Blue Moon docs

Overview

Blue Moon hunts for open-end mutual funds that hold private / illiquid (Level 3) securities (the pattern made famous by a fund holding a stake in SpaceX). Because these funds price once a day at NAV and their private holdings are only revalued periodically, a markup shows up as a sudden, one-day jump in NAV.

There are two ways to find these funds, and Blue Moon does both:

1. Screen funds by how much private / illiquid stuff they disclose (Level 3 % and Restricted %), filtering out public-only funds.
2. Detect the discontinuous NAV jumps (especially upward ones) that infer illiquidity from price alone.

The tabs

Private Funds Screener

The full universe of funds, rankable by Level 3 % and Restricted %. Filter by fund type, AUM, and illiquidity, then save a set of filters as a shareable “screen”. This is the “rank by % private, hide the public-only funds” view.

NAV Jumps

The largest one-day NAV moves flagged as statistical outliers over a trailing window (2 weeks, 3 months, or 6 months; 6 months by default, since NAV remarks are often a slow, quarterly process). Up moves on high-Level 3 funds are the revaluation signal we care most about. Sort by Move or Z, or toggle to all directions.

Potential IPOs

The private / illiquid issuers (e.g. SpaceX, Stripe) held across every fund, ranked by total value held. The "Max % in fund" column shows the largest exposure any single open-end fund has to that issuer, the share of a fund that really drives the opportunity. Click an issuer to see which funds hold it, a way to find pre-IPO exposure through public funds.

Glossary

NAV (Net Asset Value)

A fund's per-share value. Mutual funds price once a day after the close, and you buy and sell at that same NAV, with no intraday bid/ask spread. Every move in this app is a change in NAV.

AUM ($M)

Assets under management: the fund's net assets, shown in millions of dollars from its latest N-PORT filing.

Level 3 %

Level 3 (private / illiquid) holdings as a % of net assets, the illiquidity signal. Level 3 means the value is an estimate with no observable market price (e.g. a stake in a private company like SpaceX). See the fair-value levels for the full 1 / 2 / 3 hierarchy.

Restricted %

Restricted (privately placed / not freely tradable) holdings as a % of net assets. Overlaps with Level 3 but is reported separately, so it's a useful cross-check.

Private / illiquid

Shorthand for holdings that don't trade on a public market and are revalued only periodically (quarterly, monthly, or on an event) rather than continuously. These are what create the NAV jumps we look for.

Interval fund

A fund that only lets investors redeem during periodic repurchase offers, but is still priced daily at NAV. We include these alongside open-end funds because the NAV-jump logic still applies.

Move

The one-day NAV return for a flagged jump (today's NAV ÷ yesterday's − 1).

Z (z-score)

The move's size in standard deviations versus the fund's trailing volatility. A big move on a normally calm fund has a high Z even if the percentage looks small, and that's the outlier we care about.

Next 5d (follow-through)

Cumulative NAV return over the 5 trading days after a jump. The core hypothesis: an upward revaluation is often incomplete, so up-jumps tend to be followed by further gains.

Open-end vs ETF / CEF / UIT

The fund's structure. Jump detection is only meaningful for funds priced at NAV (open-end and interval funds), so intraday-traded ETFs and closed-end funds are excluded from the default screens but stay filterable.

Where the data comes from

Everything starts with public SEC filings for fund holdings and structure, plus daily price feeds for NAV history.

How ingestion works

Data is loaded by a set of ingestion jobs: one syncs the fund universe and types, one pulls N-PORT holdings to compute Level 3 % / Restricted %, and one fetches daily NAV (Yahoo, falling back to Tiingo) to detect jumps. For now these are run on demand; automatic daily refresh is planned.

Worth knowing: N-PORT holdings are public roughly a quarter behind, so Level 3 % is a slow signal. That's exactly why the price-derived jump detection matters: it reacts the day a fund remarks its private holdings.

How the numbers are computed

Level 3 % / Restricted %

Level 3 (or restricted) value ÷ net assets, from the fund's latest N-PORT snapshot.

Daily return (Move)

today's NAV ÷ yesterday's NAV − 1.

Jump

A day flagged as an outlier, either the move clears an absolute threshold (default 3%) or its Z (size in standard deviations vs the fund's trailing volatility) is large. The Z test lets calm, low-volatility funds flag correctly even on small percentage moves.

Follow-through (Next 5d)

Cumulative NAV return over the 5 trading days after a jump, measuring whether an up-move keeps going, the heart of the strategy.

Changelog