Whale Index - Playground

The WhaleIndex® Playground is where we experiment with new strategies and ideas. The Playground index can change at any time when better methodologies are discovered or if we have new ideas we want to try out. The goal is to ultimately update the WhaleIndex with improved investment strategies.

The current Playground strategy selects stocks using a "double-down" strategy. Double down strategies allow you to select stocks where the price has declined, and the manager then increased their existing position in the security, showing they still have conviction in the stock.

Each quarter stocks that match the following criteria are added: 1) managers have increased shares at least 15% from the prior quarter, 2) there has been a 2 standard deviation decline in the stock price from the average price paid by the manager, and 3) the stock represents at least 3% of the manager's 13F portfolio A maximum of 100 stocks is used in the index at any one time, though no backtested quarter has yielded enough matching stocks to meet this number. Stocks remain in the portfolio until the average percent of portfolio of all funds holding the stock drops below 3%. A stock sell buffer is also in place.

Please let us know what you think of the current idea. I'm going to work on devising better exit strategies for stocks in the portfolio, maybe just simple stop loss rules

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 60 managers who have maintained an average WhaleScore over the past year higher than the one-year average WhaleScore of the S&P 500 is 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.

Last Updated: February 24, 2018
based on prior day closing prices
  1-Wk YTD 1Y 3Y 5Y Total Return Annualized Std Dev BETA ALPHA Sortino Sharpe
S&P 500 Total Return 1.16% 2.19% 18.34% 38.25% 104.91% 174.75% 8.72% 16.72% 1.0 0.55 0.46
Whale Index - Playground 1.23% 3.27% 20.7% 38.04% 177.81% 330.22% 12.83% 22.46% 1.23 2.36% 0.69 0.52
Name Ticker Date Added Return 1 Month Return Ytd Return All-time
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Whale Index - Playground Ending Sector Allocation

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