alpha_t_5y": -1.1042353352206669, "alpha_t_full": -0.4297237357222764, "r2_5y": 0.9741649146862745, "r2_full": 0.9752875388068597, "corr_portfolio": 0.14850669816893586, "corr_benchmark": 0.6911490273610363, "alpha_pos_frac": 0.5492957746478874, "fund_max_dd": -0.27412059218294005, "first": "2020-03-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rimox": {"sym": "rimox", "name": "City National Rochdale Fixed Income Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018371467196312365, "alpha_t_5y": 2.4135583072767286, "alpha_t_full": 3.345911044139164, "r2_5y": 0.5087436702470514, "r2_full": 0.5515415369686495, "corr_portfolio": 0.32423120824442364, "corr_benchmark": 0.33945327811493287, "alpha_pos_frac": 0.595, "fund_max_dd": -0.23609988739649201, "first": "2009-07-02", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "rinyx": {"sym": "rinyx", "name": "International Developed Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004081456903669347, "alpha_t_5y": 0.23394303667103178, "alpha_t_full": 0.18435585421271833, "r2_5y": 0.9236050452695281, "r2_full": 0.8249160580578169, "corr_portfolio": 0.4305475111042152, "corr_benchmark": 0.503889691794077, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.675106524997682, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rivjx": {"sym": "rivjx", "name": "American Funds International Vantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013809944845101223, "alpha_t_5y": -0.7156998921543987, "alpha_t_full": -0.31802991948370446, "r2_5y": 0.913442333204431, "r2_full": 0.9174107667842164, "corr_portfolio": 0.23871083542100527, "corr_benchmark": 0.6069684399145011, "alpha_pos_frac": 0.4868421052631579, "fund_max_dd": -0.3115533219142145, "first": "2019-11-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rlvsx": {"sym": "rlvsx", "name": "Tax-Exempt Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0097392832585041, "alpha_t_5y": 0.8905486968810639, "alpha_t_full": 9.634467730219088, "r2_5y": 0.25005818599885665, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.04867067174009816, "corr_benchmark": 0.28177417043542763, "alpha_pos_frac": 0.5258964143426295, "fund_max_dd": -0.11761075673739763, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "rmbhx": {"sym": "rmbhx", "name": "RMB Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03382612960728324, "alpha_t_5y": -1.8595742747159927, "alpha_t_full": 2.877460261484672, "r2_5y": 0.9347276542079144, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.20160167121440212, "corr_benchmark": 0.5028047787872559, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.5288259342309172, "first": "1996-06-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rmdax": {"sym": "rmdax", "name": "Virtus Silvant Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05391177816837751, "alpha_t_5y": -1.4095325802884515, "alpha_t_full": -1.1904370297182334, "r2_5y": 0.8627072520565671, "r2_full": 0.8852011487756247, "corr_portfolio": 0.16138592176180297, "corr_benchmark": 0.59596854125466, "alpha_pos_frac": 0.5259515570934256, "fund_max_dd": -0.5587090875890496, "first": "2002-02-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rmeax": {"sym": "rmeax", "name": "Aspiriant Risk-Managed Equity Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013306251759588458, "alpha_t_5y": 0.6593146942192202, "alpha_t_full": 0.6286432170272813, "r2_5y": 0.8182949052785049, "r2_full": 0.8233890521437559, "corr_portfolio": 0.3321602753243598, "corr_benchmark": 0.5795871335729402, "alpha_pos_frac": 0.5225806451612903, "fund_max_dd": -0.262283305575415, "first": "2013-04-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "rmgsx": {"sym": "rmgsx", "name": "Multi-Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005046926098050484, "alpha_t_5y": -0.3998648993322759, "alpha_t_full": -1.030240552516315, "r2_5y": 0.9118130283964284, "r2_full": 0.8598209133118989, "corr_portfolio": 0.28617694427432555, "corr_benchmark": 0.7058965464128752, "alpha_pos_frac": 0.5648148148148148, "fund_max_dd": -0.24927812505440505, "first": "2017-03-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rmhyx": {"sym": "rmhyx", "name": "Long Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006900871195159899, "alpha_t_5y": 0.49537319051201556, "alpha_t_full": 0.2749481247402444, "r2_5y": 0.7930939404525945, "r2_full": 0.7791582714774489, "corr_portfolio": -0.07219643445808555, "corr_benchmark": 0.6861968593642135, "alpha_pos_frac": 0.52, "fund_max_dd": -0.19311676550762102, "first": "2019-11-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "rmlax": {"sym": "rmlax", "name": "Moderate Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007749956399022322, "alpha_t_5y": -1.1604141703729591, "alpha_t_full": -2.075996285206036, "r2_5y": 0.9589943476569441, "r2_full": 0.8818302352588663, "corr_portfolio": 0.29934569908521036, "corr_benchmark": 0.7529785896718303, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.340804450040321, "first": "2003-03-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rmmbx": {"sym": "rmmbx", "name": "Aspiriant Risk-Managed Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01275240667941304, "alpha_t_5y": 1.0892084060168123, "alpha_t_full": 2.2423825884153534, "r2_5y": 0.26056454859643985, "r2_full": 0.27124764053886163, "corr_portfolio": 0.04501592008273409, "corr_benchmark": 0.29884816268154546, "alpha_pos_frac": 0.578125, "fund_max_dd": -0.12539567437155408, "first": "2015-07-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "rmqhx": {"sym": "rmqhx", "name": "Monthly Rebalance NASDAQ-100 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03535421757809716, "alpha_t_5y": -0.6086127147161065, "alpha_t_full": -0.6775603681957417, "r2_5y": 0.9184726468538448, "r2_full": 0.9522553734853687, "corr_portfolio": 0.1349769275905362, "corr_benchmark": 0.5998313937885955, "alpha_pos_frac": 0.3851851851851852, "fund_max_dd": -0.632084489649473, "first": "2014-12-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rmtbx": {"sym": "rmtbx", "name": "Aspiriant Risk-Managed Taxable Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009301671655441629, "alpha_t_5y": 1.0060301175861963, "alpha_t_full": 1.9548484874638465, "r2_5y": 0.7658349134368619, "r2_full": 0.7320818357691801, "corr_portfolio": -0.03208952070353721, "corr_benchmark": 0.6643902462725825, "alpha_pos_frac": 0.6210526315789474, "fund_max_dd": -0.1626084469015825, "first": "2018-04-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "rmuyx": {"sym": "rmuyx", "name": "Invesco Rochester New York Municipals Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004390916410841208, "alpha_t_5y": 0.21181630538143653, "alpha_t_full": 4.467713688203582, "r2_5y": 0.39751973771726756, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.03663158362547584, "corr_benchmark": 0.3532241073339083, "alpha_pos_frac": 0.6011560693641619, "fund_max_dd": -0.36351925076473, "first": "2000-05-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "rmycx": {"sym": "rmycx", "name": "Multi-Strategy Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013372852476870043, "alpha_t_5y": -1.0728969047601793, "alpha_t_full": -1.2744606624523453, "r2_5y": 0.871038926059653, "r2_full": 0.8335155177103257, "corr_portfolio": 0.3005398554233332, "corr_benchmark": 0.6827804983624604, "alpha_pos_frac": 0.5538461538461539, "fund_max_dd": -0.22849181174343125, "first": "2015-05-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": true}, "roam": {"sym": "roam", "name": "Hartford Multifactor Emerging Markets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04796092877012059, "alpha_t_5y": 2.1876208342084675, "alpha_t_full": -0.16452847492476078, "r2_5y": 0.8906104268599142, "r2_full": 0.7674077149214823, "corr_portfolio": 0.2847443427038812, "corr_benchmark": 0.4853419241716439, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.4546292960708469, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rodm": {"sym": "rodm", "name": "Hartford Multifactor Developed Markets (ex-US) ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02879050924663023, "alpha_t_5y": 2.0170960364106034, "alpha_t_full": 0.8276585675535438, "r2_5y": 0.9348064349115895, "r2_full": 0.8045382368656625, "corr_portfolio": 0.3714959774555879, "corr_benchmark": 0.5167051065529216, "alpha_pos_frac": 0.48484848484848486, "fund_max_dd": -0.3598115542910316, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "rous": {"sym": "rous", "name": "Hartford Multifactor US Equity ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.024510525313525842, "alpha_t_5y": 1.3817054346400137, "alpha_t_full": 0.27536534528903917, "r2_5y": 0.9128697320026946, "r2_full": 0.804616133579064, "corr_portfolio": 0.3294209282506615, "corr_benchmark": 0.5524819702644298, "alpha_pos_frac": 0.4772727272727273, "fund_max_dd": -0.3551066979006904, "first": "2015-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpbax": {"sym": "rpbax", "name": "T. Rowe Price Balanced Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006546833197236385, "alpha_t_5y": -0.981976917272869, "alpha_t_full": 4.608517618965861, "r2_5y": 0.9787322083710319, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.30741828004474064, "corr_benchmark": 0.6673396322125112, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.4084315299627802, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpfix": {"sym": "rpfix", "name": "Royce Premier Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014041566512479637, "alpha_t_5y": -0.4768309072703876, "alpha_t_full": 0.3356142746854575, "r2_5y": 0.8780819572079069, "r2_full": 0.8771037958514671, "corr_portfolio": 0.28508784181307295, "corr_benchmark": 0.5306477209931296, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5138866962516013, "first": "2002-09-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpgax": {"sym": "rpgax", "name": "T. Rowe Price Global Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -7.963935197204956e-05, "alpha_t_5y": -0.009957199311058712, "alpha_t_full": 0.889657315569264, "r2_5y": 0.9599918799669865, "r2_full": 0.9344912299870114, "corr_portfolio": 0.32895422170119604, "corr_benchmark": 0.6262946395967832, "alpha_pos_frac": 0.47058823529411764, "fund_max_dd": -0.24420286073914632, "first": "2013-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpgex": {"sym": "rpgex", "name": "T. Rowe Price Global Growth Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052100081175726606, "alpha_t_5y": -2.7353639013522235, "alpha_t_full": -1.3221919637429767, "r2_5y": 0.9340000004558334, "r2_full": 0.9409656176537504, "corr_portfolio": 0.2226134934664939, "corr_benchmark": 0.6021993657481696, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3967230494881442, "first": "2008-10-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpgix": {"sym": "rpgix", "name": "T. Rowe Price Global Industrials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027563985481858844, "alpha_t_5y": -1.0048247399895274, "alpha_t_full": -0.20076647213297838, "r2_5y": 0.8912110594712765, "r2_full": 0.9051751679454589, "corr_portfolio": 0.33349915902714317, "corr_benchmark": 0.5609579050380327, "alpha_pos_frac": 0.47297297297297297, "fund_max_dd": -0.37910879875344283, "first": "2013-10-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpgrx": {"sym": "rpgrx", "name": "T. Rowe Price Target 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0066329403953624974, "alpha_t_5y": -0.8121941930140097, "alpha_t_full": 0.35192355940701103, "r2_5y": 0.9667879206289048, "r2_full": 0.9081375704003914, "corr_portfolio": 0.2999280457369745, "corr_benchmark": 0.6306955546981389, "alpha_pos_frac": 0.5266666666666666, "fund_max_dd": -0.2673990922785273, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpibx": {"sym": "rpibx", "name": "T. Rowe Price International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023204790201455213, "alpha_t_5y": -2.1473517321439317, "alpha_t_full": 3.3862774061745684, "r2_5y": 0.8857789812691885, "r2_full": -1.9984014443252818e-15, "corr_portfolio": 0.026761721306655967, "corr_benchmark": 0.41669572416061335, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3345662907055832, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpidx": {"sym": "rpidx", "name": "T. Rowe Price Dynamic Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0318407706448986, "alpha_t_5y": 2.161165801638646, "alpha_t_full": 2.365621081986082, "r2_5y": 0.16174575049746343, "r2_full": 0.21724530647680118, "corr_portfolio": 0.12417678734045792, "corr_benchmark": -0.07364411016754904, "alpha_pos_frac": 0.47674418604651164, "fund_max_dd": -0.19941530849588673, "first": "2019-01-15", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "rpiex": {"sym": "rpiex", "name": "T. Rowe Price Dynamic Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017701989147950997, "alpha_t_5y": 0.9828166083813038, "alpha_t_full": 2.5122887100566325, "r2_5y": 0.2032511709970677, "r2_full": 0.18012791259352157, "corr_portfolio": 0.11667815308115295, "corr_benchmark": -0.34119066590800423, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.09535800155604779, "first": "2015-01-23", "verdict": "weak/unstable alpha", "alpha_name": true}, "rpifx": {"sym": "rpifx", "name": "T. Rowe Price Institutional Floating Rate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.042561140530593025, "alpha_t_5y": 5.031975934378061, "alpha_t_full": 4.32768498718273, "r2_5y": 0.4444428363639841, "r2_full": 0.5457962570537634, "corr_portfolio": 0.26976022394127364, "corr_benchmark": 0.1694682513518322, "alpha_pos_frac": 0.48205128205128206, "fund_max_dd": -0.22533270761197488, "first": "2008-02-04", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "rpihx": {"sym": "rpihx", "name": "T. Rowe Price Global High Income Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012977570439340454, "alpha_t_5y": -1.1741468777703847, "alpha_t_full": 2.7399350208372932, "r2_5y": 0.7513980753588538, "r2_full": 0.708676115093626, "corr_portfolio": 0.2781893824459559, "corr_benchmark": 0.24510989502418762, "alpha_pos_frac": 0.5338345864661654, "fund_max_dd": -0.2377319643782808, "first": "2015-01-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "rplcx": {"sym": "rplcx", "name": "T. Rowe Price Institutional Long Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016672989242564416, "alpha_t_5y": 0.24246358670425341, "alpha_t_full": 0.9033396674738411, "r2_5y": 0.9796673146103877, "r2_full": 0.936712744121258, "corr_portfolio": -0.06594248358859238, "corr_benchmark": 0.673703551409502, "alpha_pos_frac": 0.5228758169934641, "fund_max_dd": -0.3444441902574842, "first": "2013-06-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpmgx": {"sym": "rpmgx", "name": "T. Rowe Price Mid-Cap Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06186936622295419, "alpha_t_5y": -2.3986375568638834, "alpha_t_full": 4.09604065987704, "r2_5y": 0.8880250276140152, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.218945077621003, "corr_benchmark": 0.6107897819432737, "alpha_pos_frac": 0.5646551724137931, "fund_max_dd": -0.5466162033830317, "first": "1992-07-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpsix": {"sym": "rpsix", "name": "T. Rowe Price Spectrum Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002578393379964185, "alpha_t_5y": -0.3976900068211224, "alpha_t_full": 8.557950754218021, "r2_5y": 0.8708710256236362, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.262270579680245, "corr_benchmark": 0.6753342364119375, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.16702195872028036, "first": "1990-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rpxfx": {"sym": "rpxfx", "name": "RiverPark Large Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09860763635498054, "alpha_t_5y": -2.181444433881348, "alpha_t_full": -2.2698357803408302, "r2_5y": 0.8259549828847936, "r2_full": 0.8299446758986713, "corr_portfolio": 0.0843260902763514, "corr_benchmark": 0.5868939912563836, "alpha_pos_frac": 0.5621621621621622, "fund_max_dd": -0.5470173878312041, "first": "2010-10-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "rresx": {"sym": "rresx", "name": "Global Real Estate Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026851253051640205, "alpha_t_5y": -1.5394071290278877, "alpha_t_full": 2.822606496433305, "r2_5y": 0.9314588721862919, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2940919552597706, "corr_benchmark": 0.5866641261198777, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.7209020128032846, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "rseax": {"sym": "rseax", "name": "U.S. Strategic Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02423058140936846, "alpha_t_5y": -1.961984162222252, "alpha_t_full": -1.6036082722207567, "r2_5y": 0.9700346616853772, "r2_full": 0.955290510837734, "corr_portfolio": 0.2747160915435948, "corr_benchmark": 0.6073229497043684, "alpha_pos_frac": 0.4876543209876543, "fund_max_dd": -0.34365332104906987, "first": "2012-08-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rseix": {"sym": "rseix", "name": "Royce Small-Cap Special Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.045148971201472786, "alpha_t_5y": 1.3805350334535482, "alpha_t_full": 1.469013225359445, "r2_5y": 0.7799065624822268, "r2_full": 0.8474223310001877, "corr_portfolio": 0.31448821921016257, "corr_benchmark": 0.4465564714557482, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.43212417306994444, "first": "2003-07-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "rsqax": {"sym": "rsqax", "name": "Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01320226905781317, "alpha_t_5y": 0.7792484576516301, "alpha_t_full": 0.6054160024502905, "r2_5y": 0.9211145648991605, "r2_full": 0.9550691867811143, "corr_portfolio": 0.38271519676565846, "corr_benchmark": 0.5474554338806844, "alpha_pos_frac": 0.5047619047619047, "fund_max_dd": -0.47988287704787036, "first": "2008-09-03", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "rtssx": {"sym": "rtssx", "name": "Tax-Managed U.S. Mid & Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02159042093928418, "alpha_t_5y": -1.1984252307460443, "alpha_t_full": -0.7658954022846404, "r2_5y": 0.9567772290349289, "r2_full": 0.9232143090783339, "corr_portfolio": 0.28233009025913663, "corr_benchmark": 0.5348264973795547, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.5797417307927, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rtxax": {"sym": "rtxax", "name": "Tax-Managed Real Assets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015886952342016137, "alpha_t_5y": -0.7862016401733928, "alpha_t_full": -0.17433260561897193, "r2_5y": 0.9040181076265565, "r2_full": 0.9361649776758654, "corr_portfolio": 0.34985879855115104, "corr_benchmark": 0.5781944172103002, "alpha_pos_frac": 0.5125, "fund_max_dd": -0.40679505748976275, "first": "2019-06-19", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "ryavx": {"sym": "ryavx", "name": "S&P MidCap 400 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022397086674224794, "alpha_t_5y": 0.6099437667122483, "alpha_t_full": 0.08378598498612908, "r2_5y": 0.8423828039927841, "r2_full": 0.868786284493463, "corr_portfolio": 0.35832085443134803, "corr_benchmark": 0.46072986038888475, "alpha_pos_frac": 0.4307692307692308, "fund_max_dd": -0.7309084978670659, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryawx": {"sym": "ryawx", "name": "S&P 500 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.047683303782224774, "alpha_t_5y": -1.2201145109335263, "alpha_t_full": -1.9966136510800845, "r2_5y": 0.8546274181740351, "r2_full": 0.9084401202042394, "corr_portfolio": 0.2153057360716118, "corr_benchmark": 0.5952330639013447, "alpha_pos_frac": 0.5282051282051282, "fund_max_dd": -0.537508499950835, "first": "2004-02-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryazx": {"sym": "ryazx", "name": "S&P SmallCap 600 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06241513486338976, "alpha_t_5y": 1.504530456102741, "alpha_t_full": 0.0007021238069988303, "r2_5y": 0.8403266410003993, "r2_full": 0.8546816381566531, "corr_portfolio": 0.32527134668447655, "corr_benchmark": 0.4274138034085911, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.7821558787717104, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "rybhx": {"sym": "rybhx", "name": "S&P MidCap 400 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03790403848854158, "alpha_t_5y": -0.7432392408393506, "alpha_t_full": -1.2282836775326613, "r2_5y": 0.7568539437633732, "r2_full": 0.8732536540238793, "corr_portfolio": 0.24623365890269988, "corr_benchmark": 0.5500983936399014, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.5215094426307954, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "rybix": {"sym": "rybix", "name": "Basic Materials Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.048805032389729344, "alpha_t_5y": -0.9325810724262884, "alpha_t_full": 0.14900790236623618, "r2_5y": 0.7178251340102443, "r2_full": 0.675755785149879, "corr_portfolio": 0.3154888059401679, "corr_benchmark": 0.4874474391597668, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.6565762317059463, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "rycix": {"sym": "rycix", "name": "Consumer Products Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.19155311563370403, "alpha_t_5y": -1.4888140805589718, "alpha_t_full": 0.5328715885368803, "r2_5y": 0.07528953553695683, "r2_full": 0.0, "corr_portfolio": 0.1674674490504737, "corr_benchmark": 0.2633443175176476, "alpha_pos_frac": 0.6186770428015564, "fund_max_dd": -0.7521508251745724, "first": "1998-07-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "rydhx": {"sym": "rydhx", "name": "Dow Jones Industrial Average Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016107221668682933, "alpha_t_5y": -0.9000054436345931, "alpha_t_full": -0.49889832171759796, "r2_5y": 0.9162435045173392, "r2_full": 0.9392387233403008, "corr_portfolio": 0.33960340278126827, "corr_benchmark": 0.5782618623419135, "alpha_pos_frac": 0.5121951219512195, "fund_max_dd": -0.3734071452875105, "first": "2015-12-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rydvx": {"sym": "rydvx", "name": "Royce Smid-Cap Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020289662588144807, "alpha_t_5y": 0.6667601863173457, "alpha_t_full": 0.9028372919677692, "r2_5y": 0.8539474994554921, "r2_full": 0.907919207774321, "corr_portfolio": 0.35390008751342444, "corr_benchmark": 0.5340541353047111, "alpha_pos_frac": 0.4860557768924303, "fund_max_dd": -0.5334736927343766, "first": "2004-05-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryeix": {"sym": "ryeix", "name": "Energy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026058094443629283, "alpha_t_5y": 0.41296859633852423, "alpha_t_full": 1.7226602038075682, "r2_5y": 0.6987535480387475, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.3368011644876891, "corr_benchmark": 0.2900012745017753, "alpha_pos_frac": 0.46382978723404256, "fund_max_dd": -0.8300874775585978, "first": "1998-04-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryeux": {"sym": "ryeux", "name": "Europe 1.25x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009929681261741598, "alpha_t_5y": -0.37486517444399464, "alpha_t_full": -2.612179019793682, "r2_5y": 0.9088225939100201, "r2_full": 0.9086287535124337, "corr_portfolio": 0.3521791290910052, "corr_benchmark": 0.5142206398509397, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.7550039513373907, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryfix": {"sym": "ryfix", "name": "Financial Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011794520974689006, "alpha_t_5y": -0.44859349894505623, "alpha_t_full": 0.14421015105419996, "r2_5y": 0.8827106741441579, "r2_full": 0.6612858652563294, "corr_portfolio": 0.3726882686308296, "corr_benchmark": 0.5049006383672743, "alpha_pos_frac": 0.3735408560311284, "fund_max_dd": -0.6446414605709037, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rygbx": {"sym": "rygbx", "name": "Government Long Bond 1.2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1302067494007535, "alpha_t_5y": -1.435423990998694, "alpha_t_full": 0.2639831427437585, "r2_5y": 0.4341438732862193, "r2_full": 0.0, "corr_portfolio": -0.17097221281463235, "corr_benchmark": 0.4857418537145877, "alpha_pos_frac": 0.8551236749116607, "fund_max_dd": -0.8484525674397714, "first": "1994-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryhdx": {"sym": "ryhdx", "name": "High Yield Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018331031372914558, "alpha_t_5y": -1.6497212136714676, "alpha_t_full": -3.102470994084345, "r2_5y": 0.8776580773384248, "r2_full": 0.5501446128471636, "corr_portfolio": 0.18512632316184438, "corr_benchmark": 0.6399074213619333, "alpha_pos_frac": 0.5088495575221239, "fund_max_dd": -0.23330458032819323, "first": "2007-04-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryhix": {"sym": "ryhix", "name": "Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007407086323260944, "alpha_t_5y": -0.17939710291982044, "alpha_t_full": 1.009215784971072, "r2_5y": 0.6231001767053775, "r2_full": 0.6519863587415817, "corr_portfolio": 0.2195172773444874, "corr_benchmark": 0.5252888781521021, "alpha_pos_frac": 0.5191489361702127, "fund_max_dd": -0.4126983951437031, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryhrx": {"sym": "ryhrx", "name": "Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014652186306923541, "alpha_t_5y": -1.374524963874497, "alpha_t_full": -3.337045892378524, "r2_5y": 0.9820710394432098, "r2_full": 0.9806260945191415, "corr_portfolio": 0.2599069449746933, "corr_benchmark": 0.5811451535755506, "alpha_pos_frac": 0.5725490196078431, "fund_max_dd": -0.7449571430180212, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryidx": {"sym": "ryidx", "name": "Inverse Dow 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.08097289555705925, "alpha_t_5y": 2.220122370021935, "alpha_t_full": 1.4147333505491522, "r2_5y": 0.9128703659764771, "r2_full": 0.8743835861520647, "corr_portfolio": -0.3568752990730586, "corr_benchmark": -0.5583246175624159, "alpha_pos_frac": 0.40425531914893614, "fund_max_dd": -0.9977647109135068, "first": "2004-09-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryiex": {"sym": "ryiex", "name": "Emerging Markets Bond Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.038052030169586706, "alpha_t_5y": -2.140128466035155, "alpha_t_full": -2.878676722937415, "r2_5y": 0.7824271704303787, "r2_full": 0.6878865337433073, "corr_portfolio": 0.14761560540438484, "corr_benchmark": 0.7251045938969345, "alpha_pos_frac": 0.4864864864864865, "fund_max_dd": -0.31323032538819906, "first": "2013-10-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryiix": {"sym": "ryiix", "name": "Internet Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08806291923457064, "alpha_t_5y": -1.8019264242630315, "alpha_t_full": -2.3529501981379095, "r2_5y": 0.815514233487276, "r2_full": 0.8401714944752138, "corr_portfolio": 0.05676830455644713, "corr_benchmark": 0.5612776562905989, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.9294117637373788, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryilx": {"sym": "ryilx", "name": "Inverse High Yield Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01650965922595034, "alpha_t_5y": 1.1612234689552092, "alpha_t_full": -0.08552636278497099, "r2_5y": 0.862744777899172, "r2_full": 0.47156333473656575, "corr_portfolio": -0.15955843994481447, "corr_benchmark": -0.5923984568617205, "alpha_pos_frac": 0.3938053097345133, "fund_max_dd": -0.7720956244530393, "first": "2007-04-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryipx": {"sym": "ryipx", "name": "Royce International Premier Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10523332417045839, "alpha_t_5y": -3.379627638081399, "alpha_t_full": -1.4690499691347627, "r2_5y": 0.7666779873238059, "r2_full": 0.7984321618988274, "corr_portfolio": 0.30479252192677375, "corr_benchmark": 0.5273194268724494, "alpha_pos_frac": 0.5604395604395604, "fund_max_dd": -0.42142993453610167, "first": "2011-01-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryiux": {"sym": "ryiux", "name": "Inverse Russell 2000 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06895795951557683, "alpha_t_5y": 3.9274570625676057, "alpha_t_full": 0.16376267981154768, "r2_5y": 0.9914740992975348, "r2_full": 0.9901281267357833, "corr_portfolio": -0.2554876338696516, "corr_benchmark": -0.5427799551665344, "alpha_pos_frac": 0.0759493670886076, "fund_max_dd": -0.9993843930452287, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryjsx": {"sym": "ryjsx", "name": "Japan 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07744431420236333, "alpha_t_5y": -0.8452500499750751, "alpha_t_full": -0.8658927325624809, "r2_5y": 0.7366895210116949, "r2_full": 0.7377813629061531, "corr_portfolio": 0.2875627431646096, "corr_benchmark": 0.5088547154294694, "alpha_pos_frac": 0.5046296296296297, "fund_max_dd": -0.7840921297577559, "first": "2008-02-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryjux": {"sym": "ryjux", "name": "Inverse Government Long Bond Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.057726322057238925, "alpha_t_5y": 4.541176470517858, "alpha_t_full": 4.075573247958063, "r2_5y": 0.9649747413992462, "r2_full": 0.9593150354996107, "corr_portfolio": 0.20208840195214578, "corr_benchmark": -0.6149898734328798, "alpha_pos_frac": 0.3872832369942196, "fund_max_dd": -0.8457711527599938, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rykix": {"sym": "rykix", "name": "Banking Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.025192886743458008, "alpha_t_5y": 0.46965001790839084, "alpha_t_full": 0.05128430386502412, "r2_5y": 0.7441339276156969, "r2_full": 0.6434682464006807, "corr_portfolio": 0.38267717342243734, "corr_benchmark": 0.3338619222694096, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6823780758027203, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryldx": {"sym": "ryldx", "name": "Dow 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05726982816787456, "alpha_t_5y": -1.567283404372811, "alpha_t_full": -1.115793856594442, "r2_5y": 0.9127679811147423, "r2_full": 0.9357593135536695, "corr_portfolio": 0.35751826009469634, "corr_benchmark": 0.5592049947159243, "alpha_pos_frac": 0.4978723404255319, "fund_max_dd": -0.821604104109909, "first": "2004-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rylix": {"sym": "rylix", "name": "Leisure Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06196666908593222, "alpha_t_5y": -1.5119449542450152, "alpha_t_full": -1.1242900129877516, "r2_5y": 0.7569106884401839, "r2_full": 0.7924522685032406, "corr_portfolio": 0.23045275092025286, "corr_benchmark": 0.5663101575817997, "alpha_pos_frac": 0.5657370517928287, "fund_max_dd": -0.6819680571477325, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "rymbx": {"sym": "rymbx", "name": "Commodities Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00834137860123552, "alpha_t_5y": 0.22402059234708635, "alpha_t_full": -0.4492864193039669, "r2_5y": 0.8502089686998313, "r2_full": 0.9070167763097658, "corr_portfolio": 0.2291732820433703, "corr_benchmark": 0.08246757393810389, "alpha_pos_frac": 0.5702127659574469, "fund_max_dd": -0.9095439223481546, "first": "2006-07-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rymdx": {"sym": "rymdx", "name": "Mid-Cap 1.5x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04601748267034727, "alpha_t_5y": -1.5694091553857659, "alpha_t_full": -1.2236943975720538, "r2_5y": 0.9439988003913463, "r2_full": 0.9450728039264804, "corr_portfolio": 0.32280134827174517, "corr_benchmark": 0.5623318923877406, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.7543220573455245, "first": "2001-08-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rymfx": {"sym": "rymfx", "name": "Guggenheim Managed Futures Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02014247769464265, "alpha_t_5y": -0.5003121906583069, "alpha_t_full": 0.10839288377627028, "r2_5y": 0.35143615168816555, "r2_full": 0.07807781174439732, "corr_portfolio": 0.23525317740277807, "corr_benchmark": 0.07780897382137142, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.36522050666552897, "first": "2007-02-23", "verdict": "weak/unstable alpha", "alpha_name": true}, "rymhx": {"sym": "rymhx", "name": "Inverse Mid-Cap Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07218469834843093, "alpha_t_5y": 1.2706926454714722, "alpha_t_full": 1.7813043039008536, "r2_5y": 0.6708207844035213, "r2_full": 0.8453468013652594, "corr_portfolio": -0.2905723379884204, "corr_benchmark": -0.5245336023875748, "alpha_pos_frac": 0.36742424242424243, "fund_max_dd": -0.9509863550229379, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "rymix": {"sym": "rymix", "name": "Telecommunications Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012018890706961853, "alpha_t_5y": -0.27195084178361273, "alpha_t_full": -2.4014521581407844, "r2_5y": 0.6763742227263405, "r2_full": 0.6776368062402749, "corr_portfolio": 0.2732146889858176, "corr_benchmark": 0.5403260862736543, "alpha_pos_frac": 0.452914798206278, "fund_max_dd": -0.8781303742116715, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "rymkx": {"sym": "rymkx", "name": "Russell 2000 1.5x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03552684051849705, "alpha_t_5y": -3.010849589366597, "alpha_t_full": -2.575281042982859, "r2_5y": 0.9931797145986118, "r2_full": 0.9747947346526606, "corr_portfolio": 0.255169331373576, "corr_benchmark": 0.5446043287906834, "alpha_pos_frac": 0.6006600660066007, "fund_max_dd": -0.7756614584724202, "first": "2000-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rymsx": {"sym": "rymsx", "name": "Guggenheim Multi-Hedge Strategies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -0.8189054299152048, "r2_5y": NaN, "r2_full": 0.4600450518899881, "corr_portfolio": 0.34138123182351143, "corr_benchmark": 0.3133183073019974, "alpha_pos_frac": 0.5193370165745856, "fund_max_dd": -0.295547106365326, "first": "2005-09-20", "verdict": "no 5y window", "alpha_name": false}, "rynvx": {"sym": "rynvx", "name": "Nova Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03419873120510549, "alpha_t_5y": -4.306225981925257, "alpha_t_full": -3.7584923900806455, "r2_5y": 0.9943284503814742, "r2_full": 0.9844104087908718, "corr_portfolio": 0.28498562811044514, "corr_benchmark": 0.617652003496684, "alpha_pos_frac": 0.5501618122977346, "fund_max_dd": -0.7653777333220104, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryocx": {"sym": "ryocx", "name": "NASDAQ-100 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011134279384152578, "alpha_t_5y": -1.3634706060062602, "alpha_t_full": -1.7880277033701701, "r2_5y": 0.9927753658277264, "r2_full": 0.9825138915476077, "corr_portfolio": 0.14597551062388175, "corr_benchmark": 0.6113684084180029, "alpha_pos_frac": 0.4520123839009288, "fund_max_dd": -0.8374642638826186, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryoix": {"sym": "ryoix", "name": "Biotechnology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02319712497813459, "alpha_t_5y": 0.3129834978229511, "alpha_t_full": 1.065592073105434, "r2_5y": 0.437779713857988, "r2_full": 0.45115484960074037, "corr_portfolio": 0.10528910999963037, "corr_benchmark": 0.4295160514937519, "alpha_pos_frac": 