Listed private-equity managers as a market factor — the "buy, prop, exit" model's real exposure.
Blackstone is a member of the Blaque Baux family. The core repo is the engine and blueprint — a governed, systematic platform (Julia) with a venue-agnostic execution controller and a Layer-3 live-money safety gate. Blackstone points that engine at the public shares of the private-equity giants and inherits the governance wholesale.
Not investment advice. Educational/research software. Nothing here is validated. See LICENSE.
git clone --recursive https://github.com/blaquebaux/blackstone.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()' # one-time engine setupPrivate equity's model is, in the user's words, invest in company A, prop it up, and cash out down the
road — buy a business (mostly with debt), improve/lever it, and exit at a markup years later. The
funds are private, but the managers are publicly traded: BX (Blackstone), KKR, APO
(Apollo), CG (Carlyle), ARES, OWL (Blue Owl), BAM (Brookfield). So unlike most of private
markets, this corner is directly testable.
The honest question: are the listed PE managers a distinct exposure, or are they leveraged financials plus a credit/liquidity-cycle amplifier? Their earnings ride two things — fee-related income (steady, AUM-linked) and carried interest / realizations (lumpy, exit-dependent) — and both lean on cheap credit and open exit windows. The prior: PE stocks are a high-beta, pro-cyclical market factor that soars in bull markets and craters when exits freeze and credit tightens (2020, 2022) — the opposite of diversification, and a magnified bet on the very market they claim to be uncorrelated from. The "adjacent holdings" angle — their exposure to their own portfolio companies and the broader credit cycle — is the mechanism to measure.
- PE as a factor. Basket of
BX/KKR/APO/CG/ARES/BAM(+OWL where history allows): correlation and beta to SPY and to financials (XLF), effective bets, and behavior in the 2020 and 2022 stress. Distinct exposure, or levered-XLF? - The credit-cycle amplifier. Test PE-manager returns against credit spreads (HYG/LQD) and rates — is the "prop it up / cash out" cycle really a bet on cheap debt + open exit windows?
- Adjacent holdings. Where a manager and its listed portfolio/BDC affiliates both trade, measure the read-through — how much of the manager's move is its own book.
Full detail in research/README.md. The scorecard (Alpaca SIP, 2016–2026):
| # | Question | Verdict |
|---|---|---|
| 1 | Distinct alt, or levered financials? | ❌ levered pro-cyclical financials — beta-SPY 1.39, beta-XLF 0.99, only 1.8/6 effective bets; falls ~40% harder than SPY on the worst days |
| 2 | A credit-cycle amplifier? | ✅ beta-credit +1.55; earns 7× more when credit tightens than widens; 2022 −33% vs SPY −18% |
| 3 | Downside amplification + adjacency? | ✅ up-beta 1.34 / down-beta 1.41; coupled to private-credit BDCs (ARCC/BIZD corr ~0.6) |
The synthesis: the "buy, prop, exit" read is exactly right, and precise. Listed PE is a leveraged, pro-cyclical market/credit factor — ~one bet across six managers, beta 1.39 to the market and +1.55 to credit, at least as violent on the downside (1.4× on the worst days), and coupled to the BDCs that finance the same LBOs. It runs on cheap debt + open exits, so it prints in easy-money bull markets (+784% vs SPY +337%, +23%/yr) and seizes in credit freezes (2020 −28%, 2022 −33%). But at 31% vol and −45%→−57% drawdowns, its Sharpe (+0.83) trails SPY's (+0.88) — the extra return is leverage, not skill. It is the opposite of a hedge, most exposed exactly when you'd want protection. Not the uncorrelated diversifier it is marketed as.
The raw basket isn't a family keeper (amplified beta, not alpha). But its very flaw — a naive
high-beta book with no risk control — is the one profile benchmark #4
found benchmark's published market_regime overlay earns its keep on. So the driver ships the honest
version: the equal-weight PE basket with the market-regime gross overlay wired on by default, de-risking
to ×0.5 gross when the market internals turn risk-off. live/blackstone_live.jl
runs on the same engine + Layer-3 safety gate as the spine; live/blackstone_market_regime_validation.jl
is why it's on:
| PE book (full 2016–2026 SIP, net 5bps) | Sharpe | CAGR | vol | maxDD |
|---|---|---|---|---|
| FULL basket (raw amplified beta) | +0.76 | 21.1% | 31.7% | −45% |
| + market_regime overlay (shipped) | +0.95 | 21.2% | 23.0% | −31% |
| SPY (reference) | +0.85 | 14.9% | 18.3% | −34% |
The overlay lifts Sharpe +0.76 → +0.95 (now above the market), holds CAGR flat (de-risking cost
nothing in return over the window), and cuts the drawdown −45% → −31% — better than SPY's. It de-risks
on ~47% of days. This is the family's first earned market_regime wiring on a consumer book (bore,
broad, apac, and buffett all tested it and declined — their books already manage their own risk; PE's
doesn't). Consumes ~/.config/blaquebaux/market_regime.txt; graceful when it's missing/stale/off (full
gross). Toggle BB_MARKET_OVERLAY=0 for the raw basket.
BB_DRYRUN=1 bash live/run_blackstone_daily.sh # dry-run: logs the target, places nothingDry-run by default; graduates to paper once ~/.config/blaquebaux/alpaca_blackstone.env (that account's
own keys) exists. Real money additionally requires BB_LIVE_CONFIRM. Kill switch: ~/.config/blaquebaux/HALT.
Live driver built — a governed PE-factor book (regime-gated), first pass validated. The raw basket is levered pro-cyclical market + credit beta (Sharpe-negative vs the market once risk is accounted for), so the driver doesn't ship it raw: it wires benchmark's market_regime overlay, which — on this uniquely unmanaged high-beta book — lifts Sharpe above the market's and cuts the drawdown by a third for free. The family's first consumer book to earn that overlay. Ships dry-run/paper; not yet run as real money.
Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.
Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.
This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.
engine/ the Blaque Baux platform (git submodule -> blaquebaux/base)
research/ three sketches (PE-as-factor, credit-cycle, downside-amplifier) + scorecard
live/ blackstone_live.jl (governed PE-factor book + market_regime overlay) + validation + wrapper/plist
MIT. (c) 2026 Carter Warrens.