RiskModels Quarterly Funds Report — Q1 2026
Top cohort holdings refresh, factor decomposition, and residual winners for the March 2026 reporting window
Conrad Gann · Blue Water Macro · Draft · June 2026
Data freshness note (preview disclosure). Holdings through 2026-03-31 for the top-AUM research cohort (~313 management complexes, 302 fund series) were sourced from the EDGAR N-PORT preview lane (aligned_preview/) merged into production ds_ph.zarr with FUNDS_DAG_USE_PREVIEW=true on 2026-06-03. Canonical SEC bulk ingest for Q1 2026 reporting month-ends will arrive in 2026q2_nport.zip (~July 2026); the BIT partition 2026q1 run ingested 2026q1_nport.zip (filing-quarter Q1 2026 = mostly Q4 2025 reports). Preview figures in this draft should be re-validated against canonical bulk when 2026q2_nport.zip lands. SSOT: docs/nport_preview_pipeline_spec.md §6 Q6.
Coverage at cutover (2026-06-03): 302 preview-aligned series; 170/302 (56%) with at least one teo ≥ 2026-03-31 in preview storage; 299/17,200 funds in funds_latest.json with report_date ≥ 2026-03-31 after zarr rebuild + sync. Parity gate at cohort scale: 30/50 funds within §4.2 tolerance (below 95% threshold); quarter reconcile 2026q1 76.1% on compared teos (20 incomplete_preview structural gaps). Cutover proceeded for research cohort with documented gate exceptions.
1. The quarter at a glance
[Placeholder — populate after manager-profile refresh on BIT anchor 2026-06-02]
- Cohort: top-AUM mutual funds (deduped by CIK from
fund_master.db,NPORT_PREVIEW_COHORT_SIZE=1000→ 313 CIKs / 302 series in preview lane). - Reporting anchor: 2026-03-31 month-end (Q1 2026 N-PORT reporting quarter).
- Preview ingest: EDGAR Atom backfill 2026-06-03; daily schedule
nport_preview_dailyenabled post-cutover.
2. Top 5 ERM3-AUM funds — what happened this quarter
[Verify rank at anchor: AGTHX, FCNTX, FXAIX, VTSAX, VFIAX — note flagship tickers outside preview cohort may still show 2026-01-31 until bulk catch-up]
For each fund: L1/L2/L3/residual cascade for Q1 2026; top residual contributors/detractors; sector tilts.
3. Top 5 fund companies (by aggregated ERM3-AUM)
[Requires fund_family_aggregation — H.51 Phase 0 manual / spec in docs/fund_family_aggregation_spec.md]
4. Winners and losers — 1Q and TTM windows
Top/bottom 10 by gross and residual return; recognizability filter for allocator-facing names.
5. New bets — the next NVDA or SMPH story
Reverse-cascade from outsize residual contributors to funds with recent weight increases.
6. Market-neutral hedged Sharpe — the 5 largest funds
Rolling 12-month Sharpe of L1+L2+L3-hedged residual returns. (Monthly update cadence per H.52; first monthly refresh target 2026-06-05.)
7. Methodology & coverage
| Item | Value |
|---|---|
| Cohort definition | Top-AUM mutual funds, CIK-deduped from fund_master.db |
| N-PORT anchor | BIT date 2026-06-02 (Q1 2026 reporting quarter) |
| Holdings source (Mar 2026) | EDGAR preview merge (FUNDS_DAG_USE_PREVIEW=true) |
| Canonical bulk catch-up | 2026q2_nport.zip expected ~July 2026 |
| Preview reconciliation | 2026q1: 51/67 compared teos within tolerance (excl. incomplete_preview) |
| Time-safety | scripts/time_safety_audit.py (H.56 L1) |
Draft generated 2026-06-03 as part of Q1 2026 N-PORT preview cutover. Not for external distribution until canonical bulk reconciliation and prose pass.