WhaleScore Concepts

Download Top 25 Holdings Per Sector For Top WhaleScore Filers

The WhaleScore helps investors quickly identify Form 13F filers who consistently beat the market. WhaleWisdom is always evaluating performance metrics and data points to determine which ones best identify winning funds. Measures showing the strongest relationship with predicting future Alpha are determined through regression analysis.

The current model for the WhaleScore uses a mixture of risk-return measures (think Omega, Calmar, etc.) that best predict future Alpha. Filers are ranked in terms of these measures and scored against each other and against the S&P 500.

WhaleWisdom generates two variations of each filer's WhaleScore using the top 20 securities in that filer's portfolio: one that "Equal-Weights" the 20 securities and one that "Matches the Manager" to reflect the manager’s actual allocation. By clicking on a filer’s "WhaleScore History" tab, WhaleWisdom users can also view that filer’s historical scores along with a one-year average that smooths out short- term fluctuations.

WhaleWisdom calculates WhaleScores quarterly. Any fund not considered a bank, insurance company, trust, or pension that has between 5 and 750 holdings, at least 3 years history, and at least 20% of their portfolio concentrated in their top 10 holdings are included in the WhaleScore calculation

WhaleWisdom is always trying out new approaches to the WhaleScore to improve accuracy and reserves the right to revise WhaleScores at any time

"I see the label One-Year Avg WhaleScore. Does this mean the WhaleScore only uses data from the past year?"

No. The majority of the metrics used to calculate the WhaleScore are based on 3-years of data. A few use 5-years. The WhaleScore is recalculated each quarter based on these 3 and 5-year metrics and then the WhaleScores for the past 4 quarters are averaged to give you the one-year avg WhaleScore.

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