We continue to add pipeline factors, making use of data from EventVestor. Our latest release uses 13-D filing data.
13-D filings are required by the SEC from anyone who acquires more than 5% of a publicly traded company.
One study in particular documents the information leakage that happens prior to 13D filings suggesting that:
Over 90% of the effect of the 13D filing on the target’s stock
price is realized prior to the filing. This implies little information
is revealed to the market when the 13D filing is made public, as most
of the information has already been leaked to the market.
And yet, there is still a small amount of drift that tends to follow the filing date. You can see a small positive average price drift for days after a 13D filing for every year starting in 2012. The strategy here attempts to capture that drift.
Note, 13D filings are different from 13F filings which occur on a quarterly basis from institutional investment managers with over $100 million in qualifying assets.
- Data set: 13-D Filings by EventVestor
- Weights: The weight for each security is determined by the total number of longs we have in that current day. So if we have 2 longs, the weight for each long will be 50% (1.0/number of securities). This is a rolling rebalance at the beginning of each day according to the number of securities currently held and to order.
- Capital base: $1,000,000
- Days held: Positions are currently held for 10 days but are easily changeable by modifying 'context.days_to_hold'
- Trade dates: All trades are made 1 business day AFTER a 13-D Filing
- Slippage and commissions in this backtest are set to 0.
For more examples using data, visit the data factor library.
|Returns||1 Month||3 Month||6 Month||12 Month|
|Alpha||1 Month||3 Month||6 Month||12 Month|
|Beta||1 Month||3 Month||6 Month||12 Month|
|Sharpe||1 Month||3 Month||6 Month||12 Month|
|Sortino||1 Month||3 Month||6 Month||12 Month|
|Volatility||1 Month||3 Month||6 Month||12 Month|
|Max Drawdown||1 Month||3 Month||6 Month||12 Month|