Greg Pomerantz
f68b239b9a
factors.py: full OLS of all 2,384 funds on a 35-driver basis (overinclusive, no portfolio-corr screening - corr is a replacement signal, not a rejection). v1's 21 + lqd/hyg/prefs/emb/tip/shy/vtv/ 8 sectors/CTA/commodities. Basis fixes: drop vea/vug (dupes of efa/qqq), drop finux (TERMINATED 2017 - silently zeroed the complete-case mask; v1 forward selection never hit this), drop bil (shv/bil near-null -> offsetting shv+64/bil-54 noise fits), residualize vblix on ivv+tlt (pure vol axis), ridge 0.02. cluster.py: hierarchical tree saved but fixed-k cuts degenerate (most funds are blends -> one 2250-fund blob); k-means++ (deterministic) is the useful grouping, re-run live in-app for any k. app: Return-driver clusters expander (k slider 10-60, summary table, member table sorted by alpha-t). Findings at k=30 in RESEARCH.md.
12 lines
317 B
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12 lines
317 B
Plaintext
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