0.45353159851301117, "fund_max_dd": -0.7443486377779227, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryotx": {"sym": "ryotx", "name": "Royce Micro-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.048056258050129044, "alpha_t_5y": 1.6644401556583814, "alpha_t_full": 1.845288994602476, "r2_5y": 0.9172183356064245, "r2_full": 0.8471622340910088, "corr_portfolio": 0.24814508679151426, "corr_benchmark": 0.5126085826363931, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.5685655843306591, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rypix": {"sym": "rypix", "name": "Transportation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06737072594202931, "alpha_t_5y": -1.489435915336236, "alpha_t_full": -0.41534829974158527, "r2_5y": 0.8110367197669917, "r2_full": 0.7566192659636051, "corr_portfolio": 0.25272060030799515, "corr_benchmark": 0.5223228466872553, "alpha_pos_frac": 0.5446808510638298, "fund_max_dd": -0.6350754951500781, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "rypmx": {"sym": "rypmx", "name": "Precious Metals Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07428771159774208, "alpha_t_5y": -0.8511020811066404, "alpha_t_full": 1.6996524268985616, "r2_5y": 0.7018053300338507, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.05781558178393666, "corr_benchmark": 0.3348108404820079, "alpha_pos_frac": 0.4260089686098655, "fund_max_dd": -0.8125402302294431, "first": "1993-12-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "rypnx": {"sym": "rypnx", "name": "Royce Small-Cap Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.12606800870933615, "alpha_t_5y": 1.7794189674178307, "alpha_t_full": 4.121318558117262, "r2_5y": 0.6912360929458324, "r2_full": 0.7523533087405908, "corr_portfolio": 0.27796828260420947, "corr_benchmark": 0.428403744348809, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.6262269196698758, "first": "2000-05-30", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "ryrix": {"sym": "ryrix", "name": "Retailing Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0529410658635615, "alpha_t_5y": -1.1592339731246428, "alpha_t_full": -0.25685287484348474, "r2_5y": 0.7413793080719941, "r2_full": 0.7091200125261716, "corr_portfolio": 0.1822096063892944, "corr_benchmark": 0.5571280387454024, "alpha_pos_frac": 0.47533632286995514, "fund_max_dd": -0.5826257551401757, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryrrx": {"sym": "ryrrx", "name": "Russell 2000 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013992153799692599, "alpha_t_5y": -1.5051093883632731, "alpha_t_full": -2.3497140845267483, "r2_5y": 0.990436105187598, "r2_full": 0.9851330966428514, "corr_portfolio": 0.25681968779650605, "corr_benchmark": 0.5428638085140628, "alpha_pos_frac": 0.4177215189873418, "fund_max_dd": -0.6035576889579828, "first": "2006-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryrux": {"sym": "ryrux", "name": "Russell 2000 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05247579562968924, "alpha_t_5y": -2.7941569420818566, "alpha_t_full": -2.6525998156724304, "r2_5y": 0.9902394857184588, "r2_full": 0.9853682767239889, "corr_portfolio": 0.2562007727194706, "corr_benchmark": 0.5417078682053206, "alpha_pos_frac": 0.5316455696202531, "fund_max_dd": -0.880635884801133, "first": "2006-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rysbx": {"sym": "rysbx", "name": "Strengthening Dollar 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019038980886983626, "alpha_t_5y": 1.4477537805281133, "alpha_t_full": 4.365127904422128, "r2_5y": 0.9684189988011416, "r2_full": 0.9353836539656343, "corr_portfolio": -0.0667983806177908, "corr_benchmark": -0.2590452101251219, "alpha_pos_frac": 0.4717948717948718, "fund_max_dd": -0.43875900300063775, "first": "2005-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryshx": {"sym": "ryshx", "name": "Inverse Russell 2000 Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1370556494654048, "alpha_t_5y": -0.9811003548128563, "alpha_t_full": -0.46422726427790983, "r2_5y": 0.3179573965956559, "r2_full": 0.6669710462954721, "corr_portfolio": -0.19579499771322045, "corr_benchmark": -0.3922089873419153, "alpha_pos_frac": 0.7537878787878788, "fund_max_dd": -0.9914656054314909, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "rysix": {"sym": "rysix", "name": "Electronics Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09275478447101602, "alpha_t_5y": 1.3995724282536766, "alpha_t_full": 0.1024110203455775, "r2_5y": 0.8278593118754474, "r2_full": 0.7610621262256613, "corr_portfolio": 0.12777787799977566, "corr_benchmark": 0.5189507567787015, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.8859843894711514, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "rysox": {"sym": "rysox", "name": "S&P 500 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015732063806449845, "alpha_t_5y": -2.4945028543380454, "alpha_t_full": -3.3595548062561074, "r2_5y": 0.9919384963564362, "r2_full": 0.9898003858480543, "corr_portfolio": 0.2852270368846363, "corr_benchmark": 0.6157114044725359, "alpha_pos_frac": 0.24472573839662448, "fund_max_dd": -0.5523521074750886, "first": "2006-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rytix": {"sym": "rytix", "name": "Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0025457708961447215, "alpha_t_5y": 0.09465059347843452, "alpha_t_full": -0.9138162986551001, "r2_5y": 0.9440727596149837, "r2_full": 0.8894692442941581, "corr_portfolio": 0.12741626128723035, "corr_benchmark": 0.5930124581150699, "alpha_pos_frac": 0.44621513944223107, "fund_max_dd": -0.8399765714757991, "first": "1999-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rytmx": {"sym": "rytmx", "name": "Inverse S&P 500 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06198841333485604, "alpha_t_5y": 5.055520599209906, "alpha_t_full": 3.6788305734288307, "r2_5y": 0.9947491901305654, "r2_full": 0.9375348040981625, "corr_portfolio": -0.284245892017383, "corr_benchmark": -0.6162081652789874, "alpha_pos_frac": 0.30131004366812225, "fund_max_dd": -0.9987393425657819, "first": "2004-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryttx": {"sym": "ryttx", "name": "S&P 500 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.057799002645739804, "alpha_t_5y": -6.0174543534761025, "alpha_t_full": -5.571732880774334, "r2_5y": 0.9953168402804907, "r2_full": 0.990592093050139, "corr_portfolio": 0.28470964445484487, "corr_benchmark": 0.6163564050924916, "alpha_pos_frac": 0.5465116279069767, "fund_max_dd": -0.8491114515376746, "first": "2004-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryuix": {"sym": "ryuix", "name": "Utilities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03285655808908423, "alpha_t_5y": 0.6491379747971484, "alpha_t_full": 0.298996935260309, "r2_5y": 0.4724438738793122, "r2_full": 0.4759654711436071, "corr_portfolio": 0.2455620082943161, "corr_benchmark": 0.4774540323000827, "alpha_pos_frac": 0.5372549019607843, "fund_max_dd": -0.6181295487564202, "first": "2000-05-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryurx": {"sym": "ryurx", "name": "Inverse S&P 500 Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.057261242169881044, "alpha_t_5y": 6.117834130171873, "alpha_t_full": 5.993049019070163, "r2_5y": 0.9824166104088344, "r2_full": 0.9762411907882955, "corr_portfolio": -0.2826423000308707, "corr_benchmark": -0.6154309285595081, "alpha_pos_frac": 0.3851132686084142, "fund_max_dd": -0.951569194491279, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryvfx": {"sym": "ryvfx", "name": "Royce Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.047495502769565844, "alpha_t_5y": 1.5389077453284092, "alpha_t_full": 0.506556383597275, "r2_5y": 0.8725246448533845, "r2_full": 0.8495403418500237, "corr_portfolio": 0.32764867717673873, "corr_benchmark": 0.4654626891664974, "alpha_pos_frac": 0.5372549019607843, "fund_max_dd": -0.57722285268165, "first": "2001-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryvix": {"sym": "ryvix", "name": "Energy Services Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05656038820168906, "alpha_t_5y": -0.6185327046293816, "alpha_t_full": 0.9191114770223417, "r2_5y": 0.6406117540343577, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.32025058229380876, "corr_benchmark": 0.25508014740052865, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.9405847807407028, "first": "1998-04-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "ryvlx": {"sym": "ryvlx", "name": "NASDAQ-100(R) 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05474037345504579, "alpha_t_5y": -3.568793243115005, "alpha_t_full": -3.9431814096406295, "r2_5y": 0.9936083777230066, "r2_full": 0.9910974651854254, "corr_portfolio": 0.14647623538912158, "corr_benchmark": 0.6089223251681237, "alpha_pos_frac": 0.6124031007751938, "fund_max_dd": -0.8326659277703485, "first": "2004-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryvtx": {"sym": "ryvtx", "name": "Inverse NASDAQ-100(R) 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07826063998157261, "alpha_t_5y": 5.0787653149344925, "alpha_t_full": -0.6843258500873661, "r2_5y": 0.9935588425088151, "r2_full": 0.4222751347796938, "corr_portfolio": -0.14654220268983334, "corr_benchmark": -0.6093664287508418, "alpha_pos_frac": 0.9534883720930233, "fund_max_dd": -20.461748748681938, "first": "2007-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rywax": {"sym": "rywax", "name": "S&P SmallCap 600 Pure Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02661771095660503, "alpha_t_5y": -0.6595793701177869, "alpha_t_full": -1.0064636202774806, "r2_5y": 0.8422442729951178, "r2_full": 0.9164890533537015, "corr_portfolio": 0.25610757581323246, "corr_benchmark": 0.5222841416611613, "alpha_pos_frac": 0.2593984962406015, "fund_max_dd": -0.6021070131690186, "first": "2004-09-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "rywbx": {"sym": "rywbx", "name": "Weakening Dollar 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013080098691862552, "alpha_t_5y": -1.083554019560076, "alpha_t_full": -5.207062532560909, "r2_5y": 0.9735998334936611, "r2_full": 0.9353455706892368, "corr_portfolio": 0.06903658353343442, "corr_benchmark": 0.2611292020874013, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.7159533173212387, "first": "2005-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rywtx": {"sym": "rywtx", "name": "Emerging Markets 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.13376059138823093, "alpha_t_5y": -1.7834801592052778, "alpha_t_full": -1.9617612527494572, "r2_5y": 0.8659037186655325, "r2_full": 0.8790841383240907, "corr_portfolio": 0.20977572793784346, "corr_benchmark": 0.46225074910808533, "alpha_pos_frac": 0.4945652173913043, "fund_max_dd": -0.784694813616017, "first": "2010-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "rywwx": {"sym": "rywwx", "name": "Inverse Emerging Markets 2x Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.12515018256497643, "alpha_t_5y": 1.670681383712185, "alpha_t_full": 1.1841468914152438, "r2_5y": 0.8658016934396804, "r2_full": 0.8786440769837259, "corr_portfolio": -0.21040111796011587, "corr_benchmark": -0.4616277350166514, "alpha_pos_frac": 0.5108695652173914, "fund_max_dd": -0.9812334102518688, "first": "2010-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ryzax": {"sym": "ryzax", "name": "S&P 500 Pure Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023191681472273917, "alpha_t_5y": 0.7171323274217006, "alpha_t_full": 1.1437286605470194, "r2_5y": 0.815779505365099, "r2_full": 0.6854971387660292, "corr_portfolio": 0.4226849604598691, "corr_benchmark": 0.4364708764565696, "alpha_pos_frac": 0.33617021276595743, "fund_max_dd": -0.6981828851492073, "first": "2004-02-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "saaax": {"sym": "saaax", "name": "SIMT MULTI-ASSET ACCUMULATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029840556591287298, "alpha_t_5y": -1.8151456022211179, "alpha_t_full": -0.5659320022584592, "r2_5y": 0.8354843739331186, "r2_full": 0.7833636636823353, "corr_portfolio": 0.23065879638217016, "corr_benchmark": 0.7653569130134127, "alpha_pos_frac": 0.5748502994011976, "fund_max_dd": -0.2548877641163424, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "safex": {"sym": "safex", "name": "Ultra Short Government Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013934971137815819, "alpha_t_5y": 2.73973011918959, "alpha_t_full": 2.6619254589460195, "r2_5y": 0.1892932866603062, "r2_full": 0.13597489171107002, "corr_portfolio": 0.03968032167838505, "corr_benchmark": 0.005881244057398238, "alpha_pos_frac": 0.5694444444444444, "fund_max_dd": -0.002988005703608021, "first": "2020-02-27", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "sagwx": {"sym": "sagwx", "name": "Touchstone Small Company Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02038481121042727, "alpha_t_5y": 0.8127693577500559, "alpha_t_full": 3.18145239368577, "r2_5y": 0.9067796580625719, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.28916407505635383, "corr_benchmark": 0.5336974843525263, "alpha_pos_frac": 0.4745098039215686, "fund_max_dd": -0.5187331827150172, "first": "1993-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "saoox": {"sym": "saoox", "name": "Overlay A Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09555726564898605, "alpha_t_5y": -1.651292913416648, "alpha_t_full": -1.651292913416648, "r2_5y": 0.4677145851626704, "r2_full": 0.4677145851626704, "corr_portfolio": 0.0798294688842596, "corr_benchmark": 0.5358334616788315, "alpha_pos_frac": 0.6724137931034483, "fund_max_dd": -0.38152199778997586, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "satox": {"sym": "satox", "name": "Tax-Aware Overlay A Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09627939559323948, "alpha_t_5y": -1.8647531807057829, "alpha_t_full": -1.8647531807057829, "r2_5y": 0.48844518549167726, "r2_full": 0.48844518549167726, "corr_portfolio": 0.08066742482730875, "corr_benchmark": 0.5478688517083871, "alpha_pos_frac": 0.603448275862069, "fund_max_dd": -0.3342904905065387, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "sbhex": {"sym": "sbhex", "name": "Segall Bryant & Hamill Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04636371392266217, "alpha_t_5y": 1.8855961745795422, "alpha_t_full": 0.7972071714659925, "r2_5y": 0.8792691012777967, "r2_full": 0.8736101639843585, "corr_portfolio": 0.3107619684458237, "corr_benchmark": 0.4755648653479824, "alpha_pos_frac": 0.5564516129032258, "fund_max_dd": -0.41432306218907733, "first": "2015-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sboox": {"sym": "sboox", "name": "Overlay B Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029079433619399107, "alpha_t_5y": -1.774689719027336, "alpha_t_full": -1.774689719027336, "r2_5y": 0.7251665412068937, "r2_full": 0.7251665412068937, "corr_portfolio": 0.035698196085811935, "corr_benchmark": 0.7916385245854356, "alpha_pos_frac": 0.5689655172413793, "fund_max_dd": -0.21634805716708028, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "sbstx": {"sym": "sbstx", "name": "Western Asset Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014509751772961628, "alpha_t_5y": -1.43042486035346, "alpha_t_full": 4.065447641679554, "r2_5y": 0.4766725202271862, "r2_full": 2.9976021664879227e-15, "corr_portfolio": 0.01610282245849208, "corr_benchmark": 0.34813773294134465, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.16297122155005683, "first": "1991-11-12", "verdict": "weak/unstable alpha", "alpha_name": false}, "sbtox": {"sym": "sbtox", "name": "Tax-Aware Overlay B Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03198660593238614, "alpha_t_5y": -1.9196109441228133, "alpha_t_full": -1.9196109441228133, "r2_5y": 0.6207375456052979, "r2_full": 0.6207375456052979, "corr_portfolio": 0.07341859600501481, "corr_benchmark": 0.6450376822337014, "alpha_pos_frac": 0.4827586206896552, "fund_max_dd": -0.1667088372720673, "first": "2021-04-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "scaux": {"sym": "scaux", "name": "Invesco Income Advantage U.S. Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036498637289854425, "alpha_t_5y": -0.30762742587171643, "alpha_t_full": -2.3016699370646148, "r2_5y": 0.9529874450203739, "r2_full": 0.9335990947055148, "corr_portfolio": 0.32956669188027876, "corr_benchmark": 0.5970827105804588, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.5455858253616876, "first": "2006-04-04", "verdict": "sleeve mix (R\u00b2 high) - 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idiosyncratic alpha, complements portfolio", "alpha_name": false}, "scjax": {"sym": "scjax", "name": "Steward Covered Call Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005897157970252121, "alpha_t_5y": 0.0958803490725306, "alpha_t_full": -0.2780137948000188, "r2_5y": 0.40151350083945136, "r2_full": 0.5934109603559046, "corr_portfolio": 0.1963444479727745, "corr_benchmark": 0.5047417064732694, "alpha_pos_frac": 0.5510204081632653, "fund_max_dd": -0.3318972171721004, "first": "2017-12-20", "verdict": "weak/unstable alpha", "alpha_name": false}, "sclax": {"sym": "sclax", "name": "SIMT MULTI-ASSET CAPITAL STABILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018955777134616256, "alpha_t_5y": 3.49032252606009, "alpha_t_full": 2.842925131805151, "r2_5y": 0.7633512499021613, "r2_full": 0.6949752062555294, "corr_portfolio": 0.21106826154893404, "corr_benchmark": 0.7383758012221079, "alpha_pos_frac": 0.4491017964071856, "fund_max_dd": -0.0559295399725781, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "scoax": {"sym": "scoax", "name": "SIIT CORE FIXED INCOME", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002255330457001239, "alpha_t_5y": 0.4820513090004915, "alpha_t_full": -1.5992341719006478, "r2_5y": 0.967521935795699, "r2_full": 0.8027034402299702, "corr_portfolio": -0.08720308411450203, "corr_benchmark": 0.7094615663714977, "alpha_pos_frac": 0.6763005780346821, "fund_max_dd": -0.1940103835188398, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "secax": {"sym": "secax", "name": "SIIT Small Cap II Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008481130361313866, "alpha_t_5y": 0.5395662087290222, "alpha_t_full": -0.31417313436967903, "r2_5y": 0.9675967094367034, "r2_full": 0.9194475229566486, "corr_portfolio": 0.3055607444103034, "corr_benchmark": 0.5069708167964191, "alpha_pos_frac": 0.572289156626506, "fund_max_dd": -0.4242198832149363, "first": "2012-04-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "secex": {"sym": "secex", "name": "NAA LARGE CORE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010448075174068188, "alpha_t_5y": -1.3018762144208165, "alpha_t_full": 3.279515817714834, "r2_5y": 0.9874045203587488, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.29076407431436513, "corr_benchmark": 0.6198039103235035, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.5909373287116937, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "secpx": {"sym": "secpx", "name": "SDIT ULTRA SHORT DURATION BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006587086767390859, "alpha_t_5y": 1.1753221321148086, "alpha_t_full": 9.875612711742955, "r2_5y": 0.3635757858004065, "r2_full": -8.43769498715119e-15, "corr_portfolio": 0.0653688824180498, "corr_benchmark": 0.18083130262539066, "alpha_pos_frac": 0.3930635838150289, "fund_max_dd": -0.11640889670226062, "first": "1993-09-29", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "sedax": {"sym": "sedax", "name": "SIIT EMERGING MARKETS DEBT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018417164607391824, "alpha_t_5y": 0.9284536839142974, "alpha_t_full": -1.6058021700012028, "r2_5y": 0.5305268457188554, "r2_full": 0.40871721580146547, "corr_portfolio": 0.26206859698627566, "corr_benchmark": 0.3612345235489743, "alpha_pos_frac": 0.6127167630057804, "fund_max_dd": -0.31479763689933393, "first": "2007-09-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "seekx": {"sym": "seekx", "name": "Steward Values Enhanced Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006696351390536547, "alpha_t_5y": 0.08766857086018053, "alpha_t_full": -0.12867054523311924, "r2_5y": 0.45849038013118215, "r2_full": 0.8109299829600389, "corr_portfolio": 0.2310765364429176, "corr_benchmark": 0.5179237664575302, "alpha_pos_frac": 0.3968871595330739, "fund_max_dd": -0.5825675869774922, "first": "2004-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "sefix": {"sym": "sefix", "name": "SIT INTERNATIONAL FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0012478435024051947, "alpha_t_5y": 0.11439483992160832, "alpha_t_full": 3.6497922386184154, "r2_5y": 0.40954861869641257, "r2_full": -1.1102230246251565e-15, "corr_portfolio": -0.06249269984844923, "corr_benchmark": 0.4606971400416392, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.19162356284878257, "first": "1993-09-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "segmx": {"sym": "segmx", "name": "SDIT GNMA FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036648871095710787, "alpha_t_5y": -0.5620670485485593, "alpha_t_full": 6.665534676296786, "r2_5y": 0.9302805609421816, "r2_full": -8.881784197001252e-16, "corr_portfolio": -0.08346133110711698, "corr_benchmark": 0.6350131261668897, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.1678801122069168, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sehax": {"sym": "sehax", "name": "SIIT U.S. Equity Factor Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02818014927177541, "alpha_t_5y": 2.2775110622374335, "alpha_t_full": 1.0464897430113995, "r2_5y": 0.9665564390403467, "r2_full": 0.9220142924159225, "corr_portfolio": 0.30231953506887727, "corr_benchmark": 0.6160979462252689, "alpha_pos_frac": 0.425531914893617, "fund_max_dd": -0.3492586443500323, "first": "2018-04-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "seiax": {"sym": "seiax", "name": "SIIT Multi-Asset Real Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.035435990088980525, "alpha_t_5y": 3.1751919551670036, "alpha_t_full": 2.1185230216684676, "r2_5y": 0.7773777017443931, "r2_full": 0.7252216131385265, "corr_portfolio": 0.3128935530074972, "corr_benchmark": 0.2406739900426457, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.21536400628633312, "first": "2011-08-10", "verdict": "weak/unstable alpha", "alpha_name": true}, "seimx": {"sym": "seimx", "name": "STET INTERMEDIATE TERM MUNICIPAL FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004495344604515177, "alpha_t_5y": 0.4442051646889346, "alpha_t_full": 8.206416709573492, "r2_5y": 0.4046364027291729, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.04405973064368222, "corr_benchmark": 0.32663263392462566, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.12716247415140003, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "seitx": {"sym": "seitx", "name": "SIT INTERNATIONAL EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01941647764649703, "alpha_t_5y": 0.8052214051840997, "alpha_t_full": 2.1371840225185013, "r2_5y": 0.8611925465577723, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.4288837542768118, "corr_benchmark": 0.47227538947254166, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.6698421396259855, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sekax": {"sym": "sekax", "name": "DWS Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.039220621226686285, "alpha_t_5y": -1.0908652249148645, "alpha_t_full": 0.7220156948927172, "r2_5y": 0.8181507370411663, "r2_full": 0.6459388006600679, "corr_portfolio": 0.2695593489825829, "corr_benchmark": 0.4396998155611429, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.6729679273395023, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "selcx": {"sym": "selcx", "name": "SIMT LARGE CAP GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011427586337357685, "alpha_t_5y": -0.7632852519567954, "alpha_t_full": -1.0660332033048294, "r2_5y": 0.9691753337283107, "r2_full": 0.8978362387628843, "corr_portfolio": 0.18849138746371302, "corr_benchmark": 0.5916173859322118, "alpha_pos_frac": 0.5129310344827587, "fund_max_dd": -0.6793483178225879, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "semcx": {"sym": "semcx", "name": "SIMT MID CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0027186937241462745, "alpha_t_5y": -0.15758553700264447, "alpha_t_full": 3.3879616876821728, "r2_5y": 0.9446023641156249, "r2_full": 0.0, "corr_portfolio": 0.32456600604764446, "corr_benchmark": 0.5482155327426762, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.6107943666322704, "first": "1993-02-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "semvx": {"sym": "semvx", "name": "Hartford Schroders Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013025847314259329, "alpha_t_5y": -0.4867193199728393, "alpha_t_full": -0.30640370795996913, "r2_5y": 0.8955807520701324, "r2_full": 0.8643985796405302, "corr_portfolio": 0.2925145883835023, "corr_benchmark": 0.45492448806876395, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.6516824844847663, "first": "2006-04-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sencx": {"sym": "sencx", "name": "Touchstone Large Cap Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013549894226676396, "alpha_t_5y": -0.8368794063037144, "alpha_t_full": 3.975076687843732, "r2_5y": 0.9458177497959606, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2779910136529435, "corr_benchmark": 0.6010246402270523, "alpha_pos_frac": 0.49416342412451364, "fund_max_dd": -0.5189216515050803, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sequx": {"sym": "sequx", "name": "SEQUOIA FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009908505583831812, "alpha_t_5y": -0.3066582397791132, "alpha_t_full": 4.49565704567186, "r2_5y": 0.8049064535521819, "r2_full": 0.0, "corr_portfolio": 0.261736351513361, "corr_benchmark": 0.5545402637587092, "alpha_pos_frac": 0.5739910313901345, "fund_max_dd": -0.45806087913741567, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "sesvx": {"sym": "sesvx", "name": "SIMT SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.032460650904273664, "alpha_t_5y": 1.2919861327868791, "alpha_t_full": 0.8346706098303853, "r2_5y": 0.9202656894590417, "r2_full": 0.8960991772699112, "corr_portfolio": 0.3545420642471649, "corr_benchmark": 0.4668359906048155, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.6179192382860605, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "setax": {"sym": "setax", "name": "SIMT REAL ESTATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02368958131975872, "alpha_t_5y": 2.1140317039483745, "alpha_t_full": -0.0035375596635215754, "r2_5y": 0.9799265328277035, "r2_full": 0.9680596876876396, "corr_portfolio": 0.23948114174407492, "corr_benchmark": 0.5479606341567896, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.750582530017067, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sfrex": {"sym": "sfrex", "name": "Schwab Fundamental Global Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022402818684175707, "alpha_t_5y": -0.8329092928298129, "alpha_t_full": -0.9567645096817385, "r2_5y": 0.840951285220923, "r2_full": 0.8847238939862533, "corr_portfolio": 0.3352236988605986, "corr_benchmark": 0.5607923256100893, "alpha_pos_frac": 0.5661764705882353, "fund_max_dd": -0.41977319768955934, "first": "2014-10-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "sgffx": {"sym": "sgffx", "name": "Sparrow Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06181566865427244, "alpha_t_5y": -1.2745082724741263, "alpha_t_full": -0.4324240224099621, "r2_5y": 0.7044008322371422, "r2_full": 0.7509017091697936, "corr_portfolio": 0.13256091003923617, "corr_benchmark": 0.5278545212465834, "alpha_pos_frac": 0.5017182130584192, "fund_max_dd": -0.6209503271343455, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "sggax": {"sym": "sggax", "name": "DWS Large Cap Focus Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04324508708356628, "alpha_t_5y": -2.0173600434049375, "alpha_t_full": -1.585616789700897, "r2_5y": 0.9467408090912138, "r2_full": 0.9228204872859548, "corr_portfolio": 0.1336717075352616, "corr_benchmark": 0.6209051660394521, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6541001692471631, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sghax": {"sym": "sghax", "name": "DWS Global High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016847558337764273, "alpha_t_5y": 1.769083709498682, "alpha_t_full": 0.6965392037932705, "r2_5y": 0.854920468872089, "r2_full": 0.748832054349023, "corr_portfolio": 0.32649369270149314, "corr_benchmark": 0.4262495235984756, "alpha_pos_frac": 0.5692307692307692, "fund_max_dd": -0.32148828459353995, "first": "2005-05-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgidx": {"sym": "sgidx", "name": "Steward Global Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0035734617602481, "alpha_t_5y": 0.15538098068766076, "alpha_t_full": 0.517202309172382, "r2_5y": 0.8679872533970927, "r2_full": 0.9317631742140882, "corr_portfolio": 0.3915294827505413, "corr_benchmark": 0.5804042826275163, "alpha_pos_frac": 0.4744186046511628, "fund_max_dd": -0.5025800762056821, "first": "2008-04-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sginx": {"sym": "sginx", "name": "DWS GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0018258010446583666, "alpha_t_5y": -0.21059370841182606, "alpha_t_full": 6.4300435518292645, "r2_5y": 0.8896754056135425, "r2_full": 1.1102230246251565e-15, "corr_portfolio": -0.08335630353527378, "corr_benchmark": 0.6375319558394018, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.173691075062832, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgmax": {"sym": "sgmax", "name": "SIIT Global Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.040791345062549826, "alpha_t_5y": 2.4648275786253753, "alpha_t_full": 1.7601159743003258, "r2_5y": 0.8384643452525427, "r2_full": 0.8324628056707588, "corr_portfolio": 0.43515673435682833, "corr_benchmark": 0.5472158076251898, "alpha_pos_frac": 0.45454545454545453, "fund_max_dd": -0.3126983632815715, "first": "2016-02-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "sgoax": {"sym": "sgoax", "name": "SAAT MARKET GROWTH STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005398240679808884, "alpha_t_5y": -0.4312989177518883, "alpha_t_full": -1.682691769312147, "r2_5y": 0.9528782272592792, "r2_full": 0.9484634842624631, "corr_portfolio": 0.36735511954119016, "corr_benchmark": 0.5729704066794364, "alpha_pos_frac": 0.352059925093633, "fund_max_dd": -0.5790474981209224, "first": "2005-12-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgovx": {"sym": "sgovx", "name": "First Eagle Overseas Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016935892632514205, "alpha_t_5y": 1.2340326831112887, "alpha_t_full": 5.427519887745804, "r2_5y": 0.9249339454892268, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.37131659810360335, "corr_benchmark": 0.5484847298537936, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.3567757513485754, "first": "1993-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgqax": {"sym": "sgqax", "name": "DWS International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07176445045582255, "alpha_t_5y": -3.4776180297675996, "alpha_t_full": -0.6177131641982441, "r2_5y": 0.9266308012501394, "r2_full": 0.8850203044690556, "corr_portfolio": 0.2663337154031754, "corr_benchmark": 0.5976862900147283, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.6277416880542822, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgvax": {"sym": "sgvax", "name": "Western Asset Mortgage Total Return Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038432010248348096, "alpha_t_5y": 0.3697019815036992, "alpha_t_full": 5.335419467785382, "r2_5y": 0.8504682316611107, "r2_full": -2.886579864025407e-15, "corr_portfolio": -0.0901440891516294, "corr_benchmark": 0.5682542959329798, "alpha_pos_frac": 0.5897435897435898, "fund_max_dd": -0.19902639285233825, "first": "1992-11-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sgyax": {"sym": "sgyax", "name": "SIIT HIGH YIELD BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016702860828673352, "alpha_t_5y": 1.911021913457134, "alpha_t_full": -0.7087444922462058, "r2_5y": 0.8045263785876201, "r2_full": 0.8025740280132225, "corr_portfolio": 0.31694171278908323, "corr_benchmark": 0.40145680817660395, "alpha_pos_frac": 0.5, "fund_max_dd": -0.36448667538894597, "first": "2007-09-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "shgtx": {"sym": "shgtx", "name": "Columbia Seligman Global Technology Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06627263245914161, "alpha_t_5y": 1.8222177761177385, "alpha_t_full": 4.056506574011264, "r2_5y": 0.898918486551922, "r2_full": 0.0, "corr_portfolio": 0.17537329316549405, "corr_benchmark": 0.5750310677861885, "alpha_pos_frac": 0.450199203187251, "fund_max_dd": -0.7746605055108774, "first": "1994-05-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "shrix": {"sym": "shrix", "name": "Stone Ridge High Yield Reinsurance Risk Premium Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.09307067431754447, "alpha_t_5y": 4.709731685755113, "alpha_t_full": 2.699767499580222, "r2_5y": -2.220446049250313e-16, "r2_full": 7.771561172376096e-16, "corr_portfolio": 0.016399634028212557, "corr_benchmark": 0.02442168922346554, "alpha_pos_frac": NaN, "fund_max_dd": -0.19666066298257434, "first": "2013-02-04", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "shssx": {"sym": "shssx", "name": "BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016039703108122118, "alpha_t_5y": -0.03927557377478763, "alpha_t_full": 2.648360600417434, "r2_5y": 0.5643132440839471, "r2_full": 0.6413848003483096, "corr_portfolio": 0.2451418425430114, "corr_benchmark": 0.5090234422780319, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.3748471055849134, "first": "2000-10-17", "verdict": "weak/unstable alpha", "alpha_name": false}, "shtix": {"sym": "shtix", "name": "INVESCO Short Duration Inflation Protected Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016049600026463634, "alpha_t_5y": 2.0542828458402895, "alpha_t_full": 9.646126656416687, "r2_5y": 0.6427011043016546, "r2_full": -4.6629367034256575e-15, "corr_portfolio": 0.01602722882002604, "corr_benchmark": 0.43528677991952797, "alpha_pos_frac": 0.46551724137931033, "fund_max_dd": -0.06722863503184273, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "shyd": {"sym": "shyd", "name": "VanEck Short High Yield Muni ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003749561690218748, "alpha_t_5y": 0.19850730486628096, "alpha_t_full": -0.4500477445956276, "r2_5y": 0.24682831588956833, "r2_full": 0.3148380201492098, "corr_portfolio": 0.13146992836280838, "corr_benchmark": 0.39211902152313366, "alpha_pos_frac": 0.5241379310344828, "fund_max_dd": -0.31218763035796293, "first": "2014-01-15", "verdict": "weak/unstable alpha", "alpha_name": false}, "sibax": {"sym": "sibax", "name": "Sit Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009252384373562378, "alpha_t_5y": -0.8873957050471799, "alpha_t_full": 0.3705989986955725, "r2_5y": 0.9602258408750499, "r2_full": 0.9324376649540098, "corr_portfolio": 0.20595504782556587, "corr_benchmark": 0.7032581130659004, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.43619089929283605, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sidcx": {"sym": "sidcx", "name": "SIIT