Greg Pomerantz
afec7bda73
Answer to 'find other alpha-driven funds that complement the portfolio': - fundlab/search.py: complementarity screen - each fund's daily total returns vs the same 21 broad sleeve axes (BIC forward selection, |t|>2), full + 5y; alpha (intercept t), R2, rolling 6m alpha persistence, correlation vs the current qspnx/pmaix portfolio and the spy/agg/tlt benchmark mix. Verdict tiers: CANDIDATE (alpha + persistent + portfolio-corr<0.3) / semi-alpha / alpha-but-correlated / sleeve mix / weak. - fundlab/dbmine.py: the actual search universe - the local stocks DB already holds ~100 US open-end alternatives (AQR, PIMCO, JPM, Principal, Calamos, GMO, Franklin K2, ...). Name-pattern miner with share-class family dedupe (keeps the longest-history class). - fundlab/tickers.py + searchlist.py: external longlist resolution (chart-API name gate + EDGAR 497 cover tickers). Finding: the famous multi-strategy/macro names (Millennium, Balyasny, Two Sigma, Winton, Marshall Wace, Brevan Howard, AQR Event-Driven) are private/offshore or terminated - not US open-end accessible. Fidelity Multi-Asset Income (FMSDX) resolved and screens as weak alpha. - app Fund Lab: 'Alpha search - all screened funds, ranked' table (80 funds: 13 shortlist + 59 mined + 1 external). - results (ranked candidates, 5y alpha / t / portfolio-corr): wmnix Westwood Alt Income +3.8% t6.5 c0.09 | pyaix Payden ARB +3.0% t4.8 c0.13 | srdax Stone Ridge Div Alts +7.7% t4.2 c0.10 | padqx PGIM ARB +2.3% t2.4 c0.27 | bxmdx Blackstone Alt MS +3.5% t2.4 c0.30 | aqmix AQR Mngd Futures +8.0% t2.2 c0.21 | cmnix/gioix semi-alpha. Key insight: AQR MN / L/S-equity / Vanguard MN show strong alpha but corr 0.35-0.76 with the portfolio - it is already 50% market-neutral (qspnx), so more MN is not diversifying. - tests: 59/59 fundlab (resolver gates, query ladder, family dedupe, ticker regex), 32/32 app, 14/14 data
128 lines
3.3 KiB
JSON
128 lines
3.3 KiB
JSON
{
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"Fidelity Multi-Asset Income Fund": {
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"symbol": "fmsdx",
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"name": "Fidelity Multi-Asset Income",
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"sim": 1.0,
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"guess": "FMSDX"
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},
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"AQR Diversified Event-Driven Fund": {
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"symbol": null,
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"name": "AQR Diversified Event-Driven Fund",
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"error": "unresolved"
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},
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"Bridgewater Pure Alpha II Fund": {
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"symbol": null,
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"name": "Bridgewater Pure Alpha II Fund",
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"error": "unresolved"
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},
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"Winton Global Quantitative Fund": {
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"symbol": null,
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"name": "Winton Global Quantitative Fund",
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"error": "unresolved"
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},
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"Two Sigma Dynamic Strategy Fund": {
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"symbol": null,
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"name": "Two Sigma Dynamic Strategy Fund",
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"error": "unresolved"
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},
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"Brevan Howard Dymon Asia Fund": {
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"symbol": null,
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"name": "Brevan Howard Dymon Asia Fund",
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"error": "unresolved"
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},
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"Marshall Wace Global Opportunities Fund": {
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"symbol": null,
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"name": "Marshall Wace Global Opportunities Fund",
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"error": "unresolved"
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},
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"ExodusPoint Diversified Fund": {
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"symbol": null,
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"name": "ExodusPoint Diversified Fund",
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"error": "unresolved"
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},
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"Verition Dynamic Risk Fund": {
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"symbol": null,
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"name": "Verition Dynamic Risk Fund",
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"error": "unresolved"
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},
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"Millennium Focus Fund": {
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"symbol": null,
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"name": "Millennium Focus Fund",
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"error": "unresolved"
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},
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"Balyasny Absolute Return Multi-Strategy Fund": {
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"symbol": null,
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"name": "Balyasny Absolute Return Multi-Strategy Fund",
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"error": "unresolved"
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},
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"Schonfeld Strategic Opportunities Fund": {
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"symbol": null,
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"name": "Schonfeld Strategic Opportunities Fund",
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"error": "unresolved"
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},
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"Bridgewater All Weather Fund": {
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"symbol": null,
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"name": "Bridgewater All Weather Fund",
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"error": "unresolved"
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},
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"Oak Hill Tactical Allocation Fund": {
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"symbol": null,
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"name": "Oak Hill Tactical Allocation Fund",
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"error": "unresolved"
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},
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"Janus Henderson Global Dynamic Dividend Fund": {
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"symbol": null,
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"name": "Janus Henderson Global Dynamic Dividend Fund",
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"error": "unresolved"
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},
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"Wellington Dynamic Global Diversified Fund": {
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"symbol": null,
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"name": "Wellington Dynamic Global Diversified Fund",
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"error": "unresolved"
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},
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"Lord Abbett Global Opportunities Fund": {
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"symbol": null,
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"name": "Lord Abbett Global Opportunities Fund",
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"error": "unresolved"
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},
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"BlackRock Multi-Asset Income Fund": {
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"symbol": null,
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"name": "BlackRock Multi-Asset Income Fund",
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"error": "unresolved"
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},
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"PIMCO Income Strategy Fund": {
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"symbol": null,
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"name": "PIMCO Income Strategy Fund",
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"error": "unresolved"
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},
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"JPMorgan Diversified Return Fund": {
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"symbol": null,
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"name": "JPMorgan Diversified Return Fund",
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"error": "unresolved"
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},
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"Invesco Diversified Equity and Income Fund": {
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"symbol": null,
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"name": "Invesco Diversified Equity and Income Fund",
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"error": "unresolved"
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},
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"T. Rowe Price Global Allocation Fund": {
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"symbol": null,
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"name": "T. Rowe Price Global Allocation Fund",
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"error": "unresolved"
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},
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"Morgan Stanley Global Multi Asset Fund": {
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"symbol": null,
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"name": "Morgan Stanley Global Multi Asset Fund",
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"error": "unresolved"
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},
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"Fidelity Diversified Multi-Asset Fund": {
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"symbol": null,
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"name": "Fidelity Diversified Multi-Asset Fund",
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"error": "unresolved"
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},
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"PIMCO Dynamic Income Fund": {
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"symbol": null,
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"name": "PIMCO Dynamic Income Fund",
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"error": "unresolved"
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}
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} |