Unchanged-Filing Signal
In plain terms
If a company's 10-K barely changes year-over-year, the business is boring-and-steady and outperforms. Big text changes signal hidden bad news.
How it works
Stocks whose 10-K (or 10-Q) text barely changes year-over-year OUTPERFORM those with big language shifts. The intuition: boring filings ≈ stable business ≈ slow-and-steady cash flow. Big text changes signal management hiding bad news with new boilerplate. Effect size: ~0.4 Sharpe alone, still replicating in 2020-2024. Long when the most recent 10-K's cosine similarity to prior year is in the top quartile (≥ 0.85); hold ~12 months until the next filing.
Live results
0 times picked on its own · 243 times inside a blend (224 beat the stock) · updated 2026-06-06Data dependencies
- SEC filing similarity
Document-cosine similarity between successive 10-K / 10-Q filings.
- SEC filings text
10-K / 10-Q / 8-K cleaned text + section maps.
Expected edge
- Reported return
- ~22% ann. L/S (Cohen-Malloy-Nguyen 2020)
- Reported Sharpe
- ~0.4 OOS
- Tested over
- 1995-2014
~22% ann. long-short in Cohen-Malloy-Nguyen 2020; ~0.4 Sharpe in 2020-2024 OOS
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Measures whether management's language on the earnings call got more positive or negative quarter-over-quarter. Tone drift predicts price drift.
When managers' call language gets harder to read (rising Fog index) Q/Q, they're hiding bad news. Predicts 12-month underperformance.
Explore Unchanged-Filing Signal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.