Intermediate Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006240762969567332, "alpha_t_5y": 1.2390508719872269, "alpha_t_full": 1.152864126931777, "r2_5y": 0.9639509382535271, "r2_full": 0.9154700964042504, "corr_portfolio": -0.04716926592943582, "corr_benchmark": 0.7115270265216238, "alpha_pos_frac": 0.5343511450381679, "fund_max_dd": -0.20753324779675086, "first": "2015-04-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sidvx": {"sym": "sidvx", "name": "Hartford Schroders International Multi-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.040574863018044, "alpha_t_5y": 2.5208601250854312, "alpha_t_full": 0.6656470845278056, "r2_5y": 0.9323740266231927, "r2_full": 0.917586939321668, "corr_portfolio": 0.4478606181489313, "corr_benchmark": 0.5069533968717986, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6255064694074307, "first": "2006-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "siemx": {"sym": "siemx", "name": "SIT EMERGING MARKETS EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019613423215800938, "alpha_t_5y": -0.6326914996034602, "alpha_t_full": 2.076204976536777, "r2_5y": 0.8180178070726788, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.32515372380281793, "corr_benchmark": 0.4138071307058858, "alpha_pos_frac": 0.4798206278026906, "fund_max_dd": -0.6521895604214314, "first": "1995-01-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "sifax": {"sym": "sifax", "name": "SIMT MULTI-ASSET INFLATION MANAGED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02980102793455867, "alpha_t_5y": 2.695956862306355, "alpha_t_full": 1.5744175426039801, "r2_5y": 0.7791830975741248, "r2_full": 0.7191926420446755, "corr_portfolio": 0.3187087270083986, "corr_benchmark": 0.2390740982548418, "alpha_pos_frac": 0.5149700598802395, "fund_max_dd": -0.24742797626420165, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "sigax": {"sym": "sigax", "name": "Western Asset Corporate Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017424426152703471, "alpha_t_5y": -0.22388717231266664, "alpha_t_full": 4.340742045845624, "r2_5y": 0.9220756445032232, "r2_full": -1.3322676295501878e-15, "corr_portfolio": 0.05656468513916306, "corr_benchmark": 0.7112111195807824, "alpha_pos_frac": 0.45664739884393063, "fund_max_dd": -0.30985299699829283, "first": "1992-11-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sihax": {"sym": "sihax", "name": "Guggenheim High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006722296652160311, "alpha_t_5y": 0.9338443074925127, "alpha_t_full": 6.070338369267632, "r2_5y": 0.8407063996425604, "r2_full": 0.0, "corr_portfolio": 0.30376366375251307, "corr_benchmark": 0.43050732153395166, "alpha_pos_frac": 0.49828178694158076, "fund_max_dd": -0.3672000915099686, "first": "1996-08-06", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "sims": {"sym": "sims", "name": "State Street(R) SPDR(R) S&P Kensho Intelligent Structures ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09079936036228002, "alpha_t_5y": -2.1329911451118977, "alpha_t_full": -1.3446864218323322, "r2_5y": 0.836372995174214, "r2_full": 0.7989873667334322, "corr_portfolio": 0.20143190197643304, "corr_benchmark": 0.565640804302055, "alpha_pos_frac": 0.5612244897959183, "fund_max_dd": -0.43969988872821086, "first": "2017-12-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "sioax": {"sym": "sioax", "name": "SIMT MULTI-ASSET INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014537259779691733, "alpha_t_5y": 1.8693036401798908, "alpha_t_full": 2.2624177895387705, "r2_5y": 0.8242395177988513, "r2_full": 0.7457014660275068, "corr_portfolio": 0.2938126221954463, "corr_benchmark": 0.6592508517591171, "alpha_pos_frac": 0.5269461077844312, "fund_max_dd": -0.221002354954007, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": true}, "sisax": {"sym": "sisax", "name": "SAAT TAX-MANAGED AGGRESSIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013327547009734386, "alpha_t_5y": -0.10656625670630157, "alpha_t_full": -0.97113501301064, "r2_5y": 0.9530580459076423, "r2_full": 0.9480584512156965, "corr_portfolio": 0.36808917357934706, "corr_benchmark": 0.5736806206271986, "alpha_pos_frac": 0.5450980392156862, "fund_max_dd": -0.5625924545912557, "first": "2003-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sislx": {"sym": "sislx", "name": "Shelton International Select Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009406885085985845, "alpha_t_5y": -0.27063925848643, "alpha_t_full": 0.5740255182834401, "r2_5y": 0.702680701559541, "r2_full": 0.7598349389240905, "corr_portfolio": 0.3563906502442917, "corr_benchmark": 0.4928378172201514, "alpha_pos_frac": 0.5181818181818182, "fund_max_dd": -0.3284819363262077, "first": "2017-01-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "sitex": {"sym": "sitex", "name": "SIT EMERGING MARKETS DEBT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010803063278229238, "alpha_t_5y": 0.5333867654597558, "alpha_t_full": 3.860651195173153, "r2_5y": 0.5241101324987846, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.2615833697542279, "corr_benchmark": 0.36050442633597257, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.4523364221058086, "first": "1997-06-27", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "siusx": {"sym": "siusx", "name": "Guggenheim Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004265367098613013, "alpha_t_5y": 0.8764831555536474, "alpha_t_full": 11.622499517567292, "r2_5y": 0.9596867480274975, "r2_full": -2.886579864025407e-15, "corr_portfolio": -0.1089439163270465, "corr_benchmark": 0.67040323659489, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.21618616339512142, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sivix": {"sym": "sivix", "name": "State Street Institutional Small-Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011800422259332154, "alpha_t_5y": -0.6196249243058183, "alpha_t_full": 1.1054880543074512, "r2_5y": 0.9500363648014736, "r2_full": 0.901231917604053, "corr_portfolio": 0.28430092024388015, "corr_benchmark": 0.47584840078603974, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5651868910185377, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sjnk": {"sym": "sjnk", "name": "State Street(R) SPDR Bloomberg Short Term High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006704004116533737, "alpha_t_5y": 0.5894079098061572, "alpha_t_full": -0.5069033213131632, "r2_5y": 0.7692406667371309, "r2_full": 0.7196794219900097, "corr_portfolio": 0.2587047113092735, "corr_benchmark": 0.5954107173967865, "alpha_pos_frac": 0.5508982035928144, "fund_max_dd": -0.19739653287678027, "first": "2012-04-10", "verdict": "weak/unstable alpha", "alpha_name": false}, "skirx": {"sym": "skirx", "name": "DWS Enhanced Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005456328973882724, "alpha_t_5y": -0.2193854783646904, "alpha_t_full": 0.18495467515709588, "r2_5y": 0.8484327244896556, "r2_full": 0.7701949771134741, "corr_portfolio": 0.22790620018233054, "corr_benchmark": 0.1284409098397757, "alpha_pos_frac": 0.4956896551724138, "fund_max_dd": -0.6752435900395654, "first": "2006-10-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "sktax": {"sym": "sktax", "name": "SAAT CORE MARKET STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017796385820403559, "alpha_t_5y": -0.14143143667420138, "alpha_t_full": -1.3983846651018481, "r2_5y": 0.9525647939855801, "r2_full": 0.9324224728012285, "corr_portfolio": 0.3679266651230321, "corr_benchmark": 0.5729227015563962, "alpha_pos_frac": 0.5490196078431373, "fund_max_dd": -0.5888170171214142, "first": "2003-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "slanx": {"sym": "slanx", "name": "DWS Latin America Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013184546944373592, "alpha_t_5y": 0.18551198452510057, "alpha_t_full": 0.8858822281224015, "r2_5y": 0.4660752920671307, "r2_full": 0.5592764491453548, "corr_portfolio": 0.28544211376499207, "corr_benchmark": 0.3845797400817661, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.7072614029112081, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "slasx": {"sym": "slasx", "name": "SELECTED AMERICAN SHARES", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009214596539921403, "alpha_t_5y": 0.3197627642982426, "alpha_t_full": 3.891349512769294, "r2_5y": 0.8638981433465809, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.32202831188452274, "corr_benchmark": 0.5305838830386695, "alpha_pos_frac": 0.49800796812749004, "fund_max_dd": -0.5843114971131771, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "slcax": {"sym": "slcax", "name": "SIIT LARGE CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005176937024704141, "alpha_t_5y": 0.5891436028748195, "alpha_t_full": -0.6412152615173106, "r2_5y": 0.9824396171664099, "r2_full": 0.9445796053673585, "corr_portfolio": 0.3296386208769951, "corr_benchmark": 0.578615646826996, "alpha_pos_frac": 0.6036036036036037, "fund_max_dd": -0.551692769106434, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sldax": {"sym": "sldax", "name": "SIIT Long Duration Credit Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010640403849777088, "alpha_t_5y": -0.1373512509689739, "alpha_t_full": -0.6531661792151251, "r2_5y": 0.9763107234657556, "r2_full": 0.8965446723218584, "corr_portfolio": -0.059043176036376, "corr_benchmark": 0.7120451921488067, "alpha_pos_frac": 0.573170731707317, "fund_max_dd": -0.35280107780149883, "first": "2012-07-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sldbx": {"sym": "sldbx", "name": "SIIT Limited Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003861886879724423, "alpha_t_5y": -0.5875316906430302, "alpha_t_full": 4.316695217762467, "r2_5y": 0.6714420770856009, "r2_full": 0.5845369489551919, "corr_portfolio": -0.026996617428932335, "corr_benchmark": 0.40660779694236615, "alpha_pos_frac": 0.48201438848920863, "fund_max_dd": -0.056691724885013506, "first": "2014-08-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "slgax": {"sym": "slgax", "name": "SIMT Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0068476207329894855, "alpha_t_5y": -0.7123069955189603, "alpha_t_full": -0.5416241199701342, "r2_5y": 0.9805970104632011, "r2_full": 0.8836114548762178, "corr_portfolio": 0.3123137860479798, "corr_benchmark": 0.55681413610476, "alpha_pos_frac": 0.4873096446700508, "fund_max_dd": -0.3679565697094276, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "sngvx": {"sym": "sngvx", "name": "SIT U S GOVERNMENT SECURITIES FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016676185966423576, "alpha_t_5y": 2.364427494172982, "alpha_t_full": 8.865780883560703, "r2_5y": 0.7837992650141582, "r2_full": -1.5543122344752192e-15, "corr_portfolio": -0.11713183173217045, "corr_benchmark": 0.5155697771330827, "alpha_pos_frac": 0.4717948717948718, "fund_max_dd": -0.08879524335166755, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "snidx": {"sym": "snidx", "name": "AB Core Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0015587657665708814, "alpha_t_5y": 0.21993466163798703, "alpha_t_full": 6.3222946571123835, "r2_5y": 0.9128203705032407, "r2_full": -1.1102230246251565e-15, "corr_portfolio": -0.09989990156377518, "corr_benchmark": 0.6679079408397266, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.1847427513676898, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "spab": {"sym": "spab", "name": "State Street(R) SPDR(R) Portfolio Aggregate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008775165337568157, "alpha_t_5y": -1.9068203123160998, "alpha_t_full": -0.3133706646028445, "r2_5y": 0.9765235421952405, "r2_full": 0.7238076862794007, "corr_portfolio": -0.08888726589607811, "corr_benchmark": 0.7062221452746815, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.18555793701641843, "first": "2007-05-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spbo": {"sym": "spbo", "name": "State Street(R) SPDR Portfolio Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0026385070100163467, "alpha_t_5y": -0.37660085425460554, "alpha_t_full": -0.049446498050782474, "r2_5y": 0.9444481987972297, "r2_full": 0.5161666158116962, "corr_portfolio": -0.017453918791769562, "corr_benchmark": 0.6885131577942624, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.22039506767691308, "first": "2011-04-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spdax": {"sym": "spdax", "name": "DWS Multi-Asset Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011801855355483922, "alpha_t_5y": -2.212205306714407, "alpha_t_full": -1.2455951304378785, "r2_5y": 0.9735155269540164, "r2_full": 0.8114240967803583, "corr_portfolio": 0.2846451716501803, "corr_benchmark": 0.7872846005874587, "alpha_pos_frac": 0.6098654708520179, "fund_max_dd": -0.43004166466637084, "first": "2001-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spdw": {"sym": "spdw", "name": "State Street(R) SPDR(R) Portfolio Developed World ex-US ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00017528422490324173, "alpha_t_5y": -0.04602209761126445, "alpha_t_full": -1.6889178894491574, "r2_5y": 0.997011767393215, "r2_full": 0.9068939095034814, "corr_portfolio": 0.3666720952997476, "corr_benchmark": 0.5547101706120205, "alpha_pos_frac": 0.4663677130044843, "fund_max_dd": -0.6002180326553332, "first": "2007-04-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "specx": {"sym": "specx", "name": "Alger Spectra Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02873701752040295, "alpha_t_5y": -0.35039100314095806, "alpha_t_full": 0.48148727499643196, "r2_5y": 0.6326038831857101, "r2_full": 0.7607694317249195, "corr_portfolio": 0.10154250257861976, "corr_benchmark": 0.519900179162112, "alpha_pos_frac": 0.5913312693498453, "fund_max_dd": -0.8420370388314375, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "spedx": {"sym": "spedx", "name": "Alger Dynamic Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": -2.0867000181585875, "r2_5y": NaN, "r2_full": 0.656634915737982, "corr_portfolio": 0.1555013257947815, "corr_benchmark": 0.4515214209563395, "alpha_pos_frac": 0.5571428571428572, "fund_max_dd": -0.2152230715317427, "first": "2009-11-06", "verdict": "no 5y window", "alpha_name": false}, "spegx": {"sym": "spegx", "name": "Alger Responsible Investing Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03267895295095615, "alpha_t_5y": -1.4912892301576242, "alpha_t_full": -2.16393297559301, "r2_5y": 0.9420947906891999, "r2_full": 0.8959642780406385, "corr_portfolio": 0.16534361471522863, "corr_benchmark": 0.6169070921880421, "alpha_pos_frac": 0.5, "fund_max_dd": -0.6728879916940299, "first": "2000-12-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spem": {"sym": "spem", "name": "State Street(R) SPDR(R) Portfolio Emerging Markets ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003635605102944315, "alpha_t_5y": 0.592431503983361, "alpha_t_full": -0.1696642093253964, "r2_5y": 0.9930526921575935, "r2_full": 0.9292967827295887, "corr_portfolio": 0.2671702087606569, "corr_benchmark": 0.4713164625605704, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.6440955976281577, "first": "2007-03-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "speu": {"sym": "speu", "name": "State Street(R) SPDR(R) Portfolio Europe ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026234284720041976, "alpha_t_5y": 0.17120943070116046, "alpha_t_full": -0.5733159684659538, "r2_5y": 0.955872934127543, "r2_full": 0.8654473119656706, "corr_portfolio": 0.35389156420011014, "corr_benchmark": 0.5179063666389895, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.624535155154798, "first": "2002-10-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spfax": {"sym": "spfax", "name": "PGIM JENNISON FOCUSED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08066730975056526, "alpha_t_5y": -2.4896623333840404, "alpha_t_full": -0.3889530332458385, "r2_5y": 0.9073045815944027, "r2_full": 0.8503540324516804, "corr_portfolio": 0.07841243536706055, "corr_benchmark": 0.5831294902482805, "alpha_pos_frac": 0.511326860841424, "fund_max_dd": -0.618918023926341, "first": "2000-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spgbx": {"sym": "spgbx", "name": "Symmetry Panoramic Global Systematic Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0032718490558446825, "alpha_t_5y": -0.38735219621085737, "alpha_t_full": 0.3045268889516467, "r2_5y": 0.808585026238117, "r2_full": 0.7652539847798656, "corr_portfolio": -0.14366390427942927, "corr_benchmark": 0.6459191015468991, "alpha_pos_frac": 0.5747126436781609, "fund_max_dd": -0.17025727605395313, "first": "2018-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "spgex": {"sym": "spgex", "name": "Symmetry Panoramic Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00776162172509829, "alpha_t_5y": 0.43297184687245494, "alpha_t_full": 1.174697780341041, "r2_5y": 0.9207427428356743, "r2_full": 0.5897780226710789, "corr_portfolio": 0.2883422078162079, "corr_benchmark": 0.5507913458529868, "alpha_pos_frac": 0.632183908045977, "fund_max_dd": -0.3695271757021328, "first": "2018-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spgm": {"sym": "spgm", "name": "State Street(R) SPDR(R) Portfolio MSCI Global Stock Market ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00024178169468659717, "alpha_t_5y": -0.0319330104434332, "alpha_t_full": -0.05020787554655435, "r2_5y": 0.9873398336117499, "r2_full": 0.7169972289918817, "corr_portfolio": 0.28698717938703766, "corr_benchmark": 0.5432318229197318, "alpha_pos_frac": 0.5, "fund_max_dd": -0.3396738951253594, "first": "2012-03-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spgp": {"sym": "spgp", "name": "Invesco S&P 500 GARP ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013040476859804924, "alpha_t_5y": -0.48385991687579066, "alpha_t_full": -0.2058903521379176, "r2_5y": 0.8784733124401407, "r2_full": 0.7896976648209508, "corr_portfolio": 0.31920069445985383, "corr_benchmark": 0.56262163552692, "alpha_pos_frac": 0.5340909090909091, "fund_max_dd": -0.4208225767219662, "first": "2011-06-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spgsx": {"sym": "spgsx", "name": "State Street Premier Growth Equity V.I.S. 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not alpha-driven", "alpha_name": false}, "sphd": {"sym": "sphd", "name": "Invesco S&P 500 High Dividend Low Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020013334236912643, "alpha_t_5y": 0.7503653309984901, "alpha_t_full": 1.6297459548226905, "r2_5y": 0.8030816250373679, "r2_full": 0.8580313136878708, "corr_portfolio": 0.4030764787926089, "corr_benchmark": 0.48626547377841384, "alpha_pos_frac": 0.4875, "fund_max_dd": -0.41386653878324575, "first": "2012-10-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "sphq": {"sym": "sphq", "name": "Invesco S&P 500 Quality ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009030496974708022, "alpha_t_5y": 0.4099641938590608, "alpha_t_full": -0.25635857228944, "r2_5y": 0.8998954646430652, "r2_full": 0.8412419165894096, "corr_portfolio": 0.2989056662430717, "corr_benchmark": 0.5929751963390164, "alpha_pos_frac": 0.5919282511210763, "fund_max_dd": -0.5782945183268314, "first": "2005-12-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sphy": {"sym": "sphy", "name": "State Street(R) SPDR(R) Portfolio High Yield Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007097976369002419, "alpha_t_5y": -0.5110209415629007, "alpha_t_full": -0.3703629322569994, "r2_5y": 0.7727184709910928, "r2_full": 0.4604804281298386, "corr_portfolio": 0.1697475904406023, "corr_benchmark": 0.5288416057624873, "alpha_pos_frac": 0.47560975609756095, "fund_max_dd": -0.21969347136238093, "first": "2012-06-20", "verdict": "weak/unstable alpha", "alpha_name": false}, "spiax": {"sym": "spiax", "name": "INVESCO S&P 500 INDEX FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0036076472329145833, "alpha_t_5y": -0.6944919032379421, "alpha_t_full": -0.7098730243796899, "r2_5y": 0.9945484116712227, "r2_full": 0.974703417245957, "corr_portfolio": 0.2811324033552422, "corr_benchmark": 0.614014845380336, "alpha_pos_frac": 0.5275080906148867, "fund_max_dd": -0.5547379767424678, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spib": {"sym": "spib", "name": "State Street(R) SPDR(R) Portfolio Intermediate Term Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00571210249968369, "alpha_t_5y": 1.1637786917384991, "alpha_t_full": 0.47562020691453577, "r2_5y": 0.9283617626933592, "r2_full": 0.6195925712934713, "corr_portfolio": 0.005872417331564821, "corr_benchmark": 0.6877273324311332, "alpha_pos_frac": 0.42196531791907516, "fund_max_dd": -0.14936516197717886, "first": "2009-02-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spilx": {"sym": "spilx", "name": "Symmetry Panoramic International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00936584541478266, "alpha_t_5y": 0.4726004726186001, "alpha_t_full": 1.139045344893702, "r2_5y": 0.9011469465607647, "r2_full": 0.5929308734675249, "corr_portfolio": 0.29779517726539106, "corr_benchmark": 0.4860863098815355, "alpha_pos_frac": 0.5517241379310345, "fund_max_dd": -0.3669319148593564, "first": "2018-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spinx": {"sym": "spinx", "name": "SIIT S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0007172643292104062, "alpha_t_5y": -0.13585439226678814, "alpha_t_full": -0.05095676750133078, "r2_5y": 0.9944047323801959, "r2_full": 0.9505451740994243, "corr_portfolio": 0.28227146598425684, "corr_benchmark": 0.6060957722112987, "alpha_pos_frac": 0.5205479452054794, "fund_max_dd": -0.3381615912609902, "first": "2013-12-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "spip": {"sym": "spip", "name": "State Street(R) SPDR(R) Portfolio TIPS ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0048709277529006886, "alpha_t_5y": 0.32220832572127733, "alpha_t_full": 0.1812102749874382, "r2_5y": 0.6875014838599536, "r2_full": 0.6143734091864357, "corr_portfolio": -0.05338143466673184, "corr_benchmark": 0.616785627284084, "alpha_pos_frac": 0.5288888888888889, "fund_max_dd": -0.15384320672535434, "first": "2007-05-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "splb": {"sym": "splb", "name": "State Street(R) SPDR(R) Portfolio Long Term Corporate Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01766952833932109, "alpha_t_5y": -1.4317825828448587, "alpha_t_full": -1.3774868464251933, "r2_5y": 0.945494847269593, "r2_full": 0.721631357922539, "corr_portfolio": -0.024592984363954094, "corr_benchmark": 0.7850195034216941, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.34461214366904447, "first": "2009-03-12", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "sshfx": {"sym": "sshfx", "name": "Sound Shore Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013083425976870308, "alpha_t_5y": 0.5166236996552483, "alpha_t_full": 3.6405056992504456, "r2_5y": 0.8746138969379686, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.37518854442834615, "corr_benchmark": 0.5427631973380292, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.5262426446238028, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ssifx": {"sym": "ssifx", "name": "Saturna International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01889892482374529, "alpha_t_5y": -0.5938541094052124, "alpha_t_full": 3.007691818831995, "r2_5y": 0.843481332620236, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.21056869713557577, "corr_benchmark": 0.5995337613150674, "alpha_pos_frac": 0.4977578475336323, "fund_max_dd": -0.5624479281017112, "first": "1995-09-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "ssmax": {"sym": "ssmax", "name": "SIIT SMALL MID CAP EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013699272139176311, "alpha_t_5y": -0.8577849649269798, "alpha_t_full": -1.7348365835481498, "r2_5y": 0.9609417817295431, "r2_full": 0.9233551671611582, "corr_portfolio": 0.31147828706163755, "corr_benchmark": 0.5262843223931724, "alpha_pos_frac": 0.6081081081081081, "fund_max_dd": -0.628231017564227, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sspix": {"sym": "sspix", "name": "SIMT S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0018104061886455578, "alpha_t_5y": -0.40447978741656776, "alpha_t_full": -0.23873630076138666, "r2_5y": 0.9959617316733521, "r2_full": 0.9583786490363579, "corr_portfolio": 0.28268726919998716, "corr_benchmark": 0.6052421363701266, "alpha_pos_frac": 0.5339805825242718, "fund_max_dd": -0.5565430493206387, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "stbax": {"sym": "stbax", "name": "INVESCO Short Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013712535945071855, "alpha_t_5y": -1.8251898904617645, "alpha_t_full": 1.6736458119767297, "r2_5y": 0.593848313021521, "r2_full": 0.35032248124438203, "corr_portfolio": 0.07409511028295458, "corr_benchmark": 0.369882680089354, "alpha_pos_frac": 0.5897435897435898, "fund_max_dd": -0.09450564540684947, "first": "2004-05-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "stdax": {"sym": "stdax", "name": "SAAT DEFENSIVE STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02420072451412618, "alpha_t_5y": 7.7397807503997775, "alpha_t_full": 0.5131855299956459, "r2_5y": 0.4572067622154794, "r2_full": 0.4485000590932541, "corr_portfolio": 0.2997942396937014, "corr_benchmark": 0.36455296457093567, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5292226980025216, "first": "2003-11-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "stesx": {"sym": "stesx", "name": "International Strategic Equities Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011401337155341213, "alpha_t_5y": 0.6242830440630632, "alpha_t_full": -0.41792044434761, "r2_5y": 0.9324021429365723, "r2_full": 0.9311689108143243, "corr_portfolio": 0.36473982533080646, "corr_benchmark": 0.5584301971305775, "alpha_pos_frac": 0.45081967213114754, "fund_max_dd": -0.36859764235254533, "first": "2015-12-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sthyx": {"sym": "sthyx", "name": "AB Sustainable Thematic Credit Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018791525053314825, "alpha_t_5y": -2.420027999027345, "alpha_t_full": -2.420027999027345, "r2_5y": 0.952006775057278, "r2_full": 0.952006775057278, "corr_portfolio": -0.07957782730036313, "corr_benchmark": 0.8109439947762732, "alpha_pos_frac": 0.6724137931034483, "fund_max_dd": -0.24272254624496137, "first": "2021-05-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "stiax": {"sym": "stiax", "name": "Federated Hermes Strategic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0005753237576961546, "alpha_t_5y": -0.06365827499313467, "alpha_t_full": 7.57948755860699, "r2_5y": 0.8168418303133194, "r2_full": -8.881784197001252e-16, "corr_portfolio": 0.25381585705098425, "corr_benchmark": 0.6302474531575851, "alpha_pos_frac": 0.5230769230769231, "fund_max_dd": -0.22115550758243252, "first": "1994-05-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "stmsx": {"sym": "stmsx", "name": "SIMT TAX-MANAGED SMALL/MID CAP FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004467718457526957, "alpha_t_5y": -0.2647628491319508, "alpha_t_full": -0.623033312106436, "r2_5y": 0.9580559845652521, "r2_full": 0.9325926911426824, "corr_portfolio": 0.3180557327903571, "corr_benchmark": 0.5302914246985766, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.6077818374490643, "first": "2000-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "stsvx": {"sym": "stsvx", "name": "BNY Mellon Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006012182730484868, "alpha_t_5y": -0.2590203891118895, "alpha_t_full": 1.2684497843022136, "r2_5y": 0.9303605673013898, "r2_full": 0.9230349697044702, "corr_portfolio": 0.3313703865662111, "corr_benchmark": 0.4808594821700588, "alpha_pos_frac": 0.47844827586206895, "fund_max_dd": -0.5804729586881874, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "suhax": {"sym": "suhax", "name": "DWS Health and Wellness Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.014564654760336306, "alpha_t_5y": -0.343145089199666, "alpha_t_full": 0.5736801557108737, "r2_5y": 0.5503939059192983, "r2_full": 0.649001359008396, "corr_portfolio": 0.22652269774731623, "corr_benchmark": 0.5012666223702624, "alpha_pos_frac": 0.5234042553191489, "fund_max_dd": -0.41645234070476567, "first": "2001-01-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "suiax": {"sym": "suiax", "name": "DWS CROCI International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03818064326379695, "alpha_t_5y": 1.7778146106420047, "alpha_t_full": 0.29149109727269384, "r2_5y": 0.8932723598754265, "r2_full": 0.8735455470219917, "corr_portfolio": 0.4209251849996812, "corr_benchmark": 0.4918830820703518, "alpha_pos_frac": 0.47368421052631576, "fund_max_dd": -0.640634373931622, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "supax": {"sym": "supax", "name": "DWS Equity Sector Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0049845196225903774, "alpha_t_5y": -0.5423585648131964, "alpha_t_full": -1.291692077986351, "r2_5y": 0.9795119391399831, "r2_full": 0.9036193583783392, "corr_portfolio": 0.2921579422460209, "corr_benchmark": 0.6380923190743013, "alpha_pos_frac": 0.5219123505976095, "fund_max_dd": -0.4675861419778574, "first": "2001-01-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "susax": {"sym": "susax", "name": "SIIT Ultra Short Duration Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007742222171850335, "alpha_t_5y": 1.3765936769399478, "alpha_t_full": 3.265280059441474, "r2_5y": 0.38367978605913533, "r2_full": 0.2646601178862543, "corr_portfolio": 0.061993289840728334, "corr_benchmark": 0.20024529991524423, "alpha_pos_frac": 0.4277456647398844, "fund_max_dd": -0.042828794357573585, "first": "2011-06-23", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "suvax": {"sym": "suvax", "name": "PGIM QUANT SOLUTIONS LARGE-CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.026828357773574944, "alpha_t_5y": 1.2767384278222496, "alpha_t_full": -0.825187808076319, "r2_5y": 0.9082079744012233, "r2_full": 0.9037255399477937, "corr_portfolio": 0.41165082045003365, "corr_benchmark": 0.483089502078413, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.6043293776397148, "first": "2001-04-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "suwax": {"sym": "suwax", "name": "DWS Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005643653146978301, "alpha_t_5y": -0.5642872784024214, "alpha_t_full": -1.0293214849388699, "r2_5y": 0.9803026070493739, "r2_full": 0.9538731967459898, "corr_portfolio": 0.29197188686979636, "corr_benchmark": 0.6089323844976346, "alpha_pos_frac": 0.4886731391585761, "fund_max_dd": -0.554232167248415, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "svaax": {"sym": "svaax", "name": "Federated Hermes Strategic Value Dividend Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04198285058759409, "alpha_t_5y": 1.6622925991950765, "alpha_t_full": 1.4847739661458834, "r2_5y": 0.7784883597960052, "r2_full": 0.7951667908004061, "corr_portfolio": 0.42668603626810436, "corr_benchmark": 0.5037422952096241, "alpha_pos_frac": 0.4808510638297872, "fund_max_dd": -0.510372946340051, "first": "2005-03-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "svoax": {"sym": "svoax", "name": "SIMT US MANAGED VOLATILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009533461790044077, "alpha_t_5y": 0.470508989163689, "alpha_t_full": 0.9221323588987997, "r2_5y": 0.8399178858358651, "r2_full": 0.8174034858087845, "corr_portfolio": 0.3898118314406364, "corr_benchmark": 0.5225520921932116, "alpha_pos_frac": 0.5390625, "fund_max_dd": -0.4721887949833474, "first": "2004-11-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "svsax": {"sym": "svsax", "name": "SAAT CONSERVATIVE STRATEGY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01588865412113439, "alpha_t_5y": 2.761271897129269, "alpha_t_full": 0.7534861469457635, "r2_5y": 0.8543613662032554, "r2_full": 0.5884114123289674, "corr_portfolio": 0.3430520842416221, "corr_benchmark": 0.7426609420966029, "alpha_pos_frac": 0.6591928251121076, "fund_max_dd": -0.27314342023018934, "first": "2003-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "svspx": {"sym": "svspx", "name": "State Street S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008802392147028313, "alpha_t_5y": -0.1445445713044132, "alpha_t_full": -0.12746629214368943, "r2_5y": 0.9925104533567962, "r2_full": 0.9812324722586022, "corr_portfolio": 0.2853088097503285, "corr_benchmark": 0.6115950907360761, "alpha_pos_frac": 0.43042071197411, "fund_max_dd": -0.5531441030828776, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "svtax": {"sym": "svtax", "name": "SIMT GLOBAL MANAGED VOLATILITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014097918445190845, "alpha_t_5y": 0.7797121240185362, "alpha_t_full": -0.02462874635100956, "r2_5y": 0.8016265563860591, "r2_full": 0.8086666564837827, "corr_portfolio": 0.408274099173005, "corr_benchmark": 0.5459839273827453, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.4467053262715269, "first": "2006-07-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "svyax": {"sym": "svyax", "name": "SIIT U.S. Managed Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020579840489706184, "alpha_t_5y": 1.0168446441531735, "alpha_t_full": 1.0811939167274223, "r2_5y": 0.8382916810012147, "r2_full": 0.8344445524739372, "corr_portfolio": 0.40285544921308425, "corr_benchmark": 0.5328653877594982, "alpha_pos_frac": 0.5658536585365853, "fund_max_dd": -0.33986027432380417, "first": "2009-01-12", "verdict": "weak/unstable alpha", "alpha_name": false}, "swasx": {"sym": "swasx", "name": "Schwab Global Real Estate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01914023189287084, "alpha_t_5y": -1.0827761421347397, "alpha_t_full": -2.5661266529368065, "r2_5y": 0.9228679476635455, "r2_full": 0.9251742998039402, "corr_portfolio": 0.3269993025732362, "corr_benchmark": 0.5971449700188743, "alpha_pos_frac": 0.5650224215246636, "fund_max_dd": -0.694773819014467, "first": "2007-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "swrlx": {"sym": "swrlx", "name": "Touchstone International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03876108226115115, "alpha_t_5y": 1.814616159722308, "alpha_t_full": 3.1434704031163885, "r2_5y": 0.8877429512892959, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.37510261553513957, "corr_benchmark": 0.5120780658521424, "alpha_pos_frac": 0.40358744394618834, "fund_max_dd": -0.5944175924740822, "first": "1993-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sxmax": {"sym": "sxmax", "name": "SAAT MODERATE STRATEGY ALLOCATION FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0118786980026977, "alpha_t_5y": 0.9977662296983482, "alpha_t_full": 0.8967177858784864, "r2_5y": 0.8987664632006542, "r2_full": 0.8240798883801634, "corr_portfolio": 0.40463158712067815, "corr_benchmark": 0.5640955491403198, "alpha_pos_frac": 0.6143497757847534, "fund_max_dd": -0.5255335721711414, "first": "2003-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "sxpax": {"sym": "sxpax", "name": "DWS S&P 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0039167016979481314, "alpha_t_5y": -1.0155405875893648, "alpha_t_full": -1.2755754866966786, "r2_5y": 0.9970005028583474, "r2_full": 0.9905294370192737, "corr_portfolio": 0.2828495808179668, "corr_benchmark": 