SEC Fillings Signals
Money Flow / Trading Signal
About
SEC Filings Signals provide both short-term and long-term signals. They identify 250 red flags in SEC filings such as questionable accounting practices, regulator investigations and reviews, etc.
SEC Filings Short-Term Signals can predict short-term price movement (up to 3 to 4 days) while SEC Filings Long-Term Signals can predict long-term price movement (up to 20 days) on a probability basis based on around 286 Governance and Sustainability Quantified Measure™ variables.
These measures use natural language processing (NLP) scores based on ESG data collected to each stock on a daily basis.
CloudQuant found that SEC Filings Short-Term Signals are a good source for short side alphas for large cap tickers while SEC Filings Long-Term Signals is a good alpha for mid and small cap names.
SUPPORT AND PURCHASE
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RELATED RESEARCH AND INSIGHTS
Results
The dollar neutral backtest has a turnover ratio of about 30%, meaning 30% of the portfolio turns over each day and the hold times are about 3 to 4 days, for the Short-Term Signals.
At the same time, the dollar neutral backtest for the Long-Term Signals has a turnover ratio of about 5%, meaning the portfolio turns over once each month with the average hold times of 20 trading days.
From 02/02/2017 to 07/01/2022, SEC Filings Long-Term Signals had an annualized return of 13.04%, a total return of 71.59%, and a Sharpe ratio over 2.7 (without considering transaction costs). From 01/01/2013 to 07/01/2022, the annualized return and the total return of SEC Filings Short-Term Signals are 25.56% and 244.11%, with a Sharpe ratio over 1.3 (without considering transaction costs).
Based on our risk factor analysis, above 90% of the return is idiosyncratic, which means it is independent from market smart beta factors.
G&SQ Long-Term Signals
71.59%
Total Return
13.04%
Annualized Return
2.7+
Sharpe Ratio
G&SQ Short-Term Singals
244.11%
Total Return
25.56%
Annualized Return
1.3+
Sharpe Ratio
Overview
| Product Type | Trading Signal |
| Geographic Area | U.S. Equities |
| Sectors |
Consumer Staples Consumer Discretionary Energy Financials Healthcare Industrials Materials Real Estate Utilities |
| Backtest Start Date |
Long-Term Signals: 2017-02-01 Short-Term Signals: 2013-01-01 |
| Strategy Start Date | 2022-09-01 |
| Frequency | Daily |
| Delivery Time | 6AM CT |
