The Mid/Small/Micro Cap WhaleIndex® tracks the highest-conviction stocks held by leading hedge fund managers. It is a long-only index that tracks the 100 most commonly held stocks disclosed on the quarterly 13F regulatory filings of consistently successful managers. The index is equal-weighted and rebalanced on a quarterly basis 46 days after the end of each quarter. The index is restricted to mid, small, and micro cap stocks only.
WhaleWisdom tracks all managers who file 13F regulatory filings with the SEC and ranks a select number of managers using the proprietary WhaleScore. To qualify for a WhaleScore, a manager must have the following attributes: between 5 and 750 holdings in their 13F filing, have at least 3 consecutive years of quarterly 13F filings, hold no fewer than five stocks in its portfolio, manage more than $100 million in marketable securities, and hold at least 20% of its portfolio in its top 20 stocks. Managers considered to be a bank, trust, pension, or insurance company are also excluded.
The top 50 managers who have maintained an average WhaleScore over the past year higher than the one-year average WhaleScore of the S&P 500 are used in the WhaleIndex. Based on the holdings disclosed on their SEC filings, WhaleWisdom identifies the 100 stocks most commonly held among the respective managers' top 20 holdings.
If you haven't visited in a while, both the WhaleScore and resulting WhaleIndex were completely redesigned in June 2016. The redesign addressed limitations in the previous calculation and also corrected a look-ahead bias in the data being used. The redesign also changed the performance measures used to determine WhaleScores in order to achieve better performance. WhaleWisdom reserves the right to update/replace the WhaleScore and WhaleIndex at any time due to improvements in modeling and Alpha prediction.
|1-Wk||YTD||1Y||3Y||5Y||Total Return||Annualized||Std Dev||BETA||ALPHA||Sortino||Sharpe|
|Russell 2000 Total Return||1.57%||1.88%||15.18%||29.76%||84.19%||153.85%||3.89%||22.15%||1.0||0.17||0.13|
|WhaleIndex Mid/Small/Micro Cap||1.97%||9.53%||24.06%||28.91%||102.63%||257.34%||6.73%||23.81%||1.24||0.15%||0.3||0.24|
|Name||Ticker||Date Added||Return 1 Month||Return Ytd||Return All-time|
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