activist pair revert
What it checks
Activist-targeted stocks beat their sector for ~12 months, then give some back as the activist exits — we ride both legs as a pair-trade.
Mechanism
Activist 13D targets outperform their industry peer (sector-ETF proxy) by ~7-10% over the first 12 months post-filing; a portion of the spread reverts in months 13-24 as the activist exits and gains are priced in. Pair-trade overlay: target LONG during drift, target SHORT during revert, gated on prior sector-relative underperformance.
Signal rule
13D filing AND target underperforms sector ETF over prior 60d -> LONG target T+30d to T+390d; SHORT target T+390d to T+720d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_13d_filingsWorker data table — see services/worker schema.
sector_etf_pricesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~7-10% target-vs-sector over 12mo + revert
- Paper window
- T+30 to T+720d
Brav-Jiang 2008 reports ~7-10% target-vs-sector outperformance over 12mo with partial revert in months 13-24.
Related families
13d activist filing driftEventSC 13D filings (>5% stake with activist intent) earn ~7% event CAR + ~5% drift 12-24m.
multiple activist pile on longActivistWhen two or more distinct activists file 13D on the same target within ~60 days, drift is materially larger than single-activist 13D. Coordinated pressure increases the probability of management capitulation. Reported abnormal returns ~12-15% over 12mo vs ~7% for single-activist events.
g13 to d13 conversion longActivistA passive 13G filer converting to a 13D filing (declaring activist intent) signals a sharp posture change. Target earns ~5-7% in the first month and ~10% over the next 12 months, larger than vanilla 13D events.
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