Alpha Digital Whale
Objective: To consistently generate alpha by leveraging quantitative factors, machine learning, and sentiment analysis to identify mis-priced securities and construct a diversified long and short equity portfolio.
Strategy Overview: The Alpha Digital Whale strategy is designed to capitalize on market inefficiencies and behavioral biases by employing a systematic, data-driven approach to stock selection and portfolio construction. Key components of the strategy include factor-based modeling, machine learning for sentiment analysis, robust risk management, and continuous research and refinement.
Performance Objectives: The Alpha Digital Whale strategy seeks to outperform traditional market benchmarks by delivering consistent alpha. Performance objectives include: * Targeted annualized returns exceeding the S&P 500’s historical average by 5-10%. * Volatility and drawdown levels managed to provide a smoother risk-return profile. * —> Max Drawdown = * —> Sharpe Ratio = * Minimization of correlation to broader market indices, demonstrating the strategy's independence. * —> Beta =
Risk Management: Robust risk management is embedded in the strategy to safeguard capital and protect against adverse market conditions. Risk management includes: * Regular stress testing and scenario analysis. * Diversification across sectors and industries. * A commitment to compliance with regulatory requirements and industry best practices.
Conclusion: The Alpha Digital Whale strategy is a cutting-edge quantitative long/short equity approach that harnesses the power of quantitative factors, machine learning, and sentiment analysis. By focusing on consistent alpha generation while effectively managing risk, the strategy aims to deliver superior risk-adjusted returns to investors.
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 0.64% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 0.18% |
LXU LSB Industries, Inc. | Basic Materials | 69% |
TQQQ ProShares UltraPro QQQ | Leveraged Equities, Leveraged | 15% |
VGLT Vanguard Long-Term Treasury ETF | Government Bonds | 0.18% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 15% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alpha Digital Whale , comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced every 3 months.
The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO
Returns By Period
As of Apr 26, 2025, the Alpha Digital Whale returned -30.63% Year-To-Date and 17.90% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.06% | -3.27% | -4.87% | 9.44% | 14.30% | 10.11% |
| Alpha Digital Whale | -30.63% | -14.50% | -26.67% | 2.87% | 27.31% | 17.90% |
| Portfolio components: | ||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.33% | 0.37% | 2.17% | 4.82% | 2.54% | 1.75% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.94% | 1.17% | 2.23% | 8.24% | -2.79% | 0.80% |
VGLT Vanguard Long-Term Treasury ETF | 3.00% | 0.08% | -0.67% | 6.49% | -8.95% | -0.57% |
TQQQ ProShares UltraPro QQQ | -31.73% | -15.02% | -27.48% | 3.28% | 28.11% | 27.88% |
VOO Vanguard S&P 500 ETF | -5.74% | -3.16% | -4.28% | 10.88% | 16.04% | 12.07% |
LXU LSB Industries, Inc. | -25.56% | -17.28% | -34.76% | -30.50% | 34.90% | -16.66% |
Monthly Returns
The table below presents the monthly returns of Alpha Digital Whale , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.56% | -9.17% | -22.36% | -5.92% | -30.63% | ||||||||
| 2024 | 3.06% | 13.88% | 2.71% | -13.44% | 17.56% | 17.02% | -6.85% | 0.29% | 5.75% | -3.96% | 14.51% | -0.91% | 54.53% |
| 2023 | 26.10% | -2.53% | 21.96% | -0.63% | 20.52% | 17.15% | 10.22% | -6.20% | -14.58% | -7.75% | 30.64% | 15.25% | 157.92% |
| 2022 | -24.76% | -12.42% | 11.36% | -34.12% | -8.71% | -26.57% | 33.60% | -14.01% | -27.41% | 9.92% | 9.08% | -23.43% | -75.18% |