0.61639622759402, "alpha_pos_frac": 0.4246031746031746, "fund_max_dd": -0.5562394220985549, "first": "2005-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "szcax": {"sym": "szcax", "name": "DWS Small Cap Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02952280010982999, "alpha_t_5y": 1.0259831129314807, "alpha_t_full": 0.12097698862660036, "r2_5y": 0.8600214142607125, "r2_full": 0.9205346950644352, "corr_portfolio": 0.31285570819166586, "corr_benchmark": 0.48134626815813114, "alpha_pos_frac": 0.5872340425531914, "fund_max_dd": -0.6333283238018051, "first": "2001-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "szeax": {"sym": "szeax", "name": "DWS Emerging Markets Fixed Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0021542630724763036, "alpha_t_5y": -0.10126020406194948, "alpha_t_full": 1.6188677458102654, "r2_5y": 0.39489082491203087, "r2_full": 0.3248153309465407, "corr_portfolio": 0.2707928490772545, "corr_benchmark": 0.3772732940016355, "alpha_pos_frac": 0.6143497757847534, "fund_max_dd": -0.35345940925865793, "first": "2001-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "sziax": {"sym": "sziax", "name": "DWS Total Return Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0016945461177960586, "alpha_t_5y": -0.306214913266044, "alpha_t_full": -2.2697510411794366, "r2_5y": 0.9450013619493002, "r2_full": 0.7403247259155552, "corr_portfolio": -0.04056781209155129, "corr_benchmark": 0.7085695750131078, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.2120569026374849, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "szmax": {"sym": "szmax", "name": "DWS Intermediate Tax-Free Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006170114369485656, "alpha_t_5y": 0.6396519258380753, "alpha_t_full": 3.1042260074832124, "r2_5y": 0.4359057680466266, "r2_full": -3.9968028886505635e-15, "corr_portfolio": 0.02402987923937379, "corr_benchmark": 0.35826906746258946, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1505290092645981, "first": "2001-06-12", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "taclx": {"sym": "taclx", "name": "Touchstone Large Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013099034818381485, "alpha_t_5y": -0.5952412188732562, "alpha_t_full": -0.6349342602873209, "r2_5y": 0.872963405258891, "r2_full": 0.9159522408404469, "corr_portfolio": 0.3243297340692296, "corr_benchmark": 0.5711878487341614, "alpha_pos_frac": 0.5285714285714286, "fund_max_dd": -0.3421231281166708, "first": "2014-07-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "taftx": {"sym": "taftx", "name": "Tax-Exempt Fund of California", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033529160562558234, "alpha_t_5y": 0.2594376407676425, "alpha_t_full": 7.951625012486747, "r2_5y": 0.3816024960342891, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.028709077056261162, "corr_benchmark": 0.3485239948649605, "alpha_pos_frac": 0.5758754863813229, "fund_max_dd": -0.1882563606550819, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "taiax": {"sym": "taiax", "name": "American Funds Tax-Aware Conservative Growth and Income Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011457074280224255, "alpha_t_5y": 1.4309902820994365, "alpha_t_full": 2.756395168636044, "r2_5y": 0.9340909432666106, "r2_full": 0.9388279772807164, "corr_portfolio": 0.3521310821607113, "corr_benchmark": 0.6537644153384005, "alpha_pos_frac": 0.5818181818181818, "fund_max_dd": -0.21418738477208132, "first": "2012-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "taibx": {"sym": "taibx", "name": "PGIM CORE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00789739396126005, "alpha_t_5y": 1.0665376565596445, "alpha_t_full": 5.807798475253875, "r2_5y": 0.9136024419160791, "r2_full": -4.440892098500626e-16, "corr_portfolio": -0.0850546256840323, "corr_benchmark": 0.6647333637658718, "alpha_pos_frac": 0.5780346820809249, "fund_max_dd": -0.1958359538753941, "first": "1993-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tarkx": {"sym": "tarkx", "name": "Tarkio Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011561637917566082, "alpha_t_5y": 0.21810948177913095, "alpha_t_full": 0.2680992589278859, "r2_5y": 0.7805165420356374, "r2_full": 0.825514251403443, "corr_portfolio": 0.28391285261238003, "corr_benchmark": 0.4971607138872499, "alpha_pos_frac": 0.5227272727272727, "fund_max_dd": -0.40551322110436383, "first": "2011-07-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "tasvx": {"sym": "tasvx", "name": "PGIM QUANT SOLUTIONS SMALL-CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.060442940141835266, "alpha_t_5y": 2.105621250208785, "alpha_t_full": 3.295726126876115, "r2_5y": 0.9052087510529453, "r2_full": 0.0, "corr_portfolio": 0.35819479431526535, "corr_benchmark": 0.4463265887486797, "alpha_pos_frac": 0.4304932735426009, "fund_max_dd": -0.5855753958374172, "first": "1993-01-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tavfx": {"sym": "tavfx", "name": "THIRD AVENUE VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07835415407801373, "alpha_t_5y": 2.0724260850576557, "alpha_t_full": 3.896456074648719, "r2_5y": 0.7709835948474348, "r2_full": 0.0, "corr_portfolio": 0.44203657808898966, "corr_benchmark": 0.42655043427291794, "alpha_pos_frac": 0.4618834080717489, "fund_max_dd": -0.6142329062540588, "first": "1990-11-01", "verdict": "alpha, but correlated with current portfolio", "alpha_name": false}, "tbdax": {"sym": "tbdax", "name": "PGIM JENNISON DIVERSIFIED GROWTH FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03993723760996457, "alpha_t_5y": -2.0106120989381515, "alpha_t_full": -1.3881348230321855, "r2_5y": 0.956199465651869, "r2_full": 0.9285942157454038, "corr_portfolio": 0.15200958847314588, "corr_benchmark": 0.6085887506915143, "alpha_pos_frac": 0.4785992217898833, "fund_max_dd": -0.6954212929720875, "first": "2000-05-22", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tbhdx": {"sym": "tbhdx", "name": "TWEEDY, BROWNE WORLDWIDE HIGH DIVIDEND YIELD VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008629210485281624, "alpha_t_5y": 0.3476093300112919, "alpha_t_full": -0.11183140875820223, "r2_5y": 0.7709815966063763, "r2_full": 0.7529899854724382, "corr_portfolio": 0.4263484857615368, "corr_benchmark": 0.4460923503000416, "alpha_pos_frac": 0.481981981981982, "fund_max_dd": -0.46030462585587906, "first": "2007-09-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "tbirx": {"sym": "tbirx", "name": "Nuveen Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002234686938476527, "alpha_t_5y": 0.4765583192730879, "alpha_t_full": -1.3479561675083365, "r2_5y": 0.9639552704813055, "r2_full": 0.9238525267264428, "corr_portfolio": -0.11611449689917872, "corr_benchmark": 0.6935240161737364, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.19329256864633604, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblpx": {"sym": "tblpx", "name": "T. Rowe Price Retirement Blend 2005 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0002611702051343897, "alpha_t_5y": 0.044055664745590334, "alpha_t_full": 0.044055664745590334, "r2_5y": 0.9672909218557814, "r2_full": 0.9672909218557814, "corr_portfolio": 0.10016570657235478, "corr_benchmark": 0.8244808509511198, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.18357198274566067, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblqx": {"sym": "tblqx", "name": "T. Rowe Price Retirement Blend 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0001507422697842093, "alpha_t_5y": -0.025319626929851784, "alpha_t_full": -0.025319626929851784, "r2_5y": 0.9711111324334663, "r2_full": 0.9711111324334663, "corr_portfolio": 0.10585784989135748, "corr_benchmark": 0.813964360570201, "alpha_pos_frac": 0.6181818181818182, "fund_max_dd": -0.1906347175346924, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblsx": {"sym": "tblsx", "name": "T. Rowe Price Retirement Blend 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019160595292534925, "alpha_t_5y": 0.31587934890614816, "alpha_t_full": 0.31587934890614816, "r2_5y": 0.9733822414478182, "r2_full": 0.9733822414478182, "corr_portfolio": 0.10430425667502596, "corr_benchmark": 0.8044885393397108, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.1962191955317103, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblvx": {"sym": "tblvx", "name": "T. Rowe Price Retirement Blend 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006137579531686816, "alpha_t_5y": -0.8907726774267013, "alpha_t_full": -0.8907726774267013, "r2_5y": 0.974235650200261, "r2_full": 0.974235650200261, "corr_portfolio": 0.10859316746514451, "corr_benchmark": 0.7771371524648036, "alpha_pos_frac": 0.6, "fund_max_dd": -0.21480330665382397, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblwx": {"sym": "tblwx", "name": "T. Rowe Price Retirement Blend 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005208784679317813, "alpha_t_5y": -0.678682072572642, "alpha_t_full": -0.678682072572642, "r2_5y": 0.9765748206734043, "r2_full": 0.9765748206734043, "corr_portfolio": 0.11335122354226923, "corr_benchmark": 0.7536266596128371, "alpha_pos_frac": 0.6181818181818182, "fund_max_dd": -0.23450918291666478, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tblyx": {"sym": "tblyx", "name": "T. Rowe Price Retirement Blend 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0038847613295948744, "alpha_t_5y": -0.4536513189122251, "alpha_t_full": -0.4536513189122251, "r2_5y": 0.978016182163968, "r2_full": 0.978016182163968, "corr_portfolio": 0.11863649102272891, "corr_benchmark": 0.7285037996125456, "alpha_pos_frac": 0.5636363636363636, "fund_max_dd": -0.24542151360309505, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tcelx": {"sym": "tcelx", "name": "T. Rowe Price China Evolution Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015700439171119174, "alpha_t_5y": 0.251875838059757, "alpha_t_full": 1.2447555938920758, "r2_5y": 0.6068736618210515, "r2_full": 0.5929567809919061, "corr_portfolio": 0.08615435524847269, "corr_benchmark": 0.3075966333491269, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.5127023251476607, "first": "2019-12-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "tcpax": {"sym": "tcpax", "name": "Touchstone US Quality Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009222636624727706, "alpha_t_5y": 1.3811079626281761, "alpha_t_full": 0.5036261509350412, "r2_5y": 0.9238739535693552, "r2_full": 0.8335793861474008, "corr_portfolio": -0.14387340994997028, "corr_benchmark": 0.6432737479959961, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.1847196397466846, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tcsgx": {"sym": "tcsgx", "name": "SDIT SHORT DURATION GOVERNMENT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020798542632333217, "alpha_t_5y": -3.445989086226643, "alpha_t_full": 10.406054131725996, "r2_5y": 0.7049449775560218, "r2_full": 3.9968028886505635e-15, "corr_portfolio": -0.10498261954722136, "corr_benchmark": 0.4056145457733893, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.0663603266285061, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "tebix": {"sym": "tebix", "name": "FRANKLIN MUTUAL BEACON FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018132508595405186, "alpha_t_5y": 0.0841479490659667, "alpha_t_full": 1.3075054925107756, "r2_5y": 0.880247416762878, "r2_full": 0.8103857231625677, "corr_portfolio": 0.3837118821281761, "corr_benchmark": 0.5141796585952813, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.5544551722068904, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tedix": {"sym": "tedix", "name": "FRANKLIN MUTUAL GLOBAL DISCOVERY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016084137072211062, "alpha_t_5y": 0.8761692653128392, "alpha_t_full": 4.016552394219311, "r2_5y": 0.9050940589378051, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.4235693500039823, "corr_benchmark": 0.49806567071369573, "alpha_pos_frac": 0.5136186770428015, "fund_max_dd": -0.40206505803602355, "first": "1996-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tedmx": {"sym": "tedmx", "name": "Templeton Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013178800020459866, "alpha_t_5y": 0.4512436851048521, "alpha_t_full": 2.789132277677757, "r2_5y": 0.887855060313054, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.28043500878377614, "corr_benchmark": 0.462343002249201, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6527840677388017, "first": "1991-10-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tedpx": {"sym": "tedpx", "name": "Nuveen Emerging Markets Debt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014707882521741447, "alpha_t_5y": 0.9313818781848877, "alpha_t_full": 1.3576716661011003, "r2_5y": 0.5065117510796538, "r2_full": 0.5740738083432586, "corr_portfolio": 0.2789774978816627, "corr_benchmark": 0.468173994742671, "alpha_pos_frac": 0.6277372262773723, "fund_max_dd": -0.25912914689034616, "first": "2014-09-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "tegax": {"sym": "tegax", "name": "Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05104795124582854, "alpha_t_5y": -1.454363477068035, "alpha_t_full": 3.565308522419672, "r2_5y": 0.8635429386156603, "r2_full": 0.0, "corr_portfolio": 0.19116207790398057, "corr_benchmark": 0.5679976728707351, "alpha_pos_frac": 0.5145631067961165, "fund_max_dd": -0.5328046688063566, "first": "1994-10-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "temfx": {"sym": "temfx", "name": "Templeton Foreign Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002587626024620223, "alpha_t_5y": -0.10140632502530547, "alpha_t_full": 2.707960067722521, "r2_5y": 0.8857208056814743, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.3990984384394927, "corr_benchmark": 0.4656387248021525, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.5962477472706134, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "temgx": {"sym": "temgx", "name": "Templeton Global Smaller Companies Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05357052623484461, "alpha_t_5y": -2.4846401574738293, "alpha_t_full": 2.4561399510319255, "r2_5y": 0.9120424047166221, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.33887596024747985, "corr_benchmark": 0.557831882455319, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6859830409880414, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "temix": {"sym": "temix", "name": "FRANKLIN MUTUAL INTERNATIONAL VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.036629653568790985, "alpha_t_5y": 1.6481296644997292, "alpha_t_full": 3.698800714093387, "r2_5y": 0.877496791939151, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.4002518463070662, "corr_benchmark": 0.387064690867593, "alpha_pos_frac": 0.5175438596491229, "fund_max_dd": -0.43402906584161527, "first": "1996-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "temmx": {"sym": "temmx", "name": "Templeton Emerging Markets Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014878431418381096, "alpha_t_5y": 0.46424482596185634, "alpha_t_full": -0.9422613862542171, "r2_5y": 0.7185795968377187, "r2_full": 0.6379235486020527, "corr_portfolio": 0.30572138870935517, "corr_benchmark": 0.4463637215951019, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.7011370490343567, "first": "2006-10-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "temux": {"sym": "temux", "name": "Emerging Markets Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.017696222507842717, "alpha_t_5y": -0.6513148204568083, "alpha_t_full": 2.068540048641058, "r2_5y": 0.8684811086091857, "r2_full": 0.0, "corr_portfolio": 0.2959677158429232, "corr_benchmark": 0.47271736738487086, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.6808523022868087, "first": "1994-04-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "temwx": {"sym": "temwx", "name": "Templeton World Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.039853788830225195, "alpha_t_5y": -1.8039321754569646, "alpha_t_full": 2.931404868108912, "r2_5y": 0.9155087596670696, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.28443345631858785, "corr_benchmark": 0.5246059220038021, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.552579063475811, "first": "1995-08-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tepax": {"sym": "tepax", "name": "American Funds Tax-Exempt Preservation Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004772946538530253, "alpha_t_5y": -0.5905103162898044, "alpha_t_full": 2.788426038548012, "r2_5y": 0.31407161522995264, "r2_full": 0.26910853322878914, "corr_portfolio": 0.018190050463802218, "corr_benchmark": 0.3295800287658935, "alpha_pos_frac": 0.5393939393939394, "fund_max_dd": -0.07123755794386166, "first": "2012-05-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "teplx": {"sym": "teplx", "name": "Templeton Growth Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03761694587786384, "alpha_t_5y": -2.2713642023393974, "alpha_t_full": 2.973739400259328, "r2_5y": 0.9360683246271666, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.3736562489361961, "corr_benchmark": 0.5285375716948753, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6254376005049376, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "teqix": {"sym": "teqix", "name": "FRANKLIN MUTUAL QUEST FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006867588664565853, "alpha_t_5y": 0.3769901582594574, "alpha_t_full": 1.9948277202440183, "r2_5y": 0.8522817218968154, "r2_full": 0.6555649901172602, "corr_portfolio": 0.35896953202970655, "corr_benchmark": 0.4498033924686179, "alpha_pos_frac": 0.5657894736842105, "fund_max_dd": -0.5040691271509095, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tesix": {"sym": "tesix", "name": "FRANKLIN MUTUAL SHARES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0026880299218765297, "alpha_t_5y": -0.14161931309174003, "alpha_t_full": 0.8996255794121161, "r2_5y": 0.9058539896023985, "r2_full": 0.8494285564783535, "corr_portfolio": 0.40843876205205004, "corr_benchmark": 0.5200861281928941, "alpha_pos_frac": 0.5176470588235295, "fund_max_dd": -0.537641288963237, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tfcax": {"sym": "tfcax", "name": "SIMT Tax-Free Conservative Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017528266352963718, "alpha_t_5y": 6.67387933446532, "alpha_t_full": 5.228075974626178, "r2_5y": 0.18759486735972708, "r2_full": 0.15351783199077162, "corr_portfolio": 0.04910903071653832, "corr_benchmark": 0.03292002723070588, "alpha_pos_frac": 0.411214953271028, "fund_max_dd": -0.0019997019175110875, "first": "2017-03-21", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "tfoax": {"sym": "tfoax", "name": "Touchstone Focused Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01073503998378958, "alpha_t_5y": -0.6520009420340115, "alpha_t_full": -0.4101333568278998, "r2_5y": 0.9432638972238759, "r2_full": 0.9320216718174084, "corr_portfolio": 0.27267459755885776, "corr_benchmark": 0.5940257405240361, "alpha_pos_frac": 0.4553191489361702, "fund_max_dd": -0.5400289788226308, "first": "2003-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tfscx": {"sym": "tfscx", "name": "Foreign Smaller Companies Series", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.052029188680581, "alpha_t_5y": -2.172021970665015, "alpha_t_full": -1.3804867662776747, "r2_5y": 0.858282438375854, "r2_full": 0.6579104363923791, "corr_portfolio": 0.3552470610263158, "corr_benchmark": 0.51263013996154, "alpha_pos_frac": 0.6053811659192825, "fund_max_dd": -0.730853077273471, "first": "2002-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tgfrx": {"sym": "tgfrx", "name": "TANAKA Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03448377029777284, "alpha_t_5y": 0.4617191740935512, "alpha_t_full": 0.2059224726838762, "r2_5y": 0.6696157282821655, "r2_full": 0.630398569308291, "corr_portfolio": 0.16079718476127808, "corr_benchmark": 0.5000343087114791, "alpha_pos_frac": 0.4196078431372549, "fund_max_dd": -0.7443439001214138, "first": "1999-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "tggbx": {"sym": "tggbx", "name": "TCW Global Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009996857477980707, "alpha_t_5y": -0.7920582747084447, "alpha_t_full": 0.24987392574339454, "r2_5y": 0.7931456575100936, "r2_full": 0.7326749102782459, "corr_portfolio": -0.006292855876287324, "corr_benchmark": 0.5729334003265142, "alpha_pos_frac": 0.4853801169590643, "fund_max_dd": -0.2729214111993973, "first": "2011-12-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "tgpex": {"sym": "tgpex", "name": "T. Rowe Price Global Impact Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06161488955203147, "alpha_t_5y": -2.3999971622198637, "alpha_t_full": -2.3999971622198637, "r2_5y": 0.8951244563691637, "r2_full": 0.8951244563691637, "corr_portfolio": -0.0010356133121334652, "corr_benchmark": 0.6813106663901541, "alpha_pos_frac": 0.4, "fund_max_dd": -0.3511631929430079, "first": "2021-03-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tgrnx": {"sym": "tgrnx", "name": "Nuveen Green Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011226163360007368, "alpha_t_5y": -1.7116859300842213, "alpha_t_full": 1.4212019839659906, "r2_5y": 0.9294392214581652, "r2_full": 0.8872625331826296, "corr_portfolio": -0.05616261698686053, "corr_benchmark": 0.6728401105118296, "alpha_pos_frac": 0.5057471264367817, "fund_max_dd": -0.17406011251972076, "first": "2018-11-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tgtrx": {"sym": "tgtrx", "name": "Templeton Global Bond Enhanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004880984156209832, "alpha_t_5y": 0.22899886205154804, "alpha_t_full": -2.2573635794672073, "r2_5y": 0.6856750913205097, "r2_full": 0.3343343275308176, "corr_portfolio": 0.17533529892107785, "corr_benchmark": 0.34562327690055017, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.33657275894656113, "first": "2008-10-06", "verdict": "weak/unstable alpha", "alpha_name": false}, "tgvfx": {"sym": "tgvfx", "name": "Touchstone Dynamic Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02434670041750207, "alpha_t_5y": -1.1469107004173302, "alpha_t_full": -1.0410509256514444, "r2_5y": 0.9455760474761615, "r2_full": 0.9219355778035931, "corr_portfolio": 0.1800202215553992, "corr_benchmark": 0.6128668352246216, "alpha_pos_frac": 0.5486381322957199, "fund_max_dd": -0.6940851744209513, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "thcgx": {"sym": "thcgx", "name": "Thornburg Focus Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1022469156250678, "alpha_t_5y": -2.4857622425130415, "alpha_t_full": -1.3851435657784934, "r2_5y": 0.8585603948061089, "r2_full": 0.8612902911244721, "corr_portfolio": 0.11814944682682724, "corr_benchmark": 0.5760948734844902, "alpha_pos_frac": 0.5033112582781457, "fund_max_dd": -0.6346979045973737, "first": "2000-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "thyax": {"sym": "thyax", "name": "Touchstone High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0002664919880200939, "alpha_t_5y": -0.02555199056866782, "alpha_t_full": 2.0589628546270267, "r2_5y": 0.7309044354545038, "r2_full": 0.7013536687169637, "corr_portfolio": 0.320674482590304, "corr_benchmark": 0.4360670140715314, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.3148610592143326, "first": "2001-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "tiagx": {"sym": "tiagx", "name": "Timothy Plan Small/Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008962976574305451, "alpha_t_5y": 0.22162144275150283, "alpha_t_full": -0.8779720485933102, "r2_5y": 0.8365122161288733, "r2_full": 0.8505834434825282, "corr_portfolio": 0.1800611481886855, "corr_benchmark": 0.5559653010391866, "alpha_pos_frac": 0.41721854304635764, "fund_max_dd": -0.3434110325511702, "first": "2013-08-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "tibdx": {"sym": "tibdx", "name": "Nuveen Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004471912105166287, "alpha_t_5y": 0.8640076120153619, "alpha_t_full": 4.578016237271379, "r2_5y": 0.9494040025090948, "r2_full": 0.008045678697047864, "corr_portfolio": -0.04336856780608212, "corr_benchmark": 0.7073725960375853, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.1838649988113752, "first": "1999-06-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tibfx": {"sym": "tibfx", "name": "Nuveen Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0063889893817939206, "alpha_t_5y": 1.1809584090247767, "alpha_t_full": 0.5813104867780265, "r2_5y": 0.9401497119358182, "r2_full": 0.7514847851854729, "corr_portfolio": -0.010280208636048872, "corr_benchmark": 0.7064398600908561, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.18432690770448923, "first": "2006-04-06", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tibnx": {"sym": "tibnx", "name": "Nuveen International Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026954570463913765, "alpha_t_5y": 0.3196637301267803, "alpha_t_full": 1.2875592946574443, "r2_5y": 0.632264423451814, "r2_full": 0.5245791349462188, "corr_portfolio": 0.02307543932768409, "corr_benchmark": 0.5531375636513809, "alpha_pos_frac": 0.5565217391304348, "fund_max_dd": -0.16446696667408633, "first": "2016-08-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "ticix": {"sym": "ticix", "name": "Timothy Plan Israel Common Values Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04090601225255373, "alpha_t_5y": 0.5902255525178538, "alpha_t_full": 0.603501543885638, "r2_5y": 0.38159431926390475, "r2_full": 0.4244422076805815, "corr_portfolio": 0.20518213328979942, "corr_benchmark": 0.39885990256637016, "alpha_pos_frac": 0.4966887417218543, "fund_max_dd": -0.43871192379439283, "first": "2013-08-08", "verdict": "weak/unstable alpha", "alpha_name": false}, "tigix": {"sym": "tigix", "name": "Timothy Plan Growth & Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01007661788823042, "alpha_t_5y": -0.6806277851193054, "alpha_t_full": -1.8402456119764774, "r2_5y": 0.8229920702696303, "r2_full": 0.8245644793033258, "corr_portfolio": 0.3667809432258915, "corr_benchmark": 0.6228481314582354, "alpha_pos_frac": 0.47651006711409394, "fund_max_dd": -0.25034714037757, "first": "2013-10-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "tihyx": {"sym": "tihyx", "name": "Nuveen High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004442524179050119, "alpha_t_5y": 0.5866068372937635, "alpha_t_full": 0.5008805325351756, "r2_5y": 0.8722170469504861, "r2_full": 0.8572566881288612, "corr_portfolio": 0.31299117388435915, "corr_benchmark": 0.44363857147987257, "alpha_pos_frac": 0.5397489539748954, "fund_max_dd": -0.27526287934450333, "first": "2006-04-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tiilx": {"sym": "tiilx", "name": "Nuveen Inflation Linked Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014723487973684245, "alpha_t_5y": 1.5581912291704827, "alpha_t_full": 1.0823186520239028, "r2_5y": 0.7262428537491082, "r2_full": 0.5880071934550006, "corr_portfolio": -0.04128237922594017, "corr_benchmark": 0.5525487601146473, "alpha_pos_frac": 0.5404255319148936, "fund_max_dd": -0.14238606524330766, "first": "2002-10-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "tilcx": {"sym": "tilcx", "name": "T. 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Rowe Price Retirement Blend 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011959486557816923, "alpha_t_5y": -1.2261183720873785, "alpha_t_full": -1.2261183720873785, "r2_5y": 0.9801857447970401, "r2_full": 0.9801857447970401, "corr_portfolio": 0.1323807561826688, "corr_benchmark": 0.6914619990998114, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26675389087565127, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trbpx": {"sym": "trbpx", "name": "T. Rowe Price Retirement Blend 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011412155728524156, "alpha_t_5y": -1.1666627216505825, "alpha_t_full": -1.1666627216505825, "r2_5y": 0.9800370369683451, "r2_full": 0.9800370369683451, "corr_portfolio": 0.13268252999816066, "corr_benchmark": 0.6901183715050525, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26775977188239486, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trbqx": {"sym": "trbqx", "name": "T. Rowe Price Retirement Blend 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009439707355301983, "alpha_t_5y": -0.9771375430982103, "alpha_t_full": -0.9771375430982103, "r2_5y": 0.9797217926336012, "r2_full": 0.9797217926336012, "corr_portfolio": 0.13114396734773132, "corr_benchmark": 0.6964489202017895, "alpha_pos_frac": 0.6, "fund_max_dd": -0.26469965796006767, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trbsx": {"sym": "trbsx", "name": "T. Rowe Price Retirement Blend 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011900964429349917, "alpha_t_5y": -1.2068036194297929, "alpha_t_full": -1.2068036194297929, "r2_5y": 0.9795956021279856, "r2_full": 0.9795956021279856, "corr_portfolio": 0.1308819039755111, "corr_benchmark": 0.6908790211206896, "alpha_pos_frac": 0.6, "fund_max_dd": -0.2664408230433456, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trbux": {"sym": "trbux", "name": "T. Rowe Price Ultra Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008759353654629237, "alpha_t_5y": 1.2536584465123017, "alpha_t_full": 3.2842921857140275, "r2_5y": 0.1942000045631651, "r2_full": 0.2109558131503706, "corr_portfolio": 0.07427905760334669, "corr_benchmark": 0.1297093729891529, "alpha_pos_frac": 0.48322147651006714, "fund_max_dd": -0.041502532323576036, "first": "2013-10-04", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "trdfx": {"sym": "trdfx", "name": "Steward Values Enhanced Small-Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0027497568940628185, "alpha_t_5y": 0.0680750473827925, "alpha_t_full": -1.2987386089738324, "r2_5y": 0.809925943304264, "r2_full": 0.8796343663862414, "corr_portfolio": 0.28837206601486226, "corr_benchmark": 0.5080527914849432, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.6159716192207023, "first": "2000-05-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "tremx": {"sym": "tremx", "name": "T. Rowe Price Emerging Europe Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03961447685595291, "alpha_t_5y": -0.28925484943092483, "alpha_t_full": -0.3336394777830352, "r2_5y": 0.27198853657603195, "r2_full": 0.32667089469639554, "corr_portfolio": 0.2362461861483492, "corr_benchmark": 0.30054435504995547, "alpha_pos_frac": 0.6723404255319149, "fund_max_dd": -0.9214788812603731, "first": "2000-10-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "trffx": {"sym": "trffx", "name": "T. Rowe Price Target 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013921093672756424, "alpha_t_5y": -1.2550234278440533, "alpha_t_full": 0.32560149455895343, "r2_5y": 0.9687128980680751, "r2_full": 0.9065529900159964, "corr_portfolio": 0.2981205764796205, "corr_benchmark": 0.596843954403721, "alpha_pos_frac": 0.49333333333333335, "fund_max_dd": -0.3186205982611737, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trfox": {"sym": "trfox", "name": "T. Rowe Price Target 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01026668355218297, "alpha_t_5y": -0.9594127679495172, "alpha_t_full": 0.32897207079874413, "r2_5y": 0.9688161724909243, "r2_full": 0.9053502197244703, "corr_portfolio": 0.2964354168647663, "corr_benchmark": 0.6035326497293934, "alpha_pos_frac": 0.4866666666666667, "fund_max_dd": -0.3092287583317923, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trgrx": {"sym": "trgrx", "name": "T. Rowe Price Global Real Estate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.029011289359265325, "alpha_t_5y": -1.8113436986791285, "alpha_t_full": -2.021668840175893, "r2_5y": 0.942678312657112, "r2_full": 0.9262552104213897, "corr_portfolio": 0.3017466432737209, "corr_benchmark": 0.5859666293413365, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.4466112184597826, "first": "2008-10-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trhrx": {"sym": "trhrx", "name": "T. Rowe Price Target 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007532397454080434, "alpha_t_5y": -0.8233169367423578, "alpha_t_full": 0.9384294633981347, "r2_5y": 0.9679178745026998, "r2_full": 0.9099612100496738, "corr_portfolio": 0.29687643803098435, "corr_benchmark": 0.6203384576671678, "alpha_pos_frac": 0.5133333333333333, "fund_max_dd": -0.28530464649762055, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trhyx": {"sym": "trhyx", "name": "T. Rowe Price Institutional High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006405729034093752, "alpha_t_5y": 0.777177236068487, "alpha_t_full": 3.3729580170187567, "r2_5y": 0.849232027075457, "r2_full": 0.7707296147225715, "corr_portfolio": 0.2935555395326901, "corr_benchmark": 0.3729841132823971, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.2730604222583841, "first": "2002-06-06", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "trigx": {"sym": "trigx", "name": "T. Rowe Price International Value Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05272058027483133, "alpha_t_5y": 3.328411572025639, "alpha_t_full": 1.8157198763057274, "r2_5y": 0.9427352283734781, "r2_full": 0.924737735241814, "corr_portfolio": 0.4368738108493859, "corr_benchmark": 0.5006283416085692, "alpha_pos_frac": 0.512396694214876, "fund_max_dd": -0.6228372700498777, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trlax": {"sym": "trlax", "name": "T. Rowe Price Retirement Income 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005230481137787123, "alpha_t_5y": -0.7182843293542832, "alpha_t_full": -0.06532677661208176, "r2_5y": 0.9595985942813768, "r2_full": 0.8958890132426305, "corr_portfolio": 0.2584422867756668, "corr_benchmark": 0.6891757502935738, "alpha_pos_frac": 0.5619047619047619, "fund_max_dd": -0.23824468596925807, "first": "2017-06-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trlgx": {"sym": "trlgx", "name": "T. Rowe Price Large-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03713980841438841, "alpha_t_5y": -1.5363694652924191, "alpha_t_full": 0.07824429034742189, "r2_5y": 0.9321187682287765, "r2_full": 0.9306853989540017, "corr_portfolio": 0.14241515613408276, "corr_benchmark": 0.6056939230230594, "alpha_pos_frac": 0.5426008968609866, "fund_max_dd": -0.5556106299233603, "first": "2001-11-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trlvx": {"sym": "trlvx", "name": "SIMT CORE FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00522945770463527, "alpha_t_5y": -1.1636040945264872, "alpha_t_full": 6.336874381815047, "r2_5y": 0.9703424982357559, "r2_full": -6.661338147750939e-16, "corr_portfolio": -0.07571077731760581, "corr_benchmark": 0.7174791376242576, "alpha_pos_frac": 0.43352601156069365, "fund_max_dd": -0.2051291296142419, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trmcx": {"sym": "trmcx", "name": "T. Rowe Price Mid-Cap Value Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.035266695111448476, "alpha_t_5y": 1.3838789059550358, "alpha_t_full": 3.3074310146279795, "r2_5y": 0.87723821878353, "r2_full": 0.9070048710440238, "corr_portfolio": 0.3748937184824466, "corr_benchmark": 0.5328352832188834, "alpha_pos_frac": 0.4605263157894737, "fund_max_dd": -0.5527600007517954, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trmvx": {"sym": "trmvx", "name": "SIMT LARGE CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023920842373399444, "alpha_t_5y": 