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Alpha Digital Whale

Last updated Feb 24, 2024

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


LXU 69%TQQQ 15%VOO 15%BondBondEquityEquity
PositionCategory/SectorWeight
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%

VGLT
Vanguard Long-Term Treasury ETF
Government Bonds

0.18%

LXU
LSB Industries, Inc.
Basic Materials

69%

TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged

15%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

15%

S&P 500

Performance

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 Quarterly


300.00%350.00%400.00%SeptemberOctoberNovemberDecember2024February
363.04%
360.87%
Alpha Digital Whale
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns

As of Feb 24, 2024, the Alpha Digital Whale returned -9.19% Year-To-Date and 6.75% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Alpha Digital Whale -9.19%-2.42%-5.48%-14.31%22.37%6.92%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.80%0.40%2.65%5.14%1.82%1.17%
IEF
iShares 7-10 Year Treasury Bond ETF
-2.20%-0.73%1.99%1.63%-0.39%1.01%
VGLT
Vanguard Long-Term Treasury ETF
-4.37%0.16%1.02%-2.54%-2.39%1.15%
TQQQ
ProShares UltraPro QQQ
17.59%7.54%57.97%178.52%36.58%36.17%
VOO
Vanguard S&P 500 ETF
6.86%4.14%16.40%30.22%14.66%12.70%
LXU
LSB Industries, Inc.
-17.94%-6.03%-21.72%-45.31%5.99%-11.21%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-13.25%
202311.26%-7.73%-2.51%-9.08%2.67%9.32%

Sharpe Ratio

The current Alpha Digital Whale Sharpe ratio is -0.28. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

0.002.004.00-0.28

The Sharpe ratio of Alpha Digital Whale is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.002.50SeptemberOctoberNovemberDecember2024February
-0.28
2.23
Alpha Digital Whale
Benchmark (^GSPC)
Portfolio components

Dividend yield

Alpha Digital Whale granted a 0.41% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Alpha Digital Whale 0.41%0.45%0.36%0.19%0.24%0.31%0.35%0.28%0.31%0.33%0.29%0.28%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.98%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF
3.01%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
VGLT
Vanguard Long-Term Treasury ETF
3.54%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%
TQQQ
ProShares UltraPro QQQ
1.07%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
VOO
Vanguard S&P 500 ETF
1.36%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
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%

Expense Ratio

The Alpha Digital Whale features an expense ratio of 0.15%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.95%
0.00%2.15%
0.15%
0.00%2.15%
0.14%
0.00%2.15%
0.04%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
Alpha Digital Whale
-0.28
BIL
SPDR Barclays 1-3 Month T-Bill ETF
18.82
IEF
iShares 7-10 Year Treasury Bond ETF
0.15
VGLT
Vanguard Long-Term Treasury ETF
-0.17
TQQQ
ProShares UltraPro QQQ
3.46
VOO
Vanguard S&P 500 ETF
2.39
LXU
LSB Industries, Inc.
-0.86

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BILLXUIEFTQQQVGLTVOO
BIL1.00-0.010.02-0.010.020.00
LXU-0.011.00-0.220.34-0.230.44
IEF0.02-0.221.00-0.200.92-0.27
TQQQ-0.010.34-0.201.00-0.210.89
VGLT0.02-0.230.92-0.211.00-0.29
VOO0.000.44-0.270.89-0.291.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2024February
-51.70%
0
Alpha Digital Whale
Benchmark (^GSPC)
Portfolio components

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 82.77%, occurring on Apr 7, 2020. Recovery took 327 trading sessions.

The current Alpha Digital Whale drawdown is 51.70%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-82.77%Apr 29, 20151245Apr 7, 2020327Jul 26, 20211572
-57.32%Apr 20, 2022262May 4, 2023
-39.73%May 31, 201188Oct 3, 2011239Sep 13, 2012327
-23.83%Oct 9, 2012132Apr 22, 2013137Nov 4, 2013269
-19.58%Jul 2, 2014117Dec 16, 201449Feb 27, 2015166

Volatility Chart

The current Alpha Digital Whale volatility is 11.97%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%SeptemberOctoberNovemberDecember2024February
11.97%
3.90%
Alpha Digital Whale
Benchmark (^GSPC)
Portfolio components
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