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Mdna Tone Delta

Updated quarterlyData needs: lowlong onlyshort onlylong short

2011

#99 mdna_tone_delta — Loughran-McDonald 2011 JF tone-delta on 10-K filings.

In plain terms

Read each year's 10-K through a finance-specific positive/negative word filter. Companies whose tone got more positive year-over-year tend to outperform after the filing date; those whose tone got more negative tend to lag.

How it works

Loughran-McDonald 2011 JF demonstrate the *tone* of 10-K filings — positive vs negative finance-specific lexicon — predicts forward returns. Distinct from filing_text_delta's *uncertainty* lexicon. Effect: bottom-decile tone-delta underperforms top-decile by ~2-3% over 4 weeks, persisting ~12 weeks. Today consumes the cached Item 1 (Business) text; switches to Item 7 (MD&A) when the EDGAR pipeline emits it (tracked in docs/alpha-research/proposals/).

Live results

0 times picked on its own · 128 times inside a blend (124 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 128 such blended picks (124 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

SEC 10k business text
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~2-3% over 4 weeks post-filing in the 1994-2008 source paper
Tested over: 1994-2008

Loughran-McDonald 2011: ~2-3% over 4 weeks; ~1-2% OOS post-publication.

Related families

Filing Text DeltaFilings, Insiders & Ownership

Counts uncertainty/risk words ('may', 'could', 'challenging') in 10-K Item 1 (Business) YoY. A spike means management is privately more worried — bearish.

Unchanged-Filing SignalCompany Events & Earnings

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.

Lazy Prices ShortCompany Events & Earnings

The short side of 'lazy prices': firms that rewrote their 10-K heavily YoY underperform by 188 bps/month. Most of the lazy-prices alpha lives on this short leg.

Transcript Tone DriftFilings, Insiders & Ownership

Measures whether management's language on the earnings call got more positive or negative quarter-over-quarter. Tone drift predicts price drift.

Explore Mdna Tone Delta on alphactor.ai

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