1.364194432289992, "alpha_t_full": 3.206766723093051, "r2_5y": 0.9228158517763114, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.4179553578657548, "corr_benchmark": 0.4958292132608764, "alpha_pos_frac": 0.5063829787234042, "fund_max_dd": -0.6035437878459973, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trosx": {"sym": "trosx", "name": "T. Rowe Price Overseas Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0010623727397914445, "alpha_t_5y": -0.09015703884241828, "alpha_t_full": -0.5925719496960928, "r2_5y": 0.9691984453097194, "r2_full": 0.9612437015021177, "corr_portfolio": 0.39011073874025265, "corr_benchmark": 0.539462923742001, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6111402752503642, "first": "2007-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trpbx": {"sym": "trpbx", "name": "T. Rowe Price Spectrum Moderate Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00344334456146991, "alpha_t_5y": -0.43813047273725875, "alpha_t_full": 4.48052039437517, "r2_5y": 0.9642600779897569, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.30385994820148754, "corr_benchmark": 0.6521074357638844, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.4164005501885859, "first": "1994-08-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrax": {"sym": "trrax", "name": "T. Rowe Price Retirement 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0031353732516558614, "alpha_t_5y": 0.5079741575060417, "alpha_t_full": 1.2442544376734421, "r2_5y": 0.9630061435042842, "r2_full": 0.8809392170918507, "corr_portfolio": 0.2794188545031089, "corr_benchmark": 0.6653124654412251, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.38811080108942575, "first": "2002-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrbx": {"sym": "trrbx", "name": "T. Rowe Price Retirement 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011337241319269097, "alpha_t_5y": -0.1739746620620052, "alpha_t_full": 1.116290604623269, "r2_5y": 0.9669916504930995, "r2_full": 0.8953025109135376, "corr_portfolio": 0.2987242249086373, "corr_benchmark": 0.6078040258946251, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4704105646231611, "first": "2002-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrcx": {"sym": "trrcx", "name": "T. Rowe Price Retirement 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006937856125564424, "alpha_t_5y": -0.8177642491465346, "alpha_t_full": 0.7818011279280109, "r2_5y": 0.966145740139196, "r2_full": 0.9227280854179392, "corr_portfolio": 0.298281333930085, "corr_benchmark": 0.6116897426441269, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5227635722973087, "first": "2002-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrdx": {"sym": "trrdx", "name": "T. Rowe Price Retirement 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0071589872780303725, "alpha_t_5y": -0.6929518617070277, "alpha_t_full": 0.28447927129022965, "r2_5y": 0.9687968710551811, "r2_full": 0.9275111768291024, "corr_portfolio": 0.2973140641234486, "corr_benchmark": 0.5713062117907163, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5350214865231903, "first": "2002-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrex": {"sym": "trrex", "name": "T. Rowe Price Real Estate Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0071647154182597666, "alpha_t_5y": 0.5370450456211956, "alpha_t_full": -0.3539428543982906, "r2_5y": 0.9708868111334393, "r2_full": 0.9745445900414854, "corr_portfolio": 0.2515211343367717, "corr_benchmark": 0.5431697331007489, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.7488544903907176, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrfx": {"sym": "trrfx", "name": "T. Rowe Price Retirement 2005 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0002817318886143186, "alpha_t_5y": -0.046753381386153814, "alpha_t_full": 0.9401621746905857, "r2_5y": 0.9596831805595085, "r2_full": 0.8795989596336702, "corr_portfolio": 0.28139335643396185, "corr_benchmark": 0.6818919935288905, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.3328666765098459, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrgx": {"sym": "trrgx", "name": "T. Rowe Price Retirement 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003499380312089762, "alpha_t_5y": 0.5390199429195418, "alpha_t_full": 0.822086996164251, "r2_5y": 0.9633154375345114, "r2_full": 0.8989373843710086, "corr_portfolio": 0.29613026405873155, "corr_benchmark": 0.6421584279318412, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.43172748938898153, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrhx": {"sym": "trrhx", "name": "T. Rowe Price Retirement 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003789870037435742, "alpha_t_5y": -0.5092478661677982, "alpha_t_full": 0.6585245313423999, "r2_5y": 0.9647639544681297, "r2_full": 0.9101848743280521, "corr_portfolio": 0.3026529138056301, "corr_benchmark": 0.5993653227448795, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.5004081796561142, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrix": {"sym": "trrix", "name": "T. Rowe Price Retirement Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001898523579818551, "alpha_t_5y": 0.25409620787466175, "alpha_t_full": 0.5563980279406479, "r2_5y": 0.9348827609996642, "r2_full": 0.9105314145846636, "corr_portfolio": 0.29097661056927476, "corr_benchmark": 0.686648648646273, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.2778294900136292, "first": "2002-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrjx": {"sym": "trrjx", "name": "T. Rowe Price Retirement 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006503864751356544, "alpha_t_5y": -0.6809236447622473, "alpha_t_full": 0.33475921967760874, "r2_5y": 0.9675044643236814, "r2_full": 0.9348782736260168, "corr_portfolio": 0.299599963722003, "corr_benchmark": 0.6101010975450186, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.5356859988759048, "first": "2004-03-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrkx": {"sym": "trrkx", "name": "T. Rowe Price Retirement 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008128961956953345, "alpha_t_5y": -0.7459782577827264, "alpha_t_full": 0.1463617380931346, "r2_5y": 0.9691368223137136, "r2_full": 0.9343750538110263, "corr_portfolio": 0.2983804012237256, "corr_benchmark": 0.5711957232581181, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.5354175200651627, "first": "2005-06-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrlx": {"sym": "trrlx", "name": "T. Rowe Price Retirement 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012381554935083947, "alpha_t_5y": -1.1043078325302271, "alpha_t_full": 0.35828196399126566, "r2_5y": 0.9688170939591075, "r2_full": 0.9209962528343635, "corr_portfolio": 0.2967686034330136, "corr_benchmark": 0.5723250432274474, "alpha_pos_frac": 0.4928571428571429, "fund_max_dd": -0.32520951718812996, "first": "2014-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrmx": {"sym": "trrmx", "name": "T. Rowe Price Retirement 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01228290289286564, "alpha_t_5y": -1.110946979501089, "alpha_t_full": 0.8454919543614511, "r2_5y": 0.969398802467741, "r2_full": 0.9357036757739686, "corr_portfolio": 0.29816081980592246, "corr_benchmark": 0.5705376126570693, "alpha_pos_frac": 0.547085201793722, "fund_max_dd": -0.5358517145063242, "first": "2007-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrnx": {"sym": "trrnx", "name": "T. Rowe Price Retirement 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012559792828289526, "alpha_t_5y": -1.1295635844563545, "alpha_t_full": 0.8287595937440662, "r2_5y": 0.9693823661864609, "r2_full": 0.9362762165854834, "corr_portfolio": 0.2978277265690301, "corr_benchmark": 0.5711043901734617, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5359178444695402, "first": "2007-01-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrox": {"sym": "trrox", "name": "T. Rowe Price Target 2010 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0028166444492443445, "alpha_t_5y": 0.4883824726517198, "alpha_t_full": 0.5896101006632796, "r2_5y": 0.951535141998364, "r2_full": 0.8770517200740651, "corr_portfolio": 0.2852016210940783, "corr_benchmark": 0.719234837672153, "alpha_pos_frac": 0.52, "fund_max_dd": -0.18106322287007803, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrtx": {"sym": "trrtx", "name": "T. Rowe Price Target 2015 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.002526820179480905, "alpha_t_5y": 0.43330218057969183, "alpha_t_full": 0.9820606698500749, "r2_5y": 0.954293346220387, "r2_full": 0.8749903430572599, "corr_portfolio": 0.2926118900129521, "corr_benchmark": 0.7042287993584035, "alpha_pos_frac": 0.5266666666666666, "fund_max_dd": -0.18648199521672404, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrux": {"sym": "trrux", "name": "T. Rowe Price Target 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0020193727158030125, "alpha_t_5y": 0.32943462906874266, "alpha_t_full": 0.8001564873535312, "r2_5y": 0.954782096722863, "r2_full": 0.884079003759827, "corr_portfolio": 0.29756024184792296, "corr_benchmark": 0.6774556762627556, "alpha_pos_frac": 0.52, "fund_max_dd": -0.20190030115654423, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trrwx": {"sym": "trrwx", "name": "T. Rowe Price Target 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0034054587678383707, "alpha_t_5y": -0.4749653538174685, "alpha_t_full": 0.4746169606871384, "r2_5y": 0.9647525348370692, "r2_full": 0.8999246298182431, "corr_portfolio": 0.29968086851194886, "corr_benchmark": 0.6408545310070322, "alpha_pos_frac": 0.52, "fund_max_dd": -0.24625757817661187, "first": "2013-08-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trsgx": {"sym": "trsgx", "name": "T. Rowe Price Spectrum Moderate Growth Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012300918738520702, "alpha_t_5y": -1.2412736378606595, "alpha_t_full": 1.1397914213080746, "r2_5y": 0.9662132762135492, "r2_full": 0.921791775579397, "corr_portfolio": 0.3060216917010713, "corr_benchmark": 0.6175436073692715, "alpha_pos_frac": 0.5202312138728323, "fund_max_dd": -0.5183913048532682, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trssx": {"sym": "trssx", "name": "T. Rowe Price Institutional Small-Cap Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020154217294401536, "alpha_t_5y": -1.0963659652915194, "alpha_t_full": 2.172773807495157, "r2_5y": 0.9517494090236068, "r2_full": 0.9501619110552969, "corr_portfolio": 0.24667288833176768, "corr_benchmark": 0.5654874312204761, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5637954249716823, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trszx": {"sym": "trszx", "name": "T. Rowe Price Mid-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03376308292947017, "alpha_t_5y": -1.2501480883554663, "alpha_t_full": -0.5752169889092271, "r2_5y": 0.9176701505540836, "r2_full": 0.9099379835679573, "corr_portfolio": 0.04665805054534509, "corr_benchmark": 0.6419122161243292, "alpha_pos_frac": 0.4782608695652174, "fund_max_dd": -0.37236442610077347, "first": "2020-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trtfx": {"sym": "trtfx", "name": "T. Rowe Price Target 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.013066807829525122, "alpha_t_5y": -1.164602570498844, "alpha_t_full": 0.48541516830047415, "r2_5y": 0.968846539733517, "r2_full": 0.9078003916606758, "corr_portfolio": 0.29583272422335183, "corr_benchmark": 0.5978221267538361, "alpha_pos_frac": 0.5285714285714286, "fund_max_dd": -0.3258964762824349, "first": "2014-06-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trulx": {"sym": "trulx", "name": "T. Rowe Price U.S. Large-Cap Core Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003332001211170131, "alpha_t_5y": -0.266754156644365, "alpha_t_full": 0.20061136917333225, "r2_5y": 0.9638382090517676, "r2_full": 0.9737749058565769, "corr_portfolio": 0.2862033297916868, "corr_benchmark": 0.612235786722797, "alpha_pos_frac": 0.48, "fund_max_dd": -0.33677103176147216, "first": "2009-06-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trvlx": {"sym": "trvlx", "name": "T. Rowe Price Value Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020406853531374496, "alpha_t_5y": 1.0672640523682002, "alpha_t_full": 1.3155812713646973, "r2_5y": 0.8947591114541176, "r2_full": 0.9245212049041056, "corr_portfolio": 0.37788207395631823, "corr_benchmark": 0.5409339904373314, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.602219262833283, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "trzix": {"sym": "trzix", "name": "T. Rowe Price Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0024425270914342112, "alpha_t_5y": 0.3261218166405895, "alpha_t_full": 0.35708335296757704, "r2_5y": 0.9937932502080089, "r2_full": 0.9943030721458797, "corr_portfolio": 0.14804798480358977, "corr_benchmark": 0.5677063820099201, "alpha_pos_frac": 0.4782608695652174, "fund_max_dd": -0.318947233795982, "first": "2020-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tsbax": {"sym": "tsbax", "name": "T. Rowe Price Retirement Blend 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0027408521604786397, "alpha_t_5y": -0.43407841123629654, "alpha_t_full": -0.43407841123629654, "r2_5y": 0.9738108082764417, "r2_full": 0.9738108082764417, "corr_portfolio": 0.10754332722181416, "corr_benchmark": 0.7945064432509238, "alpha_pos_frac": 0.6, "fund_max_dd": -0.20084952893327235, "first": "2021-07-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tsbpx": {"sym": "tsbpx", "name": "Nuveen Core Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004189138634042899, "alpha_t_5y": 0.7956999102041924, "alpha_t_full": 1.6256369511547524, "r2_5y": 0.9510183833437238, "r2_full": 0.919804133436643, "corr_portfolio": -0.08436424084916484, "corr_benchmark": 0.686817447574109, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.1896542336929249, "first": "2012-09-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tsdjx": {"sym": "tsdjx", "name": "Nuveen Short Duration Impact Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00038226257638055696, "alpha_t_5y": 0.06093274869022963, "alpha_t_full": 4.380587909422949, "r2_5y": 0.670314976907837, "r2_full": 0.6224247946698194, "corr_portfolio": -0.029857852392141365, "corr_benchmark": 0.4325640268952362, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.06310683448911014, "first": "2018-11-19", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "tsdlx": {"sym": "tsdlx", "name": "T. Rowe Price Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005898715519508907, "alpha_t_5y": -0.8871650894556139, "alpha_t_full": -0.8604160444557385, "r2_5y": 0.6456356868901935, "r2_full": 0.6443856439797613, "corr_portfolio": -0.06587200268851977, "corr_benchmark": 0.44889381583949167, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.07281521855435902, "first": "2020-12-09", "verdict": "weak/unstable alpha", "alpha_name": false}, "tsdox": {"sym": "tsdox", "name": "TOUCHSTONE ULTRA SHORT DURATION FIXED INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013023383655819586, "alpha_t_5y": 2.2090499137296837, "alpha_t_full": 11.523850651792879, "r2_5y": 0.23291869312504287, "r2_full": 4.3298697960381105e-15, "corr_portfolio": 0.07503269551980664, "corr_benchmark": 0.13330816115372185, "alpha_pos_frac": 0.34497816593886466, "fund_max_dd": -0.05268803943796485, "first": "1994-03-01", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "tsemx": {"sym": "tsemx", "name": "Touchstone Sands Capital Emerging Markets Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06577671873026811, "alpha_t_5y": -1.7021287764149964, "alpha_t_full": -1.143769360841032, "r2_5y": 0.8248218167881661, "r2_full": 0.7939789164376413, "corr_portfolio": 0.16226871654529576, "corr_benchmark": 0.4858989293789298, "alpha_pos_frac": 0.5070422535211268, "fund_max_dd": -0.5287111163736016, "first": "2014-05-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "tsfax": {"sym": "tsfax", "name": "Touchstone Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01442260448327313, "alpha_t_5y": 0.47959345574122386, "alpha_t_full": 0.13393838393949645, "r2_5y": 0.8539460643522051, "r2_full": 0.8964813182138143, "corr_portfolio": 0.31340281120611374, "corr_benchmark": 0.5109798511811051, "alpha_pos_frac": 0.5025380710659898, "fund_max_dd": -0.3898163197734611, "first": "2009-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ttifx": {"sym": "ttifx", "name": "Goldman Sachs Tactical Tilt Overlay Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02903411802361076, "alpha_t_5y": 3.1476991715959524, "alpha_t_full": -0.22857240079153354, "r2_5y": 0.6272586156893043, "r2_full": 0.5409746358824927, "corr_portfolio": 0.29977539755958466, "corr_benchmark": 0.3947180583359356, "alpha_pos_frac": 0.4892086330935252, "fund_max_dd": -0.20775620755882096, "first": "2014-08-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "tuhyx": {"sym": "tuhyx", "name": "T. Rowe Price U.S. High Yield Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0030968864171158827, "alpha_t_5y": -0.3179414327483102, "alpha_t_full": 0.920239205723206, "r2_5y": 0.7766756189481296, "r2_full": 0.7385916417837299, "corr_portfolio": 0.28052164153029346, "corr_benchmark": 0.2966262182403779, "alpha_pos_frac": 0.5904761904761905, "fund_max_dd": -0.2237925464690994, "first": "2017-06-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "tunix": {"sym": "tunix", "name": "Transamerica Strategic Income", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01573959383383022, "alpha_t_5y": 0.991881849224114, "alpha_t_full": 1.396938735579913, "r2_5y": 0.29773276889985933, "r2_full": 0.45157782307149297, "corr_portfolio": 0.2137960698600892, "corr_benchmark": 0.3599568807885904, "alpha_pos_frac": 0.44776119402985076, "fund_max_dd": -0.14303688860462338, "first": "2015-01-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "tvafx": {"sym": "tvafx", "name": "Thornburg American Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.057305002198473155, "alpha_t_5y": -1.9804676095646334, "alpha_t_full": -1.2700053789325763, "r2_5y": 0.8949261569576638, "r2_full": 0.8936805313270733, "corr_portfolio": 0.2961239204013723, "corr_benchmark": 0.5734804102644422, "alpha_pos_frac": 0.4649122807017544, "fund_max_dd": -0.5940537521171083, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tvlax": {"sym": "tvlax", "name": "Touchstone Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0036497201183353614, "alpha_t_5y": 0.1727993268779952, "alpha_t_full": -1.7536734681776824, "r2_5y": 0.9034839416907665, "r2_full": 0.7231210485643271, "corr_portfolio": 0.4048592277493252, "corr_benchmark": 0.5150992158466197, "alpha_pos_frac": 0.5829596412556054, "fund_max_dd": -0.7928720723552083, "first": "2003-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tvoax": {"sym": "tvoax", "name": "TOUCHSTONE SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03084946774052984, "alpha_t_5y": 1.2300502192356635, "alpha_t_full": 0.3667836064047043, "r2_5y": 0.9069953168920838, "r2_full": 0.8991315891348134, "corr_portfolio": 0.3349254412114544, "corr_benchmark": 0.476500980023629, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6167304459079515, "first": "2002-03-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "twbix": {"sym": "twbix", "name": "BALANCED FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02066769253031223, "alpha_t_5y": -3.007024404964359, "alpha_t_full": 4.297228332268535, "r2_5y": 0.9777378073957219, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.2570161869197176, "corr_benchmark": 0.729315748058049, "alpha_pos_frac": 0.5369649805447471, "fund_max_dd": -0.33875219292386827, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tweix": {"sym": "tweix", "name": "EQUITY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011742192236493731, "alpha_t_5y": 0.691448409799716, "alpha_t_full": 4.453848632576537, "r2_5y": 0.856754514145268, "r2_full": 5.551115123125783e-16, "corr_portfolio": 0.39009926962587826, "corr_benchmark": 0.5355268130622929, "alpha_pos_frac": 0.4793388429752066, "fund_max_dd": -0.39299031397330886, "first": "1994-08-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "twsmx": {"sym": "twsmx", "name": "STRATEGIC ALLOCATION: MODERATE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009440464445945576, "alpha_t_5y": -1.1543275896539709, "alpha_t_full": 1.6804252367157035, "r2_5y": 0.9673546886137844, "r2_full": 0.897840876068223, "corr_portfolio": 0.31691361824840486, "corr_benchmark": 0.6817079272442443, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.3789188365991417, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "twtix": {"sym": "twtix", "name": "INTERMEDIATE-TERM TAX-FREE BOND FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006838672874051478, "alpha_t_5y": 0.6659747413535196, "alpha_t_full": 8.170644687431741, "r2_5y": 0.40767188422235534, "r2_full": -1.9984014443252818e-15, "corr_portfolio": 0.045230956916167776, "corr_benchmark": 0.3393655420746933, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.11976386982381448, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "twusx": {"sym": "twusx", "name": "SHORT-TERM GOVERNMENT FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016615998866302537, "alpha_t_5y": -2.448238942590717, "alpha_t_full": 7.873766858338122, "r2_5y": 0.6563697675676379, "r2_full": -5.329070518200751e-15, "corr_portfolio": -0.1309637734131736, "corr_benchmark": 0.36251792886634177, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.0935745082555941, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "twvlx": {"sym": "twvlx", "name": "VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.027834673309625566, "alpha_t_5y": 1.4546968883159714, "alpha_t_full": 3.6423332147330343, "r2_5y": 0.8959912358444175, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.4164185682741472, "corr_benchmark": 0.4721646178055893, "alpha_pos_frac": 0.47470817120622566, "fund_max_dd": -0.5319237064196705, "first": "1993-09-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "tzinx": {"sym": "tzinx", "name": "Templeton Global Dynamic Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004039156040228329, "alpha_t_5y": 0.19908481355008442, "alpha_t_full": -0.31865459250165384, "r2_5y": 0.8337267137258991, "r2_full": 0.7658883588111114, "corr_portfolio": 0.35627896925027513, "corr_benchmark": 0.5126435262913371, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.3637009958888874, "first": "2005-07-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "ubvlx": {"sym": "ubvlx", "name": "Undiscovered Managers Behavioral Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03689533163448715, "alpha_t_5y": 1.1667319441134392, "alpha_t_full": 1.3940836157278036, "r2_5y": 0.8678117259776358, "r2_full": 0.852754711990278, "corr_portfolio": 0.36362196532320196, "corr_benchmark": 0.4398895227295159, "alpha_pos_frac": 0.4396551724137931, "fund_max_dd": -0.6724248435588833, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "udbpx": {"sym": "udbpx", "name": "UBS Sustainable Development Bank Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007870824281877154, "alpha_t_5y": -1.460007083216723, "alpha_t_full": -0.7407647768949962, "r2_5y": 0.954078758343184, "r2_full": 0.9461388551719714, "corr_portfolio": -0.2290846646938052, "corr_benchmark": 0.5922471620418397, "alpha_pos_frac": 0.5454545454545454, "fund_max_dd": -0.15443177739034253, "first": "2018-10-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "ugsdx": {"sym": "ugsdx", "name": "U.S. Government Securities Ultra-Short Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.019002553342381698, "alpha_t_5y": 2.653564965744909, "alpha_t_full": 2.238104908618712, "r2_5y": 0.06280864471619119, "r2_full": 0.06357751469503947, "corr_portfolio": -0.04238391995507159, "corr_benchmark": 0.13242771263411637, "alpha_pos_frac": 0.3561643835616438, "fund_max_dd": -0.028518379402283522, "first": "2014-01-07", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "ulst": {"sym": "ulst", "name": "State Street(R) Ultra Short Term Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012173011519714684, "alpha_t_5y": 2.713504036692158, "alpha_t_full": 4.765883464497009, "r2_5y": 0.13905233722295596, "r2_full": 0.07820092926403877, "corr_portfolio": 0.06793588181741887, "corr_benchmark": 0.13662013787709984, "alpha_pos_frac": 0.48322147651006714, "fund_max_dd": -0.062036329618759156, "first": "2013-10-11", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "umemx": {"sym": "umemx", "name": "Columbia Emerging Markets Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.054561262900414874, "alpha_t_5y": -1.7243026934319328, "alpha_t_full": 1.2729375523264779, "r2_5y": 0.8800456972271017, "r2_full": 0.38218715760237687, "corr_portfolio": 0.24857317316905533, "corr_benchmark": 0.4714657925070534, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.6950940557197849, "first": "1999-03-11", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "urlgx": {"sym": "urlgx", "name": "Columbia Select Large Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08163884419333983, "alpha_t_5y": -2.397758627855272, "alpha_t_full": -2.0428294830030547, "r2_5y": 0.8829077323124362, "r2_full": 0.8934720339408053, "corr_portfolio": 0.1107244543411671, "corr_benchmark": 0.5907240899846015, "alpha_pos_frac": 0.5097276264591439, "fund_max_dd": -0.5741740659275987, "first": "2004-10-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "usbnx": {"sym": "usbnx", "name": "Pear Tree Polaris Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03536376842100111, "alpha_t_5y": 1.30009085357306, "alpha_t_full": 2.735245619608678, "r2_5y": 0.8797551124698705, "r2_full": -6.661338147750939e-16, "corr_portfolio": 0.3635993246214791, "corr_benchmark": 0.4532907193506882, "alpha_pos_frac": 0.5882352941176471, "fund_max_dd": -0.6440105774481001, "first": "1992-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "usbox": {"sym": "usbox", "name": "Pear Tree Quality Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016638221163337328, "alpha_t_5y": 0.9378595273689164, "alpha_t_full": 2.967253902177221, "r2_5y": 0.9267329740914544, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.2903499323097966, "corr_benchmark": 0.6040724364774324, "alpha_pos_frac": 0.5201793721973094, "fund_max_dd": -0.6563676729268237, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "usgax": {"sym": "usgax", "name": "Morgan Stanley Long Duration Government Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006895842753383498, "alpha_t_5y": 0.2690606413060357, "alpha_t_full": 2.4533773851682326, "r2_5y": 0.7404640959117235, "r2_full": -6.661338147750939e-16, "corr_portfolio": -0.09791734804413382, "corr_benchmark": 0.563876158680455, "alpha_pos_frac": 0.5375722543352601, "fund_max_dd": -0.2960681709100159, "first": "1997-07-29", "verdict": "weak/unstable alpha", "alpha_name": false}, "usglx": {"sym": "usglx", "name": "U.S. Global Leaders Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08718792757888959, "alpha_t_5y": -3.118561626798733, "alpha_t_full": 3.1389383112355236, "r2_5y": 0.8762055231291324, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.1745467050271182, "corr_benchmark": 0.6189139780433132, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.46818859311981553, "first": "1995-10-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "usiax": {"sym": "usiax", "name": "UBS Ultra Short Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010816756273914879, "alpha_t_5y": 2.0476011821741413, "alpha_t_full": 2.711441448427098, "r2_5y": 0.28192829148057474, "r2_full": 0.21806639707274833, "corr_portfolio": 0.07598460704814652, "corr_benchmark": 0.11094756487650147, "alpha_pos_frac": 0.45454545454545453, "fund_max_dd": -0.022954005229236296, "first": "2018-11-01", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "usmbx": {"sym": "usmbx", "name": "Columbia Ultra Short Duration Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015768682671231504, "alpha_t_5y": 4.2977799665040655, "alpha_t_full": 5.065685730950506, "r2_5y": 0.20831789408176493, "r2_full": 0.22571097792925576, "corr_portfolio": 0.07084603957075758, "corr_benchmark": 0.1699836396566459, "alpha_pos_frac": 0.3900709219858156, "fund_max_dd": -0.01976247273085152, "first": "2014-05-28", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "usmsx": {"sym": "usmsx", "name": "JPMorgan Ultra-Short Municipal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009851491759297235, "alpha_t_5y": 2.852848345912237, "alpha_t_full": 5.612833009258159, "r2_5y": 0.09154342364530965, "r2_full": 0.11978256625494421, "corr_portfolio": 0.0715015547226678, "corr_benchmark": 0.18385198080614543, "alpha_pos_frac": 0.4824561403508772, "fund_max_dd": -0.021036638466940927, "first": "2016-09-06", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "usnyx": {"sym": "usnyx", "name": "Victory New York Bond Fund (Formerly USAA New York Bond Fund)", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": null, "alpha_t_5y": NaN, "alpha_t_full": 7.250843983096449, "r2_5y": NaN, "r2_full": -1.9984014443252818e-15, "corr_portfolio": -0.06597177598949447, "corr_benchmark": 0.3513324398409089, "alpha_pos_frac": NaN, "fund_max_dd": -0.1536148799032271, "first": "1990-10-16", "verdict": "no 5y window", "alpha_name": false}, "utbpx": {"sym": "utbpx", "name": "UBS Multi Income Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0027468243602700973, "alpha_t_5y": 0.3471858570552147, "alpha_t_full": 1.185280465909325, "r2_5y": 0.8455465200863496, "r2_full": 0.8237311715488287, "corr_portfolio": -0.033071102556037256, "corr_benchmark": 0.6810094185790813, "alpha_pos_frac": 0.5982905982905983, "fund_max_dd": -0.16830706148851515, "first": "2016-05-24", "verdict": "weak/unstable alpha", "alpha_name": false}, "vadcx": {"sym": "vadcx", "name": "INVESCO EQUALLY-WEIGHTED S&P 500 FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010078186189675119, "alpha_t_5y": -0.6716519605564315, "alpha_t_full": 0.3640575057351593, "r2_5y": 0.9507838330126491, "r2_full": 0.9302441668256972, "corr_portfolio": 0.3395217403478759, "corr_benchmark": 0.5644233244999419, "alpha_pos_frac": 0.4708171206225681, "fund_max_dd": -0.6074449039682976, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vafax": {"sym": "vafax", "name": "INVESCO AMERICAN FRANCHISE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05805940937934049, "alpha_t_5y": -2.4193743329571644, "alpha_t_full": -1.571819846871243, "r2_5y": 0.9402496800144476, "r2_full": 0.8873334808758627, "corr_portfolio": 0.1656787157586473, "corr_benchmark": 0.5984952867723746, "alpha_pos_frac": 0.5120967741935484, "fund_max_dd": -0.48480433186148675, "first": "2005-06-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "valix": {"sym": "valix", "name": "VALUE LINE CAPITAL APPRECIATION FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.025957657171103828, "alpha_t_5y": -1.0736180552718293, "alpha_t_full": 4.324778188086256, "r2_5y": 0.9104971880427788, "r2_full": 1.1102230246251565e-16, "corr_portfolio": 0.13198256136234532, "corr_benchmark": 0.5864150425985462, "alpha_pos_frac": 0.46613545816733065, "fund_max_dd": -0.3514292143638482, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vallx": {"sym": "vallx", "name": "VALUE LINE LARGER COMPANIES FOCUSED FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0428612834671569, "alpha_t_5y": -1.0838101183601951, "alpha_t_full": 3.4309241477628825, "r2_5y": 0.8824496291241439, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.09270654882121233, "corr_benchmark": 0.5677310953046953, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.5336444527906845, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "valq": {"sym": "valq", "name": "American Century U.S. Quality Value ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.011378576611155055, "alpha_t_5y": 0.5414788411819675, "alpha_t_full": -0.015885202248532626, "r2_5y": 0.8793795828540208, "r2_full": 0.8913628403010078, "corr_portfolio": 0.3794671553074451, "corr_benchmark": 0.5782029027149852, "alpha_pos_frac": 0.4948453608247423, "fund_max_dd": -0.3818733317086854, "first": "2018-01-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "valsx": {"sym": "valsx", "name": "Value Line Select Core Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07457559940121862, "alpha_t_5y": -2.2141694118776263, "alpha_t_full": 3.681965953761505, "r2_5y": 0.785772608842972, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.21417420471866264, "corr_benchmark": 0.5938881369089087, "alpha_pos_frac": 0.601593625498008, "fund_max_dd": -0.5507757839204781, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vasgx": {"sym": "vasgx", "name": "Vanguard LifeStrategy 80/20 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0019713088149484683, "alpha_t_5y": 0.2253136735508793, "alpha_t_full": 0.39330451893742274, "r2_5y": 0.9734356677716531, "r2_full": 0.9753081350403617, "corr_portfolio": 0.31706966237452167, "corr_benchmark": 0.6521553448635754, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.5116353945627726, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vasix": {"sym": "vasix", "name": "Vanguard LifeStrategy 20/80 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.001418705007420399, "alpha_t_5y": 0.2459364880847442, "alpha_t_full": 6.280924228662263, "r2_5y": 0.9400388719798697, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.13340976618852188, "corr_benchmark": 0.9227965079939463, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.18164534820250078, "first": "1994-10-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vasvx": {"sym": "vasvx", "name": "Vanguard Selected Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018673001544566577, "alpha_t_5y": 0.760221595861816, "alpha_t_full": 2.1139018591762526, "r2_5y": 0.9036791785786954, "r2_full": 0.8713253887515673, "corr_portfolio": 0.3915080171084932, "corr_benchmark": 0.512055254856349, "alpha_pos_frac": 0.44298245614035087, "fund_max_dd": -0.5569571920660914, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vbiax": {"sym": "vbiax", "name": "VANGUARD BALANCED INDEX FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00018867064659485957, "alpha_t_5y": 0.03850345835335491, "alpha_t_full": 3.282617441815348, "r2_5y": 0.9887296444220578, "r2_full": 0.960656142752039, "corr_portfolio": 0.2506944778065977, "corr_benchmark": 0.7363201041758902, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.35895989540341255, "first": "2000-11-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vbilx": {"sym": "vbilx", "name": "Vanguard Intermediate-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0022955064101650895, "alpha_t_5y": 0.5248655458956655, "alpha_t_full": -0.6531386290100135, "r2_5y": 0.9719263941227998, "r2_full": 0.9258739414807513, "corr_portfolio": -0.11240404802508555, "corr_benchmark": 0.6534356633098787, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1896336752200526, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vbisx": {"sym": "vbisx", "name": "Vanguard Short-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.015618236814813268, "alpha_t_5y": -2.636866105781551, "alpha_t_full": 7.902124948894756, "r2_5y": 0.8401345154839186, "r2_full": 1.1102230246251565e-15, "corr_portfolio": -0.11910238449861336, "corr_benchmark": 