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Form4 Cluster Anomaly

Updated dailyData needs: lowlong only

2012

Cohen, Malloy & Pomorski (2012) "Decoding Inside Information", Journal of Finance 67(3).

In plain terms

When 4+ insiders buy in a single month (a real cluster, not noise), the stock tends to outperform for the next few months.

How it works

Anomaly-tail Form 4 insider PURCHASE clusters (>=4 distinct insiders within 30 days, or >=3 insiders with aggregate dollar value >= $2M) strip routine-liquidity noise that dominates single-insider buys. Long the issuer 60-180d post-cluster.

Live results

0 times picked on its own · 7 times inside a blend (4 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 7 such blended picks (4 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC insider trades
Form-4 insider transactions with role, size, and trade direction.

Expected edge

Reported return: ~6.5% over 6mo (anomaly tail)
Tested over: T+1 to T+180d

Cohen-Malloy-Pomorski 2012 reports ~6.5% abnormal return over 6mo on clustered, non-routine purchase events.

Related families

Insider Cluster BuyingFilings, Insiders & Ownership

When several insiders buy their own stock within a short window (a 'cluster buy'), it's the most reliable insider signal. Sales are mostly noise.

Insider Routine DecoderFilings, Insiders & Ownership

Many insider trades are clockwork 10b5-1 plans with zero info. Filter them out using trade-date entropy; only opportunistic cluster buys predict +82 bps/month.

Explore Form4 Cluster Anomaly on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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