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Alpha Digital Whale
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Alpha Digital Whale

Currency in USD · Last updated Apr 4, 2026

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

3 positions 1.00%LXU 69.00%TQQQ 15.00%VOO 15.00%BondBondEquityEquity
PositionCategory/SectorTarget 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, Long-Term Bond
0.18%
VOO
Vanguard S&P 500 ETF		S&P 500
15%

S&P 500 Index

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.

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

Returns By Period

As of Apr 4, 2026, the Alpha Digital Whale returned 53.02% Year-To-Date and 17.72% of annualized return in the last 10 years.

1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.11%-3.63%-3.84%-1.98%29.73%16.86%10.37%12.29%
Portfolio
Alpha Digital Whale
-0.07%6.24%53.02%47.79%151.56%22.99%31.23%17.72%
Portfolio components:
BIL
SPDR Barclays 1-3 Month T-Bill ETF		0.02%0.29%0.90%1.83%3.96%4.71%3.28%2.13%
IEF
iShares 7-10 Year Treasury Bond ETF		0.23%-0.97%0.01%0.69%2.49%2.14%-0.73%0.79%
VGLT
Vanguard Long-Term Treasury ETF		0.49%-1.82%0.35%-0.36%-1.39%-1.61%-4.79%-0.82%
TQQQ
ProShares UltraPro QQQ		0.23%-12.85%-17.68%-16.96%112.37%47.33%13.60%35.51%
VOO
Vanguard S&P 500 ETF		0.11%-3.50%-3.55%-1.41%31.08%18.47%11.96%14.19%
LXU
LSB Industries, Inc.		-0.20%17.77%75.41%65.85%144.83%12.72%29.56%4.33%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 10, 2010, Alpha Digital Whale 's average daily return is +0.11%, while the average monthly return is +2.28%. At this rate, your investment would double in approximately 2.6 years.

Historically, 57% of months were positive and 43% were negative. The best month was Mar 2016 with a return of +84.7%, while the worst month was Nov 2015 at -34.5%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Alpha Digital Whale closed higher 51% of trading days. The best single day was Aug 17, 2020 with a return of +31.4%, while the worst single day was Nov 6, 2015 at -28.2%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20267.05%16.62%21.52%0.86%53.02%
20258.85%-10.82%-11.18%-2.95%17.86%5.80%0.69%5.69%-0.74%7.12%3.03%-3.82%16.99%
2024-13.01%2.86%13.01%1.43%6.99%-8.84%6.96%-8.94%2.16%0.59%8.40%-10.12%-2.44%
20232.91%3.32%-10.49%-9.01%6.72%7.96%11.26%-7.73%-2.51%-9.08%2.67%9.32%1.89%
2022-12.92%52.08%21.53%-7.96%-5.40%-27.05%6.82%5.44%-12.80%18.95%-6.65%-14.39%-4.57%
2021-2.83%26.89%12.26%15.15%2.92%0.28%33.22%-2.99%14.33%14.19%1.39%16.51%227.88%

Benchmark Metrics

Alpha Digital Whale has an annualized alpha of 6.86%, beta of 1.62, and R² of 0.28 versus S&P 500 Index. Calculated based on daily prices since September 10, 2010.

  • This portfolio captured 205.56% of S&P 500 Index gains and 176.87% of its losses — amplifying both gains and losses, but participating more in upside than downside.
  • R² of 0.28 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
Alpha
6.86%
Beta
1.62
R²
0.28
Upside Capture
205.56%
Downside Capture
176.87%

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.

TQQQ
ProShares UltraPro QQQ
IEF
iShares 7-10 Year Treasury Bond ETF
BIL
SPDR Barclays 1-3 Month T-Bill ETF
VGLT
Vanguard Long-Term Treasury ETF
VOO
Vanguard S&P 500 ETF

Return for Risk

Risk / Return Rank

Alpha Digital Whale ranks 92 for risk / return — in the top 92% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Alpha Digital Whale Risk / Return Rank: 9292
Overall Rank
Alpha Digital Whale Sharpe Ratio Rank: 9494
Sharpe Ratio Rank
Alpha Digital Whale Sortino Ratio Rank: 9292
Sortino Ratio Rank
Alpha Digital Whale Omega Ratio Rank: 8888
Omega Ratio Rank
Alpha Digital Whale Calmar Ratio Rank: 9494
Calmar Ratio Rank
Alpha Digital Whale Martin Ratio Rank: 9090
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

2.39

0.88

+1.51

Sortino ratio

Return per unit of downside risk

2.93

1.37

+1.56

Omega ratio

Gain probability vs. loss probability

1.39

1.21

+0.19

Calmar ratio

Return relative to maximum drawdown

4.61

1.39

+3.22

Martin ratio

Return relative to average drawdown

15.92

6.43

+9.48

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Risk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BIL
SPDR Barclays 1-3 Month T-Bill ETF		10019.57254.91180.89367.864,130.10
IEF
iShares 7-10 Year Treasury Bond ETF		310.721.061.121.162.87
VGLT
Vanguard Long-Term Treasury ETF		100.020.091.010.010.02
TQQQ
ProShares UltraPro QQQ		400.681.361.191.323.99
VOO
Vanguard S&P 500 ETF		530.981.491.231.537.13
LXU
LSB Industries, Inc.		912.332.861.365.3114.79

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Alpha Digital Whale Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

  • 1-Year: 2.39
  • 5-Year: 0.65
  • 10-Year: 0.32
  • All Time: 0.29

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.99 to 1.69, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Alpha Digital Whale compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Alpha Digital Whale provided a 0.33% dividend yield over the last twelve months.

TTM20252024202320222021202020192018201720162015
Portfolio0.33%0.31%0.42%0.45%0.36%0.19%0.24%0.31%0.35%0.28%0.31%0.33%
Portfolio components:
BIL
SPDR Barclays 1-3 Month T-Bill ETF		3.96%4.13%5.03%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF		3.84%3.77%3.62%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%
VGLT
Vanguard Long-Term Treasury ETF		4.52%4.44%4.33%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%
TQQQ
ProShares UltraPro QQQ		0.73%0.65%1.27%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%
VOO
Vanguard S&P 500 ETF		1.18%1.13%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%
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.

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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 7.22%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-82.77%Apr 29, 20151245Apr 7, 2020327Jul 26, 20211572
-65.56%Apr 20, 2022745Apr 8, 2025242Mar 26, 2026987
-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

Volatility Chart

The chart below shows the rolling one-month volatility.

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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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BenchmarkBILIEFVGLTLXUTQQQVOOPortfolio
Benchmark1.00-0.00-0.22-0.240.410.901.000.59
BIL-0.001.000.020.01-0.01-0.01-0.00-0.01
IEF-0.220.021.000.92-0.20-0.17-0.22-0.22
VGLT-0.240.010.921.00-0.21-0.18-0.23-0.23
LXU0.41-0.01-0.20-0.211.000.320.410.97
TQQQ0.90-0.01-0.17-0.180.321.000.900.52
VOO1.00-0.00-0.22-0.230.410.901.000.59
Portfolio0.59-0.01-0.22-0.230.970.520.591.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010