0.4885162453545247, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.08706460794061821, "first": "1994-03-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "vbllx": {"sym": "vbllx", "name": "Vanguard Long-Term Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -4.9416794085918605e-05, "alpha_t_5y": -0.03283773887392453, "alpha_t_full": -2.013357897616742, "r2_5y": 0.9991962768409499, "r2_full": 0.9643270516461444, "corr_portfolio": -0.11998047644620623, "corr_benchmark": 0.7124523584457871, "alpha_pos_frac": 0.023121387283236993, "fund_max_dd": -0.38119415340415796, "first": "2006-02-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vbtlx": {"sym": "vbtlx", "name": "Vanguard Total Bond Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0050443916203711265, "alpha_t_5y": 1.148067770017708, "alpha_t_full": -0.21764470067166966, "r2_5y": 0.967889423831422, "r2_full": 0.8869165987948638, "corr_portfolio": -0.12291627081609816, "corr_benchmark": 0.6901765118664691, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.18683274894502355, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vcaix": {"sym": "vcaix", "name": "Vanguard California Intermediate-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006507115947961157, "alpha_t_5y": 0.6428428819295476, "alpha_t_full": 7.474062762470642, "r2_5y": 0.4034156853754842, "r2_full": -1.3322676295501878e-15, "corr_portfolio": 0.03203158480273146, "corr_benchmark": 0.3539511319031331, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.11210184448885652, "first": "1994-03-07", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vcdax": {"sym": "vcdax", "name": "Vanguard Consumer Discretionary Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.060098595116371424, "alpha_t_5y": -1.4283652366107167, "alpha_t_full": -0.7808789666133087, "r2_5y": 0.8233792791831627, "r2_full": 0.8680569168097301, "corr_portfolio": 0.1750186691459407, "corr_benchmark": 0.60306486278509, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.6165643472913114, "first": "2004-02-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vcitx": {"sym": "vcitx", "name": "Vanguard California Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004940568160459082, "alpha_t_5y": 0.346470071518398, "alpha_t_full": 6.978914672975956, "r2_5y": 0.40575006758918375, "r2_full": 8.881784197001252e-16, "corr_portfolio": 0.024907652736402518, "corr_benchmark": 0.36724217277148424, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.1855415019993064, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vcmdx": {"sym": "vcmdx", "name": "Vanguard Commodity Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017579283745416518, "alpha_t_5y": 0.8295956093114112, "alpha_t_full": 1.685703015855265, "r2_5y": 0.8982006019948215, "r2_full": 0.8958850901886346, "corr_portfolio": 0.2795821366796367, "corr_benchmark": 0.17735773515219105, "alpha_pos_frac": 0.425, "fund_max_dd": -0.26671825078285527, "first": "2019-06-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vcorx": {"sym": "vcorx", "name": "Vanguard Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00668159288187532, "alpha_t_5y": 1.6742534240507458, "alpha_t_full": 2.8404931562274487, "r2_5y": 0.9715854421389868, "r2_full": 0.9610539993942044, "corr_portfolio": -0.12264412486917538, "corr_benchmark": 0.7207038131552557, "alpha_pos_frac": 0.4789915966386555, "fund_max_dd": -0.18192394603083628, "first": "2016-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vcsax": {"sym": "vcsax", "name": "Vanguard Consumer Staples Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012694561195345387, "alpha_t_5y": 0.3254778403260139, "alpha_t_full": 1.7738621502465237, "r2_5y": 0.5151371255701108, "r2_full": 0.6544056461414096, "corr_portfolio": 0.2882251149427622, "corr_benchmark": 0.4644016731460247, "alpha_pos_frac": 0.5148936170212766, "fund_max_dd": -0.34338063462431334, "first": "2004-02-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "vctfx": {"sym": "vctfx", "name": "Nomura Tax-Free Colorado Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005257920672706032, "alpha_t_5y": 0.33674544386854877, "alpha_t_full": 7.210411302466371, "r2_5y": 0.39428021617245157, "r2_full": 1.4432899320127035e-15, "corr_portfolio": 0.03354751448139524, "corr_benchmark": 0.36803987627641754, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.1599051568715547, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vdadx": {"sym": "vdadx", "name": "Vanguard Dividend Appreciation Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0005655309803178049, "alpha_t_5y": 0.035038690458106626, "alpha_t_full": -0.631185973059077, "r2_5y": 0.9258985290432138, "r2_full": 0.943431625452656, "corr_portfolio": 0.33427983126545424, "corr_benchmark": 0.5856666496486237, "alpha_pos_frac": 0.4794520547945205, "fund_max_dd": -0.3169768329708257, "first": "2013-12-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vdeqx": {"sym": "vdeqx", "name": "Vanguard Diversified Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.027600470527176728, "alpha_t_5y": -1.8649307730008784, "alpha_t_full": -1.7842738116322836, "r2_5y": 0.9635265784098658, "r2_full": 0.9749205266200135, "corr_portfolio": 0.25482709335013826, "corr_benchmark": 0.6093989263349344, "alpha_pos_frac": 0.5040322580645161, "fund_max_dd": -0.5625710768724265, "first": "2005-06-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vdigx": {"sym": "vdigx", "name": "Vanguard Dividend Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01611858862272257, "alpha_t_5y": -0.8387252238173276, "alpha_t_full": 3.813146322647154, "r2_5y": 0.8784607489425887, "r2_full": 0.0, "corr_portfolio": 0.3418748994417194, "corr_benchmark": 0.5698482342498701, "alpha_pos_frac": 0.5276595744680851, "fund_max_dd": -0.45227713478781095, "first": "1992-05-18", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vedtx": {"sym": "vedtx", "name": "Vanguard Extended Duration Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002418208510709493, "alpha_t_5y": -0.27200638351442624, "alpha_t_full": 0.12199537608573756, "r2_5y": 0.9903826715638349, "r2_full": 0.9652725825622935, "corr_portfolio": -0.18558920197264625, "corr_benchmark": 0.6408238903819863, "alpha_pos_frac": 0.3988439306358382, "fund_max_dd": -0.600024933592507, "first": "2007-11-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "veirx": {"sym": "veirx", "name": "Vanguard Equity Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018287772466261225, "alpha_t_5y": 1.0649706396995342, "alpha_t_full": 1.6487238516668505, "r2_5y": 0.9120697502897762, "r2_full": 0.9358011669260811, "corr_portfolio": 0.42041148795262556, "corr_benchmark": 0.5313858196545422, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.540193781706579, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vemax": {"sym": "vemax", "name": "Vanguard Emerging Markets Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00184311452351401, "alpha_t_5y": -0.11368751410787245, "alpha_t_full": -0.3799081967510414, "r2_5y": 0.9411511858417948, "r2_full": 0.9228445613749419, "corr_portfolio": 0.2951445799440059, "corr_benchmark": 0.4434035805335151, "alpha_pos_frac": 0.49122807017543857, "fund_max_dd": -0.6644683947953667, "first": "2006-06-26", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vembx": {"sym": "vembx", "name": "Vanguard Emerging Markets Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.014708528313911211, "alpha_t_5y": 0.9261971643125108, "alpha_t_full": 2.460660941794673, "r2_5y": 0.6273125157780319, "r2_full": 0.630638313984763, "corr_portfolio": 0.22324468066885408, "corr_benchmark": 0.5691394381262688, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.24355809364953274, "first": "2016-03-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "venax": {"sym": "venax", "name": "Vanguard Energy Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.06287964490693851, "alpha_t_5y": 0.9473727897843954, "alpha_t_full": 1.135843901876566, "r2_5y": 0.6624241256866985, "r2_full": 0.6048556710980776, "corr_portfolio": 0.37817255218002144, "corr_benchmark": 0.2665561373062884, "alpha_pos_frac": 0.46382978723404256, "fund_max_dd": -0.7441499988758469, "first": "2004-09-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "vesgx": {"sym": "vesgx", "name": "Vanguard Global ESG Select Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017499185359284786, "alpha_t_5y": 1.0256301399061434, "alpha_t_full": 1.7939491337159394, "r2_5y": 0.9222960990361901, "r2_full": 0.9451359186357753, "corr_portfolio": 0.29794896192113646, "corr_benchmark": 0.6351248996428658, "alpha_pos_frac": 0.48148148148148145, "fund_max_dd": -0.30515474131350817, "first": "2019-06-17", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "veusx": {"sym": "veusx", "name": "Vanguard European Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005153063211353744, "alpha_t_5y": 0.32277147552272195, "alpha_t_full": 0.7454666586363886, "r2_5y": 0.9510777172649845, "r2_full": 0.8962250541197164, "corr_portfolio": 0.3709311684863222, "corr_benchmark": 0.5099014544790239, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.6328039885305565, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vevfx": {"sym": "vevfx", "name": "Vanguard Explorer Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02372994953801549, "alpha_t_5y": 1.0115545661285599, "alpha_t_full": 0.6827541443396462, "r2_5y": 0.9276005400836747, "r2_full": 0.9479452690753474, "corr_portfolio": 0.33909903365840977, "corr_benchmark": 0.5158136521614146, "alpha_pos_frac": 0.4869109947643979, "fund_max_dd": -0.4753387060772998, "first": "2010-03-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vexax": {"sym": "vexax", "name": "Vanguard Extended Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.028705534065953317, "alpha_t_5y": -1.6211951602648929, "alpha_t_full": 0.6896305976673583, "r2_5y": 0.9644731164648445, "r2_full": 0.959077782630777, "corr_portfolio": 0.2230802003072895, "corr_benchmark": 0.5943085948297318, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5808381183905612, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vexrx": {"sym": "vexrx", "name": "VANGUARD EXPLORER FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.030472535497051825, "alpha_t_5y": -1.618354041119709, "alpha_t_full": -0.7207535290200064, "r2_5y": 0.9554242357771968, "r2_full": 0.9541820933137369, "corr_portfolio": 0.2244982428070145, "corr_benchmark": 0.5843823091304061, "alpha_pos_frac": 0.5097276264591439, "fund_max_dd": -0.5726144976083822, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfaix": {"sym": "vfaix", "name": "Vanguard Financials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.022328952532531154, "alpha_t_5y": 0.6778305935571376, "alpha_t_full": 0.07797882268856153, "r2_5y": 0.8364222132982957, "r2_full": 0.8190665777247261, "corr_portfolio": 0.394242804383243, "corr_benchmark": 0.42919503085273425, "alpha_pos_frac": 0.4823529411764706, "fund_max_dd": -0.7863890059133843, "first": "2004-02-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vffvx": {"sym": "vffvx", "name": "Vanguard Target Retirement 2055 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018591390250486122, "alpha_t_5y": 0.19801135977283277, "alpha_t_full": 0.1660093991699885, "r2_5y": 0.9752149725809754, "r2_full": 0.9875868671288203, "corr_portfolio": 0.32318562886665486, "corr_benchmark": 0.6292735481950245, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.3139639878415412, "first": "2010-08-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfiax": {"sym": "vfiax", "name": "Vanguard 500 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010478385822677958, "alpha_t_5y": 0.23658910095011115, "alpha_t_full": 0.02529056154144726, "r2_5y": 0.996038023907253, "r2_full": 0.9862010631339633, "corr_portfolio": 0.2837530074798181, "corr_benchmark": 0.6172231249634884, "alpha_pos_frac": 0.5445544554455446, "fund_max_dd": -0.5520358948934877, "first": "2000-11-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfidx": {"sym": "vfidx", "name": "Vanguard Intermediate-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005507096440962219, "alpha_t_5y": 1.1088535143601428, "alpha_t_full": -0.489843714545275, "r2_5y": 0.963804512981305, "r2_full": 0.86831702473929, "corr_portfolio": -0.04028824543009168, "corr_benchmark": 0.6874770996371689, "alpha_pos_frac": 0.4624277456647399, "fund_max_dd": -0.2011992608951796, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfifx": {"sym": "vfifx", "name": "Vanguard Target Retirement 2050 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00024169769100317387, "alpha_t_5y": -0.025740538752584547, "alpha_t_full": -0.3283906113833097, "r2_5y": 0.9751847462306144, "r2_full": 0.9878444585872306, "corr_portfolio": 0.3231543750658838, "corr_benchmark": 0.6291760498570858, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.5167987422886766, "first": "2006-06-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfijx": {"sym": "vfijx", "name": "Vanguard GNMA Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0006280587246192198, "alpha_t_5y": -0.11171571092874799, "alpha_t_full": -0.018137236712106177, "r2_5y": 0.9496749777428514, "r2_full": 0.6610460306194912, "corr_portfolio": -0.08354973396931384, "corr_benchmark": 0.6354716230766317, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.15951588498293567, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfirx": {"sym": "vfirx", "name": "Vanguard Short-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01617831570729706, "alpha_t_5y": -2.37585650996782, "alpha_t_full": 6.395493661618736, "r2_5y": 0.7443445487661412, "r2_full": 0.047454089025103396, "corr_portfolio": -0.13692369946448596, "corr_benchmark": 0.41071495730465024, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.06740494755054938, "first": "2001-02-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "vfiux": {"sym": "vfiux", "name": "Vanguard Intermediate-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0037662902563903138, "alpha_t_5y": 0.7134743920677603, "alpha_t_full": 1.1113240077682787, "r2_5y": 0.9473300477427904, "r2_full": 0.9054186900409068, "corr_portfolio": -0.16885815692264297, "corr_benchmark": 0.5734439615238741, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.15305938304943445, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfmf": {"sym": "vfmf", "name": "Vanguard U.S. Multifactor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04430940300627395, "alpha_t_5y": 1.9588250247537693, "alpha_t_full": 1.3904671013494476, "r2_5y": 0.9117955299317566, "r2_full": 0.9338153563677893, "corr_portfolio": 0.39549773196800336, "corr_benchmark": 0.5524721104484916, "alpha_pos_frac": 0.4791666666666667, "fund_max_dd": -0.41339293374482533, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfmfx": {"sym": "vfmfx", "name": "Vanguard U.S. Multifactor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04020804067081005, "alpha_t_5y": 1.9863556861199765, "alpha_t_full": 1.257774515526234, "r2_5y": 0.9288619754917652, "r2_full": 0.9483449056749241, "corr_portfolio": 0.3942926442224065, "corr_benchmark": 0.5570907314888772, "alpha_pos_frac": 0.4375, "fund_max_dd": -0.4118012744719991, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfmo": {"sym": "vfmo", "name": "Vanguard U.S. Momentum Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017009692346024397, "alpha_t_5y": 0.47555430568963414, "alpha_t_full": 0.22410160169972104, "r2_5y": 0.8588198827365536, "r2_full": 0.8596555545163025, "corr_portfolio": 0.25191379678367265, "corr_benchmark": 0.5883459034241233, "alpha_pos_frac": 0.53125, "fund_max_dd": -0.36774244565437897, "first": "2018-02-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfmv": {"sym": "vfmv", "name": "Vanguard U.S. Minimum Volatility ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.023830214295902562, "alpha_t_5y": 1.071075982687405, "alpha_t_full": 0.919092120592483, "r2_5y": 0.7975987361837065, "r2_full": 0.8394032457383018, "corr_portfolio": 0.31947970619726157, "corr_benchmark": 0.6199455375859544, "alpha_pos_frac": 0.5520833333333334, "fund_max_dd": -0.33636589938224304, "first": "2018-02-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "vforx": {"sym": "vforx", "name": "Vanguard Target Retirement 2040 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0009222372648334027, "alpha_t_5y": -0.10589918930373562, "alpha_t_full": 0.2500262340262977, "r2_5y": 0.9723429065254389, "r2_full": 0.9855359299974011, "corr_portfolio": 0.3214797426685481, "corr_benchmark": 0.63918708811324, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.5163026427902013, "first": "2006-06-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfqy": {"sym": "vfqy", "name": "Vanguard U.S. Quality Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009617759052627843, "alpha_t_5y": 0.4825398149246077, "alpha_t_full": 0.9556253986305988, "r2_5y": 0.9320780575845119, "r2_full": 0.9398922426754259, "corr_portfolio": 0.30038235251879714, "corr_benchmark": 0.5983067122992557, "alpha_pos_frac": 0.4583333333333333, "fund_max_dd": -0.3741407328138624, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfsix": {"sym": "vfsix", "name": "Vanguard Short-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00596178507062053, "alpha_t_5y": -0.9983394025051361, "alpha_t_full": 6.122333222056648, "r2_5y": 0.8424719591336162, "r2_full": 1.4432899320127035e-15, "corr_portfolio": -0.012766742314748464, "corr_benchmark": 0.5234709192308717, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.09214380381762055, "first": "1997-10-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "vfsnx": {"sym": "vfsnx", "name": "Vanguard FTSE All-World ex-US Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.023986175404277103, "alpha_t_5y": -1.319364736634154, "alpha_t_full": -1.895837245833011, "r2_5y": 0.9188227067620466, "r2_full": 0.90689418531484, "corr_portfolio": 0.37697027761358026, "corr_benchmark": 0.5506585414259568, "alpha_pos_frac": 0.5172413793103449, "fund_max_dd": -0.4364785037554646, "first": "2009-03-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vftnx": {"sym": "vftnx", "name": "Vanguard FTSE Social Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008988216062239634, "alpha_t_5y": -1.2702259954403303, "alpha_t_full": -0.30386984790168986, "r2_5y": 0.9914966851410191, "r2_full": 0.8745144977009486, "corr_portfolio": 0.2401710187192303, "corr_benchmark": 0.6221045807421244, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.636863024183093, "first": "2000-06-01", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfva": {"sym": "vfva", "name": "Vanguard U.S. Value Factor ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03515390406804378, "alpha_t_5y": 1.2775114054346521, "alpha_t_full": 1.308590588469263, "r2_5y": 0.89390773035596, "r2_full": 0.915818102185411, "corr_portfolio": 0.40596238796755074, "corr_benchmark": 0.48799055065513797, "alpha_pos_frac": 0.4895833333333333, "fund_max_dd": -0.4857335852219272, "first": "2018-02-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vfwsx": {"sym": "vfwsx", "name": "Vanguard FTSE All-World ex-US Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003086030111699938, "alpha_t_5y": 0.32744130349851197, "alpha_t_full": -0.11688169531131858, "r2_5y": 0.9787834757941203, "r2_full": 0.9742592966506756, "corr_portfolio": 0.37354943132409113, "corr_benchmark": 0.5426913361776702, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.6124603229622443, "first": "2007-03-09", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgcax": {"sym": "vgcax", "name": "Vanguard Global Credit Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01050244305369273, "alpha_t_5y": 2.0735478284104696, "alpha_t_full": 3.1963588062033064, "r2_5y": 0.940395329638714, "r2_full": 0.9204979968475795, "corr_portfolio": -0.030644405219742193, "corr_benchmark": 0.7584433882205469, "alpha_pos_frac": 0.5402298850574713, "fund_max_dd": -0.1862778933412058, "first": "2018-11-16", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgelx": {"sym": "vgelx", "name": "Vanguard Energy Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05226644037486883, "alpha_t_5y": 1.3249013285944888, "alpha_t_full": 0.7665720342609577, "r2_5y": 0.6927887201002203, "r2_full": 0.6505978387341709, "corr_portfolio": 0.3735382116130365, "corr_benchmark": 0.3444406949909811, "alpha_pos_frac": 0.45739910313901344, "fund_max_dd": -0.6522251470520266, "first": "2001-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "vghax": {"sym": "vghax", "name": "Vanguard Health Care Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000324786322003844, "alpha_t_5y": -0.007734492728782074, "alpha_t_full": 1.504545421286952, "r2_5y": 0.5633090393753886, "r2_full": 0.6747497249825491, "corr_portfolio": 0.24368976338388523, "corr_benchmark": 0.5187435795708975, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.3685078921030539, "first": "2001-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "vgiax": {"sym": "vgiax", "name": "Vanguard Growth and Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00015031930541798286, "alpha_t_5y": 0.01721741133467666, "alpha_t_full": -0.07777738010032434, "r2_5y": 0.9851268129442546, "r2_full": 0.9792525290375454, "corr_portfolio": 0.2953512820821749, "corr_benchmark": 0.6106285776274755, "alpha_pos_frac": 0.5450980392156862, "fund_max_dd": -0.5679085333524349, "first": "2001-05-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgivx": {"sym": "vgivx", "name": "Vanguard Emerging Markets Government Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0032140964269522718, "alpha_t_5y": -0.20913132403176427, "alpha_t_full": 0.16170100923119307, "r2_5y": 0.6495137841279923, "r2_full": 0.6196487198022586, "corr_portfolio": 0.2035022139950216, "corr_benchmark": 0.5714073088052268, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.2678716049253883, "first": "2013-05-15", "verdict": "weak/unstable alpha", "alpha_name": false}, "vglsx": {"sym": "vglsx", "name": "Global Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004596207868468526, "alpha_t_5y": 0.3082698369498445, "alpha_t_full": 0.2513906152721854, "r2_5y": 0.882883136005, "r2_full": 0.8651763606727594, "corr_portfolio": 0.3326708445120672, "corr_benchmark": 0.582128791454986, "alpha_pos_frac": 0.484304932735426, "fund_max_dd": -0.37051199650859856, "first": "2005-12-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgpmx": {"sym": "vgpmx", "name": "Vanguard Global Capital Cycles Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07439330904905427, "alpha_t_5y": 2.4684484701001943, "alpha_t_full": 2.1947014803356653, "r2_5y": 0.8351707528901897, "r2_full": 3.3306690738754696e-16, "corr_portfolio": 0.24803012621803883, "corr_benchmark": 0.42311063755452494, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.790406403964184, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vgrlx": {"sym": "vgrlx", "name": "Vanguard Global ex-U.S. Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0431199049002718, "alpha_t_5y": -1.5334678851568013, "alpha_t_full": -1.1764660066000419, "r2_5y": 0.760284858883367, "r2_full": 0.7843737057596158, "corr_portfolio": 0.3501405853082368, "corr_benchmark": 0.5150764732129651, "alpha_pos_frac": 0.5217391304347826, "fund_max_dd": -0.3876591166513994, "first": "2010-11-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "vgsbx": {"sym": "vgsbx", "name": "VY(R) BrandywineGLOBAL - Bond Portfolio", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018895813263539944, "alpha_t_5y": 1.5048385386320593, "alpha_t_full": 1.3474504795584914, "r2_5y": 0.8357120898882788, "r2_full": 0.7725201890748626, "corr_portfolio": -0.05303525279313667, "corr_benchmark": 0.6623018754553075, "alpha_pos_frac": 0.3484848484848485, "fund_max_dd": -0.18200666042467628, "first": "2015-02-20", "verdict": "weak/unstable alpha", "alpha_name": false}, "vgslx": {"sym": "vgslx", "name": "Vanguard Real Estate Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00024596961626322374, "alpha_t_5y": 0.03962407816125658, "alpha_t_full": -0.1799165358809603, "r2_5y": 0.9936563695510158, "r2_full": 0.9879745983204671, "corr_portfolio": 0.24041488125441673, "corr_benchmark": 0.5777107705013043, "alpha_pos_frac": 0.6770428015564203, "fund_max_dd": -0.7406503568212848, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgstx": {"sym": "vgstx", "name": "Vanguard Star Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011578990717449342, "alpha_t_5y": -1.0711657760853157, "alpha_t_full": 5.034300280275909, "r2_5y": 0.9510733435679115, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.26783477700890523, "corr_benchmark": 0.7145144769141019, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.3861586415626237, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgtsx": {"sym": "vgtsx", "name": "Vanguard Total International Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009728033383075031, "alpha_t_5y": 0.09883748214887882, "alpha_t_full": 0.9121695519908902, "r2_5y": 0.976371612900042, "r2_full": 0.9233649782643887, "corr_portfolio": 0.37743790811676853, "corr_benchmark": 0.5431520513068151, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.6147758412665008, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgwix": {"sym": "vgwix", "name": "Vanguard Global Wellesley Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020106491633914293, "alpha_t_5y": 2.8820011079124765, "alpha_t_full": 1.9771593942478294, "r2_5y": 0.9265396819938655, "r2_full": 0.8999862229059024, "corr_portfolio": 0.34168311606714363, "corr_benchmark": 0.7754633839997448, "alpha_pos_frac": 0.52, "fund_max_dd": -0.17737326228335726, "first": "2017-10-19", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vgwlx": {"sym": "vgwlx", "name": "Vanguard Global Wellington Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02284810206367847, "alpha_t_5y": 2.2808924360835756, "alpha_t_full": 2.5873016333833094, "r2_5y": 0.93177606014797, "r2_full": 0.9512315391051832, "corr_portfolio": 0.3839464816992213, "corr_benchmark": 0.6657575572082222, "alpha_pos_frac": 0.46, "fund_max_dd": -0.2528335560299918, "first": "2017-11-07", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vhcix": {"sym": "vhcix", "name": "Vanguard Health Care Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.003708315091141624, "alpha_t_5y": 0.08926885555773569, "alpha_t_full": 1.051517774311364, "r2_5y": 0.5785087190437057, "r2_full": 0.6968379945637044, "corr_portfolio": 0.2499562780992058, "corr_benchmark": 0.5060781414841647, "alpha_pos_frac": 0.5148936170212766, "fund_max_dd": -0.3911865726797228, "first": "2004-02-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vhcox": {"sym": "vhcox", "name": "Vanguard Capital Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021914886585726864, "alpha_t_5y": 0.9113717759236932, "alpha_t_full": 1.6770565445205143, "r2_5y": 0.9143073286696599, "r2_full": 0.9051021561191614, "corr_portfolio": 0.2579588317549654, "corr_benchmark": 0.5821973564314161, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5475560473261712, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vhgex": {"sym": "vhgex", "name": "Vanguard Global Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03867775300747513, "alpha_t_5y": -2.322997306553206, "alpha_t_full": 1.3445550648902929, "r2_5y": 0.9524641410617821, "r2_full": 0.9262353117006151, "corr_portfolio": 0.27766991454825174, "corr_benchmark": 0.6176326466219212, "alpha_pos_frac": 0.5577689243027888, "fund_max_dd": -0.6367111225646651, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vhiax": {"sym": "vhiax", "name": "JPMorgan Growth Advantage Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04785018687646767, "alpha_t_5y": -2.459030795237446, "alpha_t_full": 0.6127052662237387, "r2_5y": 0.9572551690209036, "r2_full": 0.9272699216944967, "corr_portfolio": 0.1587895445017445, "corr_benchmark": 0.6007767822145881, "alpha_pos_frac": 0.4980544747081712, "fund_max_dd": -0.851579897914705, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vhyax": {"sym": "vhyax", "name": "Vanguard High Dividend Yield Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01889022449118663, "alpha_t_5y": 1.095339824666026, "alpha_t_full": 1.1041766540710838, "r2_5y": 0.9131418987630952, "r2_full": 0.9375362529504404, "corr_portfolio": 0.4031574096341115, "corr_benchmark": 0.534132589715483, "alpha_pos_frac": 0.4588235294117647, "fund_max_dd": -0.3514463823840198, "first": "2019-02-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vicsx": {"sym": "vicsx", "name": "Vanguard Intermediate-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006481192500691645, "alpha_t_5y": 1.4732693699779893, "alpha_t_full": 1.191653844431527, "r2_5y": 0.9696668459508551, "r2_full": 0.907894789979567, "corr_portfolio": -0.03268224016036875, "corr_benchmark": 0.710111952645592, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.20526376356546439, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vidax": {"sym": "vidax", "name": "Nomura Tax-Free Idaho Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.004377505461141374, "alpha_t_5y": 0.2696165686559547, "alpha_t_full": 6.082272271370622, "r2_5y": 0.38792811060677024, "r2_full": -2.4424906541753444e-15, "corr_portfolio": 0.03579470565657216, "corr_benchmark": 0.3684015653011683, "alpha_pos_frac": 0.6069364161849711, "fund_max_dd": -0.1708973859361964, "first": "1995-01-04", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vigax": {"sym": "vigax", "name": "Vanguard Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.021232903791517346, "alpha_t_5y": -1.4121491487094902, "alpha_t_full": 0.24444134653892777, "r2_5y": 0.9743273398526718, "r2_full": 0.9457540251461928, "corr_portfolio": 0.15127536970900018, "corr_benchmark": 0.6284891265291852, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.5066165381996934, "first": "2000-11-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vigi": {"sym": "vigi", "name": "Vanguard International Dividend Appreciation Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01993840785392035, "alpha_t_5y": -1.1206226320748998, "alpha_t_full": -0.4274481314078193, "r2_5y": 0.9139287732955893, "r2_full": 0.9208580113624684, "corr_portfolio": 0.27603315232248316, "corr_benchmark": 0.6031666010376772, "alpha_pos_frac": 0.5, "fund_max_dd": -0.31006868757942707, "first": "2016-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "viitx": {"sym": "viitx", "name": "Vanguard Institutional Intermediate-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008294261647207519, "alpha_t_5y": -0.27008812457757064, "alpha_t_full": 6.537723620270554, "r2_5y": 0.9748242153833133, "r2_full": 0.9597573310357171, "corr_portfolio": -0.12087505256399539, "corr_benchmark": 0.6552900220427055, "alpha_pos_frac": 0.49193548387096775, "fund_max_dd": -0.1191999490224045, "first": "2015-11-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vimax": {"sym": "vimax", "name": "Vanguard Mid-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.016604294730426537, "alpha_t_5y": -0.9382623831663778, "alpha_t_full": 0.20286101931168726, "r2_5y": 0.9419411268697226, "r2_full": 0.9481289198811995, "corr_portfolio": 0.28780118214094425, "corr_benchmark": 0.6046344185429045, "alpha_pos_frac": 0.5330739299610895, "fund_max_dd": -0.5888227289871151, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vinax": {"sym": "vinax", "name": "Vanguard Industrials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01579763548517395, "alpha_t_5y": 0.5433441874242807, "alpha_t_full": 1.0274368343680198, "r2_5y": 0.8606775099168581, "r2_full": 0.8970260405068787, "corr_portfolio": 0.3487937426110444, "corr_benchmark": 0.5273235093519086, "alpha_pos_frac": 0.5695067264573991, "fund_max_dd": -0.6342580584385138, "first": "2004-09-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vinex": {"sym": "vinex", "name": "Vanguard International Explorer Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04918641935182672, "alpha_t_5y": -2.3012024913419373, "alpha_t_full": 2.9096250727628923, "r2_5y": 0.910860316172064, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3293155203902495, "corr_benchmark": 0.5576010675694391, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6215980638841399, "first": "1996-11-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vinix": {"sym": "vinix", "name": "Vanguard Institutional Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0011256218375307765, "alpha_t_5y": 0.25421430439611176, "alpha_t_full": 0.18276965196827133, "r2_5y": 0.9960388346052115, "r2_full": 0.9853399794053344, "corr_portfolio": 0.28374730084093813, "corr_benchmark": 0.6171019466889602, "alpha_pos_frac": 0.5210355987055016, "fund_max_dd": -0.5518990189682955, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "viog": {"sym": "viog", "name": "Vanguard S&P Small-Cap 600 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004289917490767888, "alpha_t_5y": -0.21569781209919872, "alpha_t_full": 0.28296639886542635, "r2_5y": 0.9523894539355884, "r2_full": 0.89839540390512, "corr_portfolio": 0.2791857910644733, "corr_benchmark": 0.5315704279691736, "alpha_pos_frac": 0.4731182795698925, "fund_max_dd": -0.41731419505594536, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vipix": {"sym": "vipix", "name": "Vanguard Inflation-Protected Securities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008275111387084578, "alpha_t_5y": 0.6487168672519282, "alpha_t_full": 0.49343955834116465, "r2_5y": 0.735578578523596, "r2_full": 0.6449516663733645, "corr_portfolio": -0.06734076346076816, "corr_benchmark": 0.6159921775046983, "alpha_pos_frac": 0.5387931034482759, "fund_max_dd": -0.1503562910023497, "first": "2003-12-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "visgx": {"sym": "visgx", "name": "Vanguard Small-Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.03961558605764934, "alpha_t_5y": -1.6424401692427266, "alpha_t_full": 0.3790113871429005, "r2_5y": 0.9416970086929967, "r2_full": 0.9324096351588852, "corr_portfolio": 0.16604519203634072, "corr_benchmark": 0.6034370603785812, "alpha_pos_frac": 0.4913294797687861, "fund_max_dd": -0.5874322038175565, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vistx": {"sym": "vistx", "name": "Vanguard Institutional Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0011090884605250376, "alpha_t_5y": -0.25892290240343807, "alpha_t_full": 3.0294115326936706, "r2_5y": 0.7922365603397037, "r2_full": 0.6984783032515685, "corr_portfolio": -0.1266147842997812, "corr_benchmark": 0.44746407897823876, "alpha_pos_frac": 0.546875, "fund_max_dd": -0.056323532932057496, "first": "2015-06-22", "verdict": "weak/unstable alpha", "alpha_name": false}, "visvx": {"sym": "visvx", "name": "Vanguard Small-Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015446751424032835, "alpha_t_5y": 0.7832430586699031, "alpha_t_full": 1.624997266185437, "r2_5y": 0.9436614779335866, "r2_full": 0.9385885507053408, "corr_portfolio": 0.35676861226563966, "corr_benchmark": 0.5201065539688904, "alpha_pos_frac": 0.45525291828793774, "fund_max_dd": -0.6214664969133442, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vitax": {"sym": "vitax", "name": "Vanguard Information Technology Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020615758365191417, "alpha_t_5y": 0.8437034904431964, "alpha_t_full": -0.11433749635050725, "r2_5y": 0.9488427910070357, "r2_full": 0.9496485013892845, "corr_portfolio": 0.15453910915406238, "corr_benchmark": 0.5969401799797391, "alpha_pos_frac": 0.49416342412451364, "fund_max_dd": -0.5481179696728031, "first": "2004-02-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vitnx": {"sym": "vitnx", "name": "Vanguard Institutional Total Stock Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0038897200010494103, "alpha_t_5y": -0.761602436077079, "alpha_t_full": 0.646993975340514, "r2_5y": 0.9950257228181584, "r2_full": 0.9885063207587786, "corr_portfolio": 0.2750054586256891, "corr_benchmark": 0.6207931119587822, "alpha_pos_frac": 0.5085910652920962, "fund_max_dd": -0.5531933539904998, "first": "2001-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vitsx": {"sym": "vitsx", "name": "Vanguard Total Stock Market Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004106430190923948, "alpha_t_5y": -0.80419410520419, "alpha_t_full": 0.4634531934340572, "r2_5y": 0.9950274543775502, "r2_full": 0.9852760769170142, "corr_portfolio": 0.27535542786640077, "corr_benchmark": 0.620777351600336, "alpha_pos_frac": 0.49828178694158076, "fund_max_dd": -0.5530321626255595, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vklmx": {"sym": "vklmx", "name": "INVESCO INTERMEDIATE TERM MUNICIPAL INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007910587053182703, "alpha_t_5y": 0.7457071709196298, "alpha_t_full": 7.344863965116787, "r2_5y": 0.3892786067714037, "r2_full": 2.7755575615628914e-15, "corr_portfolio": 0.05755602584056815, "corr_benchmark": 0.3314104144804477, "alpha_pos_frac": 0.5953757225433526, "fund_max_dd": -0.13494751930836657, "first": "1993-06-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vkmgx": {"sym": "vkmgx", "name": "Invesco Quality Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00644514762475346, "alpha_t_5y": -1.0438346656487878, "alpha_t_full": 6.013497107795818, "r2_5y": 0.9444277712029936, "r2_full": 2.1094237467877974e-15, "corr_portfolio": -0.06267054270340533, "corr_benchmark": 0.6358936252172852, "alpha_pos_frac": 0.4682080924855491, "fund_max_dd": -0.1894031127224901, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vkmmx": {"sym": "vkmmx", "name": "INVESCO MUNICIPAL INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0009610248660255685, "alpha_t_5y": 0.06128121232812193, "alpha_t_full": 6.231834008403867, "r2_5y": 0.3858252704950732, "r2_full": -1.9984014443252818e-15, "corr_portfolio": 0.04772318921346053, "corr_benchmark": 0.3425781103529545, "alpha_pos_frac": 0.5895953757225434, "fund_max_dd": -0.21196864411295024, "first": "1990-08-01", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vlaax": {"sym": "vlaax", "name": "VALUE LINE ASSET ALLOCATION FUND INC", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04082833177332194, "alpha_t_5y": -1.7231596285992083, "alpha_t_full": 3.7057786750368615, "r2_5y": 0.7764033319535685, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.1998967703459434, "corr_benchmark": 0.6700321494893955, "alpha_pos_frac": 0.6175298804780877, "fund_max_dd": -0.4400750524259218, "first": "1993-08-25", "verdict": "weak/unstable alpha", "alpha_name": false}, "vlcax": {"sym": "vlcax", "name": "Vanguard Large-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01888270779523771, "alpha_t_5y": -2.3294686925330264, "alpha_t_full": 0.13986373497045293, "r2_5y": 0.9918951157375452, "r2_full": 0.990229939893407, "corr_portfolio": 0.2718996195422153, "corr_benchmark": 0.6192376051629869, "alpha_pos_frac": 0.44, "fund_max_dd": -0.5475807720205118, "first": "2004-02-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vlcix": {"sym": "vlcix", "name": "Vanguard Long-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.000974922748772443, "alpha_t_5y": -0.11943417259569869, "alpha_t_full": -1.9154332630705961, "r2_5y": 0.9724414602040699, "r2_full": 0.9131009989737465, "corr_portfolio": -0.05227929742699147, "corr_benchmark": 0.749233290038932, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.34555998185079617, "first": "2009-11-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vleox": {"sym": "vleox", "name": "Value Line Small Cap Opportunities Fund, Inc.