| 2021 | -0.52% | -0.88% | 2.54% | 17.38% | -4.36% | 18.34% | 8.59% | 11.98% | -15.74% | 23.71% | 5.10% | 2.18% | 82.82% |
| 2020 | 6.79% | -17.36% | -35.62% | 41.92% | 16.64% | 16.73% | 21.02% | 33.88% | -18.24% | -9.58% | 32.99% | 14.66% | 100.49% |
| 2019 | 25.16% | 7.09% | 8.82% | 14.38% | -23.27% | 21.16% | 6.39% | -7.21% | 2.20% | 10.35% | 10.96% | 10.59% | 111.87% |
| 2018 | 23.05% | -6.32% | -12.73% | -0.87% | 14.28% | 2.15% | 7.89% | 17.20% | -0.71% | -24.87% | -2.23% | -25.15% | -19.63% |
| 2017 | 11.52% | 13.91% | 2.13% | 8.35% | 6.05% | -4.54% | 5.90% | 3.00% | 1.36% | 10.88% | 6.26% | 0.86% | 87.00% |
| 2016 | -18.84% | -3.63% | 32.15% | -5.07% | 7.77% | -6.67% | 13.26% | 2.69% | -1.86% | -9.09% | 5.85% | 3.42% | 12.10% |
| 2015 | -3.68% | 19.66% | 1.13% | 3.48% | 2.87% | -5.35% | 1.04% | -25.89% | -18.05% | 22.48% | -12.74% | -4.16% | -26.17% |
| 2014 | -13.82% | 4.75% | 4.81% | 0.64% | 4.28% | 8.51% | -3.42% | 8.04% | -6.84% | 5.39% | 0.06% | -5.61% | 4.24% |
Expense Ratio
Alpha Digital Whale has an expense ratio of 0.15%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Alpha Digital Whale is 11, meaning it’s performing worse than 89% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.50 | 251.65 | 146.29 | 445.64 | 4,090.73 |
IEF iShares 7-10 Year Treasury Bond ETF | 1.14 | 1.70 | 1.20 | 0.36 | 2.40 |
VGLT Vanguard Long-Term Treasury ETF | 0.40 | 0.63 | 1.07 | 0.12 | 0.77 |
TQQQ ProShares UltraPro QQQ | 0.04 | 0.58 | 1.08 | 0.05 | 0.13 |
VOO Vanguard S&P 500 ETF | 0.54 | 0.88 | 1.13 | 0.55 | 2.27 |
LXU LSB Industries, Inc. | -0.59 | -0.69 | 0.92 | -0.35 | -1.42 |
Dividends
Dividend yield
Alpha Digital Whale provided a 0.53% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.53% | 0.42% | 0.45% | 0.36% | 0.19% | 0.24% | 0.31% | 0.35% | 0.28% | 0.31% | 0.33% | 0.29% |
| Portfolio components: | ||||||||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.76% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.64% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% |
VGLT Vanguard Long-Term Treasury ETF | 4.32% | 4.33% | 3.33% | 2.83% | 1.82% | 2.15% | 2.46% | 2.71% | 2.55% | 2.69% | 3.21% | 2.75% |
TQQQ ProShares UltraPro QQQ | 1.83% | 1.27% | 1.26% | 0.57% | 0.00% | 0.00% | 0.06% | 0.11% | 0.00% | 0.00% | 0.01% | 0.03% |
VOO Vanguard S&P 500 ETF | 1.38% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% |
LXU LSB Industries, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Alpha Digital Whale . A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Alpha Digital Whale was 77.78%, occurring on Dec 28, 2022. Recovery took 486 trading sessions.
The current Alpha Digital Whale drawdown is 40.66%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -77.78% | Nov 22, 2021 | 277 | Dec 28, 2022 | 486 | Dec 4, 2024 | 763 |
| -67.32% | Feb 20, 2020 | 22 | Mar 20, 2020 | 83 | Jul 20, 2020 | 105 |
| -61.05% | Apr 28, 2015 | 199 | Feb 9, 2016 | 331 | Jun 2, 2017 | 530 |
| -56.42% | Dec 17, 2024 | 76 | Apr 8, 2025 | — | — | — |
| -54.05% | Sep 4, 2018 | 78 | Dec 24, 2018 | 223 | Nov 12, 2019 | 301 |
Volatility
Volatility Chart
The current Alpha Digital Whale volatility is 46.15%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 1.92, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | BIL | IEF | VGLT | LXU | TQQQ | VOO | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.00 | -0.24 | -0.25 | 0.43 | 0.90 | 1.00 | 0.87 |
| BIL | -0.00 | 1.00 | 0.02 | 0.02 | -0.03 | -0.01 | -0.00 | 0.00 |
| IEF | -0.24 | 0.02 | 1.00 | 0.92 | -0.21 | -0.18 | -0.24 | -0.17 |
| VGLT | -0.25 | 0.02 | 0.92 | 1.00 | -0.21 | -0.19 | -0.25 | -0.18 |
| LXU | 0.43 | -0.03 | -0.21 | -0.21 | 1.00 | 0.34 | 0.43 | 0.49 |
| TQQQ | 0.90 | -0.01 | -0.18 | -0.19 | 0.34 | 1.00 | 0.90 | 0.92 |
| VOO | 1.00 | -0.00 | -0.24 | -0.25 | 0.43 | 0.90 | 1.00 | 0.87 |
| Portfolio | 0.87 | 0.00 | -0.17 | -0.18 | 0.49 | 0.92 | 0.87 | 1.00 |