Fund Lab: returns-based strategy decomposition for the 16 shortlist funds
- fundlab/decompose.py: per-fund OLS forward selection (BIC-gated, |t|>2,
per-model complete cases so differently-vintaged candidates stay
comparable) against curated DISTINCT-AXIS candidate sets; full-history
+ last-5y models; rolling 1y beta drift for static-vs-time-varying
verdicts; per-fund holdings cross-check notes
- results (13 unique funds; pmfkx/lcrix/egrsx are share classes):
* jlpsx ~1.04x S&P 500, R2 0.96 5y (cleanest)
* lamhx S&P + value/mid tilt, R2 0.95, stable
* cosix 5y: HY +0.30 / MBS +0.29 / IG +0.18, R2 0.86
* cvsix market neutral, 5y R2 0.74, +5.5%/yr alpha (t 6.7)
* pmaix multi-asset: HY .62 / EFA .23 / comm .05 / bonds -.15
* mbxix hedge: ivv .39 / ief -.67 / fxe -.28, R2 0.53
* atesx NOT a static mix - rolling beta to its own QQQ/SPY holdings
is 0.13-0.89 (median 0.30): the 'risk managed' overlay is real
* qspnx/svarx/eagmx/atrfx/pmorx: market-neutral or idiosyncratic -
alpha, not sleeves (qspnx +12.8%/yr alpha t 4.0)
* lcorx/lcrix: new classes (Jul 2026), no history yet - holdings only
- atesx holdings: pulled from the adviser's SOI PDF (anchor-soi-5.31.26):
QQQ 65.2% + SPY 29.3% + MMF 0.6%, options overlay 4.9%
- pool: added qqq (Nasdaq 100) - needed to fit tech-concentrated funds
- app Fund Lab tab: per-fund decomposition (verdict, R2 full/5y, alpha,
tracking error, beta drift, component table + bar chart, holdings
cross-check note) and an all-funds summary expander
- tests: ols/forward-select engine tests (50/50 fundlab)
Greg Pomerantz
db5fc4626d