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01165066448286776, "alpha_t_5y": -0.4004924617502871, "alpha_t_full": 3.4201531741970395, "r2_5y": 0.8712979777833791, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.25755217498056376, "corr_benchmark": 0.5595242368123768, "alpha_pos_frac": 0.5387931034482759, "fund_max_dd": -0.5585559167764317, "first": "1993-06-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vlgsx": {"sym": "vlgsx", "name": "Vanguard Long-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0026860786343613306, "alpha_t_5y": 0.5211118991911504, "alpha_t_full": -0.4873300032538083, "r2_5y": 0.992709274580605, "r2_full": 0.9857454056588666, "corr_portfolio": -0.19428646025749488, "corr_benchmark": 0.6458877081192715, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.46244792417523584, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vlifx": {"sym": "vlifx", "name": "VALUE LINE MID CAP FOCUSED FUND, INC.", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.036733835611042286, "alpha_t_5y": -1.1941933336806712, "alpha_t_full": 3.139986561838953, "r2_5y": 0.8087222222407795, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.25622088491850026, "corr_benchmark": 0.5968965430180114, "alpha_pos_frac": 0.5689655172413793, "fund_max_dd": -0.614224766482662, "first": "1990-01-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vlxvx": {"sym": "vlxvx", "name": "Vanguard Target Retirement 2065 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016542686971419036, "alpha_t_5y": 0.17908435907583578, "alpha_t_full": -0.15305575599570212, "r2_5y": 0.9760558153599452, "r2_full": 0.9841261896704196, "corr_portfolio": 0.2875060079977073, "corr_benchmark": 0.6649561492715302, "alpha_pos_frac": 0.5865384615384616, "fund_max_dd": -0.3141933758988561, "first": "2017-07-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmatx": {"sym": "vmatx", "name": "Vanguard Massachusetts Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0014904264408252094, "alpha_t_5y": 0.10136457123572917, "alpha_t_full": 4.417818177468029, "r2_5y": 0.3911425931931224, "r2_full": -1.5543122344752192e-15, "corr_portfolio": 0.020428388208864622, "corr_benchmark": 0.3562455477296413, "alpha_pos_frac": 0.5525291828793775, "fund_max_dd": -0.1590875874873462, "first": "1998-12-10", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vmbsx": {"sym": "vmbsx", "name": "Vanguard Mortgage-Backed Securities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00010058853004806077, "alpha_t_5y": -0.05558139443631741, "alpha_t_full": -0.5779453712798727, "r2_5y": 0.9950698829136426, "r2_full": 0.9894354139626159, "corr_portfolio": -0.10012594510203612, "corr_benchmark": 0.6697568289812329, "alpha_pos_frac": 0.6871794871794872, "fund_max_dd": -0.17432997157902597, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmctx": {"sym": "vmctx", "name": "Vanguard Mega Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00023467070680531027, "alpha_t_5y": 0.041326429173871415, "alpha_t_full": 1.189435873911358, "r2_5y": 0.9938426707472464, "r2_full": 0.992771013583603, "corr_portfolio": 0.2651257963385773, "corr_benchmark": 0.6175401924403541, "alpha_pos_frac": 0.46788990825688076, "fund_max_dd": -0.5199800355346846, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmfgx": {"sym": "vmfgx", "name": "Vanguard S&P Mid-Cap 400 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020169256816924323, "alpha_t_5y": -0.8358176707352748, "alpha_t_full": -0.48255793635857774, "r2_5y": 0.9229000975273735, "r2_full": 0.9397269692363195, "corr_portfolio": 0.27679036184287487, "corr_benchmark": 0.5931893053858572, "alpha_pos_frac": 0.5161290322580645, "fund_max_dd": -0.39151686434908195, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmfvx": {"sym": "vmfvx", "name": "Vanguard S&P Mid-Cap 400 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.016241153180972658, "alpha_t_5y": 0.7060198055758379, "alpha_t_full": 1.1593522263130218, "r2_5y": 0.9210873429197034, "r2_full": 0.9384241010563172, "corr_portfolio": 0.35194324351038736, "corr_benchmark": 0.514683261789779, "alpha_pos_frac": 0.4838709677419355, "fund_max_dd": -0.45785542838291815, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmgax": {"sym": "vmgax", "name": "Vanguard Mega Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01609447835428845, "alpha_t_5y": -1.0993704488255867, "alpha_t_full": -1.347165660904356, "r2_5y": 0.9764632058677434, "r2_full": 0.9724483978038858, "corr_portfolio": 0.14741697328371686, "corr_benchmark": 0.6251817215182789, "alpha_pos_frac": 0.5, "fund_max_dd": -0.4796504415146021, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmgix": {"sym": "vmgix", "name": "Vanguard Mid-Cap Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05716764863870527, "alpha_t_5y": -1.9578569379150161, "alpha_t_full": -1.6873362696968586, "r2_5y": 0.8956128483785896, "r2_full": 0.9226018852715971, "corr_portfolio": 0.17228320033077044, "corr_benchmark": 0.623876426477844, "alpha_pos_frac": 0.5170940170940171, "fund_max_dd": -0.6020100833784888, "first": "2006-08-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmgrx": {"sym": "vmgrx", "name": "Vanguard Mid-Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09184227001931673, "alpha_t_5y": -2.7018574544318157, "alpha_t_full": -1.5493419292449349, "r2_5y": 0.8825615688238859, "r2_full": 0.9019417800769566, "corr_portfolio": 0.1557125359142105, "corr_benchmark": 0.6088470142810724, "alpha_pos_frac": 0.5223367697594502, "fund_max_dd": -0.7173912174007164, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmiax": {"sym": "vmiax", "name": "Vanguard Materials Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.035267454461965275, "alpha_t_5y": -0.9224624687348576, "alpha_t_full": 0.48767410665893995, "r2_5y": 0.7924713473057347, "r2_full": 0.8163925103017067, "corr_portfolio": 0.3405648190296342, "corr_benchmark": 0.5066994242284584, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.6217011672641327, "first": "2004-02-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vmltx": {"sym": "vmltx", "name": "Vanguard Limited-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010412312379910102, "alpha_t_5y": 0.14792422247581738, "alpha_t_full": 11.60173849308099, "r2_5y": 0.3886462803873336, "r2_full": 1.3322676295501878e-15, "corr_portfolio": 0.05623613509083528, "corr_benchmark": 0.29034509672538, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.06411351300071522, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vmmsx": {"sym": "vmmsx", "name": "Vanguard Emerging Markets Select Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.010518628547606544, "alpha_t_5y": -0.5105901689989659, "alpha_t_full": -0.3747861905692121, "r2_5y": 0.928402453270241, "r2_full": 0.9173807593816725, "corr_portfolio": 0.3137390159673667, "corr_benchmark": 0.4586154804780673, "alpha_pos_frac": 0.5852272727272727, "fund_max_dd": -0.39283499298224345, "first": "2011-06-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmnix": {"sym": "vmnix", "name": "Vanguard Market Neutral Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.12912065637455916, "alpha_t_5y": 4.361786874321171, "alpha_t_full": 2.5879167048776455, "r2_5y": 0.029380364668611603, "r2_full": -1.1102230246251565e-15, "corr_portfolio": 0.3467529140312448, "corr_benchmark": -0.018030253731384765, "alpha_pos_frac": 0.5055762081784386, "fund_max_dd": -0.25345525956682635, "first": "1998-10-27", "verdict": "alpha, but correlated with current portfolio", "alpha_name": true}, "vmvfx": {"sym": "vmvfx", "name": "Vanguard Global Minimum Volatility Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.015630202933733094, "alpha_t_5y": 0.8261846943991876, "alpha_t_full": 1.3752110874887329, "r2_5y": 0.769443847527507, "r2_full": 0.8663075702667002, "corr_portfolio": 0.38034455341253026, "corr_benchmark": 0.5524580799255132, "alpha_pos_frac": 0.5821917808219178, "fund_max_dd": -0.33091638538294343, "first": "2013-12-16", "verdict": "weak/unstable alpha", "alpha_name": false}, "vmvix": {"sym": "vmvix", "name": "Vanguard Mid-Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01542496338987499, "alpha_t_5y": 0.8378780267019831, "alpha_t_full": 1.6890188609776131, "r2_5y": 0.924662726760103, "r2_full": 0.9472770318973053, "corr_portfolio": 0.3876209537874597, "corr_benchmark": 0.5341417959271363, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.616052167097366, "first": "2006-08-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vmvlx": {"sym": "vmvlx", "name": "Vanguard Mega Cap Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028704923901247244, "alpha_t_5y": 1.6223608377587335, "alpha_t_full": 1.9635928156804254, "r2_5y": 0.9029811735009474, "r2_full": 0.9564090212635543, "corr_portfolio": 0.412132387575641, "corr_benchmark": 0.5183211430246757, "alpha_pos_frac": 0.5, "fund_max_dd": -0.5578783994940124, "first": "2007-12-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vnjtx": {"sym": "vnjtx", "name": "Vanguard New Jersey Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007068419354172839, "alpha_t_5y": 0.501312540430802, "alpha_t_full": 7.384433285298596, "r2_5y": 0.41385955415228826, "r2_full": -4.440892098500626e-16, "corr_portfolio": 0.031735451890282165, "corr_benchmark": 0.36454291448678094, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.15708238848034473, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vnvax": {"sym": "vnvax", "name": "Vaughan Nelson Mid Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0027107534842331165, "alpha_t_5y": 0.08818626010711185, "alpha_t_full": 0.009799002250808516, "r2_5y": 0.8506336801508784, "r2_full": 0.917212566651913, "corr_portfolio": 0.32841835713127177, "corr_benchmark": 0.5406463913699395, "alpha_pos_frac": 0.46153846153846156, "fund_max_dd": -0.4282645797810586, "first": "2008-11-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vnytx": {"sym": "vnytx", "name": "Vanguard New York Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007596774597048336, "alpha_t_5y": 0.5077528495637104, "alpha_t_full": 7.105378241538393, "r2_5y": 0.4014402396431963, "r2_full": 2.6645352591003757e-15, "corr_portfolio": 0.015461554327395354, "corr_benchmark": 0.3622017074181369, "alpha_pos_frac": 0.5838150289017341, "fund_max_dd": -0.1818052043396685, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vohix": {"sym": "vohix", "name": "Vanguard Ohio Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0016112686579792916, "alpha_t_5y": 0.10793158241013757, "alpha_t_full": 7.497408352303712, "r2_5y": 0.39350278336760647, "r2_full": 1.9984014443252818e-15, "corr_portfolio": 0.0200351771992567, "corr_benchmark": 0.361965413050033, "alpha_pos_frac": 0.5642023346303502, "fund_max_dd": -0.16798107855088773, "first": "1990-06-19", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "volmx": {"sym": "volmx", "name": "Volumetric Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04122177145939664, "alpha_t_5y": -2.4329270284211018, "alpha_t_full": 3.083662534473561, "r2_5y": 0.9121089399955498, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.3122750108189457, "corr_benchmark": 0.5711808269124834, "alpha_pos_frac": 0.5067264573991032, "fund_max_dd": -0.43313625545275214, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vpadx": {"sym": "vpadx", "name": "Vanguard Pacific Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004724430038228587, "alpha_t_5y": -0.16177576990409862, "alpha_t_full": 0.5796506502911356, "r2_5y": 0.8429659746715231, "r2_full": 0.737442802526417, "corr_portfolio": 0.3549183823027031, "corr_benchmark": 0.5290416950763613, "alpha_pos_frac": 0.4349775784753363, "fund_max_dd": -0.5528135902882181, "first": "2001-08-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "vpaix": {"sym": "vpaix", "name": "Vanguard Pennsylvania Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006107146250448303, "alpha_t_5y": 0.43064570750485026, "alpha_t_full": 7.582763512785941, "r2_5y": 0.39063117892084054, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.02427301435729458, "corr_benchmark": 0.3546537593448871, "alpha_pos_frac": 0.5606936416184971, "fund_max_dd": -0.15764695873915657, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vpccx": {"sym": "vpccx", "name": "Vanguard PRIMECAP Core Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.030611589758075913, "alpha_t_5y": 1.304799982619719, "alpha_t_full": 2.478232062333111, "r2_5y": 0.9036135144986632, "r2_full": 0.9399377051394562, "corr_portfolio": 0.32006743177089503, "corr_benchmark": 0.5756330743472188, "alpha_pos_frac": 0.47085201793721976, "fund_max_dd": -0.4741222711012356, "first": "2004-12-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vpmcx": {"sym": "vpmcx", "name": "Vanguard PRIMECAP Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02384530158232268, "alpha_t_5y": 0.9914824630003826, "alpha_t_full": 4.616493975689583, "r2_5y": 0.9053902005208594, "r2_full": 0.0, "corr_portfolio": 0.28524501606862196, "corr_benchmark": 0.5860769986422867, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.5262079264985797, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrgwx": {"sym": "vrgwx", "name": "Vanguard Russell 1000 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.022415640117162763, "alpha_t_5y": -1.579921361695219, "alpha_t_full": -1.7051674608057255, "r2_5y": 0.9754380909878368, "r2_full": 0.9762517130783013, "corr_portfolio": 0.16636926986086295, "corr_benchmark": 0.6267355963574542, "alpha_pos_frac": 0.5837837837837838, "fund_max_dd": -0.32697479357629367, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrnix": {"sym": "vrnix", "name": "Vanguard Russell 1000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003088156291447265, "alpha_t_5y": -0.6003410502397423, "alpha_t_full": -0.8875701339201254, "r2_5y": 0.9948419563147158, "r2_full": 0.9956713018065362, "corr_portfolio": 0.2762399181109889, "corr_benchmark": 0.6222079752702865, "alpha_pos_frac": 0.5405405405405406, "fund_max_dd": -0.3456597080131585, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrtgx": {"sym": "vrtgx", "name": "Vanguard Russell 2000 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026844141437940512, "alpha_t_5y": -1.4872319754980317, "alpha_t_full": -1.419520467123356, "r2_5y": 0.9703505659261709, "r2_full": 0.9723537542167582, "corr_portfolio": 0.18287645497640698, "corr_benchmark": 0.5629050120618453, "alpha_pos_frac": 0.5567567567567567, "fund_max_dd": -0.41926507944412705, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrtix": {"sym": "vrtix", "name": "Vanguard Russell 2000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0021011761331408705, "alpha_t_5y": 0.36430285737884377, "alpha_t_full": 0.25996655625848597, "r2_5y": 0.9963288145537035, "r2_full": 0.9937944173527232, "corr_portfolio": 0.2542374927240262, "corr_benchmark": 0.5446691335961238, "alpha_pos_frac": 0.4648648648648649, "fund_max_dd": -0.4169066076042821, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrtpx": {"sym": "vrtpx", "name": "Vanguard Real Estate II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0004749107132435678, "alpha_t_5y": 0.10306111416341311, "alpha_t_full": 0.033374992659336536, "r2_5y": 0.9965152230703115, "r2_full": 0.9943872791308372, "corr_portfolio": 0.21127498440583814, "corr_benchmark": 0.5868145180157349, "alpha_pos_frac": 0.49504950495049505, "fund_max_dd": -0.4233024319430697, "first": "2017-09-27", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrttx": {"sym": "vrttx", "name": "Vanguard Russell 3000 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004368171776728777, "alpha_t_5y": -0.8631327113926014, "alpha_t_full": -0.6630195680143267, "r2_5y": 0.9950964851086025, "r2_full": 0.9961050168848518, "corr_portfolio": 0.2766996593391812, "corr_benchmark": 0.6209433233478259, "alpha_pos_frac": 0.4756756756756757, "fund_max_dd": -0.3496291742021975, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrtvx": {"sym": "vrtvx", "name": "Vanguard Russell 2000 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03285943038227863, "alpha_t_5y": 1.8874126189839227, "alpha_t_full": 1.3119647809932033, "r2_5y": 0.9640849142467719, "r2_full": 0.9669289487199406, "corr_portfolio": 0.3161528086046489, "corr_benchmark": 0.495538939267024, "alpha_pos_frac": 0.42162162162162165, "fund_max_dd": -0.4597782178002857, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vrvix": {"sym": "vrvix", "name": "Vanguard Russell 1000 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020047709818217456, "alpha_t_5y": 1.423551362837592, "alpha_t_full": 1.7474626353886311, "r2_5y": 0.9487068980382267, "r2_full": 0.969428174705711, "corr_portfolio": 0.38559497766433143, "corr_benchmark": 0.5479555883066161, "alpha_pos_frac": 0.4486486486486487, "fund_max_dd": -0.382859579630886, "first": "2010-09-23", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsbsx": {"sym": "vsbsx", "name": "Vanguard Short-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002928739337741861, "alpha_t_5y": -0.7084607114970835, "alpha_t_full": -0.19388454383630213, "r2_5y": 0.8348024485899908, "r2_full": 0.7389802797851378, "corr_portfolio": -0.18483454847336064, "corr_benchmark": 0.4262081580156831, "alpha_pos_frac": 0.49743589743589745, "fund_max_dd": -0.05766331357868437, "first": "2009-11-24", "verdict": "weak/unstable alpha", "alpha_name": false}, "vscax": {"sym": "vscax", "name": "INVESCO SMALL CAP VALUE FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.07271490765314682, "alpha_t_5y": 1.8798966155804988, "alpha_t_full": 2.14248449071234, "r2_5y": 0.8518901339989284, "r2_full": 0.7689499976779388, "corr_portfolio": 0.33841213618364824, "corr_benchmark": 0.4091888772131473, "alpha_pos_frac": 0.4484304932735426, "fund_max_dd": -0.5777400134113657, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vscgx": {"sym": "vscgx", "name": "Vanguard LifeStrategy 40/60 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002581005266363447, "alpha_t_5y": -0.40498373421557127, "alpha_t_full": 4.821057291449701, "r2_5y": 0.9590137479985715, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.257359251880119, "corr_benchmark": 0.8150684610620371, "alpha_pos_frac": 0.6502242152466368, "fund_max_dd": -0.3064460323818289, "first": "1994-10-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vscsx": {"sym": "vscsx", "name": "Vanguard Short-Term Corporate Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01632971304058741, "alpha_t_5y": 4.987473400923947, "alpha_t_full": 3.871415264983272, "r2_5y": 0.911934829174208, "r2_full": 0.8082631631030972, "corr_portfolio": -0.019157738815631865, "corr_benchmark": 0.5795062181844455, "alpha_pos_frac": 0.49710982658959535, "fund_max_dd": -0.09354033460507793, "first": "2009-11-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vscvx": {"sym": "vscvx", "name": "Victory Integrity Small-Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02751627035268179, "alpha_t_5y": 0.5804444844563826, "alpha_t_full": 0.63538084969629, "r2_5y": 0.768703205852929, "r2_full": 0.7795649722610813, "corr_portfolio": 0.3423092506137473, "corr_benchmark": 0.44960012139599176, "alpha_pos_frac": 0.4671814671814672, "fund_max_dd": -0.6072304605306207, "first": "2004-07-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "vseqx": {"sym": "vseqx", "name": "Vanguard Strategic Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028155908028117273, "alpha_t_5y": 1.662569633753249, "alpha_t_full": 0.883376162561036, "r2_5y": 0.9589806815425501, "r2_full": 0.9219145424910969, "corr_portfolio": 0.3320529912208788, "corr_benchmark": 0.5721979075924313, "alpha_pos_frac": 0.5043859649122807, "fund_max_dd": -0.6355280741530911, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsfax": {"sym": "vsfax", "name": "Federated Hermes MDT Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01708595378897437, "alpha_t_5y": 0.742207076558359, "alpha_t_full": -1.144484836047548, "r2_5y": 0.9321869434294182, "r2_full": 0.8083808751465923, "corr_portfolio": 0.3521743341951311, "corr_benchmark": 0.4901095693941773, "alpha_pos_frac": 0.5936395759717314, "fund_max_dd": -0.7790006792120723, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsgdx": {"sym": "vsgdx", "name": "Vanguard Short-Term Federal Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0058159812678299444, "alpha_t_5y": -0.893265617996574, "alpha_t_full": 3.6297223950773043, "r2_5y": 0.767588531367594, "r2_full": 0.6334974552492922, "corr_portfolio": -0.12201297521187225, "corr_benchmark": 0.45637352271260906, "alpha_pos_frac": 0.5144508670520231, "fund_max_dd": -0.07287175558360826, "first": "2002-07-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "vsgx": {"sym": "vsgx", "name": "Vanguard ESG International Stock ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0014796898990436453, "alpha_t_5y": -0.16750032514444235, "alpha_t_full": -0.34958392555523615, "r2_5y": 0.9839584975757928, "r2_full": 0.9842571463578966, "corr_portfolio": 0.28943260181216574, "corr_benchmark": 0.6023899245315297, "alpha_pos_frac": 0.4606741573033708, "fund_max_dd": -0.3309169265377381, "first": "2018-09-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsigx": {"sym": "vsigx", "name": "Vanguard Intermediate-Term Treasury Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00457958131864607, "alpha_t_5y": -1.1997597441812082, "alpha_t_full": -0.31054787575273485, "r2_5y": 0.9799735945660402, "r2_full": 0.9700925364962584, "corr_portfolio": -0.18986268111917182, "corr_benchmark": 0.582967064216918, "alpha_pos_frac": 0.517948717948718, "fund_max_dd": -0.16153768650797762, "first": "2009-11-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsmax": {"sym": "vsmax", "name": "Vanguard Small-Cap Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.01138808819184111, "alpha_t_5y": -0.8407121801010594, "alpha_t_full": 0.8855514905976445, "r2_5y": 0.9757723687206624, "r2_full": 0.9719935621510492, "corr_portfolio": 0.2807789014246272, "corr_benchmark": 0.5755163762615952, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5967633793166731, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsmgx": {"sym": "vsmgx", "name": "Vanguard LifeStrategy 60/40 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0018148738810777377, "alpha_t_5y": -0.24725537554675073, "alpha_t_full": 1.3122462402157502, "r2_5y": 0.9696570413852571, "r2_full": 0.9357136955778952, "corr_portfolio": 0.29913418457003116, "corr_benchmark": 0.7162555469718144, "alpha_pos_frac": 0.6636771300448431, "fund_max_dd": -0.41116366077146593, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsmsx": {"sym": "vsmsx", "name": "Vanguard S&P Small-Cap 600 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.017993591669788964, "alpha_t_5y": 0.9185901031127595, "alpha_t_full": 2.021148362033193, "r2_5y": 0.9535006888680404, "r2_full": 0.9680992857209557, "corr_portfolio": 0.3120650277975843, "corr_benchmark": 0.5160856346528329, "alpha_pos_frac": 0.45698924731182794, "fund_max_dd": -0.4441686306510527, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vsmvx": {"sym": "vsmvx", "name": "Vanguard S&P Small-Cap 600 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03722964375098102, "alpha_t_5y": 1.3420269999219059, "alpha_t_full": 1.877173435698937, "r2_5y": 0.9116068858464567, "r2_full": 0.9409127585802578, "corr_portfolio": 0.33646014635173976, "corr_benchmark": 0.481380047308533, "alpha_pos_frac": 0.489247311827957, "fund_max_dd": -0.4760704462065285, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vspgx": {"sym": "vspgx", "name": "Vanguard S&P 500 Growth Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.019018786736786104, "alpha_t_5y": -1.3030700868628071, "alpha_t_full": -1.784118866412558, "r2_5y": 0.9735588337939131, "r2_full": 0.9771644256823473, "corr_portfolio": 0.1886633291859922, "corr_benchmark": 0.625095546129812, "alpha_pos_frac": 0.5698924731182796, "fund_max_dd": -0.32733821979257915, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vspmx": {"sym": "vspmx", "name": "Vanguard S&P Mid-Cap 400 Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007410512102593472, "alpha_t_5y": -0.3960857320489901, "alpha_t_full": 0.3031639602552799, "r2_5y": 0.9487233251627343, "r2_full": 0.9587018507816958, "corr_portfolio": 0.3216474330781256, "corr_benchmark": 0.5646414154034674, "alpha_pos_frac": 0.5376344086021505, "fund_max_dd": -0.4203791992908298, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vspvx": {"sym": "vspvx", "name": "Vanguard S&P 500 Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01732251104327049, "alpha_t_5y": 1.064085907232252, "alpha_t_full": 1.5549211009745656, "r2_5y": 0.926882831366885, "r2_full": 0.9608820597586771, "corr_portfolio": 0.38060913346117425, "corr_benchmark": 0.5391242801239532, "alpha_pos_frac": 0.45161290322580644, "fund_max_dd": -0.3705137827407817, "first": "2010-09-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vstcx": {"sym": "vstcx", "name": "Vanguard Strategic Small-Cap Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.05306101183711186, "alpha_t_5y": 3.085359292986322, "alpha_t_full": 0.7952354579124082, "r2_5y": 0.9656137055767945, "r2_full": 0.9693521626238054, "corr_portfolio": 0.3195857542741418, "corr_benchmark": 0.544189105325885, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.6250197460679634, "first": "2006-04-21", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtbix": {"sym": "vtbix", "name": "Vanguard Total Bond Market II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0038368102594683487, "alpha_t_5y": 0.9472952899566228, "alpha_t_full": -3.4526954576599986, "r2_5y": 0.972246769604468, "r2_full": 0.9386985243694714, "corr_portfolio": -0.12502248693248805, "corr_benchmark": 0.6915332414705392, "alpha_pos_frac": 0.6428571428571429, "fund_max_dd": -0.1871351056281264, "first": "2011-01-24", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtcax": {"sym": "vtcax", "name": "Vanguard Communication Services Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04149117875111567, "alpha_t_5y": -0.9236983045556382, "alpha_t_full": -1.0901243355840908, "r2_5y": 0.7477739509814023, "r2_full": 0.7589177661135597, "corr_portfolio": 0.14893800175949942, "corr_benchmark": 0.5610852384159672, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.5710965797496423, "first": "2004-09-30", "verdict": "weak/unstable alpha", "alpha_name": false}, "vtclx": {"sym": "vtclx", "name": "Vanguard Tax-Managed Capital Appreciation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0037894458658983207, "alpha_t_5y": -0.728128077821589, "alpha_t_full": 0.13247982592113536, "r2_5y": 0.9947422955310171, "r2_full": 0.9871442506940995, "corr_portfolio": 0.2769438992978584, "corr_benchmark": 0.6201453211522898, "alpha_pos_frac": 0.5085910652920962, "fund_max_dd": -0.5517909357901662, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vteax": {"sym": "vteax", "name": "Vanguard Tax-Exempt Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0036980442637710607, "alpha_t_5y": 0.3099919541584713, "alpha_t_full": 1.2953399743008838, "r2_5y": 0.34405891539051126, "r2_full": 0.31171172339496034, "corr_portfolio": 0.02575822374391431, "corr_benchmark": 0.3669607936915675, "alpha_pos_frac": 0.5555555555555556, "fund_max_dd": -0.127414006463751, "first": "2015-09-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "vthrx": {"sym": "vthrx", "name": "Vanguard Target Retirement 2030 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003680041059554444, "alpha_t_5y": -0.4800997399801027, "alpha_t_full": 0.07384857328703813, "r2_5y": 0.9691011514120246, "r2_full": 0.9770731328336199, "corr_portfolio": 0.31141034610191687, "corr_benchmark": 0.6799046311539243, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4957064834006045, "first": "2006-06-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtibx": {"sym": "vtibx", "name": "Vanguard Total International Bond Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0008582421742709743, "alpha_t_5y": -0.08128429258214853, "alpha_t_full": 1.703717106577376, "r2_5y": 0.6686835066804049, "r2_full": 0.5866627930338932, "corr_portfolio": -0.11865696441610563, "corr_benchmark": 0.5716822140513137, "alpha_pos_frac": 0.5294117647058824, "fund_max_dd": -0.16167803353931165, "first": "2013-06-05", "verdict": "weak/unstable alpha", "alpha_name": false}, "vtilx": {"sym": "vtilx", "name": "Vanguard Total International Bond II Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00032932665435100866, "alpha_t_5y": 0.031076232988291277, "alpha_t_full": 0.031076232988291277, "r2_5y": 0.673586907167935, "r2_full": 0.673586907167935, "corr_portfolio": -0.14604178465666257, "corr_benchmark": 0.6302506990686522, "alpha_pos_frac": 0.5, "fund_max_dd": -0.15853861250569834, "first": "2021-02-26", "verdict": "weak/unstable alpha", "alpha_name": false}, "vtinx": {"sym": "vtinx", "name": "Vanguard Target Retirement Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005056200316772759, "alpha_t_5y": 0.9008740531295844, "alpha_t_full": 0.8557196962729513, "r2_5y": 0.951249900839117, "r2_full": 0.9390510224816849, "corr_portfolio": 0.2402167985860722, "corr_benchmark": 0.8462247149037435, "alpha_pos_frac": 0.5560538116591929, "fund_max_dd": -0.1995833322686671, "first": "2003-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtipx": {"sym": "vtipx", "name": "Vanguard Short-Term Inflation-Protected Securities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.02303294013764402, "alpha_t_5y": 3.4698029495399707, "alpha_t_full": 3.938075485654707, "r2_5y": 0.6342042220446052, "r2_full": 0.5996852230434012, "corr_portfolio": 0.02140292013081275, "corr_benchmark": 0.45290991436560396, "alpha_pos_frac": 0.49375, "fund_max_dd": -0.053597850594010676, "first": "2012-10-17", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vtivx": {"sym": "vtivx", "name": "Vanguard Target Retirement 2045 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0028236287511592875, "alpha_t_5y": -0.3039271715807202, "alpha_t_full": -0.5869534649566717, "r2_5y": 0.9732717127066233, "r2_full": 0.982585471194418, "corr_portfolio": 0.3234439736888114, "corr_benchmark": 0.6291604069758615, "alpha_pos_frac": 0.5291479820627802, "fund_max_dd": -0.5169281004608544, "first": "2003-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtmfx": {"sym": "vtmfx", "name": "Vanguard Tax-Managed Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0018064718089858733, "alpha_t_5y": 0.3112862718054636, "alpha_t_full": 4.869661079017087, "r2_5y": 0.9735119929516306, "r2_full": 0.9560710482026639, "corr_portfolio": 0.2695326043888985, "corr_benchmark": 0.6652157740143153, "alpha_pos_frac": 0.5333333333333333, "fund_max_dd": -0.28491249156825094, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtmgx": {"sym": "vtmgx", "name": "Vanguard Developed Markets Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033427398869120342, "alpha_t_5y": 0.2724080398437037, "alpha_t_full": 1.0824927156238058, "r2_5y": 0.9666708275070959, "r2_full": 0.9333280179261896, "corr_portfolio": 0.3886836498028451, "corr_benchmark": 0.548984336851371, "alpha_pos_frac": 0.5336322869955157, "fund_max_dd": -0.6057720213605557, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtmsx": {"sym": "vtmsx", "name": "Vanguard Tax-Managed Small-Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01864122011558749, "alpha_t_5y": 0.9159137637557996, "alpha_t_full": 1.6989283425830861, "r2_5y": 0.9497696293635773, "r2_full": 0.954484483727986, "corr_portfolio": 0.31256998437074196, "corr_benchmark": 0.5153200693532384, "alpha_pos_frac": 0.48627450980392156, "fund_max_dd": -0.5783736850439216, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtrix": {"sym": "vtrix", "name": "Vanguard International Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006800981724877942, "alpha_t_5y": 0.4258033866417116, "alpha_t_full": 2.677553552283708, "r2_5y": 0.9417117123069337, "r2_full": 2.220446049250313e-16, "corr_portfolio": 0.39601096678569775, "corr_benchmark": 0.5135755141288082, "alpha_pos_frac": 0.48760330578512395, "fund_max_dd": -0.5940133123335132, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtthx": {"sym": "vtthx", "name": "Vanguard Target Retirement 2035 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003286847728602785, "alpha_t_5y": -0.3980188625750522, "alpha_t_full": -0.1077672201527698, "r2_5y": 0.9702925738833057, "r2_full": 0.9717496815137276, "corr_portfolio": 0.31797547499955486, "corr_benchmark": 0.6574695141556004, "alpha_pos_frac": 0.5246636771300448, "fund_max_dd": -0.517603503163558, "first": "2003-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vttsx": {"sym": "vttsx", "name": "Vanguard Target Retirement 2060 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0017633384206222399, "alpha_t_5y": 0.1872668047574867, "alpha_t_full": 0.2225088471744029, "r2_5y": 0.9750855028311565, "r2_full": 0.9863256071999015, "corr_portfolio": 0.32293079582339435, "corr_benchmark": 0.6292133130402836, "alpha_pos_frac": 0.5562130177514792, "fund_max_dd": -0.31379046246520303, "first": "2012-01-20", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vttvx": {"sym": "vttvx", "name": "Vanguard Target Retirement 2025 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002811737555248849, "alpha_t_5y": -0.38544402161559566, "alpha_t_full": -0.09366389907645457, "r2_5y": 0.9636088252561967, "r2_full": 0.9588945158974622, "corr_portfolio": 0.30578926886391444, "corr_benchmark": 0.7016894973059606, "alpha_pos_frac": 0.5515695067264574, "fund_max_dd": -0.46028320906436127, "first": "2003-10-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtwix": {"sym": "vtwix", "name": "Vanguard Total World Stock Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.004087010379393663, "alpha_t_5y": -0.7529592219929714, "alpha_t_full": -1.6776076079244309, "r2_5y": 0.9932476649906369, "r2_full": 0.9912151010748966, "corr_portfolio": 0.32681755941687407, "corr_benchmark": 0.6143653686263622, "alpha_pos_frac": 0.5801886792452831, "fund_max_dd": -0.4982360408240053, "first": "2008-06-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vtwnx": {"sym": "vtwnx", "name": "Vanguard Target Retirement 2020 Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0003321530081767246, "alpha_t_5y": -0.04963246638236623, "alpha_t_full": 0.48923095604524064, "r2_5y": 0.9538094979183783, "r2_full": 0.9592879378291321, "corr_portfolio": 0.2969375253886816, "corr_benchmark": 0.7275732219962466, "alpha_pos_frac": 0.5605381165919282, "fund_max_dd": -0.4215889088394861, "first": "2006-06-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vubfx": {"sym": "vubfx", "name": "Vanguard Ultra-Short-Term Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01367030211667184, "alpha_t_5y": 3.735785958635128, "alpha_t_full": 5.887812878073768, "r2_5y": 0.44503924963245445, "r2_full": 0.2811965744383753, "corr_portfolio": -0.0651460131101852, "corr_benchmark": 0.2709540150667939, "alpha_pos_frac": 0.45864661654135336, "fund_max_dd": -0.01850422302817223, "first": "2015-02-11", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "vuiax": {"sym": "vuiax", "name": "Vanguard Utilities Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005806172329839955, "alpha_t_5y": 0.11356863632266608, "alpha_t_full": 0.9762670350716189, "r2_5y": 0.49289694131495077, "r2_full": 0.5252087873063604, "corr_portfolio": 0.22969493456982634, "corr_benchmark": 0.4673346963428161, "alpha_pos_frac": 0.545816733067729, "fund_max_dd": -0.4628720209011963, "first": "2004-02-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "vusb": {"sym": "vusb", "name": "Vanguard Ultra-Short Bond ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.013280341909039865, "alpha_t_5y": 4.420683983114548, "alpha_t_full": 4.420683983114548, "r2_5y": 0.5479547413878423, "r2_full": 0.5479547413878423, "corr_portfolio": -0.07652550808720006, "corr_benchmark": 0.5034207261786696, "alpha_pos_frac": 0.5932203389830508, "fund_max_dd": -0.017943220689283335, "first": "2021-04-08", "verdict": "CANDIDATE - idiosyncratic alpha, complements portfolio", "alpha_name": false}, "vusux": {"sym": "vusux", "name": "Vanguard Long-Term Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0010954923276211659, "alpha_t_5y": 0.18630872974957596, "alpha_t_full": -1.1009518409783912, "r2_5y": 0.9905712441087945, "r2_full": 0.9669333602582338, "corr_portfolio": -0.18795873272246771, "corr_benchmark": 0.6453710189901769, "alpha_pos_frac": 0.48554913294797686, "fund_max_dd": -0.46045183259250755, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vviax": {"sym": "vviax", "name": "Vanguard Value Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.028208036903276886, "alpha_t_5y": 1.727451931348108, "alpha_t_full": -0.24081283470324483, "r2_5y": 0.9212823335507475, "r2_full": 0.9309294205086476, "corr_portfolio": 0.412555843499971, "corr_benchmark": 0.523524652209541, "alpha_pos_frac": 0.48878923766816146, "fund_max_dd": -0.5931914956967199, "first": "2000-11-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vvoax": {"sym": "vvoax", "name": "INVESCO VALUE OPPORTUNITIES FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.057873371312299235, "alpha_t_5y": 1.596240371244019, "alpha_t_full": 0.39586788159484015, "r2_5y": 0.8395570873542513, "r2_full": 0.7981351960701439, "corr_portfolio": 0.37626618326892136, "corr_benchmark": 0.4366974520704585, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.6207228784187142, "first": "2001-06-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "vwahx": {"sym": "vwahx", "name": "Vanguard High-Yield Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.009415516586158268, "alpha_t_5y": 0.6369502416169052, "alpha_t_full": 8.001461291474667, "r2_5y": 0.41654481381163033, "r2_full": 2.9976021664879227e-15, "corr_portfolio": 0.03616473918305589, "corr_benchmark": 0.3571636460723977, "alpha_pos_frac": 0.5722543352601156, "fund_max_dd": -0.2068354768368117, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vweax": {"sym": "vweax", "name": "Vanguard High-Yield Corporate Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018298347634577383, "alpha_t_5y": 1.5926789717546233, "alpha_t_full": 5.198674968519136, "r2_5y": 0.6683882113104858, "r2_full": 0.11983174547938458, "corr_portfolio": 0.28978903780252924, "corr_benchmark": 0.4522857065442789, "alpha_pos_frac": 0.4797687861271676, "fund_max_dd": -0.3002941199497874, "first": "2001-11-13", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vwenx": {"sym": "vwenx", "name": "VANGUARD WELLINGTON FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0033151415094878874, "alpha_t_5y": 0.3776865332602855, "alpha_t_full": 4.272701672421813, "r2_5y": 0.9643400073196198, "r2_full": 0.9399569799030046, "corr_portfolio": 0.29577518755800203, "corr_benchmark": 0.7036610350843094, "alpha_pos_frac": 0.5491329479768786, "fund_max_dd": -0.36017632057011195, "first": "2001-05-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwetx": {"sym": "vwetx", "name": "Vanguard Long-Term Investment-Grade Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0032268428948541866, "alpha_t_5y": -0.5670205901412504, "alpha_t_full": -2.797748614466781, "r2_5y": 0.9871159683049129, "r2_full": 0.9221189785986101, "corr_portfolio": -0.07045586325810717, "corr_benchmark": 0.7351043858464672, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.3569722697926637, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwiax": {"sym": "vwiax", "name": "VANGUARD WELLESLEY INCOME FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.010536642929078877, "alpha_t_5y": 1.2871798880040626, "alpha_t_full": 2.5989582742891186, "r2_5y": 0.9188954159048368, "r2_full": 0.8966791697264672, "corr_portfolio": 0.32748252476382067, "corr_benchmark": 0.8166590050971356, "alpha_pos_frac": 0.5028901734104047, "fund_max_dd": -0.216410511632796, "first": "2002-07-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwicx": {"sym": "vwicx", "name": "Vanguard International Core Stock Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.020930173396218228, "alpha_t_5y": 1.3316984800998966, "alpha_t_full": 1.268066748280599, "r2_5y": 0.9421666431547828, "r2_full": 0.9452198889908253, "corr_portfolio": 0.3762935125132009, "corr_benchmark": 0.554904760819798, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.34372139131353174, "first": "2019-09-25", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwilx": {"sym": "vwilx", "name": "Vanguard International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07782193238003143, "alpha_t_5y": -2.645664446003809, "alpha_t_full": 0.48497783845849085, "r2_5y": 0.9018224694292198, "r2_full": 0.8487823582358727, "corr_portfolio": 0.1870366840707424, "corr_benchmark": 0.5726303775755265, "alpha_pos_frac": 0.515695067264574, "fund_max_dd": -0.5949231713886121, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwitx": {"sym": "vwitx", "name": "Vanguard Intermediate-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.008422365809641279, "alpha_t_5y": 0.8434851465573999, "alpha_t_full": 8.903743668664982, "r2_5y": 0.42403763135517347, "r2_full": 6.661338147750939e-16, "corr_portfolio": 0.03488133692865137, "corr_benchmark": 0.3435564200411563, "alpha_pos_frac": 0.5433526011560693, "fund_max_dd": -0.2069702105025527, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vwltx": {"sym": "vwltx", "name": "Vanguard Long-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0035791032365086292, "alpha_t_5y": 0.2490132240117926, "alpha_t_full": 6.987411400887962, "r2_5y": 0.39932496925772565, "r2_full": -1.1102230246251565e-15, "corr_portfolio": 0.019307188177131788, "corr_benchmark": 0.3571255858539819, "alpha_pos_frac": 0.5603112840466926, "fund_max_dd": -0.2691671029737639, "first": "1990-01-03", "verdict": "CANDIDATE (semi-alpha: mostly explained by net exposure)", "alpha_name": false}, "vwnax": {"sym": "vwnax", "name": "Vanguard Windsor II Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.006822448461695748, "alpha_t_5y": 0.4986108776523454, "alpha_t_full": 0.7431293100850755, "r2_5y": 0.9560433508811242, "r2_full": 0.9595415992175754, "corr_portfolio": 0.35137113349501886, "corr_benchmark": 0.5664380900414621, "alpha_pos_frac": 0.49327354260089684, "fund_max_dd": -0.5750965270803856, "first": "2001-05-15", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwnex": {"sym": "vwnex", "name": "Vanguard Windsor Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.01289354132304095, "alpha_t_5y": 0.7282762817494421, "alpha_t_full": -0.15724682342543742, "r2_5y": 0.9293620883651572, "r2_full": 0.9366781049199648, "corr_portfolio": 0.38830494833276236, "corr_benchmark": 0.5107238302511219, "alpha_pos_frac": 0.5106382978723404, "fund_max_dd": -0.6140599906331099, "first": "2001-11-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vwstx": {"sym": "vwstx", "name": "Vanguard Ultra-Short-Term Tax-Exempt Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.018865025061150564, "alpha_t_5y": 5.199385039696665, "alpha_t_full": 14.872985619429034, "r2_5y": 0.366775245623412, "r2_full": -2.4424906541753444e-15, "corr_portfolio": 0.0723430002057971, "corr_benchmark": 0.24087949631072206, "alpha_pos_frac": 0.4393063583815029, "fund_max_dd": -0.03075957200809265, "first": "1990-01-03", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "vwuax": {"sym": "vwuax", "name": "Vanguard U.S. Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.07338631278871953, "alpha_t_5y": -2.7670833257234615, "alpha_t_full": -1.852364618667273, "r2_5y": 0.9354415876591565, "r2_full": 0.924278051343363, "corr_portfolio": 0.10013715734657057, "corr_benchmark": 0.6173466006527826, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.5036963395861764, "first": "2001-08-14", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vymi": {"sym": "vymi", "name": "Vanguard International High Dividend Yield Index Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.04714151248202295, "alpha_t_5y": 3.383198657417, "alpha_t_full": 2.3289724760884836, "r2_5y": 0.9496255421762141, "r2_full": 0.9571379062331685, "corr_portfolio": 0.4363807884029878, "corr_benchmark": 0.5125469002383687, "alpha_pos_frac": 0.5, "fund_max_dd": -0.39996412767977396, "first": "2016-03-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vymqx": {"sym": "vymqx", "name": "Voya MI Dynamic SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008987716315561544, "alpha_t_5y": -0.36832015416932884, "alpha_t_full": -0.5534021936708979, "r2_5y": 0.9174399668754948, "r2_full": 0.9359397595743281, "corr_portfolio": 0.3119211161278311, "corr_benchmark": 0.5943934142511275, "alpha_pos_frac": 0.5657894736842105, "fund_max_dd": -0.436823217568179, "first": "2019-11-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "vysgx": {"sym": "vysgx", "name": "Voya MI Dynamic Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.012543429843001956, "alpha_t_5y": -0.46230277604403325, "alpha_t_full": -0.3063343725956296, "r2_5y": 0.9155974077184615, "r2_full": 0.9322647475562548, "corr_portfolio": 0.2720052532492217, "corr_benchmark": 0.57706437112028, "alpha_pos_frac": 0.5263157894736842, "fund_max_dd": -0.43248539597154967, "first": "2019-11-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "waaex": {"sym": "waaex", "name": "Wasatch Small Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12230765212903232, "alpha_t_5y": -3.041005116669023, "alpha_t_full": 3.4882333742774603, "r2_5y": 0.858264705169864, "r2_full": 0.0, "corr_portfolio": 0.13770366726407662, "corr_benchmark": 0.5704164771220015, "alpha_pos_frac": 0.5112107623318386, "fund_max_dd": -0.5647608723989028, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "waarx": {"sym": "waarx", "name": "Western Asset Total Return Unconstrained Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.04124647808202069, "alpha_t_5y": -2.7972501412572885, "alpha_t_full": -0.266301020576037, "r2_5y": 0.5573369366558099, "r2_full": 0.5028569018300632, "corr_portfolio": 0.1435629039936486, "corr_benchmark": 0.5114434585100575, "alpha_pos_frac": 0.5384615384615384, "fund_max_dd": -0.23296497029892382, "first": "2006-07-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "wabmx": {"sym": "wabmx", "name": "Wilmington Broad Market Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.00011877414231340161, "alpha_t_5y": 0.027205715133946862, "alpha_t_full": 4.785940715326178, "r2_5y": 0.9640218007386177, "r2_full": 6.661338147750939e-16, "corr_portfolio": -0.10052904280935002, "corr_benchmark": 0.6966647914757766, "alpha_pos_frac": 0.4046242774566474, "fund_max_dd": -0.1786129596674424, "first": "1994-04-13", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wacpx": {"sym": "wacpx", "name": "Western Asset Core Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.018806148586648967, "alpha_t_5y": -1.8384169050173114, "alpha_t_full": 3.488940074295878, "r2_5y": 0.8865720837011751, "r2_full": 0.0, "corr_portfolio": -0.00015847678012290424, "corr_benchmark": 0.7502480986135237, "alpha_pos_frac": 0.5664739884393064, "fund_max_dd": -0.2557367240450402, "first": "1998-07-08", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "waemx": {"sym": "waemx", "name": "Wasatch Emerging Markets Small Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.06157165491920949, "alpha_t_5y": -1.2575507211230221, "alpha_t_full": -0.9063541444412243, "r2_5y": 0.5951994316118094, "r2_full": 0.6777523632631222, "corr_portfolio": 0.2698294487282327, "corr_benchmark": 0.42959574738022066, "alpha_pos_frac": 0.48717948717948717, "fund_max_dd": -0.662762510251649, "first": "2007-10-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "waesx": {"sym": "waesx", "name": "Wasatch Emerging Markets Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08053851157851039, "alpha_t_5y": -1.7232989366216236, "alpha_t_full": -1.3752347974975951, "r2_5y": 0.7049892967342114, "r2_full": 0.675305978525895, "corr_portfolio": 0.20194695649544897, "corr_benchmark": 0.4782568031519552, "alpha_pos_frac": 0.45569620253164556, "fund_max_dd": -0.4584647932698759, "first": "2012-12-14", "verdict": "weak/unstable alpha", "alpha_name": false}, "wafmx": {"sym": "wafmx", "name": "Wasatch Frontier Emerging Small Countries Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.09361227261436321, "alpha_t_5y": -2.108857799827967, "alpha_t_full": -1.4731819463601983, "r2_5y": 0.6452451476622949, "r2_full": 0.5315874019239237, "corr_portfolio": 0.1900086960027529, "corr_benchmark": 0.46150327389933055, "alpha_pos_frac": 0.514792899408284, "fund_max_dd": -0.4950255379554732, "first": "2012-02-01", "verdict": "weak/unstable alpha", "alpha_name": false}, "wagox": {"sym": "wagox", "name": "Wasatch Global Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.08471352634537874, "alpha_t_5y": -2.361521709739326, "alpha_t_full": -1.0691606937421159, "r2_5y": 0.8281763732825964, "r2_full": 0.8011276941254191, "corr_portfolio": 0.19451628682777078, "corr_benchmark": 0.5751002191993965, "alpha_pos_frac": 0.5072463768115942, "fund_max_dd": -0.4405746164402319, "first": "2008-11-18", "verdict": "weak/unstable alpha", "alpha_name": false}, "waigx": {"sym": "waigx", "name": "Wasatch International Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.12144148708422849, "alpha_t_5y": -3.400166212218389, "alpha_t_full": -0.8946693345764232, "r2_5y": 0.7917169250065127, "r2_full": 0.722479099251646, "corr_portfolio": 0.24077676295438555, "corr_benchmark": 0.5472425238641353, "alpha_pos_frac": 0.5381165919282511, "fund_max_dd": -0.6765889159835559, "first": "2002-07-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "wainx": {"sym": "wainx", "name": "Wasatch Emerging India Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.012221188008000549, "alpha_t_5y": 0.19264016840415307, "alpha_t_full": 1.115595384717103, "r2_5y": 0.2584229609777927, "r2_full": 0.3147699402845102, "corr_portfolio": 0.22460173510255882, "corr_benchmark": 0.2610970119321807, "alpha_pos_frac": 0.47752808988764045, "fund_max_dd": -0.41336124858606094, "first": "2011-04-27", "verdict": "weak/unstable alpha", "alpha_name": false}, "waiox": {"sym": "waiox", "name": "Wasatch International Opportunities Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.15171488684460374, "alpha_t_5y": -3.7307857217835467, "alpha_t_full": -0.888679208565482, "r2_5y": 0.6762340204541333, "r2_full": 0.6188233980390344, "corr_portfolio": 0.246120133405443, "corr_benchmark": 0.4945089752310535, "alpha_pos_frac": 0.5435897435897435, "fund_max_dd": -0.6803597207974941, "first": "2005-01-28", "verdict": "weak/unstable alpha", "alpha_name": false}, "wamcx": {"sym": "wamcx", "name": "Wasatch Ultra Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10223961942519348, "alpha_t_5y": -2.4289117384415406, "alpha_t_full": 1.0044602406334862, "r2_5y": 0.8665040981751411, "r2_full": 0.8085136342336806, "corr_portfolio": 0.08638392730494919, "corr_benchmark": 0.5640408188646092, "alpha_pos_frac": 0.521551724137931, "fund_max_dd": -0.6570288569561195, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wamfx": {"sym": "wamfx", "name": "Boston Trust Walden Midcap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.011134882686017698, "alpha_t_5y": -0.48275254667632983, "alpha_t_full": 0.34042565911523986, "r2_5y": 0.8761788019588552, "r2_full": 0.9143444359677584, "corr_portfolio": 0.32954653025505865, "corr_benchmark": 0.5618148248759072, "alpha_pos_frac": 0.5257142857142857, "fund_max_dd": -0.3680628489078037, "first": "2011-08-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wamvx": {"sym": "wamvx", "name": "Wasatch Micro Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.005933524416318634, "alpha_t_5y": 0.19124210600972139, "alpha_t_full": 1.4401738413412613, "r2_5y": 0.8749030786891949, "r2_full": 0.8269252071484157, "corr_portfolio": 0.24996484458096963, "corr_benchmark": 0.5468543434435597, "alpha_pos_frac": 0.5022421524663677, "fund_max_dd": -0.6070201792073282, "first": "2003-07-29", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wasax": {"sym": "wasax", "name": "Nomura Asset Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.001330682288232755, "alpha_t_5y": -0.029959976826128408, "alpha_t_full": 1.324011993205685, "r2_5y": 0.5295906855980512, "r2_full": 0.4640772219150021, "corr_portfolio": 0.2899034432469541, "corr_benchmark": 0.5597930483415574, "alpha_pos_frac": 0.5317919075144508, "fund_max_dd": -0.3565379777068769, "first": "2000-07-11", "verdict": "weak/unstable alpha", "alpha_name": false}, "wasmx": {"sym": "wasmx", "name": "Boston Trust Walden SMID Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.002554288443211898, "alpha_t_5y": -0.10002932919198664, "alpha_t_full": 0.17450571270639909, "r2_5y": 0.8728897034671168, "r2_full": 0.9075065042406598, "corr_portfolio": 0.3158112680089156, "corr_benchmark": 0.5475993865680101, "alpha_pos_frac": 0.5365853658536586, "fund_max_dd": -0.3773585472913914, "first": "2012-07-02", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "watfx": {"sym": "watfx", "name": "Western Asset Core Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.008149885035090818, "alpha_t_5y": -1.0000769538701142, "alpha_t_full": 5.693134867681679, "r2_5y": 0.9149082526708429, "r2_full": -6.661338147750939e-16, "corr_portfolio": -0.049498136778808655, "corr_benchmark": 0.731083705361807, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.23105626693477166, "first": "1990-09-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "watpx": {"sym": "watpx", "name": "Western Asset Inflation Indexed Plus Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0013330390168910125, "alpha_t_5y": 0.09824959309982588, "alpha_t_full": -2.148366938672093, "r2_5y": 0.7327697601709366, "r2_full": 0.6030362067693849, "corr_portfolio": -0.056539556880802165, "corr_benchmark": 0.6391068458034175, "alpha_pos_frac": 0.5086705202312138, "fund_max_dd": -0.19173265547191654, "first": "2002-07-31", "verdict": "weak/unstable alpha", "alpha_name": false}, "wayex": {"sym": "wayex", "name": "WAYCROSS MANAGED RISK EQUITY FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.005649466107858644, "alpha_t_5y": -0.3583889468716955, "alpha_t_full": -0.5530245990937495, "r2_5y": 0.8635135418411555, "r2_full": 0.8499978945217721, "corr_portfolio": 0.2221868721802064, "corr_benchmark": 0.5591451773441146, "alpha_pos_frac": 0.5076923076923077, "fund_max_dd": -0.20765468122364827, "first": "2015-05-12", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wbalx": {"sym": "wbalx", "name": "Conservative Allocation Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.009671996265878502, "alpha_t_5y": -0.7464294321746734, "alpha_t_full": 0.3112326911866479, "r2_5y": 0.8242561991279905, "r2_full": 0.8404475444438638, "corr_portfolio": 0.2717211564679957, "corr_benchmark": 0.6247094836608215, "alpha_pos_frac": 0.48936170212765956, "fund_max_dd": -0.43039733004614555, "first": "2003-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "wbvnx": {"sym": "wbvnx", "name": "William Blair Small Cap Value Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0017291456472354658, "alpha_t_5y": -0.06289029118409614, "alpha_t_full": 0.06431830406319436, "r2_5y": 0.8986294567959578, "r2_full": 0.9164468946807052, "corr_portfolio": 0.355176542683468, "corr_benchmark": 0.49099360460699126, "alpha_pos_frac": 0.5411764705882353, "fund_max_dd": -0.5520345449675573, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wceax": {"sym": "wceax", "name": "Nomura Core Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.00031863004066558947, "alpha_t_5y": -0.007350230486672268, "alpha_t_full": -0.42613628948747945, "r2_5y": 0.7173295357159247, "r2_full": 0.851399839235406, "corr_portfolio": 0.26864090107707195, "corr_benchmark": 0.570862822017832, "alpha_pos_frac": 0.5844155844155844, "fund_max_dd": -0.5632909577739643, "first": "2000-07-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "wceix": {"sym": "wceix", "name": "Virtus Westchester Event-Driven Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0037915440537941505, "alpha_t_5y": 0.25423162994515436, "alpha_t_full": 0.4428425908947092, "r2_5y": 0.44550871225218025, "r2_full": 0.5686477489078116, "corr_portfolio": 0.2700544031299819, "corr_benchmark": 0.4342969335345451, "alpha_pos_frac": 0.4246575342465753, "fund_max_dd": -0.216531822469881, "first": "2014-01-07", "verdict": "weak/unstable alpha", "alpha_name": false}, "wcmgx": {"sym": "wcmgx", "name": "First Trust WCM Focused Global Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.02289298589914887, "alpha_t_5y": -0.6886132546056414, "alpha_t_full": -0.052249887779106274, "r2_5y": 0.8441300873704558, "r2_full": 0.8678612417868297, "corr_portfolio": 0.2077510621566422, "corr_benchmark": 0.5997876858314342, "alpha_pos_frac": 0.5328947368421053, "fund_max_dd": -0.3676423792494785, "first": "2013-07-03", "verdict": "weak/unstable alpha", "alpha_name": false}, "wcpbx": {"sym": "wcpbx", "name": "Core Plus Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.021740141216867754, "alpha_t_5y": 3.229092311008464, "alpha_t_full": 3.3211296175790364, "r2_5y": 0.8888626540441802, "r2_full": 0.8166279204531568, "corr_portfolio": -0.02266382603414972, "corr_benchmark": 0.679066143504003, "alpha_pos_frac": 0.4460431654676259, "fund_max_dd": -0.13537831271034084, "first": "2014-08-04", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wdiax": {"sym": "wdiax", "name": "Wilmington Enhanced Dividend Income Strategy Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007509814180836856, "alpha_t_5y": 0.367161248038146, "alpha_t_full": -1.0527311536788464, "r2_5y": 0.8631243694081985, "r2_full": 0.5956499545567744, "corr_portfolio": 0.4135099622773924, "corr_benchmark": 0.5758991974309801, "alpha_pos_frac": 0.5964125560538116, "fund_max_dd": -0.48276142893026397, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wdiv": {"sym": "wdiv", "name": "State Street(R) SPDR(R) S&P(R) Global Dividend ETF", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.03829460524763474, "alpha_t_5y": 1.959634293543853, "alpha_t_full": 1.3537145107190458, "r2_5y": 0.8652550131694539, "r2_full": 0.8644807322051764, "corr_portfolio": 0.41842656451527555, "corr_benchmark": 0.4928229642714195, "alpha_pos_frac": 0.5228758169934641, "fund_max_dd": -0.42344518892167116, "first": "2013-05-31", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wefix": {"sym": "wefix", "name": "Short Duration Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.007318834784019366, "alpha_t_5y": 1.2447858617900494, "alpha_t_full": 11.577742220786904, "r2_5y": 0.6130986104002951, "r2_full": 5.662137425588298e-15, "corr_portfolio": 0.03621468830878339, "corr_benchmark": 0.44421303775965204, "alpha_pos_frac": 0.44508670520231214, "fund_max_dd": -0.059832165076966204, "first": "1990-01-03", "verdict": "alpha in 5y window, but not persistent (lucky stretch?)", "alpha_name": false}, "weusx": {"sym": "weusx", "name": "SIIT WORLD EQUITY EX-US FUND", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 8.453829399695095e-05, "alpha_t_5y": 0.0037933610687573014, "alpha_t_full": -1.4645779604248474, "r2_5y": 0.8695635435259281, "r2_full": 0.8733632583509335, "corr_portfolio": 0.41622963201730273, "corr_benchmark": 0.48589711708943967, "alpha_pos_frac": 0.5765765765765766, "fund_max_dd": -0.6662650364430045, "first": "2007-09-05", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wggsx": {"sym": "wggsx", "name": "Wasatch Global Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.10915155019044837, "alpha_t_5y": -3.2243615640845045, "alpha_t_full": -2.4468829789306845, "r2_5y": 0.8263915159811098, "r2_full": 0.8512544789979248, "corr_portfolio": 0.1182245860992577, "corr_benchmark": 0.6350348942455755, "alpha_pos_frac": 0.5714285714285714, "fund_max_dd": -0.43353184735510464, "first": "2019-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "wgisx": {"sym": "wgisx", "name": "Wasatch International Select Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.1222125236641282, "alpha_t_5y": -3.0644237322617465, "alpha_t_full": -2.0470205814113442, "r2_5y": 0.7728394629729078, "r2_full": 0.780497300678927, "corr_portfolio": 0.09672789367643869, "corr_benchmark": 0.6085697651702847, "alpha_pos_frac": 0.5064935064935064, "fund_max_dd": -0.454878048780487, "first": "2019-10-02", "verdict": "weak/unstable alpha", "alpha_name": false}, "wgrox": {"sym": "wgrox", "name": "Wasatch Core Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05226177791356693, "alpha_t_5y": -1.6357808441795092, "alpha_t_full": 3.5627064065284677, "r2_5y": 0.8901879830203028, "r2_full": 4.440892098500626e-16, "corr_portfolio": 0.20460761712422457, "corr_benchmark": 0.5810266414797395, "alpha_pos_frac": 0.5549132947976878, "fund_max_dd": -0.6161040345439093, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "whiax": {"sym": "whiax", "name": "Nomura High Income Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.007883967926277111, "alpha_t_5y": -0.48870100068596767, "alpha_t_full": 1.9886383593608117, "r2_5y": 0.5856430836026916, "r2_full": 0.5991521764662409, "corr_portfolio": 0.30623860928512414, "corr_benchmark": 0.3822933699321789, "alpha_pos_frac": 0.5260115606936416, "fund_max_dd": -0.2617460913852856, "first": "2001-11-13", "verdict": "weak/unstable alpha", "alpha_name": false}, "whosx": {"sym": "whosx", "name": "Wasatch-Hoisington U.S. Treasury Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.006284804620615251, "alpha_t_5y": -0.24034157711407703, "alpha_t_full": 2.390737741720174, "r2_5y": 0.8682298431467752, "r2_full": 5.551115123125783e-16, "corr_portfolio": -0.1899143965571968, "corr_benchmark": 0.5959948580728329, "alpha_pos_frac": 0.4508670520231214, "fund_max_dd": -0.5421850230117555, "first": "1990-01-03", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wiefx": {"sym": "wiefx", "name": "Boston Trust Walden International Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": 0.0059442285111692686, "alpha_t_5y": 0.37745429010341497, "alpha_t_full": 0.2265527774417027, "r2_5y": 0.9285892911497656, "r2_full": 0.8914864355180601, "corr_portfolio": 0.35355379694254824, "corr_benchmark": 0.5428738066689854, "alpha_pos_frac": 0.5038759689922481, "fund_max_dd": -0.29651664172681624, "first": "2015-06-10", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "winax": {"sym": "winax", "name": "Wilmington International Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.003979734885992201, "alpha_t_5y": -0.20582711928684508, "alpha_t_full": -0.4055208988642423, "r2_5y": 0.9077257287099811, "r2_full": 0.8320258923457355, "corr_portfolio": 0.36214989126870195, "corr_benchmark": 0.5350811906812367, "alpha_pos_frac": 0.6233183856502242, "fund_max_dd": -0.6368130946080266, "first": "2001-08-28", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "wmgrx": {"sym": "wmgrx", "name": "Nomura Mid Cap Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.11954776082937493, "alpha_t_5y": -3.4831068824615903, "alpha_t_full": -2.345471584016638, "r2_5y": 0.8774765222671825, "r2_full": 0.9052517632590978, "corr_portfolio": 0.14324016972922599, "corr_benchmark": 0.6136156940016783, "alpha_pos_frac": 0.5603448275862069, "fund_max_dd": -0.5378433202293931, "first": "2005-12-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wmicx": {"sym": "wmicx", "name": "Wasatch Micro Cap Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.054843380772753726, "alpha_t_5y": -1.5333976529976616, "alpha_t_full": 2.194222925649153, "r2_5y": 0.8821300688676141, "r2_full": 0.8046319110273312, "corr_portfolio": 0.15827524793313943, "corr_benchmark": 0.5440733777140916, "alpha_pos_frac": 0.4870689655172414, "fund_max_dd": -0.6521223217044136, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - 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idiosyncratic alpha, complements portfolio", "alpha_name": true}, "wnyax": {"sym": "wnyax", "name": "Wilmington New York Municipal Bond Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0013708102987918314, "alpha_t_5y": -0.13824646042533076, "alpha_t_full": 5.566280006571044, "r2_5y": 0.3617425737385007, "r2_full": -5.773159728050814e-15, "corr_portfolio": 0.028468359768801896, "corr_benchmark": 0.3463404467852397, "alpha_pos_frac": 0.5371024734982333, "fund_max_dd": -0.11693808185885002, "first": "1993-09-23", "verdict": "weak/unstable alpha", "alpha_name": false}, "wpopx": {"sym": "wpopx", "name": "Partners III Opportunity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.05878453048937197, "alpha_t_5y": -1.876500092901142, "alpha_t_full": -1.0249009171625758, "r2_5y": 0.7782710319020902, "r2_full": 0.7964078033284502, "corr_portfolio": 0.24883797236768712, "corr_benchmark": 0.553376511717844, "alpha_pos_frac": 0.4462809917355372, "fund_max_dd": -0.5754926574454038, "first": "2006-01-04", "verdict": "weak/unstable alpha", "alpha_name": false}, "wpsgx": {"sym": "wpsgx", "name": "AB Concentrated Growth Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.0734265821718336, "alpha_t_5y": -2.8738394692121063, "alpha_t_full": 2.9425766211070994, "r2_5y": 0.8848621043591046, "r2_full": -2.220446049250313e-16, "corr_portfolio": 0.2505200651502974, "corr_benchmark": 0.5927475886070235, "alpha_pos_frac": 0.5474137931034483, "fund_max_dd": -0.4806984590002825, "first": "1994-03-01", "verdict": "sleeve mix (R\u00b2 high) - 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not alpha-driven", "alpha_name": false}, "wsbfx": {"sym": "wsbfx", "name": "Boston Trust Walden Balanced Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.020014595449328983, "alpha_t_5y": -1.7454750307307565, "alpha_t_full": 1.6343860705767954, "r2_5y": 0.9378805132487462, "r2_full": 0.9127372671652776, "corr_portfolio": 0.2931987814437124, "corr_benchmark": 0.6572765319634675, "alpha_pos_frac": 0.5241635687732342, "fund_max_dd": -0.32005000153063123, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - not alpha-driven", "alpha_name": false}, "wsefx": {"sym": "wsefx", "name": "Boston Trust Walden Equity Fund", "bucket": "all", "in_portfolio": false, "alpha_ann_5y": -0.026225495817567755, "alpha_t_5y": -1.782753081639351, "alpha_t_full": 0.7411177154224503, "r2_5y": 0.9480784157397141, "r2_full": 0.9481986654238803, "corr_portfolio": 0.3121775209640662, "corr_benchmark": 0.586563763441743, "alpha_pos_frac": 0.4627831715210356, "fund_max_dd": -0.48027225493080783, "first": "2000-05-30", "verdict": "sleeve mix (R\u00b2 high) - 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